UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
State Street Equity 500 Index Fund | |
1 | |
2 | |
3 | |
5 | |
State Street Equity 500 Index II Portfolio | |
11 | |
12 | |
19 | |
20 | |
21 | |
22 | |
23 | |
31 |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $2,888,249,305 |
Receivable for investments sold | 2,899,497 |
Receivable for fund shares sold | 850,038 |
Receivable from Adviser | 267,654 |
TOTAL ASSETS | 2,892,266,494 |
LIABILITIES | |
Payable for fund shares repurchased | 3,743,379 |
Advisory fee payable | 46,495 |
Custodian fees payable | 11,725 |
Administration fees payable | 110,577 |
Distribution fees payable | 72,367 |
Trustees’ fees and expenses payable | 34 |
Transfer agent fees payable | 22,654 |
Sub-transfer agent fee payable | 93,542 |
Registration and filing fees payable | 5,599 |
Professional fees payable | 13,071 |
Printing and postage fees payable | 26,631 |
Accrued expenses and other liabilities | 891 |
TOTAL LIABILITIES | 4,146,965 |
NET ASSETS | $ 2,888,119,529 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,937,329,719 |
Total distributable earnings (loss) | 950,789,810 |
NET ASSETS | $ 2,888,119,529 |
Administrative Shares | |
Net Assets | $ 255,532,000 |
Shares Outstanding | 774,321 |
Net asset value, offering and redemption price per share | $ 330.01 |
Service Shares | |
Net Assets | $ 27,802,298 |
Shares Outstanding | 84,368 |
Net asset value, offering and redemption price per share | $ 329.54 |
Class R Shares | |
Net Assets | $ 37,953,038 |
Shares Outstanding | 115,336 |
Net asset value, offering and redemption price per share | $ 329.06 |
Class A Shares | |
Net Assets | $ 82,980,078 |
Shares Outstanding | 251,802 |
Net asset value, offering and redemption price per share | $ 329.55(a) |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 347.81 |
Class I Shares | |
Net Assets | $ 28,805,592 |
Shares Outstanding | 87,279 |
Net asset value, offering and redemption price per share | $ 330.04 |
Class K Shares | |
Net Assets | $2,455,046,523 |
Shares Outstanding | 7,431,013 |
Net asset value, offering and redemption price per share | $ 330.38 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,964,953,824 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 7,274,637 |
(a) | Due to small class size; calculation of net assets value (total net assets/ shares outstanding) will not agree to net asset value shown |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $ — |
EXPENSES | |
Advisory fee | 250,676 |
Administration fees | 626,689 |
Sub-transfer agent fee | |
Class A Shares | 76,238 |
Class I Shares | 25,327 |
Distribution fees | |
Administrative Shares | 184,015 |
Service Shares | 31,568 |
Class R Shares | 111,844 |
Class A Shares | 95,298 |
Custodian fees | 23,668 |
Trustees’ fees and expenses | 10,534 |
Transfer agent fees | 88,301 |
Registration and filing fees | 241,043 |
Professional fees | 14,695 |
Printing and postage fees | 8,923 |
Insurance expense | 2,603 |
Miscellaneous expenses | 3,266 |
TOTAL EXPENSES | 1,794,688 |
Expenses waived/reimbursed by the Adviser | (1,019,722) |
NET EXPENSES | 774,966 |
NET INVESTMENT INCOME (LOSS) | $ (774,966) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (1,899,203) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | 358,420,191 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 356,520,988 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $355,746,022 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (774,966) | $ 31,009,130 | |
Net realized gain (loss) | (1,899,203) | 38,274,720 | |
Net change in unrealized appreciation/depreciation | 358,420,191 | 244,514,455 | |
Net increase (decrease) in net assets resulting from operations | 355,746,022 | 313,798,305 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | — | (4,135,400) | |
Service Shares | — | (364,662) | |
Class R Shares | — | (442,751) | |
Class A Shares | — | (943,934) | |
Class I Shares | — | (348,143) | |
Class K Shares | — | (32,584,762) | |
Total distributions to shareholders | — | (38,819,652) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from shares sold | 12,186,972 | 17,299,834 | |
Reinvestment of distributions | — | 4,135,400 | |
Cost of shares redeemed | (37,759,954) | (51,497,088) | |
Net increase (decrease) from capital share transactions | (25,572,982) | (30,061,854) | |
Service Shares | |||
Proceeds from shares sold | 3,004,824 | 3,437,867 | |
Reinvestment of distributions | — | 364,662 | |
Cost of shares redeemed | (1,781,630) | (4,673,129) | |
Net increase (decrease) from capital share transactions | 1,223,194 | (870,600) | |
Class R Shares | |||
Proceeds from shares sold | 1,829,472 | 5,102,099 | |
Reinvestment of distributions | — | 442,751 | |
Cost of shares redeemed | (4,892,152) | (11,825,080) | |
Net increase (decrease) from capital share transactions | (3,062,680) | (6,280,230) | |
Class A Shares | |||
Proceeds from shares sold | 10,324,021 | 19,813,744 | |
Reinvestment of distributions | — | 941,800 | |
Cost of shares redeemed | (5,486,513) | (17,563,046) | |
Net increase (decrease) from capital share transactions | 4,837,508 | 3,192,498 | |
Class I Shares | |||
Proceeds from shares sold | 5,794,514 | 8,350,218 | |
Reinvestment of distributions | — | 348,143 | |
Cost of shares redeemed | (1,988,552) | (4,712,625) | |
Net increase (decrease) from capital share transactions | 3,805,962 | 3,985,736 | |
Class K Shares | |||
Proceeds from shares sold | 655,957,924 | 936,654,587 | |
Reinvestment of distributions | — | 32,584,653 | |
Cost of shares redeemed | (278,012,987) | (238,194,915) | |
Net increase (decrease) from capital share transactions | 377,944,937 | 731,044,325 | |
Net increase (decrease) in net assets from beneficial interest transactions | 359,175,939 | 701,009,875 | |
Net increase (decrease) in net assets during the period | 714,921,961 | 975,988,528 | |
Net assets at beginning of period | 2,173,197,568 | 1,197,209,040 | |
NET ASSETS AT END OF PERIOD | $ 2,888,119,529 | $2,173,197,568 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 40,911 | 73,251 | |
Reinvestment of distributions | — | 14,531 | |
Shares redeemed | (124,789) | (208,496) | |
Net increase (decrease) from share transactions | (83,878) | (120,714) | |
Service Shares | |||
Shares sold | 9,882 | 14,470 | |
Reinvestment of distributions | — | 1,282 | |
Shares redeemed | (5,757) | (18,420) | |
Net increase (decrease) from share transactions | 4,125 | (2,668) |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | ||
Class R Shares | |||
Shares sold | 5,952 | 21,042 | |
Reinvestment of distributions | — | 1,557 | |
Shares redeemed | (15,631) | (48,388) | |
Net increase (decrease) from share transactions | (9,679) | (25,789) | |
Class A Shares | |||
Shares sold | 34,803 | 78,581 | |
Reinvestment of distributions | — | 3,309 | |
Shares redeemed | (17,678) | (72,342) | |
Net increase (decrease) from share transactions | 17,125 | 9,548 | |
Class I Shares | |||
Shares sold | 19,225 | 34,372 | |
Reinvestment of distributions | — | 1,223 | |
Shares redeemed | (6,398) | (19,742) | |
Net increase (decrease) from share transactions | 12,827 | 15,853 | |
Class K Shares | |||
Shares sold | 2,155,533 | 3,698,640 | |
Reinvestment of distributions | — | 114,453 | |
Shares redeemed | (925,531) | (961,943) | |
Net increase (decrease) from share transactions | 1,230,002 | 2,851,150 |
(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 | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.26) | 3.58 | 3.90 | 3.40 | 3.80 | 2.60 | |||||
Net realized and unrealized gain (loss) | 43.41 | 41.19 | 57.30 | (13.30) | 36.60 | 17.60 | |||||
Total from investment operations | 43.15 | 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 | $ 330.01 | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | |||||
Total return (c) | 15.04% | 18.14% | 31.14% | (4.56)% | 21.43% | 11.75% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $255,532 | $246,181 | $241,794 | $213,270 | $274,650 | $277,141 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.25%(d)(e) | 0.26%(e) | 0.27%(e) | 0.27%(e) | 0.26%(e) | 0.27%(e) | |||||
Net expenses | 0.17%(d)(e) | 0.17%(e) | 0.17%(e) | 0.17%(e) | 0.18%(e) | 0.18%(e) | |||||
Net investment income (loss) | (0.17)%(d) | 1.45% | 1.68% | 1.51% | 1.83% | 1.48% | |||||
Portfolio turnover rate | 7%(f)(g) | 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Service Shares | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $286.59 | $246.70 | $196.20 | $216.00 | $188.10 | $ 171.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.41) | 3.33 | 3.10 | 3.20 | 1.50 | 2.60 | |||||
Net realized and unrealized gain (loss) | 43.36 | 41.18 | 57.70 | (13.30) | 38.70 | 17.40 | |||||
Total from investment operations | 42.95 | 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 | $329.54 | $286.59 | $246.70 | $196.20 | $216.00 | $ 188.10 | |||||
Total return (c) | 14.99% | 18.06% | 30.99% | (4.66)% | 21.33% | 11.65% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $27,802 | $22,997 | $20,457 | $20,897 | $27,876 | $124,591 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.35%(d)(e) | 0.36%(e) | 0.37%(e) | 0.37%(e) | 0.36%(e) | 0.37%(e) | |||||
Net expenses | 0.27%(d)(e) | 0.27%(e) | 0.27%(e) | 0.27%(e) | 0.28%(e) | 0.27%(e) | |||||
Net investment income (loss) | (0.27)%(d) | 1.35% | 1.36% | 1.44% | 0.73% | 1.46% | |||||
Portfolio turnover rate | 7%(f)(g) | 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class R Shares | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $286.68 | $246.80 | $196.20 | $216.10 | $188.10 | $171.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.94) | 2.41 | 2.90 | 2.40 | 2.90 | 1.80 | |||||
Net realized and unrealized gain (loss) | 43.32 | 41.07 | 57.10 | (13.30) | 36.60 | 17.60 | |||||
Total from investment operations | 42.38 | 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 | $329.06 | $286.68 | $246.80 | $196.20 | $216.10 | $188.10 | |||||
Total return (c) | 14.78% | 17.63% | 30.58% | (5.04)% | 20.96% | 11.26% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $37,953 | $35,839 | $37,222 | $32,099 | $42,249 | $39,086 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.70%(d)(e) | 0.71%(e) | 0.72%(e) | 0.72%(e) | 0.71%(e) | 0.72%(e) | |||||
Net expenses | 0.62%(d)(e) | 0.62%(e) | 0.62%(e) | 0.62%(e) | 0.63%(e) | 0.63%(e) | |||||
Net investment income (loss) | (0.62)%(d) | 0.98% | 1.27% | 1.06% | 1.41% | 0.99% | |||||
Portfolio turnover rate | 7%(f)(g) | 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class A Shares | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $286.88 | $247.00 | $196.40 | $216.30 | $188.30 | $171.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.72) | 3.20 | 4.20 | 6.40 | 1.60 | 6.80 | |||||
Net realized and unrealized gain (loss) | 43.39 | 40.72 | 56.30 | (16.60) | 38.20 | 12.90 | |||||
Total from investment operations | 42.67 | 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 | $329.55 | $286.88 | $247.00 | $196.40 | $216.30 | $188.30 | |||||
Total return (c) | 14.87% | 17.79% | 30.78% | (4.72)% | 21.12% | 11.42% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $82,980 | $67,324 | $55,604 | $31,766 | $ 6,293 | $ 7,509 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.55%(d)(e) | 0.56%(e) | 0.57%(e) | 0.38%(e) | 0.56%(e) | 0.57%(e) | |||||
Net expenses | 0.47%(d)(e) | 0.47%(e) | 0.47%(e) | 0.28%(e) | 0.48%(e) | 0.48%(e) | |||||
Net investment income (loss) | (0.47)%(d) | 1.29% | 1.81% | 2.89% | 0.79% | 3.69% | |||||
Portfolio turnover rate | 7%(f)(g) | 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class I Shares | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $286.96 | $247.10 | $196.50 | $216.30 | $188.40 | $171.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.34) | 4.39 | 3.20 | 4.40 | 8.90 | 28.60 | |||||
Net realized and unrealized gain (loss) | 43.42 | 40.24 | 58.10 | (14.10) | 31.40 | (8.40) | |||||
Total from investment operations | 43.08 | 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 | $330.04 | $286.96 | $247.10 | $196.50 | $216.30 | $188.40 | |||||
Total return (c) | 15.01% | 18.07% | 31.17% | (4.45)% | 21.35% | 11.75% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $28,806 | $21,365 | $14,478 | $14,496 | $16,084 | $ 4,469 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.30%(d)(e) | 0.31%(e) | 0.24%(e) | 0.15%(e) | 0.31%(e) | 0.32%(e) | |||||
Net expenses | 0.22%(d)(e) | 0.22%(e) | 0.15%(e) | 0.05%(e) | 0.23%(e) | 0.23%(e) | |||||
Net investment income (loss) | (0.22)%(d) | 1.75% | 1.38% | 1.98% | 4.21% | 15.53%(f) | |||||
Portfolio turnover rate | 7%(g)(h) | 6%(g) | 21%(g) | 8%(g) | 30%(g) | 5%(g) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
Class K Shares | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.03) | 5.92 | 5.10 | 4.70 | 4.40 | 4.40 | |||||
Net realized and unrealized gain (loss) | 43.44 | 39.30 | 56.60 | (14.30) | 36.40 | 16.10 | |||||
Total from investment operations | 43.41 | 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 | $ 330.38 | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | |||||
Total return (c) | 15.13% | 18.32% | 31.39% | (4.42)% | 21.61% | 11.92% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,455,047 | $1,779,491 | $827,654 | $485,040 | $412,903 | $369,915 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.10%(d)(e) | 0.11%(e) | 0.12%(e) | 0.12%(e) | 0.11%(e) | 0.12%(e) | |||||
Net expenses | 0.02%(d)(e) | 0.02%(e) | 0.02%(e) | 0.02%(e) | 0.03%(e) | 0.03%(e) | |||||
Net investment income (loss) | (0.02)%(d) | 2.37% | 2.22% | 2.08% | 2.14% | 2.42% | |||||
Portfolio turnover rate | 7%(f)(g) | 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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
% of Net Assets | |||
Common Stocks | 97.3% | ||
Short-Term Investment | 3.7 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 26.7% | ||
Health Care | 12.7 | ||
Consumer Discretionary | 11.9 | ||
Financials | 11.0 | ||
Communication Services | 10.8 | ||
TOTAL | 73.1% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.3% | ||||||
COMMUNICATION SERVICES — 10.8% | ||||||
Activision Blizzard, Inc. | 130,300 | $ 12,435,832 | ||||
Alphabet, Inc. Class A (a) | 50,267 | 122,741,458 | ||||
Alphabet, Inc. Class C (a) | 47,587 | 119,268,250 | ||||
AT&T, Inc. | 1,185,040 | 34,105,451 | ||||
Cars.com, Inc. (a) | 1 | 14 | ||||
Charter Communications, Inc. Class A (a) | 22,900 | 16,521,205 | ||||
Comcast Corp. Class A | 762,066 | 43,453,003 | ||||
Discovery, Inc. Class A (a)(b) | 25,903 | 794,704 | ||||
Discovery, Inc. Class C (a) | 46,104 | 1,336,094 | ||||
DISH Network Corp. Class A (a) | 48,518 | 2,028,052 | ||||
Electronic Arts, Inc. | 48,979 | 7,044,650 | ||||
Facebook, Inc. Class A (a) | 400,193 | 139,151,108 | ||||
Fox Corp. Class A | 53,466 | 1,985,193 | ||||
Fox Corp. Class B | 24,500 | 862,400 | ||||
Interpublic Group of Cos., Inc. | 71,966 | 2,338,175 | ||||
Live Nation Entertainment, Inc. (a) | 27,300 | 2,391,207 | ||||
Lumen Technologies, Inc. | 167,478 | 2,276,026 | ||||
Netflix, Inc. (a) | 73,804 | 38,984,011 | ||||
News Corp. Class A | 67,788 | 1,746,897 | ||||
News Corp. Class B | 19,300 | 469,955 | ||||
Omnicom Group, Inc. | 37,291 | 2,982,907 | ||||
Take-Two Interactive Software, Inc. (a) | 18,300 | 3,239,466 | ||||
T-Mobile US, Inc. (a) | 97,975 | 14,189,719 | ||||
Twitter, Inc. (a) | 135,700 | 9,337,517 | ||||
Verizon Communications, Inc. | 687,015 | 38,493,451 | ||||
ViacomCBS, Inc. Class B | 97,281 | 4,397,101 | ||||
Walt Disney Co. (a) | 301,964 | 53,076,212 | ||||
675,650,058 | ||||||
CONSUMER DISCRETIONARY — 11.9% | ||||||
Advance Auto Parts, Inc. | 10,200 | 2,092,428 | ||||
Amazon.com, Inc. (a) | 71,490 | 245,937,038 | ||||
Aptiv PLC (a) | 46,019 | 7,240,169 | ||||
AutoZone, Inc. (a) | 3,676 | 5,485,401 | ||||
Best Buy Co., Inc. | 36,906 | 4,243,452 | ||||
Booking Holdings, Inc. (a) | 6,824 | 14,931,526 | ||||
BorgWarner, Inc. | 40,177 | 1,950,192 | ||||
Caesars Entertainment, Inc. (a) | 33,200 | 3,444,500 | ||||
CarMax, Inc. (a) | 25,803 | 3,332,457 | ||||
Carnival Corp. (a) | 132,501 | 3,492,726 | ||||
Chipotle Mexican Grill, Inc. (a) | 4,686 | 7,264,893 | ||||
D.R. Horton, Inc. | 56,897 | 5,141,782 | ||||
Darden Restaurants, Inc. | 20,971 | 3,061,556 | ||||
Dollar General Corp. | 39,813 | 8,615,135 | ||||
Dollar Tree, Inc. (a) | 37,826 | 3,763,687 | ||||
Domino's Pizza, Inc. | 6,600 | 3,078,834 | ||||
eBay, Inc. | 110,245 | 7,740,302 |
Security Description | Shares | Value | ||||
Etsy, Inc. (a) | 22,800 | $ 4,693,152 | ||||
Expedia Group, Inc. (a) | 23,534 | 3,852,751 | ||||
Ford Motor Co. (a) | 651,738 | 9,684,827 | ||||
Gap, Inc. | 32,634 | 1,098,134 | ||||
Garmin, Ltd. | 24,440 | 3,535,002 | ||||
General Motors Co. (a) | 213,323 | 12,622,322 | ||||
Genuine Parts Co. | 22,889 | 2,894,772 | ||||
Hanesbrands, Inc. (b) | 55,200 | 1,030,584 | ||||
Hasbro, Inc. | 22,997 | 2,173,676 | ||||
Hilton Worldwide Holdings, Inc. (a) | 47,700 | 5,753,574 | ||||
Home Depot, Inc. | 176,702 | 56,348,501 | ||||
L Brands, Inc. | 37,221 | 2,682,145 | ||||
Las Vegas Sands Corp. (a) | 52,000 | 2,739,880 | ||||
Leggett & Platt, Inc. | 20,954 | 1,085,627 | ||||
Lennar Corp. Class A | 45,806 | 4,550,826 | ||||
LKQ Corp. (a) | 44,500 | 2,190,290 | ||||
Lowe's Cos., Inc. | 117,450 | 22,781,777 | ||||
Marriott International, Inc. Class A (a) | 45,555 | 6,219,169 | ||||
McDonald's Corp. | 124,410 | 28,737,466 | ||||
MGM Resorts International | 64,900 | 2,767,985 | ||||
Mohawk Industries, Inc. (a) | 9,631 | 1,850,982 | ||||
Newell Brands, Inc. | 57,341 | 1,575,157 | ||||
NIKE, Inc. Class B | 212,306 | 32,799,154 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 57,900 | 1,702,839 | ||||
NVR, Inc. (a) | 560 | 2,785,048 | ||||
O'Reilly Automotive, Inc. (a) | 11,480 | 6,500,091 | ||||
Penn National Gaming, Inc. (a) | 23,700 | 1,812,813 | ||||
Pool Corp. | 6,700 | 3,073,022 | ||||
PulteGroup, Inc. | 44,762 | 2,442,662 | ||||
PVH Corp. (a) | 11,249 | 1,210,280 | ||||
Ralph Lauren Corp. | 7,679 | 904,663 | ||||
Ross Stores, Inc. | 58,156 | 7,211,344 | ||||
Royal Caribbean Cruises, Ltd. (a) | 34,900 | 2,976,272 | ||||
Starbucks Corp. | 196,430 | 21,962,838 | ||||
Tapestry, Inc. (a) | 44,228 | 1,923,033 | ||||
Target Corp. | 82,272 | 19,888,433 | ||||
Tesla, Inc. (a) | 128,900 | 87,613,330 | ||||
TJX Cos., Inc. | 201,774 | 13,603,603 | ||||
Tractor Supply Co. | 18,426 | 3,428,342 | ||||
Ulta Beauty, Inc. (a) | 9,300 | 3,215,661 | ||||
Under Armour, Inc. Class A (a) | 26,624 | 563,098 | ||||
Under Armour, Inc. Class C (a) | 27,575 | 512,068 | ||||
VF Corp. | 57,244 | 4,696,298 | ||||
Whirlpool Corp. | 10,702 | 2,333,250 | ||||
Wynn Resorts, Ltd. (a) | 16,441 | 2,010,734 | ||||
Yum! Brands, Inc. | 51,502 | 5,924,275 | ||||
742,777,828 | ||||||
CONSUMER STAPLES — 5.7% | ||||||
Altria Group, Inc. | 311,429 | 14,848,935 |
Security Description | Shares | Value | ||||
Archer-Daniels-Midland Co. | 91,132 | $ 5,522,599 | ||||
Brown-Forman Corp. Class B | 28,952 | 2,169,663 | ||||
Campbell Soup Co. | 30,582 | 1,394,233 | ||||
Church & Dwight Co., Inc. | 39,600 | 3,374,712 | ||||
Clorox Co. | 19,964 | 3,591,723 | ||||
Coca-Cola Co. | 646,600 | 34,987,526 | ||||
Colgate-Palmolive Co. | 142,923 | 11,626,786 | ||||
Conagra Brands, Inc. | 77,424 | 2,816,685 | ||||
Constellation Brands, Inc. Class A | 29,050 | 6,794,505 | ||||
Costco Wholesale Corp. | 73,655 | 29,143,074 | ||||
Estee Lauder Cos., Inc. Class A | 38,141 | 12,131,889 | ||||
General Mills, Inc. | 103,642 | 6,314,907 | ||||
Hershey Co. | 23,467 | 4,087,482 | ||||
Hormel Foods Corp. | 50,302 | 2,401,921 | ||||
J.M. Smucker Co. | 18,105 | 2,345,865 | ||||
Kellogg Co. | 44,128 | 2,838,754 | ||||
Kimberly-Clark Corp. | 57,627 | 7,709,340 | ||||
Kraft Heinz Co. | 111,718 | 4,555,860 | ||||
Kroger Co. | 123,142 | 4,717,570 | ||||
Lamb Weston Holdings, Inc. | 24,700 | 1,992,302 | ||||
McCormick & Co., Inc. | 40,284 | 3,557,883 | ||||
Molson Coors Beverage Co. Class B (a) | 29,353 | 1,575,963 | ||||
Mondelez International, Inc. Class A | 234,715 | 14,655,605 | ||||
Monster Beverage Corp. (a) | 60,335 | 5,511,602 | ||||
PepsiCo, Inc. | 229,316 | 33,977,752 | ||||
Philip Morris International, Inc. | 259,412 | 25,710,323 | ||||
Procter & Gamble Co. | 408,126 | 55,068,441 | ||||
Sysco Corp. | 83,374 | 6,482,329 | ||||
Tyson Foods, Inc. Class A | 47,044 | 3,469,965 | ||||
Walmart, Inc. | 228,203 | 32,181,187 | ||||
Walgreens Boots Alliance, Inc. | 119,805 | 6,302,941 | ||||
353,860,322 | ||||||
ENERGY — 2.8% | ||||||
APA Corp. | 67,255 | 1,454,726 | ||||
Baker Hughes Co. | 116,179 | 2,657,014 | ||||
Cabot Oil & Gas Corp. | 63,678 | 1,111,818 | ||||
ChampionX Corp. (a) | 1 | 26 | ||||
Chevron Corp. | 320,817 | 33,602,373 | ||||
ConocoPhillips | 229,835 | 13,996,951 | ||||
Devon Energy Corp. | 96,673 | 2,821,885 | ||||
Diamondback Energy, Inc. | 28,800 | 2,704,032 | ||||
EOG Resources, Inc. | 95,271 | 7,949,412 | ||||
Exxon Mobil Corp. | 710,175 | 44,797,839 | ||||
Halliburton Co. | 142,267 | 3,289,213 | ||||
Hess Corp. | 46,657 | 4,074,089 | ||||
Kinder Morgan, Inc. | 317,850 | 5,794,405 | ||||
Marathon Oil Corp. | 125,788 | 1,713,233 | ||||
Marathon Petroleum Corp. | 110,241 | 6,660,761 | ||||
Nov, Inc. (a) | 63,816 | 977,661 | ||||
Occidental Petroleum Corp. | 139,673 | 4,367,575 |
Security Description | Shares | Value | ||||
ONEOK, Inc. | 74,096 | $ 4,122,701 | ||||
Phillips 66 | 71,273 | 6,116,649 | ||||
Pioneer Natural Resources Co. | 38,476 | 6,253,119 | ||||
Schlumberger NV | 232,450 | 7,440,724 | ||||
Valero Energy Corp. | 70,023 | 5,467,396 | ||||
Williams Cos., Inc. | 201,958 | 5,361,985 | ||||
172,735,587 | ||||||
FINANCIALS — 11.0% | ||||||
Aflac, Inc. | 104,106 | 5,586,328 | ||||
Allstate Corp. | 49,439 | 6,448,823 | ||||
American Express Co. | 109,312 | 18,061,622 | ||||
American International Group, Inc. | 141,601 | 6,740,208 | ||||
Ameriprise Financial, Inc. | 18,744 | 4,665,007 | ||||
Aon PLC Class A | 37,998 | 9,072,402 | ||||
Arthur J Gallagher & Co. | 35,100 | 4,916,808 | ||||
Assurant, Inc. | 9,385 | 1,465,749 | ||||
Bank of America Corp. | 1,259,305 | 51,921,145 | ||||
Bank of New York Mellon Corp. | 133,394 | 6,833,775 | ||||
Berkshire Hathaway, Inc. Class B (a) | 316,984 | 88,096,193 | ||||
BlackRock, Inc. | 23,716 | 20,750,789 | ||||
Capital One Financial Corp. | 74,995 | 11,600,977 | ||||
Cboe Global Markets, Inc. | 18,300 | 2,178,615 | ||||
Charles Schwab Corp. | 250,204 | 18,217,353 | ||||
Chubb, Ltd. | 75,053 | 11,928,924 | ||||
Cincinnati Financial Corp. | 24,309 | 2,834,916 | ||||
Citigroup, Inc. | 343,827 | 24,325,760 | ||||
Citizens Financial Group, Inc. | 70,100 | 3,215,487 | ||||
CME Group, Inc. | 60,363 | 12,838,003 | ||||
Comerica, Inc. | 22,727 | 1,621,344 | ||||
Discover Financial Services | 52,328 | 6,189,879 | ||||
Everest Re Group, Ltd. | 6,000 | 1,512,060 | ||||
Fifth Third Bancorp | 122,362 | 4,677,899 | ||||
First Republic Bank | 30,200 | 5,652,534 | ||||
Franklin Resources, Inc. | 43,489 | 1,391,213 | ||||
Globe Life, Inc. | 15,212 | 1,448,943 | ||||
Goldman Sachs Group, Inc. | 56,546 | 21,460,903 | ||||
Hartford Financial Services Group, Inc. | 58,167 | 3,604,609 | ||||
Huntington Bancshares, Inc. | 259,191 | 3,698,656 | ||||
Intercontinental Exchange, Inc. | 93,585 | 11,108,539 | ||||
Invesco, Ltd. | 61,411 | 1,641,516 | ||||
JPMorgan Chase & Co. | 506,443 | 78,772,144 | ||||
KeyCorp. | 159,796 | 3,299,787 | ||||
Lincoln National Corp. | 30,682 | 1,928,057 | ||||
Loews Corp. | 34,619 | 1,891,928 | ||||
M&T Bank Corp. | 22,463 | 3,264,099 | ||||
MarketAxess Holdings, Inc. | 6,100 | 2,827,899 | ||||
Marsh & McLennan Cos., Inc. | 85,619 | 12,044,881 | ||||
MetLife, Inc. | 127,670 | 7,641,050 | ||||
Moody's Corp. | 26,732 | 9,686,875 | ||||
Morgan Stanley | 247,427 | 22,686,582 |
Security Description | Shares | Value | ||||
MSCI, Inc. | 13,500 | $ 7,196,580 | ||||
Nasdaq, Inc. | 20,875 | 3,669,825 | ||||
Northern Trust Corp. | 34,596 | 3,999,990 | ||||
People's United Financial, Inc. | 78,966 | 1,353,477 | ||||
PNC Financial Services Group, Inc. | 71,175 | 13,577,343 | ||||
Principal Financial Group, Inc. | 42,565 | 2,689,682 | ||||
Progressive Corp. | 97,149 | 9,541,003 | ||||
Prudential Financial, Inc. | 66,802 | 6,845,201 | ||||
Raymond James Financial, Inc. | 20,000 | 2,598,000 | ||||
Regions Financial Corp. | 154,246 | 3,112,684 | ||||
S&P Global, Inc. | 40,068 | 16,445,911 | ||||
State Street Corp. (c) | 60,478 | 4,976,130 | ||||
SVB Financial Group (a) | 9,200 | 5,119,156 | ||||
Synchrony Financial | 86,876 | 4,215,224 | ||||
T Rowe Price Group, Inc. | 37,655 | 7,454,560 | ||||
Travelers Cos., Inc. | 41,206 | 6,168,950 | ||||
Truist Financial Corp. | 223,115 | 12,382,882 | ||||
Unum Group | 32,505 | 923,142 | ||||
US Bancorp | 225,322 | 12,836,594 | ||||
Wells Fargo & Co. | 687,403 | 31,132,482 | ||||
Willis Towers Watson PLC | 22,045 | 5,070,791 | ||||
WR Berkley Corp. | 21,000 | 1,563,030 | ||||
Zions Bancorp NA | 24,095 | 1,273,662 | ||||
683,896,580 | ||||||
HEALTH CARE — 12.7% | ||||||
Abbott Laboratories | 294,549 | 34,147,066 | ||||
AbbVie, Inc. | 293,480 | 33,057,587 | ||||
ABIOMED, Inc. (a) | 7,200 | 2,247,192 | ||||
Agilent Technologies, Inc. | 51,793 | 7,655,523 | ||||
Alexion Pharmaceuticals, Inc. (a) | 37,473 | 6,884,165 | ||||
Align Technology, Inc. (a) | 12,500 | 7,637,500 | ||||
AmerisourceBergen Corp. | 24,534 | 2,808,898 | ||||
Amgen, Inc. | 96,254 | 23,461,912 | ||||
Anthem, Inc. | 41,119 | 15,699,234 | ||||
Baxter International, Inc. | 86,179 | 6,937,409 | ||||
Becton Dickinson and Co. | 48,956 | 11,905,610 | ||||
Biogen, Inc. (a) | 24,984 | 8,651,210 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 4,100 | 2,641,589 | ||||
Boston Scientific Corp. (a) | 236,157 | 10,098,073 | ||||
Bristol-Myers Squibb Co. | 373,375 | 24,948,917 | ||||
Cardinal Health, Inc. | 51,533 | 2,942,019 | ||||
Catalent, Inc. (a) | 27,800 | 3,005,736 | ||||
Centene Corp. (a) | 98,004 | 7,147,432 | ||||
Cerner Corp. | 49,437 | 3,863,996 | ||||
Charles River Laboratories International, Inc. (a) | 8,000 | 2,959,360 | ||||
Cigna Corp. | 57,841 | 13,712,366 | ||||
Cooper Cos., Inc. | 7,800 | 3,090,906 | ||||
CVS Health Corp. | 219,194 | 18,289,547 | ||||
Danaher Corp. | 105,494 | 28,310,370 |
Security Description | Shares | Value | ||||
DaVita, Inc. (a) | 11,728 | $ 1,412,403 | ||||
DENTSPLY SIRONA, Inc. | 35,734 | 2,260,533 | ||||
DexCom, Inc. (a) | 16,500 | 7,045,500 | ||||
Edwards Lifesciences Corp. (a) | 105,430 | 10,919,385 | ||||
Eli Lilly & Co. | 132,772 | 30,473,829 | ||||
Gilead Sciences, Inc. | 210,852 | 14,519,269 | ||||
HCA Healthcare, Inc. | 43,200 | 8,931,168 | ||||
Henry Schein, Inc. (a) | 22,900 | 1,698,951 | ||||
Hologic, Inc. (a) | 41,000 | 2,735,520 | ||||
Humana, Inc. | 21,690 | 9,602,597 | ||||
IDEXX Laboratories, Inc. (a) | 14,700 | 9,283,785 | ||||
Illumina, Inc. (a) | 24,300 | 11,499,003 | ||||
Incyte Corp. (a) | 30,600 | 2,574,378 | ||||
Intuitive Surgical, Inc. (a) | 19,744 | 18,157,372 | ||||
IQVIA Holdings, Inc. (a) | 31,300 | 7,584,616 | ||||
Johnson & Johnson | 440,708 | 72,602,236 | ||||
Laboratory Corp. of America Holdings (a) | 16,275 | 4,489,459 | ||||
McKesson Corp. | 25,552 | 4,886,564 | ||||
Medtronic PLC | 225,093 | 27,940,794 | ||||
Merck & Co., Inc. | 420,772 | 32,723,438 | ||||
Mettler-Toledo International, Inc. (a) | 4,000 | 5,541,360 | ||||
Organon & Co. (a) | 41,267 | 1,248,739 | ||||
PerkinElmer, Inc. | 18,486 | 2,854,423 | ||||
Perrigo Co. PLC | 20,086 | 920,943 | ||||
Pfizer, Inc. | 929,833 | 36,412,260 | ||||
Quest Diagnostics, Inc. | 21,242 | 2,803,307 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 17,742 | 9,909,617 | ||||
ResMed, Inc. | 23,800 | 5,867,176 | ||||
STERIS PLC | 17,400 | 3,589,620 | ||||
Stryker Corp. | 54,994 | 14,283,592 | ||||
Teleflex, Inc. | 7,400 | 2,973,246 | ||||
Thermo Fisher Scientific, Inc. | 65,512 | 33,048,839 | ||||
UnitedHealth Group, Inc. | 157,974 | 63,259,109 | ||||
Universal Health Services, Inc. Class B | 12,000 | 1,757,160 | ||||
Vertex Pharmaceuticals, Inc. (a) | 43,252 | 8,720,901 | ||||
Viatris, Inc. | 192,314 | 2,748,167 | ||||
Waters Corp. (a) | 9,950 | 3,438,820 | ||||
West Pharmaceutical Services, Inc. | 13,100 | 4,704,210 | ||||
Zimmer Biomet Holdings, Inc. | 34,925 | 5,616,639 | ||||
Zoetis, Inc. | 79,720 | 14,856,619 | ||||
787,999,164 | ||||||
INDUSTRIALS — 8.3% | ||||||
3M Co. | 96,729 | 19,213,281 | ||||
A.O. Smith Corp. | 23,500 | 1,693,410 | ||||
Alaska Air Group, Inc. (a) | 21,900 | 1,320,789 | ||||
Allegion PLC | 15,496 | 2,158,593 | ||||
American Airlines Group, Inc. (a) | 106,600 | 2,260,986 | ||||
AMETEK, Inc. | 39,599 | 5,286,467 |
Security Description | Shares | Value | |||
Boeing Co. (a) | 91,464 | $ 21,911,116 | |||
C.H. Robinson Worldwide, Inc. | 21,379 | 2,002,571 | |||
Carrier Global Corp. | 138,879 | 6,749,519 | |||
Caterpillar, Inc. | 91,024 | 19,809,553 | |||
Cintas Corp. | 15,166 | 5,793,412 | |||
Copart, Inc. (a) | 33,500 | 4,416,305 | |||
CSX Corp. | 381,465 | 12,237,397 | |||
Cummins, Inc. | 24,114 | 5,879,234 | |||
Deere & Co. | 52,383 | 18,476,008 | |||
Delta Air Lines, Inc. (a) | 106,334 | 4,600,009 | |||
Dover Corp. | 23,150 | 3,486,390 | |||
Eaton Corp. PLC | 66,325 | 9,828,039 | |||
Emerson Electric Co. | 99,679 | 9,593,107 | |||
Equifax, Inc. | 20,188 | 4,835,228 | |||
Expeditors International of Washington, Inc. | 27,276 | 3,453,142 | |||
Fastenal Co. | 98,716 | 5,133,232 | |||
FedEx Corp. | 40,550 | 12,097,281 | |||
Fortive Corp. | 56,249 | 3,922,805 | |||
Fortune Brands Home & Security, Inc. | 23,000 | 2,291,030 | |||
Generac Holdings, Inc. (a) | 11,300 | 4,691,195 | |||
General Dynamics Corp. | 38,072 | 7,167,435 | |||
General Electric Co. | 1,464,088 | 19,706,624 | |||
Honeywell International, Inc. | 115,478 | 25,330,099 | |||
Howmet Aerospace, Inc. (a) | 60,286 | 2,078,058 | |||
Huntington Ingalls Industries, Inc. | 6,400 | 1,348,800 | |||
IDEX Corp. | 12,000 | 2,640,600 | |||
IHS Markit, Ltd. | 60,900 | 6,860,994 | |||
Illinois Tool Works, Inc. | 48,600 | 10,865,016 | |||
Ingersoll Rand, Inc. (a) | 61,187 | 2,986,537 | |||
Jacobs Engineering Group, Inc. | 21,743 | 2,900,951 | |||
JB Hunt Transport Services, Inc. | 14,000 | 2,281,300 | |||
Johnson Controls International PLC | 121,108 | 8,311,642 | |||
Kansas City Southern | 14,996 | 4,249,417 | |||
L3Harris Technologies, Inc. | 34,921 | 7,548,174 | |||
Leidos Holdings, Inc. | 22,500 | 2,274,750 | |||
Lockheed Martin Corp. | 40,671 | 15,387,873 | |||
Masco Corp. | 41,484 | 2,443,822 | |||
Nielsen Holdings PLC | 62,225 | 1,535,091 | |||
Norfolk Southern Corp. | 41,887 | 11,117,229 | |||
Northrop Grumman Corp. | 24,925 | 9,058,493 | |||
Old Dominion Freight Line, Inc. | 15,250 | 3,870,450 | |||
Otis Worldwide Corp. | 70,189 | 5,739,355 | |||
PACCAR, Inc. | 56,639 | 5,055,031 | |||
Parker-Hannifin Corp. | 21,689 | 6,660,909 | |||
Pentair PLC | 28,404 | 1,916,986 | |||
Quanta Services, Inc. | 22,007 | 1,993,174 | |||
Raytheon Technologies Corp. | 253,401 | 21,617,639 | |||
Republic Services, Inc. | 33,589 | 3,695,126 | |||
Robert Half International, Inc. | 18,066 | 1,607,332 |
Security Description | Shares | Value | ||||
Rockwell Automation, Inc. | 19,926 | $ 5,699,235 | ||||
Rollins, Inc. | 32,325 | 1,105,515 | ||||
Roper Technologies, Inc. | 17,665 | 8,306,083 | ||||
Snap-on, Inc. | 8,440 | 1,885,749 | ||||
Southwest Airlines Co. (a) | 101,059 | 5,365,222 | ||||
Stanley Black & Decker, Inc. | 27,557 | 5,648,909 | ||||
Teledyne Technologies, Inc. (a) | 7,690 | 3,220,803 | ||||
Textron, Inc. | 36,233 | 2,491,743 | ||||
Trane Technologies PLC | 39,184 | 7,215,342 | ||||
TransDigm Group, Inc. (a) | 9,400 | 6,084,526 | ||||
Union Pacific Corp. | 110,398 | 24,279,832 | ||||
United Airlines Holdings, Inc. (a) | 50,700 | 2,651,103 | ||||
United Parcel Service, Inc. Class B | 119,891 | 24,933,731 | ||||
United Rentals, Inc. (a) | 12,000 | 3,828,120 | ||||
Verisk Analytics, Inc. | 28,000 | 4,892,160 | ||||
W.W. Grainger, Inc. | 7,057 | 3,090,966 | ||||
Waste Management, Inc. | 64,935 | 9,098,043 | ||||
Westinghouse Air Brake Technologies Corp. | 28,366 | 2,334,522 | ||||
Xylem, Inc. | 28,858 | 3,461,806 | ||||
516,982,416 | ||||||
INFORMATION TECHNOLOGY — 26.7% | ||||||
Accenture PLC Class A | 105,518 | 31,105,651 | ||||
Adobe, Inc. (a) | 79,544 | 46,584,148 | ||||
Advanced Micro Devices, Inc. (a) | 202,000 | 18,973,860 | ||||
Akamai Technologies, Inc. (a) | 26,090 | 3,042,094 | ||||
Amphenol Corp. Class A | 97,840 | 6,693,234 | ||||
Analog Devices, Inc. | 61,835 | 10,645,514 | ||||
ANSYS, Inc. (a) | 14,300 | 4,962,958 | ||||
Apple, Inc. | 2,616,396 | 358,341,596 | ||||
Applied Materials, Inc. | 153,554 | 21,866,090 | ||||
Arista Networks, Inc. (a) | 9,300 | 3,369,483 | ||||
Autodesk, Inc. (a) | 36,606 | 10,685,291 | ||||
Automatic Data Processing, Inc. | 70,852 | 14,072,624 | ||||
Broadcom, Inc. | 68,091 | 32,468,513 | ||||
Broadridge Financial Solutions, Inc. | 18,400 | 2,972,152 | ||||
Cadence Design Systems, Inc. (a) | 45,500 | 6,225,310 | ||||
CDW Corp. | 22,500 | 3,929,625 | ||||
Cisco Systems, Inc. | 701,090 | 37,157,770 | ||||
Citrix Systems, Inc. | 20,489 | 2,402,745 | ||||
Cognizant Technology Solutions Corp. Class A | 86,641 | 6,000,756 | ||||
Corning, Inc. | 131,626 | 5,383,503 | ||||
DXC Technology Co. (a) | 46,538 | 1,812,190 | ||||
Enphase Energy, Inc. (a) | 22,600 | 4,150,038 | ||||
F5 Networks, Inc. (a) | 9,441 | 1,762,257 | ||||
Fidelity National Information Services, Inc. | 104,091 | 14,746,572 | ||||
Fiserv, Inc. (a) | 98,524 | 10,531,230 |
Security Description | Shares | Value | |||
FleetCor Technologies, Inc. (a) | 13,300 | $ 3,405,598 | |||
Fortinet, Inc. (a) | 23,200 | 5,526,008 | |||
Gartner, Inc. (a) | 15,400 | 3,729,880 | |||
Global Payments, Inc. | 49,968 | 9,370,999 | |||
Hewlett Packard Enterprise Co. | 206,953 | 3,017,375 | |||
HP, Inc. | 199,653 | 6,027,524 | |||
Intel Corp. | 674,636 | 37,874,065 | |||
International Business Machines Corp. | 148,995 | 21,841,177 | |||
Intuit, Inc. | 45,737 | 22,418,905 | |||
IPG Photonics Corp. (a) | 5,200 | 1,096,004 | |||
Jack Henry & Associates, Inc. | 12,800 | 2,092,928 | |||
Juniper Networks, Inc. | 54,949 | 1,502,855 | |||
Keysight Technologies, Inc. (a) | 29,700 | 4,585,977 | |||
KLA Corp. | 26,032 | 8,439,835 | |||
Lam Research Corp. | 23,777 | 15,471,694 | |||
Mastercard, Inc. Class A | 145,351 | 53,066,197 | |||
Maxim Integrated Products, Inc. | 44,646 | 4,703,903 | |||
Microchip Technology, Inc. | 45,883 | 6,870,520 | |||
Micron Technology, Inc. (a) | 186,434 | 15,843,161 | |||
Microsoft Corp. | 1,256,258 | 340,320,292 | |||
Monolithic Power Systems, Inc. | 7,100 | 2,651,495 | |||
Motorola Solutions, Inc. | 28,872 | 6,260,893 | |||
NetApp, Inc. | 37,314 | 3,053,032 | |||
NortonLifeLock, Inc. | 93,760 | 2,552,147 | |||
NVIDIA Corp. | 104,244 | 83,405,624 | |||
NXP Semiconductors NV | 46,500 | 9,565,980 | |||
Oracle Corp. | 301,935 | 23,502,620 | |||
Paychex, Inc. | 54,907 | 5,891,521 | |||
Paycom Software, Inc. (a) | 8,000 | 2,907,760 | |||
PayPal Holdings, Inc. (a) | 195,245 | 56,910,013 | |||
PTC, Inc. (a) | 16,800 | 2,373,168 | |||
Qorvo, Inc. (a) | 18,200 | 3,560,830 | |||
QUALCOMM, Inc. | 187,526 | 26,803,091 | |||
salesforce.com, Inc. (a) | 153,895 | 37,591,932 | |||
Seagate Technology Holdings PLC | 33,624 | 2,956,558 | |||
ServiceNow, Inc. (a) | 32,900 | 18,080,195 | |||
Skyworks Solutions, Inc. | 26,700 | 5,119,725 | |||
Synopsys, Inc. (a) | 26,000 | 7,170,540 | |||
TE Connectivity, Ltd. | 56,051 | 7,578,656 | |||
Teradyne, Inc. | 26,500 | 3,549,940 | |||
Texas Instruments, Inc. | 153,093 | 29,439,784 | |||
Trimble, Inc. (a) | 39,600 | 3,240,468 | |||
Tyler Technologies, Inc. (a) | 6,600 | 2,985,642 | |||
VeriSign, Inc. (a) | 16,401 | 3,734,344 | |||
Visa, Inc. Class A | 283,260 | 66,231,853 | |||
Western Digital Corp. (a) | 53,453 | 3,804,250 | |||
Western Union Co. | 66,245 | 1,521,648 | |||
Xilinx, Inc. | 40,160 | 5,808,742 |
Security Description | Shares | Value | ||||
Zebra Technologies Corp. Class A (a) | 8,700 | $ 4,606,563 | ||||
1,659,949,115 | ||||||
MATERIALS — 2.5% | ||||||
Air Products & Chemicals, Inc. | 37,002 | 10,644,735 | ||||
Albemarle Corp. | 18,900 | 3,183,894 | ||||
Alcoa Corp. (a) | 1 | 37 | ||||
Amcor PLC | 259,026 | 2,968,438 | ||||
Avery Dennison Corp. | 13,170 | 2,768,861 | ||||
Ball Corp. | 52,532 | 4,256,143 | ||||
Celanese Corp. | 18,500 | 2,804,600 | ||||
CF Industries Holdings, Inc. | 36,720 | 1,889,244 | ||||
Corteva, Inc. | 127,482 | 5,653,827 | ||||
Dow, Inc. | 124,348 | 7,868,741 | ||||
DuPont de Nemours, Inc. | 87,873 | 6,802,249 | ||||
Eastman Chemical Co. | 21,636 | 2,526,003 | ||||
Ecolab, Inc. | 42,900 | 8,836,113 | ||||
FMC Corp. | 20,578 | 2,226,540 | ||||
Freeport-McMoRan, Inc. | 243,640 | 9,041,480 | ||||
International Flavors & Fragrances, Inc. | 40,576 | 6,062,054 | ||||
International Paper Co. | 65,003 | 3,985,334 | ||||
Linde PLC | 86,163 | 24,909,723 | ||||
LyondellBasell Industries NV Class A | 41,558 | 4,275,071 | ||||
Martin Marietta Materials, Inc. | 10,145 | 3,569,112 | ||||
Mosaic Co. | 58,684 | 1,872,606 | ||||
Newmont Corp. | 133,633 | 8,469,660 | ||||
Nucor Corp. | 49,748 | 4,772,326 | ||||
Packaging Corp. of America | 15,000 | 2,031,300 | ||||
PPG Industries, Inc. | 39,854 | 6,766,014 | ||||
Sealed Air Corp. | 22,923 | 1,358,188 | ||||
Sherwin-Williams Co. | 39,527 | 10,769,131 | ||||
Vulcan Materials Co. | 22,071 | 3,841,899 | ||||
Westrock Co. | 41,636 | 2,215,868 | ||||
156,369,191 | ||||||
REAL ESTATE — 2.5% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 22,800 | 4,148,232 | ||||
American Tower Corp. REIT | 75,918 | 20,508,488 | ||||
AvalonBay Communities, Inc. REIT | 23,969 | 5,002,091 | ||||
Boston Properties, Inc. REIT | 22,446 | 2,572,087 | ||||
CBRE Group, Inc. Class A (a) | 57,667 | 4,943,792 | ||||
Crown Castle International Corp. REIT | 72,358 | 14,117,046 | ||||
Digital Realty Trust, Inc. REIT | 47,500 | 7,146,850 | ||||
Duke Realty Corp. REIT | 64,300 | 3,044,605 | ||||
Equinix, Inc. REIT | 14,843 | 11,912,992 | ||||
Equity Residential REIT | 55,519 | 4,274,963 | ||||
Essex Property Trust, Inc. REIT | 10,745 | 3,223,607 | ||||
Extra Space Storage, Inc. REIT | 22,300 | 3,653,186 |
Security Description | Shares | Value | ||||
Federal Realty Investment Trust REIT | 11,800 | $ 1,382,606 | ||||
Healthpeak Properties, Inc. REIT | 86,023 | 2,863,706 | ||||
Host Hotels & Resorts, Inc. REIT (a) | 119,662 | 2,045,024 | ||||
Iron Mountain, Inc. REIT (b) | 44,681 | 1,890,900 | ||||
Kimco Realty Corp. REIT | 67,153 | 1,400,140 | ||||
Mid-America Apartment Communities, Inc. REIT | 18,100 | 3,048,402 | ||||
Prologis, Inc. REIT | 123,950 | 14,815,743 | ||||
Public Storage REIT | 25,635 | 7,708,188 | ||||
Realty Income Corp. REIT | 66,700 | 4,451,558 | ||||
Regency Centers Corp. REIT | 25,000 | 1,601,750 | ||||
SBA Communications Corp. REIT | 18,700 | 5,959,690 | ||||
Simon Property Group, Inc. REIT | 55,480 | 7,239,030 | ||||
UDR, Inc. REIT | 46,700 | 2,287,366 | ||||
Ventas, Inc. REIT | 59,997 | 3,425,829 | ||||
Vornado Realty Trust REIT | 23,168 | 1,081,251 | ||||
Welltower, Inc. REIT | 68,919 | 5,727,169 | ||||
Weyerhaeuser Co. REIT | 123,787 | 4,260,748 | ||||
155,737,039 | ||||||
UTILITIES — 2.4% | ||||||
AES Corp. | 117,736 | 3,069,377 | ||||
Alliant Energy Corp. | 40,800 | 2,275,008 | ||||
Ameren Corp. | 41,404 | 3,313,976 | ||||
American Electric Power Co., Inc. | 86,809 | 7,343,173 | ||||
American Water Works Co., Inc. | 29,100 | 4,485,183 | ||||
Atmos Energy Corp. | 23,300 | 2,239,363 | ||||
CenterPoint Energy, Inc. | 96,476 | 2,365,592 | ||||
CMS Energy Corp. | 47,155 | 2,785,917 | ||||
Consolidated Edison, Inc. | 59,152 | 4,242,381 | ||||
Dominion Energy, Inc. | 135,066 | 9,936,806 | ||||
DTE Energy Co. | 31,245 | 4,049,352 | ||||
Duke Energy Corp. | 126,992 | 12,536,650 | ||||
Edison International | 63,114 | 3,649,251 | ||||
Entergy Corp. | 31,998 | 3,190,201 | ||||
Evergy, Inc. | 36,899 | 2,229,807 | ||||
Eversource Energy | 59,117 | 4,743,548 | ||||
Exelon Corp. | 159,084 | 7,049,012 | ||||
FirstEnergy Corp. | 89,093 | 3,315,151 | ||||
NextEra Energy, Inc. | 326,056 | 23,893,384 | ||||
NiSource, Inc. | 59,604 | 1,460,298 |
Security Description | Shares | Value | |||
NRG Energy, Inc. | 40,702 | $ 1,640,291 | |||
Pinnacle West Capital Corp. | 17,504 | 1,434,803 | |||
PPL Corp. | 122,419 | 3,424,059 | |||
Public Service Enterprise Group, Inc. | 81,188 | 4,850,171 | |||
Sempra Energy | 53,162 | 7,042,902 | |||
Southern Co. | 175,959 | 10,647,279 | |||
WEC Energy Group, Inc. | 54,282 | 4,828,384 | |||
Xcel Energy, Inc. | 90,051 | 5,932,560 | |||
147,973,879 | |||||
TOTAL COMMON STOCKS (Cost $3,709,129,464) | 6,053,931,179 |
SHORT-TERM INVESTMENT — 3.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) (Cost $230,079,642) | 230,079,642 | 230,079,642 | |
TOTAL SHORT-TERM INVESTMENT (Cost $230,079,642) | 230,079,642 | ||
TOTAL INVESTMENTS — 101.0% (Cost $3,939,209,106) | 6,284,010,821 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)% | (64,805,793) | ||
NET ASSETS — 100.0% | $ 6,219,205,028 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2021. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 783 | 09/17/2021 | $165,892,663 | $167,898,690 | $2,006,027 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $6,053,931,179 | $— | $— | $6,053,931,179 | ||||
Short-Term Investment | 230,079,642 | — | — | 230,079,642 | ||||
TOTAL INVESTMENTS | $6,284,010,821 | $— | $— | $6,284,010,821 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 2,006,027 | — | — | 2,006,027 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 2,006,027 | $— | $— | $ 2,006,027 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $6,286,016,848 | $— | $— | $6,286,016,848 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Corp. | 49,678 | $ 3,615,565 | $ 865,514 | $ — | $— | $495,051 | 60,478 | $ 4,976,130 | $ 60,505 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 132,932,599 | 132,932,599 | 1,024,677,108 | 927,530,065 | — | — | 230,079,642 | 230,079,642 | 32,046 | ||||||||
State Street Navigator Securities Lending Portfolio II | 3,755,880 | 3,755,880 | 18,467,447 | 22,223,327 | — | — | — | — | 48,126 | ||||||||
Total | $140,304,044 | $1,044,010,069 | $949,753,392 | $— | $495,051 | $235,055,772 | $140,677 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $6,048,955,049 |
Investments in affiliated issuers, at value | 235,055,772 |
Total Investments | 6,284,010,821 |
Net cash at broker | 10,754,263 |
Receivable from broker — accumulated variation margin on futures contracts | 2,007,852 |
Receivable for fund shares sold | 860,000 |
Dividends receivable — unaffiliated issuers | 3,452,180 |
Dividends receivable — affiliated issuers | 36,790 |
Securities lending income receivable — unaffiliated issuers | 1,214 |
Securities lending income receivable — affiliated issuers | 11 |
TOTAL ASSETS | 6,301,123,131 |
LIABILITIES | |
Payable for fund shares repurchased | 81,604,497 |
Administration, custody, and transfer agent fees payable | 188,168 |
Registration and filing fees payable | 8 |
Professional fees payable | 27,149 |
Printing and postage fees payable | 9,118 |
Accrued expenses and other liabilities | 89,163 |
TOTAL LIABILITIES | 81,918,103 |
NET ASSETS | $6,219,205,028 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,832,867,989 |
Total distributable earnings (loss) | 2,386,337,039 |
NET ASSETS | $6,219,205,028 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 397.03 |
Shares outstanding (unlimited amount authorized, no par value) | 15,664,393 |
Net Assets | $6,219,205,028 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,704,915,529 |
Investments in affiliated issuers | 234,293,577 |
Total cost of investments | $3,939,209,106 |
* Includes investments in securities on loan, at value | $ 2,472,061 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 39,207,138 |
Dividend income — affiliated issuers | 92,551 |
Unaffiliated securities lending income | 2,214 |
Affiliated securities lending income | 48,126 |
Foreign taxes withheld | (3,924) |
TOTAL INVESTMENT INCOME (LOSS) | 39,346,105 |
EXPENSES | |
Administration, custody, and transfer agent fees | 360,943 |
Trustees’ fees and expenses | 40,032 |
Licensing and Registration Fees | 49,630 |
Professional fees | 39,440 |
Printing and postage fees | 6,281 |
Insurance expense | 6,192 |
Miscellaneous expenses | 28,709 |
TOTAL EXPENSES | 531,227 |
NET INVESTMENT INCOME (LOSS) | $ 38,814,878 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,686,849 |
Futures contracts | 21,481,800 |
Net realized gain (loss) | 29,168,649 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 719,267,448 |
Investments — affiliated issuers | 495,051 |
Futures contracts | (1,143,797) |
Net change in unrealized appreciation/depreciation | 718,618,702 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 747,787,351 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $786,602,229 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 38,814,878 | $ 62,744,062 | |
Net realized gain (loss) | 29,168,649 | 14,768,301 | |
Net change in unrealized appreciation/depreciation | 718,618,702 | 599,025,715 | |
Net increase (decrease) in net assets resulting from operations | 786,602,229 | 676,538,078 | |
Distributions to shareholders | — | (165,181,932) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 1,179,090,792 | 1,401,873,496 | |
Reinvestment of distributions | — | 165,181,932 | |
Cost of shares redeemed | (478,735,431) | (570,161,285) | |
Net increase (decrease) in net assets from beneficial interest transactions | 700,355,361 | 996,894,143 | |
Net increase (decrease) in net assets during the period | 1,486,957,590 | 1,508,250,289 | |
Net assets at beginning of period | 4,732,247,438 | 3,223,997,149 | |
NET ASSETS AT END OF PERIOD | $6,219,205,028 | $4,732,247,438 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 3,233,631 | 4,588,233 | |
Reinvestment of distributions | — | 487,190 | |
Shares redeemed | (1,295,143) | (2,014,344) | |
Net increase (decrease) from share transactions | 1,938,488 | 3,061,079 |
(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. |
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | $ 206.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 2.59 | 5.44 | 5.60 | 5.20 | 5.00 | 4.60 | |||||
Net realized and unrealized gain (loss) | 49.67 | 49.45 | 68.40 | (17.20) | 44.20 | 20.40 | |||||
Total from investment operations | 52.26 | 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 | $ 397.03 | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | |||||
Total return (c) | 15.16% | 18.30% | 31.41% | (4.42)% | 21.66% | 12.18% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $6,219,205 | $4,732,247 | $3,223,997 | $2,634,533 | $2,199,181 | $1,227,444 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(d) | 0.02% | 0.03% | 0.03% | 0.03% | 0.04% | |||||
Net expenses | 0.02%(d) | 0.02% | 0.02% | 0.02% | 0.03% | 0.03% | |||||
Net investment income (loss) | 1.41%(d) | 1.79% | 2.01% | 1.93% | 1.98% | 2.15% | |||||
Portfolio turnover rate | 1%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2021 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 46.44% |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $2,007,852 | $— | $2,007,852 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $21,481,800 | $— | $21,481,800 |
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 | $— | $— | $— | $(1,143,797) | $— | $(1,143,797) |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $794,944,532 | $51,080,891 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $1,977,040,248 | $ 911,209,057 | $ — | $ 911,209,057 | |||
State Street Equity 500 Index II Portfolio | 3,995,333,721 | 2,310,836,109 | 20,152,982 | 2,290,683,127 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 2,472,061 | $ — | $ 2,517,891 | $ 2,517,891 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
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% | $1,150.40 | $0.91 | $1,024.00 | $0.85 | ||||
Service Shares | 0.27 | 1,149.90 | 1.44 | 1,023.50 | 1.35 | ||||
Class R Shares | 0.62 | 1,147.80 | 3.30 | 1,021.70 | 3.11 | ||||
Class A Shares | 0.47 | 1,148.70 | 2.50 | 1,022.50 | 2.36 | ||||
Class I Shares | 0.22 | 1,150.10 | 1.17 | 1,023.70 | 1.10 | ||||
Class K Shares | 0.02 | 1,151.30 | 0.11 | 1,024.70 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 1,151.60 | 0.11 | 1,024.70 | 0.10 |
(a) | Expenses are equal to the Fund’s/Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund, which is a feeder fund for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund and Portfolio; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Fund and Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund and Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and Portfolio and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and Portfolio and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund and Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund and Portfolio by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund and Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund and Portfolio, and transfer agent of the Portfolio, and the role of the Adviser in managing the Fund’s and Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund and Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the
Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
17 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $15,774,324,202 |
Receivable from Adviser | 158,833 |
TOTAL ASSETS | 15,774,483,035 |
LIABILITIES | |
Administration fees payable | 652,652 |
Shareholder servicing fee payable | 179,844 |
Distribution fees payable | 35,173 |
Transfer agent fees payable | 54,627 |
Registration and filing fees payable | 82,226 |
Professional fees payable | 26,620 |
Printing fees payable | 16,385 |
Distribution payable | 52,027 |
Accrued expenses and other liabilities | 210,467 |
TOTAL LIABILITIES | 1,310,021 |
NET ASSETS | $15,773,173,014 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $15,773,387,338 |
Total distributable earnings (loss) | (214,324) |
NET ASSETS | $15,773,173,014 |
Administration Class | |
Net Assets | $ 871,048,796 |
Shares Outstanding | 870,916,550 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Institutional Class | |
Net Assets | $ 109,686,436 |
Shares Outstanding | 109,642,558 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Investment Class | |
Net Assets | $ 6,201 |
Shares Outstanding | 6,199 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Investor Class | |
Net Assets | $ 116,483,860 |
Shares Outstanding | 116,454,074 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Premier Class | |
Net Assets | $14,186,978,932 |
Shares Outstanding | 14,183,324,921 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Trust Class | |
Net Assets | $ 488,968,789 |
Shares Outstanding | 488,854,066 |
Net asset value, offering and redemption price per share | $ 1.0002 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $15,773,238,944 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $14,917,796 |
Expenses allocated from affiliated Portfolio | (5,227,086) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 9,690,710 |
EXPENSES | |
Administration fees | |
Administration Class | 163,439 |
Institutional Class | 29,631 |
Investment Class | 2 |
Investor Class | 28,449 |
Premier Class | 3,632,427 |
Trust Class | 142,243 |
Shareholder servicing fees | |
Administration Class | 653,757 |
Institutional Class | 17,779 |
Investment Class | 7 |
Investor Class | 45,518 |
Trust Class | 165,001 |
Distribution fees | |
Administration Class | 163,439 |
Investment Class | 3 |
Custodian fees | 34,306 |
Trustees’ fees and expenses | 10,535 |
Transfer agent fees | 149,099 |
Registration and filing fees | 55,096 |
Professional fees and expenses | 37,594 |
Printing and postage fees | 15,590 |
Insurance expense | 28,402 |
Miscellaneous expenses | 36,804 |
TOTAL EXPENSES | 5,409,121 |
Expenses waived/reimbursed by the Adviser | (637,057) |
NET EXPENSES | 4,772,064 |
NET INVESTMENT INCOME (LOSS) | $ 4,918,646 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 216,922 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 609,585 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 826,507 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 5,745,153 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 4,918,646 | $ 113,163,375 | |
Net realized gain (loss) | 216,922 | (1,520,746) | |
Net change in unrealized appreciation/depreciation | 609,585 | (956,676) | |
Net increase (decrease) in net assets resulting from operations | 5,745,153 | 110,685,953 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | — | (2,508,291) | |
Institutional Class | (22,509) | (1,795,112) | |
Investment Class | — | (44) | |
Investor Class | (790) | (853,404) | |
Premier Class | (4,862,719) | (105,085,131) | |
Trust Class | (32,656) | (3,240,782) | |
Total distributions to shareholders | (4,918,674) | (113,482,764) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 2,936,781,685 | 5,350,163,645 | |
Reinvestment of distributions | — | 967,450 | |
Shares redeemed | (2,633,306,357) | (5,396,599,634) | |
Net increase (decrease) from capital share transactions | 303,475,328 | (45,468,539) | |
Institutional Class | |||
Shares sold | 25,705,946 | 1,039,255,767 | |
Reinvestment of distributions | 4,613 | 482,800 | |
Shares redeemed | (69,789,929) | (1,069,133,111) | |
Net increase (decrease) from capital share transactions | (44,079,370) | (29,394,544) | |
Investment Class | |||
Reinvestment of distributions | — | 22 | |
Shares redeemed | — | (6,007) | |
Net increase (decrease) from capital share transactions | — | (5,985) | |
Investor Class | |||
Shares sold | 210,053,220 | 838,381,570 | |
Reinvestment of distributions | 381 | 818,527 | |
Shares redeemed | (191,471,783) | (777,477,302) | |
Net increase (decrease) from capital share transactions | 18,581,818 | 61,722,795 | |
Premier Class | |||
Shares sold | 57,973,004,923 | 163,555,047,610 | |
Reinvestment of distributions | 4,178,197 | 88,956,761 | |
Shares redeemed | (58,645,567,260) | (168,975,379,628) | |
Net increase (decrease) from capital share transactions | (668,384,140) | (5,331,375,257) | |
Trust Class | |||
Shares sold | 3,646,319,252 | 5,768,057,656 | |
Reinvestment of distributions | 21,832 | 2,294,758 | |
Shares redeemed | (3,609,817,756) | (5,915,232,791) | |
Net increase (decrease) from capital share transactions | 36,523,328 | (144,880,377) | |
Net increase (decrease) in net assets from beneficial interest transactions | (353,883,036) | (5,489,401,907) | |
Net increase (decrease) in net assets during the period | (353,056,557) | (5,492,198,718) | |
Net assets at beginning of period | 16,126,229,571 | 21,618,428,289 | |
NET ASSETS AT END OF PERIOD | $ 15,773,173,014 | $ 16,126,229,571 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 2,936,316,168 | 5,349,685,085 | |
Reinvestment of distributions | — | 967,416 | |
Shares redeemed | (2,632,890,662) | (5,396,179,614) | |
Net increase (decrease) from share transactions | 303,425,506 | (45,527,113) | |
Institutional Class | |||
Shares sold | 25,695,666 | 1,038,965,842 | |
Reinvestment of distributions | 4,611 | 482,584 | |
Shares redeemed | (69,762,024) | (1,069,005,350) | |
Net increase (decrease) from share transactions | (44,061,747) | (29,556,924) |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
Investment Class | |||
Reinvestment of distributions | — | 22 | |
Shares redeemed | — | (6,005) | |
Net increase (decrease) from share transactions | 0 | (5,983) | |
Investor Class | |||
Shares sold | 209,990,889 | 838,222,166 | |
Reinvestment of distributions | 381 | 818,601 | |
Shares redeemed | (191,415,289) | (777,583,480) | |
Net increase (decrease) from share transactions | 18,575,981 | 61,457,287 | |
Premier Class | |||
Shares sold | 57,956,516,948 | 163,528,835,580 | |
Reinvestment of distributions | 4,177,011 | 88,949,273 | |
Shares redeemed | (58,628,976,067) | (168,952,575,641) | |
Net increase (decrease) from share transactions | (668,282,108) | (5,334,790,788) | |
Trust Class | |||
Shares sold | 3,645,461,622 | 5,766,928,033 | |
Reinvestment of distributions | 21,826 | 2,294,565 | |
Shares redeemed | (3,608,960,472) | (5,914,161,983) | |
Net increase (decrease) from share transactions | 36,522,976 | (144,939,385) |
Administration Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0039 | 0.0206 | 0.0174 | 0.0080 | 0.0008 | |||||
Net realized and unrealized gain (loss) | 0.0001 | — | (0.0001) | (0.0001) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0001 | 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 | $ 1.0002 | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | |||||
Total return (c) | 0.01% | 0.39% | 2.07% | 1.75% | 0.80% | 0.08% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $871,049 | $567,550 | $613,074 | $956,750 | $831,606 | $798,447 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.37%(d) | 0.37% | 0.38% | 0.37% | 0.37% | 0.38%(d) | |||||
Net expenses | 0.18%(d) | 0.32% | 0.37% | 0.37% | 0.37% | 0.38%(d) | |||||
Net investment income (loss) | 0.00%(d)(e) | 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. |
(e) | Amount is less than 0.005%. |
Institutional Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0003 | $ 1.0002 | $ 1.0001 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0001 | 0.0054 | 0.0217 | 0.0108 | |||
Net realized and unrealized gain (loss) | 0.0002 | 0.0002 | 0.0009 | 0.0001 | |||
Total from investment operations | 0.0003 | 0.0056 | 0.0226 | 0.0109 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0002) | (0.0055) | (0.0225) | (0.0108) | |||
Net asset value, end of period | $ 1.0004 | $ 1.0003 | $ 1.0002 | $ 1.0001 | |||
Total return (b) | 0.03% | 0.56% | 2.28% | 1.08% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $109,686 | $153,757 | $183,304 | $ 55 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15%(c) | 0.15% | 0.16% | 0.15%(c) | |||
Net expenses | 0.15%(c) | 0.15% | 0.15% | 0.15%(c) | |||
Net investment income (loss) | 0.04%(c) | 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) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0036 | 0.0201 | 0.0164 | 0.0070 | 0.0010 | |||||
Net realized and unrealized gain (loss) | 0.0001 | — | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | |||||
Total from investment operations | 0.0001 | 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 | $1.0003 | $ 1.0002 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | |||||
Total return (c) | 0.01% | 0.37% | 1.99% | 1.67% | 0.69% | 0.10% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 6 | $ 6 | $ 12 | $ 23 | $ 5,547 | $ 5,582 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.46%(d) | 0.45% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.16%(d) | 0.35% | 0.45% | 0.47% | 0.47% | 0.46% | |||||
Net investment income (loss) | 0.03%(d) | 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. |
(d) | Annualized. |
Investor Class(a) | |||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0000(b) | 0.0049 | 0.0219 | 0.0191 | 0.0055 | ||||
Net realized and unrealized gain (loss) | 0.0001 | 0.0002 | 0.0003 | — | (0.0001) | ||||
Total from investment operations | 0.0001 | 0.0051 | 0.0222 | 0.0191 | 0.0054 | ||||
Voluntary expense reimbursement from Affiliate | — | — | — | — | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | 0.0000(b) | (0.0050) | (0.0220) | (0.0191) | (0.0055) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | 0.0000(b) | (0.0050) | (0.0220) | (0.0191) | (0.0055) | ||||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | ||||
Total return (c) | 0.01% | 0.51% | 2.24% | 1.92% | 0.54% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $116,484 | $ 97,898 | $ 36,424 | $ 40,881 | $ 34,361 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20%(d) | 0.20% | 0.21% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.18%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.00%(d)(e) | 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. |
(e) | Amount is less than 0.005%. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0003 | 0.0058 | 0.0223 | 0.0199 | 0.0105 | 0.0045 | |||||
Net realized and unrealized gain (loss) | 0.0001 | 0.0001 | 0.0007 | — | (0.0002) | 0.0001 | |||||
Total from investment operations | 0.0004 | 0.0059 | 0.0230 | 0.0199 | 0.0103 | 0.0046 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0003) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0003) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | |||||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | |||||
Total return (c) | 0.04% | 0.59% | 2.32% | 2.00% | 1.05% | 0.45% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $14,186,979 | $14,854,601 | $20,188,261 | $9,489,591 | $8,303,222 | $6,255,384 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.13% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.07%(d) | 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. |
(d) | Annualized. |
Trust Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0001 | 0.0052 | 0.0226 | 0.0193 | 0.0099 | 0.0015 | |||||
Net realized and unrealized gain (loss) | 0.0000(b) | 0.0001 | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | |||||
Total from investment operations | 0.0001 | 0.0053 | 0.0223 | 0.0194 | 0.0098 | 0.0015 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | |||||
Net asset value, end of period | $ 1.0002 | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | |||||
Total return (c) | 0.01% | 0.53% | 2.26% | 1.96% | 0.99% | 0.15% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $488,969 | $452,418 | $597,353 | $704,123 | $764,391 | $1,211,202 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.18%(d) | 0.18% | 0.18% | 0.18% | 0.18% | 0.19%(d) | |||||
Net expenses | 0.17%(d) | 0.18% | 0.18% | 0.18% | 0.18% | 0.19%(d) | |||||
Net investment income (loss) | 0.01%(d) | 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 |
Expiration Date | Amount | |
12/31/2024 | $627,747 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $15,773,238,944 | $1,085,258 | $— | $1,085,258 |
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 | 0.18% | $1,000.10 | $0.89 | $1,023.90 | $0.90 | ||||
Institutional Class | 0.15 | 1,000.30 | 0.74 | 1,024.10 | 0.75 | ||||
Investment Class | 0.16 | 1,000.10 | 0.79 | 1,024.00 | 0.80 | ||||
Investor Class | 0.18 | 1,000.10 | 0.89 | 1,023.90 | 0.90 | ||||
Premier Class | 0.12 | 1,000.40 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.17 | 1,000.10 | 0.84 | 1,024.00 | 0.85 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 |
% of Net Assets | |||
Financial Company Commercial Paper | 24.5% | ||
Other Notes | 24.5 | ||
Certificates of Deposit | 20.5 | ||
Asset Backed Commercial Paper | 12.0 | ||
Other Repurchase Agreements | 11.8 | ||
Treasury Debt | 5.4 | ||
Treasury Repurchase Agreements | 1.3 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Overnight (1 Day) | 29.9% | ||
2 to 30 Days | 19.1 | ||
31 to 60 Days | 8.5 | ||
61 to 90 Days | 4.9 | ||
Over 90 Days | 37.6 | ||
Total | 100.0% | ||
Average days to maturity | 45 | ||
Weighted average life | 66 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—12.0% | ||||||||||
Alinghi Funding Co. LLC(a) | 0.160% | 01/11/2022 | 01/11/2022 | $ 67,000,000 | $ 66,940,844 | |||||
Alinghi Funding Co. LLC(a) | 0.220% | 08/12/2021 | 08/12/2021 | 38,000,000 | 37,995,461 | |||||
Alinghi Funding Co. LLC(a) | 0.250% | 11/16/2021 | 11/16/2021 | 133,000,000 | 132,930,160 | |||||
Alinghi Funding Co. LLC(a) | 0.260% | 07/23/2021 | 07/23/2021 | 101,000,000 | 100,994,063 | |||||
Alinghi Funding Co. LLC(a) | 0.280% | 07/13/2021 | 07/13/2021 | 97,000,000 | 96,997,198 | |||||
Barclays Bank PLC(a) | 0.160% | 12/09/2021 | 12/09/2021 | 50,000,000 | 49,963,100 | |||||
Barton Capital SA(a) | 0.070% | 07/01/2021 | 07/01/2021 | 120,000,000 | 119,999,734 | |||||
Britannia Funding Co. LLC(a) | 0.210% | 08/10/2021 | 08/10/2021 | 55,000,000 | 54,991,857 | |||||
Britannia Funding Co. LLC(a) | 0.210% | 08/20/2021 | 08/20/2021 | 95,300,000 | 95,281,909 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.180% | 03/01/2022 | 03/01/2022 | 70,000,000 | 69,912,702 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.220% | 10/29/2021 | 10/29/2021 | 75,000,000 | 74,969,498 | |||||
Columbia Funding Co. LLC(a) | 0.200% | 10/07/2021 | 10/07/2021 | 90,000,000 | 89,957,183 | |||||
Columbia Funding Co. LLC(a) | 0.240% | 07/08/2021 | 07/08/2021 | 31,000,000 | 30,999,449 | |||||
Ionic Capital II Trust(a) | 0.100% | 07/09/2021 | 07/09/2021 | 70,000,000 | 69,998,600 | |||||
Ionic Capital II Trust(a) | 0.180% | 07/01/2021 | 07/01/2021 | 65,000,000 | 64,999,856 | |||||
Ionic Capital II Trust(a) | 0.190% | 08/06/2021 | 08/06/2021 | 101,000,000 | 100,989,619 | |||||
Lexington Parker Capital Co. LLC(a) | 0.150% | 08/18/2021 | 08/18/2021 | 99,051,000 | 99,037,114 | |||||
LMA Americas LLC(a) | 0.080% | 07/01/2021 | 07/01/2021 | 100,000,000 | 99,999,778 | |||||
LMA Americas LLC(a) | 0.080% | 07/07/2021 | 07/07/2021 | 55,000,000 | 54,999,144 | |||||
LMA Americas LLC(a) | 0.080% | 07/16/2021 | 07/16/2021 | 50,000,000 | 49,998,178 | |||||
Manhattan Asset Funding Co. LLC(a) | 0.220% | 01/26/2022 | 01/26/2022 | 67,000,000 | 66,935,122 | |||||
Mountcliff Funding LLC(a) | 0.110% | 07/01/2021 | 07/01/2021 | 110,000,000 | 109,999,756 | |||||
Ridgefield Funding Co. LLC(a) | 0.230% | 12/02/2021 | 12/02/2021 | 83,000,000 | 82,941,035 | |||||
Victory Receivables Corp.(a) | 0.150% | 09/01/2021 | 09/01/2021 | 75,000,000 | 74,985,431 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 1,896,816,791 | |||||||||
CERTIFICATES OF DEPOSIT—20.5% | ||||||||||
Bank of Montreal, 3 Month USD LIBOR + 0.02%(b) | 0.180% | 08/11/2021 | 02/11/2022 | 150,000,000 | 149,999,997 | |||||
Bank of Montreal, Bloomberg Short-Term Bank Yield Index + 0.12%(b) | 0.181% | 07/01/2021 | 12/01/2021 | 42,000,000 | 41,991,600 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.09%(b) | 0.265% | 07/16/2021 | 07/16/2021 | 50,000,000 | 50,002,877 | |||||
Canadian Imperial Bank of Commerce(a) | 0.270% | 01/04/2022 | 01/04/2022 | 150,000,000 | 150,107,104 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.04%(b) | 0.215% | 07/01/2021 | 10/01/2021 | 165,000,000 | 165,025,017 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.09%(b) | 0.208% | 09/16/2021 | 12/16/2021 | 200,000,000 | 200,082,954 | |||||
Credit Agricole Corporate & Investment Bank(a) | 0.150% | 08/03/2021 | 08/03/2021 | 58,500,000 | 58,503,590 | |||||
Credit Industriel et Commercial(a) | 0.200% | 01/14/2022 | 01/14/2022 | 125,000,000 | 125,042,551 | |||||
Credit Suisse(a) | 0.270% | 10/08/2021 | 10/08/2021 | 100,000,000 | 100,032,459 | |||||
ING Bank NV(a) | 0.260% | 10/08/2021 | 10/08/2021 | 150,000,000 | 150,000,000 | |||||
KBC Bank NV(a) | 0.070% | 07/06/2021 | 07/06/2021 | 55,000,000 | 54,999,908 | |||||
KBC Bank NV(a) | 0.080% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.160% | 07/20/2021 | 07/20/2021 | 130,000,000 | 130,004,330 | |||||
MUFG Bank Ltd.(a) | 0.200% | 07/23/2021 | 07/23/2021 | 150,000,000 | 150,013,124 | |||||
MUFG Bank Ltd.(a) | 0.230% | 01/27/2022 | 01/27/2022 | 125,000,000 | 125,045,329 | |||||
MUFG Bank Ltd.(a) | 0.240% | 10/26/2021 | 10/26/2021 | 100,000,000 | 100,046,168 | |||||
MUFG Bank Ltd.(a) | 0.240% | 01/24/2022 | 01/24/2022 | 100,000,000 | 100,042,660 | |||||
Natixis(a) | 0.200% | 10/20/2021 | 10/20/2021 | 80,000,000 | 80,023,626 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.03%(b) | 0.192% | 08/10/2021 | 08/10/2021 | 63,000,000 | 63,003,052 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.05%(b) | 0.225% | 07/08/2021 | 10/08/2021 | 150,500,000 | 150,520,059 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.09%(b) | 0.221% | 09/07/2021 | 12/07/2021 | 150,000,000 | 150,052,635 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.200% | 08/20/2021 | 08/20/2021 | 100,000,000 | 100,016,988 | |||||
Sumitomo Mitsui Banking Corp., 3 Month USD LIBOR + 0.04%(b) | 0.215% | 07/06/2021 | 01/04/2022 | 47,000,000 | 47,004,802 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.14%(b) | 0.190% | 07/01/2021 | 07/22/2021 | 100,000,000 | 100,006,720 |
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 + 0.06%(b) | 0.236% | 08/05/2021 | 11/05/2021 | $ 150,000,000 | $ 150,020,652 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.08%(b) | 0.226% | 09/29/2021 | 12/29/2021 | 175,000,000 | 175,060,874 | |||||
Swedbank AB(a) | 0.060% | 07/07/2021 | 07/07/2021 | 100,000,000 | 100,000,000 | |||||
Toronto Dominion Bank, 3 Month USD LIBOR + 0.04%(b) | 0.215% | 07/06/2021 | 10/05/2021 | 175,000,000 | 175,018,464 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 3,241,667,540 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—24.5% | ||||||||||
Caisse D'Amortissement de la Dette Sociale(a) | 0.090% | 10/12/2021 | 10/12/2021 | 100,000,000 | 99,968,511 | |||||
Canadian Imperial Bank of Commerce(a) | 0.050% | 07/02/2021 | 07/02/2021 | 100,000,000 | 99,999,556 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.10%(b) | 0.186% | 08/03/2021 | 02/03/2022 | 182,000,000 | 182,000,000 | |||||
Credit Industriel et Commercial(a) | 0.160% | 03/07/2022 | 03/07/2022 | 120,000,000 | 119,874,167 | |||||
DBS Bank Ltd.(a) | 0.130% | 09/20/2021 | 09/20/2021 | 48,000,000 | 47,986,333 | |||||
DBS Bank Ltd.(a) | 0.140% | 07/21/2021 | 07/21/2021 | 100,000,000 | 99,993,933 | |||||
DBS Bank Ltd.(a) | 0.150% | 09/03/2021 | 09/03/2021 | 50,000,000 | 49,989,799 | |||||
DBS Bank Ltd.(a) | 0.175% | 11/03/2021 | 11/03/2021 | 50,000,000 | 49,973,750 | |||||
HSBC Bank PLC(a) | 0.230% | 10/26/2021 | 10/26/2021 | 75,000,000 | 74,948,867 | |||||
HSBC Bank PLC(a) | 0.280% | 11/17/2021 | 11/17/2021 | 49,500,000 | 49,459,575 | |||||
HSBC Bank PLC(a) | 0.290% | 12/01/2021 | 12/01/2021 | 150,000,000 | 149,868,459 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.14%(b) | 0.315% | 07/06/2021 | 10/06/2021 | 150,000,000 | 150,000,000 | |||||
Lloyds Bank PLC(a) | 0.150% | 07/02/2021 | 07/02/2021 | 83,500,000 | 83,499,675 | |||||
Lloyds Bank PLC(a) | 0.155% | 08/02/2021 | 08/02/2021 | 80,000,000 | 79,993,400 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR(b) | 0.176% | 08/03/2021 | 11/03/2021 | 150,000,000 | 149,999,997 | |||||
Natixis(a) | 0.205% | 10/20/2021 | 10/20/2021 | 55,000,000 | 54,983,744 | |||||
Nederlandse Waterschapsbank NV(a) | 0.205% | 07/06/2021 | 07/06/2021 | 150,000,000 | 149,998,000 | |||||
Oversea-Chinese Banking Corp. Ltd., 3 Month USD LIBOR + 0.05%(b) | 0.218% | 08/12/2021 | 08/12/2021 | 120,000,000 | 120,000,000 | |||||
Oversea-Chinese Banking Corp. Ltd., 3 Month USD LIBOR(b) | 0.176% | 08/03/2021 | 11/03/2021 | 99,000,000 | 99,000,000 | |||||
Royal Bank of Canada(a) | 0.240% | 04/14/2022 | 04/14/2022 | 140,000,000 | 139,770,400 | |||||
Societe Generale(a) | 0.125% | 12/13/2021 | 12/13/2021 | 100,000,000 | 99,934,983 | |||||
Societe Generale(a) | 0.155% | 08/05/2021 | 08/05/2021 | 87,000,000 | 86,994,432 | |||||
Societe Generale(a) | 0.195% | 11/01/2021 | 11/01/2021 | 191,000,000 | 190,926,975 | |||||
Societe Generale(a) | 0.240% | 07/06/2021 | 07/06/2021 | 74,000,000 | 73,999,136 | |||||
Societe Generale, 3 Month USD LIBOR + 0.10%(b) | 0.186% | 08/02/2021 | 08/02/2021 | 100,000,000 | 100,000,000 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR(b) | 0.176% | 07/26/2021 | 10/25/2021 | 94,000,000 | 93,996,997 | |||||
Swedbank AB(a) | 0.060% | 07/01/2021 | 07/01/2021 | 165,000,000 | 164,999,634 | |||||
Swedbank AB(a) | 0.060% | 07/06/2021 | 07/06/2021 | 100,000,000 | 99,998,667 | |||||
Swedbank AB(a) | 0.170% | 09/03/2021 | 09/03/2021 | 185,000,000 | 184,972,609 | |||||
Toronto Dominion Bank(a) | 0.080% | 07/01/2021 | 07/01/2021 | 155,000,000 | 154,999,656 | |||||
Toyota Motor Finance, 3 Month USD LIBOR + 0.07%(b) | 0.245% | 07/12/2021 | 07/12/2021 | 130,000,000 | 130,000,000 | |||||
UBS AG, 3 Month USD LIBOR + 0.07%(b) | 0.245% | 07/05/2021 | 10/04/2021 | 150,000,000 | 150,003,502 | |||||
United Overseas Bank Ltd.(a) | 0.150% | 03/16/2022 | 03/16/2022 | 100,000,000 | 99,887,767 | |||||
United Overseas Bank Ltd.(a) | 0.180% | 02/23/2022 | 02/23/2022 | 100,000,000 | 99,900,172 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.10%(b) | 0.180% | 08/09/2021 | 02/07/2022 | 75,000,000 | 74,995,460 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 3,856,918,156 | |||||||||
OTHER NOTES—24.5% | ||||||||||
ABN Amro Bank NV(a) | 0.080% | 07/01/2021 | 07/01/2021 | 125,000,000 | 125,000,000 | |||||
ABN Amro Bank NV(a) | 0.090% | 07/02/2021 | 07/02/2021 | 300,000,000 | 300,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.080% | 07/01/2021 | 07/01/2021 | 435,000,000 | 435,000,000 | |||||
Bank of America NA, Bloomberg Short-Term Bank Yield Index + 0.18%(b) | 0.222% | 07/20/2021 | 10/20/2021 | 78,400,000 | 78,384,320 | |||||
Bank of Montreal(a) | 0.080% | 07/02/2021 | 07/02/2021 | 200,000,000 | 200,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Bank of Nova Scotia(a) | 0.090% | 07/06/2021 | 07/06/2021 | $ 150,000,000 | $ 150,000,000 | |||||
Canadian Imperial Bank of Commerce(a) | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Citibank NA(a) | 0.140% | 07/01/2021 | 07/01/2021 | 250,000,000 | 250,000,000 | |||||
Credit Agricole Corporate & Investment Bank(a) | 0.060% | 07/01/2021 | 07/01/2021 | 105,000,000 | 105,000,000 | |||||
ING Bank NV(a) | 0.100% | 07/07/2021 | 07/07/2021 | 200,000,000 | 200,000,000 | |||||
KBC Bank NV(a) | 0.090% | 07/01/2021 | 07/01/2021 | 350,000,000 | 350,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.080% | 07/01/2021 | 07/01/2021 | 350,000,000 | 350,000,000 | |||||
National Bank of Canada(a) | 0.060% | 07/06/2021 | 07/06/2021 | 100,000,000 | 100,000,000 | |||||
NRW.BANK(a) | 0.060% | 07/06/2021 | 07/06/2021 | 150,000,000 | 150,000,000 | |||||
Royal Bank of Canada(a) | 0.050% | 07/01/2021 | 07/01/2021 | 175,000,000 | 175,000,000 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.040% | 07/01/2021 | 07/01/2021 | 535,000,000 | 535,000,000 | |||||
Svenska Handelsbanken AB(a) | 0.030% | 07/01/2021 | 07/01/2021 | 138,332,000 | 138,332,000 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.06%(b) | 0.235% | 07/01/2021 | 10/01/2021 | 125,000,000 | 125,024,197 | |||||
TOTAL OTHER NOTES | 3,866,740,517 | |||||||||
TREASURY DEBT—5.4% | ||||||||||
U.S. Treasury Bill(a) | 0.005% | 07/13/2021 | 07/13/2021 | 100,000,000 | 99,998,542 | |||||
U.S. Treasury Bill(a) | 0.025% | 09/09/2021 | 09/09/2021 | 150,000,000 | 149,986,437 | |||||
U.S. Treasury Bill(a) | 0.030% | 10/12/2021 | 10/12/2021 | 125,000,000 | 124,983,906 | |||||
U.S. Treasury Bill(a) | 0.038% | 12/09/2021 | 12/09/2021 | 149,960,000 | 149,924,791 | |||||
U.S. Treasury Bill(a) | 0.058% | 08/19/2021 | 08/19/2021 | 125,000,000 | 124,992,302 | |||||
U.S. Treasury Bill(a) | 0.061% | 09/02/2021 | 09/02/2021 | 100,000,000 | 99,991,425 | |||||
U.S. Treasury Bill(a) | 0.085% | 07/29/2021 | 07/29/2021 | 100,300,000 | 100,296,372 | |||||
TOTAL TREASURY DEBT | 850,173,775 | |||||||||
TREASURY REPURCHASE AGREEMENTS—1.3% | ||||||||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 1.250% due 06/30/2028, valued at $204,000,063); expected proceeds $200,000,278 | 0.050% | 07/01/2021 | 07/01/2021 | 200,000,000 | 200,000,000 | |||||
OTHER REPURCHASE AGREEMENTS—11.8% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal National Mortgage Associations, 2.500% – 3.000% due 03/01/2050 – 06/01/2051, and various Corporate Bonds, 0.000% due 09/01/2021 – 03/28/2022, valued at $213,299,200); expected proceeds $209,000,581 | 0.100% | 07/01/2021 | 07/01/2021 | 209,000,000 | 209,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 04/07/2021 (collateralized by various Corporate Bonds, 0.550% – 5.000% due 01/11/2022 – 06/15/2061, valued at $109,675,615); expected proceeds $100,054,306 | 0.230% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/18/2021 (collateralized by various Corporate Bonds, 0.000% – 8.750% due 05/15/2022 – 06/04/2081, valued at $143,750,000); expected proceeds $125,093,750(c) | 0.450% | 07/01/2021 | 08/17/2021 | 125,000,000 | 125,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $301,073,610); expected proceeds $275,001,604 | 0.210% | 07/01/2021 | 07/01/2021 | 275,000,000 | 275,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $287,301,902); expected proceeds $266,001,699 | 0.230% | 07/01/2021 | 07/01/2021 | 266,000,000 | 266,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by various Corporate Bonds, 1.188% – 7.500% due 07/12/2021 – 01/21/2051, valued at $27,650,434); expected proceeds $25,000,681 | 0.140% | 07/06/2021 | 07/06/2021 | $ 25,000,000 | $ 25,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2021 (collateralized by various Common Stocks, and various Corporate Bonds, 1.990% – 6.500% due 08/01/2023 – 03/15/2027, valued at $127,508,023); expected proceeds $117,204,978(c) | 0.530% | 07/01/2021 | 10/08/2021 | 117,000,000 | 117,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $110,160,002); expected proceeds $102,045,220(c) | 0.380% | 07/01/2021 | 08/11/2021 | 102,000,000 | 102,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/17/2021 (collateralized by various Common Stocks, valued at $162,000,001); expected proceeds $150,142,500(c) | 0.380% | 07/01/2021 | 09/15/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2021 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 5.000% due 06/15/2023 – 07/01/2027, valued at $139,665,478); expected proceeds $127,005,186 | 0.210% | 07/01/2021 | 07/01/2021 | 127,000,000 | 127,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 9.000% due 12/01/2021 – 02/15/2028, valued at $164,653,006); expected proceeds $150,164,125(c) | 0.390% | 07/01/2021 | 10/08/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 9.000% due 11/01/2022 – 12/15/2026, valued at $43,999,888); expected proceeds $40,046,367(c) | 0.390% | 07/01/2021 | 10/15/2021 | 40,000,000 | 40,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, and various Corporate Bonds, 1.450% – 3.625% due 11/02/2021 – 05/12/2031, valued at $84,087,552); expected proceeds $78,000,455 | 0.210% | 07/01/2021 | 07/01/2021 | 78,000,000 | 78,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Corporate Bonds, 0.250% – 1.875% due 07/19/2022 – 05/14/2030, valued at $98,940,543); expected proceeds $97,000,485 | 0.180% | 07/01/2021 | 07/01/2021 | 97,000,000 | 97,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 1,861,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $15,772,231,520)(d) | 15,773,316,779 | |||||||||
Other Assets in Excess of Liabilities —0.0%(e) | 1,009,373 | |||||||||
NET ASSETS –100.0% | $15,774,326,152 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 $684,000,000 or 4.3% of net assets as of June 30, 2021. |
(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 | $— | $ 1,896,816,791 | $— | $ 1,896,816,791 | ||||
Certificates of Deposit | — | 3,241,667,540 | — | 3,241,667,540 | ||||
Financial Company Commercial Paper | — | 3,856,918,156 | — | 3,856,918,156 | ||||
Other Notes | — | 3,866,740,517 | — | 3,866,740,517 | ||||
Treasury Debt | — | 850,173,775 | — | 850,173,775 | ||||
Treasury Repurchase Agreements | — | 200,000,000 | — | 200,000,000 | ||||
Other Repurchase Agreements | — | 1,861,000,000 | — | 1,861,000,000 | ||||
Total Investments | $— | $15,773,316,779 | $— | $15,773,316,779 |
ASSETS | |
Investments in unaffiliated issuers, at value | $13,712,316,779 |
Repurchase agreements, at value | 2,061,000,000 |
Total Investments | 15,773,316,779 |
Interest receivable — unaffiliated issuers | 2,246,618 |
TOTAL ASSETS | 15,775,563,397 |
LIABILITIES | |
Due to custodian | 551 |
Advisory and administrator fee payable | 637,325 |
Custody, sub-administration and transfer agent fees payable | 504,698 |
Professional fees payable | 56,225 |
Accrued expenses and other liabilities | 38,446 |
TOTAL LIABILITIES | 1,237,245 |
NET ASSETS | $15,774,326,152 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 13,711,231,520 |
Repurchase agreements | 2,061,000,000 |
Total cost of investments | $15,772,231,520 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $14,916,912 |
EXPENSES | |
Advisory and administrator fee | 3,993,954 |
Custodian, sub-administrator and transfer agent fees | 1,044,658 |
Trustees’ fees and expenses | 82,276 |
Professional fees and expenses | 77,702 |
Printing and postage fees | 12,014 |
Insurance expense | 2,141 |
Miscellaneous expenses | 14,341 |
TOTAL EXPENSES | 5,227,086 |
NET INVESTMENT INCOME (LOSS) | $ 9,689,826 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 216,922 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 609,585 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 826,507 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $10,516,333 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 9,689,826 | $ 123,842,378 | |
Net realized gain (loss) | 216,922 | (1,520,746) | |
Net change in unrealized appreciation/depreciation | 609,585 | (956,675) | |
Net increase (decrease) in net assets resulting from operations | 10,516,333 | 121,364,957 | |
CAPITAL TRANSACTIONS | |||
Contributions | 18,437,269,524 | 54,032,428,427 | |
Withdrawals | (18,801,013,519) | (59,652,398,320) | |
Net increase (decrease) in net assets from capital transactions | (363,743,995) | (5,619,969,893) | |
Net increase (decrease) in net assets during the period | (353,227,662) | (5,498,604,936) | |
Net assets at beginning of period | 16,127,553,814 | 21,626,158,750 | |
NET ASSETS AT END OF PERIOD | $ 15,774,326,152 | $ 16,127,553,814 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 0.07% | 0.77% | 2.38% | 2.06% | 0.96% | 0.51% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $15,774,326 | $16,127,554 | $21,626,159 | $11,196,385 | $9,941,806 | $8,272,653 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.07% | 0.07% | 0.06% | 0.07% | |||||
Net investment income (loss) | 0.12%(b) | 0.72% | 2.29% | 2.05% | 1.11% | 0.49% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $15,772,231,520 | $1,161,166 | $75,907 | $1,085,259 |
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% | $1,000.70 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Fund |
1 | |
2 | |
3 | |
4 | |
7 | |
13 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $1,263,250,494 |
Receivable from Adviser | 82,159 |
TOTAL ASSETS | 1,263,332,653 |
LIABILITIES | |
Administration fees payable | 68,300 |
Shareholder servicing fee payable | 140 |
Transfer agent fees payable | 95,873 |
Registration and filing fees payable | 64,839 |
Professional fees payable | 9,427 |
Printing and postage fees payable | 10,848 |
Distribution payable | 11,116 |
Accrued expenses and other liabilities | 73 |
TOTAL LIABILITIES | 260,616 |
NET ASSETS | $1,263,072,037 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 1,263,110,397 |
Total distributable earnings (loss) | (38,360) |
NET ASSETS | $1,263,072,037 |
Institutional Class | |
Net Assets | $ 5,519,277 |
Shares Outstanding | 5,517,811 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Investor Class | |
Net Assets | $ 50,017 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Premier Class | |
Net Assets | $1,257,502,743 |
Shares Outstanding | 1,257,176,511 |
Net asset value, offering and redemption price per share | $ 1.0003 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $1,263,166,739 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $1,043,780 |
Expenses allocated from affiliated Portfolio | (451,714) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 592,066 |
EXPENSES | |
Administration fees | |
Institutional Class | 4,337 |
Investor Class | 13 |
Premier Class | 297,181 |
Shareholder servicing fees | |
Institutional Class | 2,603 |
Investor Class | 20 |
Custodian fees | 32,632 |
Trustees’ fees and expenses | 10,528 |
Transfer agent fees | 103,744 |
Registration and filing fees | 29,781 |
Professional fees and expenses | 9,660 |
Printing and postage fees | 3,025 |
Insurance expense | 1,029 |
Miscellaneous expenses | 8,851 |
TOTAL EXPENSES | 503,404 |
Expenses waived/reimbursed by the Adviser | (469,969) |
NET EXPENSES | 33,435 |
NET INVESTMENT INCOME (LOSS) | $ 558,631 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 12,805 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 53,569 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 66,374 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 625,005 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 558,631 | $ 4,467,362 | |
Net realized gain (loss) | 12,805 | (133,115) | |
Net change in unrealized appreciation/depreciation | 53,569 | 29,435 | |
Net increase (decrease) in net assets resulting from operations | 625,005 | 4,363,682 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Institutional Class | (5,969) | (12,900) | |
Investor Class | (3) | (243) | |
Premier Class | (554,463) | (4,456,306) | |
Total distributions to shareholders | (560,435) | (4,469,449) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Institutional Class | |||
Shares sold | — | 43,981,001 | |
Shares redeemed | (17,505,250) | (21,004,700) | |
Net increase (decrease) from capital share transactions | (17,505,250) | 22,976,301 | |
Investor Class | |||
Shares sold | — | 1 | |
Net increase (decrease) from capital share transactions | — | 1 | |
Premier Class | |||
Shares sold | 1,227,327,758 | 1,281,426,291 | |
Reinvestment of distributions | 484,721 | 4,166,367 | |
Shares redeemed | (873,630,640) | (1,263,449,501) | |
Net increase (decrease) from capital share transactions | 354,181,839 | 22,143,157 | |
Net increase (decrease) in net assets from beneficial interest transactions | 336,676,589 | 45,119,459 | |
Net increase (decrease) in net assets during the period | 336,741,159 | 45,013,692 | |
Net assets at beginning of period | 926,330,878 | 881,317,186 | |
NET ASSETS AT END OF PERIOD | $1,263,072,037 | $ 926,330,878 | |
SHARES OF BENEFICIAL INTEREST: | |||
Institutional Class | |||
Shares sold | — | 43,967,811 | |
Shares redeemed | (17,500,000) | (21,000,000) | |
Net increase (decrease) from share transactions | (17,500,000) | 22,967,811 | |
Investor Class | |||
Shares sold | — | 1 | |
Net increase (decrease) from share transactions | 0 | 1 | |
Premier Class | |||
Shares sold | 1,226,992,795 | 1,281,529,901 | |
Reinvestment of distributions | 484,583 | 4,166,376 | |
Shares redeemed | (873,373,455) | (1,263,838,658) | |
Net increase (decrease) from share transactions | 354,103,923 | 21,857,619 |
Institutional Class(a) | |||||
Six Months Ended 06/30/21 (Unaudited) | Year Ended 12/31/20 | For the Period 12/20/19*- 12/31/19 | |||
Net asset value, beginning of period | $ 1.0002 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0003 | 0.0054 | 0.0006 | ||
Net realized and unrealized gain (loss) | 0.0001 | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0004 | 0.0056 | 0.0006 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0003) | (0.0054) | (0.0006) | ||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0000 | ||
Total return (c) | 0.04% | 0.56% | 0.06% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 5,519 | $ 23,023 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.19%(d) | 0.22% | 0.31%(d) | ||
Net expenses | 0.11%(d) | 0.11% | 0.11%(d) | ||
Net investment income (loss) | 0.07%(d) | 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(a) | |||||
Six Months Ended 06/30/21 (Unaudited) | Year Ended 12/31/20 | For the Period 12/20/19*- 12/31/19 | |||
Net asset value, beginning of period | $ 1.0002 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0001 | 0.0049 | 0.0006 | ||
Net realized and unrealized gain (loss) | 0.0001 | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0002 | 0.0051 | 0.0006 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0001) | (0.0049) | (0.0006) | ||
Total distributions | (0.0001) | (0.0049) | (0.0006) | ||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0000 | ||
Total return (c) | 0.02% | 0.51% | 0.06% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.23%(d) | 0.29% | 0.36%(d) | ||
Net expenses | 0.16%(d) | 0.16% | 0.16%(d) | ||
Net investment income (loss) | 0.02%(d) | 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(a) | |||||
Six Months Ended 06/30/21 (Unaudited) | Year Ended 12/31/20 | For the Period 12/04/2019 *- 12/31/19 | |||
Net asset value, beginning of period | $ 1.0002 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0005 | 0.0058 | 0.0013 | ||
Net realized and unrealized gain (loss) | 0.0001 | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0006 | 0.0060 | 0.0013 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0005) | (0.0058) | (0.0013) | ||
Total distributions | (0.0005) | (0.0058) | (0.0013) | ||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0000 | ||
Total return (c) | 0.06% | 0.60% | 0.13% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,257,503 | $903,258 | $881,217 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.16%(d) | 0.21% | 0.23%(d) | ||
Net expenses | 0.08%(d) | 0.08% | 0.08%(d) | ||
Net investment income (loss) | 0.09%(d) | 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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $1,263,166,739 | $83,755 | $— | $83,755 |
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% | $1,000.40 | $0.55 | $1,024.20 | $0.55 | ||||
Investor Class(a) | 0.16 | 1,000.20 | 0.79 | 1,024.00 | 0.80 | ||||
Premier Class(a) | 0.08 | 1,000.60 | 0.40 | 1,024.40 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 |
% of Net Assets | |||
Financial Company Commercial Paper | 25.9% | ||
Certificates of Deposit | 20.6 | ||
Government Agency Repurchase Agreements | 18.5 | ||
Other Notes | 10.2 | ||
Other Repurchase Agreements | 10.0 | ||
Asset Backed Commercial Paper | 9.0 | ||
Treasury Repurchase Agreements | 3.0 | ||
Treasury Debt | 2.8 | ||
Liabilities in Excess of Other Assets | (0.0)* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Overnight (1 Day) | 38.1% | ||
2 to 30 Days | 11.7 | ||
31 to 60 Days | 9.6 | ||
61 to 90 Days | 6.7 | ||
Over 90 Days | 33.9 | ||
Total | 100.0% | ||
Average days to maturity | 43 | ||
Weighted average life | 65 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—9.0% | ||||||||||
Alinghi Funding Co. LLC(a) | 0.260% | 07/23/2021 | 07/23/2021 | $ 4,000,000 | $ 3,999,765 | |||||
Alinghi Funding Co. LLC(a) | 0.260% | 09/16/2021 | 09/16/2021 | 10,000,000 | 9,997,486 | |||||
Antalis SA(a) | 0.140% | 10/01/2021 | 10/01/2021 | 10,000,000 | 9,996,073 | |||||
Antalis SA(a) | 0.150% | 09/02/2021 | 09/02/2021 | 5,000,000 | 4,998,818 | |||||
Barton Capital SA(a) | 0.070% | 07/01/2021 | 07/01/2021 | 10,000,000 | 9,999,978 | |||||
Britannia Funding Co. LLC(a) | 0.210% | 08/16/2021 | 08/16/2021 | 8,000,000 | 7,998,632 | |||||
Britannia Funding Co. LLC(a) | 0.210% | 08/24/2021 | 08/24/2021 | 10,000,000 | 9,997,907 | |||||
Britannia Funding Co. LLC(a) | 0.220% | 09/10/2021 | 09/10/2021 | 5,000,000 | 4,998,520 | |||||
Britannia Funding Co. LLC(a) | 0.260% | 07/21/2021 | 07/21/2021 | 10,000,000 | 9,999,358 | |||||
Columbia Funding Co. LLC(a) | 0.200% | 10/13/2021 | 10/13/2021 | 9,000,000 | 8,995,406 | |||||
Columbia Funding Co. LLC(a) | 0.240% | 07/08/2021 | 07/08/2021 | 8,000,000 | 7,999,858 | |||||
Mackinac Funding Co. LLC(a) | 0.170% | 01/12/2022 | 01/12/2022 | 7,000,000 | 6,992,454 | |||||
Mackinac Funding Co. LLC(a) | 0.200% | 08/24/2021 | 08/24/2021 | 2,000,000 | 1,999,551 | |||||
Mont Blanc Capital Corp.(a) | 0.070% | 07/01/2021 | 07/01/2021 | 7,558,000 | 7,557,983 | |||||
Mont Blanc Capital Corp.(a) | 0.110% | 10/12/2021 | 10/12/2021 | 8,000,000 | 7,997,111 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 113,528,900 | |||||||||
CERTIFICATES OF DEPOSIT—20.6% | ||||||||||
Bank of Montreal(a) | 0.190% | 07/19/2021 | 07/19/2021 | 10,000,000 | 10,000,564 | |||||
Bank of Montreal, 1 Month USD LIBOR + 0.12%(b) | 0.195% | 07/16/2021 | 09/16/2021 | 2,000,000 | 2,000,430 | |||||
Bank of Montreal, 3 Month USD LIBOR + 0.02%(b) | 0.180% | 08/11/2021 | 02/11/2022 | 10,000,000 | 10,000,000 | |||||
Bank of Montreal, Bloomberg Short-Term Bank Yield Index + 0.12%(b) | 0.181% | 07/01/2021 | 12/01/2021 | 3,500,000 | 3,499,300 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.03%(b) | 0.205% | 07/08/2021 | 10/08/2021 | 4,500,000 | 4,500,490 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.05%(b) | 0.226% | 08/05/2021 | 08/05/2021 | 3,000,000 | 3,000,198 | |||||
Bank of Nova Scotia, SOFR + 0.17%(b) | 0.220% | 07/01/2021 | 02/25/2022 | 11,000,000 | 11,002,924 | |||||
Canadian Imperial Bank of Commerce(a) | 0.150% | 03/14/2022 | 03/14/2022 | 10,000,000 | 9,999,001 | |||||
Canadian Imperial Bank of Commerce(a) | 0.270% | 01/04/2022 | 01/04/2022 | 9,000,000 | 9,006,426 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.02%(b) | 0.170% | 08/23/2021 | 11/23/2021 | 10,000,000 | 10,001,183 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.04%(b) | 0.215% | 07/01/2021 | 10/01/2021 | 2,000,000 | 2,000,303 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.05%(b) | 0.212% | 08/09/2021 | 08/09/2021 | 7,000,000 | 7,000,517 | |||||
KBC Bank NV(a) | 0.080% | 07/01/2021 | 07/01/2021 | 25,000,000 | 25,000,000 | |||||
Mitsubishi UFJ Trust and Banking Corp.(a) | 0.200% | 08/06/2021 | 08/06/2021 | 10,000,000 | 10,001,130 | |||||
MUFG Bank Ltd.(a) | 0.230% | 07/21/2021 | 07/21/2021 | 3,000,000 | 3,000,290 | |||||
MUFG Bank Ltd.(a) | 0.240% | 10/27/2021 | 10/27/2021 | 7,000,000 | 7,003,259 | |||||
MUFG Bank Ltd.(a) | 0.240% | 01/20/2022 | 01/20/2022 | 10,000,000 | 10,004,298 | |||||
Natixis(a) | 0.200% | 10/20/2021 | 10/20/2021 | 6,000,000 | 6,001,772 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.02%(b) | 0.155% | 08/31/2021 | 11/30/2021 | 8,000,000 | 8,000,662 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.06%(b) | 0.236% | 08/05/2021 | 11/05/2021 | 4,000,000 | 4,000,840 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.11%(b) | 0.228% | 09/16/2021 | 12/16/2021 | 5,000,000 | 5,002,290 | |||||
Royal Bank of Canada, SOFR + 0.20%(b) | 0.250% | 07/01/2021 | 10/01/2021 | 3,400,000 | 3,401,227 | |||||
Skandinaviska Enskilda Banken AB, 3 Month USD LIBOR + 0.04%(b) | 0.200% | 08/11/2021 | 08/11/2021 | 2,200,000 | 2,200,147 | |||||
Skandinaviska Enskilda Banken AB 3 Month USD LIBOR(b) | 0.176% | 08/03/2021 | 11/03/2021 | 10,000,000 | 9,999,661 | |||||
Societe Generale(a) | 0.140% | 11/24/2021 | 11/24/2021 | 5,000,000 | 5,000,224 | |||||
Standard Chartered Bank, 3 Month USD LIBOR + 0.02%(b) | 0.149% | 09/03/2021 | 09/03/2021 | 12,500,000 | 12,499,781 | |||||
Standard Chartered Bank, 3 Month USD LIBOR + 0.03%(b) | 0.177% | 09/27/2021 | 10/01/2021 | 5,000,000 | 5,000,000 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.170% | 07/02/2021 | 07/02/2021 | 3,000,000 | 3,000,035 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.190% | 10/06/2021 | 10/06/2021 | 10,000,000 | 10,002,421 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.01%(b) | 0.166% | 08/17/2021 | 11/17/2021 | 10,000,000 | 9,999,622 |
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 + 0.05%(b) | 0.200% | 08/23/2021 | 08/23/2021 | $ 8,000,000 | $ 8,000,577 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.06%(b) | 0.236% | 08/05/2021 | 11/05/2021 | 7,000,000 | 7,000,964 | |||||
Toronto Dominion Bank, 3 Month USD LIBOR + 0.01%(b) | 0.141% | 09/07/2021 | 09/07/2021 | 9,500,000 | 9,500,176 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.01%(b) | 0.186% | 07/22/2021 | 01/24/2022 | 5,000,000 | 5,000,000 | |||||
Westpac Banking Corp. 3 Month USD LIBOR(b) | 0.156% | 08/16/2021 | 11/16/2021 | 10,000,000 | 10,000,000 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 260,630,712 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—25.9% | ||||||||||
ABN AMRO Funding USA LLC(a) | 0.150% | 07/07/2021 | 07/07/2021 | 15,000,000 | 14,999,650 | |||||
ABN AMRO Funding USA LLC(a) | 0.165% | 10/01/2021 | 10/01/2021 | 10,000,000 | 9,996,073 | |||||
Bank of Nova Scotia(a) | 0.230% | 04/07/2022 | 04/07/2022 | 5,000,000 | 4,993,560 | |||||
Canadian Imperial Bank of Commerce(a) | 0.210% | 07/07/2021 | 07/07/2021 | 4,000,000 | 3,999,938 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.04%(b) | 0.215% | 07/07/2021 | 10/07/2021 | 10,000,000 | 10,001,319 | |||||
DBS Bank Ltd.(a) | 0.170% | 10/25/2021 | 10/25/2021 | 10,000,000 | 9,995,190 | |||||
HSBC Bank PLC(a) | 0.220% | 12/08/2021 | 12/08/2021 | 10,000,000 | 9,991,279 | |||||
HSBC Bank PLC(a) | 0.270% | 02/03/2022 | 02/03/2022 | 10,000,000 | 9,988,918 | |||||
HSBC Bank PLC(a) | 0.290% | 12/01/2021 | 12/01/2021 | 12,000,000 | 11,989,477 | |||||
ING U.S. Funding LLC(a) | 0.170% | 08/27/2021 | 08/27/2021 | 10,000,000 | 9,998,550 | |||||
ING U.S. Funding LLC(a) | 0.220% | 10/12/2021 | 10/12/2021 | 10,000,000 | 9,996,851 | |||||
Lloyds Bank Corporate Markets PLC(a) | 0.160% | 03/07/2022 | 03/07/2022 | 13,000,000 | 12,985,285 | |||||
Lloyds Bank PLC(a) | 0.150% | 07/02/2021 | 07/02/2021 | 6,000,000 | 5,999,977 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.140% | 07/26/2021 | 07/26/2021 | 15,000,000 | 14,999,122 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.140% | 08/12/2021 | 08/12/2021 | 15,000,000 | 14,998,387 | |||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.08%(b) | 0.173% | 07/19/2021 | 07/19/2021 | 7,000,000 | 7,000,293 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.06%(b) | 0.222% | 08/10/2021 | 11/10/2021 | 8,000,000 | 8,001,719 | |||||
National Australia Bank Ltd. 3 Month USD LIBOR(b) | 0.170% | 08/09/2021 | 11/08/2021 | 5,000,000 | 5,000,000 | |||||
Natixis(a) | 0.200% | 12/06/2021 | 12/06/2021 | 10,000,000 | 9,995,628 | |||||
Natixis(a) | 0.205% | 10/20/2021 | 10/20/2021 | 4,000,000 | 3,998,818 | |||||
Natixis(a) | 0.210% | 01/03/2022 | 01/03/2022 | 10,000,000 | 9,993,559 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.06%(b) | 0.244% | 07/28/2021 | 10/28/2021 | 2,000,000 | 2,000,386 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.170% | 09/08/2021 | 09/08/2021 | 10,000,000 | 9,998,308 | |||||
Societe Generale(a) | 0.200% | 10/28/2021 | 10/28/2021 | 5,000,000 | 4,998,167 | |||||
Societe Generale(a) | 0.240% | 07/06/2021 | 07/06/2021 | 3,000,000 | 2,999,965 | |||||
Societe Generale(a) | 0.240% | 07/08/2021 | 07/08/2021 | 6,000,000 | 5,999,907 | |||||
Svenska Handelsbanken AB 3 Month USD LIBOR(b) | 0.162% | 08/09/2021 | 11/08/2021 | 5,000,000 | 4,999,642 | |||||
Toronto Dominion Bank(a) | 0.080% | 07/01/2021 | 07/01/2021 | 15,000,000 | 14,999,967 | |||||
Toronto Dominion Bank(a) | 0.210% | 06/23/2022 | 06/23/2022 | 6,000,000 | 5,988,186 | |||||
Toronto Dominion Bank(a) | 0.240% | 05/03/2022 | 05/03/2022 | 10,000,000 | 9,984,053 | |||||
Toyota Finance Australia Ltd.(a) | 0.150% | 07/07/2021 | 07/07/2021 | 15,000,000 | 14,999,767 | |||||
UBS AG(a) | 0.300% | 12/13/2021 | 12/13/2021 | 6,000,000 | 5,995,269 | |||||
UBS AG, 3 Month USD LIBOR + 0.10%(b) | 0.276% | 08/05/2021 | 11/05/2021 | 5,000,000 | 5,000,236 | |||||
UBS AG, 3 Month USD LIBOR + 0.12%(b) | 0.295% | 07/14/2021 | 10/14/2021 | 8,000,000 | 8,001,812 | |||||
UBS AG, SOFR + 0.19%(b) | 0.240% | 07/01/2021 | 06/14/2022 | 12,000,000 | 12,000,236 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.01%(b) | 0.160% | 08/23/2021 | 08/23/2021 | 10,000,000 | 10,000,288 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.02%(b) | 0.138% | 09/16/2021 | 09/16/2021 | 10,000,000 | 10,000,633 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 326,890,415 | |||||||||
OTHER NOTES—10.2% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.080% | 07/01/2021 | 07/01/2021 | 15,000,000 | 15,000,000 | |||||
Bank of America NA, Bloomberg Short-Term Bank Yield Index + 0.18%(b) | 0.222% | 07/20/2021 | 10/20/2021 | 6,000,000 | 5,998,800 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Bank of Montreal(a) | 0.080% | 07/02/2021 | 07/02/2021 | $ 15,000,000 | $ 15,000,000 | |||||
Credit Agricole Corporate & Investment Bank(a) | 0.060% | 07/01/2021 | 07/01/2021 | 20,000,000 | 20,000,000 | |||||
KBC Bank NV(a) | 0.090% | 07/01/2021 | 07/01/2021 | 20,000,000 | 20,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.080% | 07/01/2021 | 07/01/2021 | 22,340,000 | 22,340,000 | |||||
Royal Bank of Canada(a) | 0.050% | 07/01/2021 | 07/01/2021 | 25,000,000 | 25,000,000 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.06%(b) | 0.235% | 07/01/2021 | 10/01/2021 | 5,000,000 | 5,000,968 | |||||
TOTAL OTHER NOTES | 128,339,768 | |||||||||
TREASURY DEBT—2.8% | ||||||||||
U.S. Treasury Bill(a) | 0.004% | 07/01/2021 | 07/01/2021 | 200,000 | 200,000 | |||||
U.S. Treasury Bill(a) | 0.050% | 07/06/2021 | 07/06/2021 | 4,670,000 | 4,669,980 | |||||
U.S. Treasury Bill(a) | 0.053% | 09/16/2021 | 09/16/2021 | 10,000,000 | 9,999,091 | |||||
U.S. Treasury Bill(a) | 0.090% | 07/08/2021 | 07/08/2021 | 10,000,000 | 9,999,929 | |||||
U.S. Treasury Bill(a) | 0.093% | 07/22/2021 | 07/22/2021 | 10,000,000 | 9,999,736 | |||||
TOTAL TREASURY DEBT | 34,868,736 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—18.5% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Federal Home Loan Mortgage Corporation Strips, 0.460% – 5.000% due 04/15/2036 – 09/15/2040, Federal Home Loan Mortgage Corporations, 3.717% – 4.462% due 10/25/2033 – 03/25/2047, and a Government National Mortgage Association, 1.834% due 04/20/2071, valued at $10,200,001); expected proceeds $10,000,014 | 0.050% | 07/01/2021 | 07/01/2021 | 10,000,000 | 10,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Federal Home Loan Mortgage Corporation Strip, 6.500% due 06/01/2031, Federal National Mortgage Associations, 1.500% – 6.500% due 06/01/2036 – 06/01/2051, a U.S. Treasury Inflation Index Note, 0.250% due 07/15/2029, and a U.S. Treasury Note, 2.750% due 08/15/2021, valued at $51,000,041); expected proceeds $50,000,069 | 0.050% | 07/01/2021 | 07/01/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Government National Mortgage Associations, 2.500% – 3.500% due 07/15/2046 – 08/20/2046, valued at $20,400,956); expected proceeds $20,000,033 | 0.060% | 07/01/2021 | 07/01/2021 | 20,000,000 | 20,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Government National Mortgage Association, 2.000% due 01/20/2051, valued at $37,740,001); expected proceeds $37,000,057 | 0.055% | 07/01/2021 | 07/01/2021 | 37,000,000 | 37,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Federal National Mortgage Associations, 2.000% – 3.000% due 04/01/2051 – 07/01/2051, and Government National Mortgage Associations, 5.000% – 5.500% due 06/15/2037 – 02/15/2039, valued at $53,040,000); expected proceeds $52,000,072 | 0.050% | 07/01/2021 | 07/01/2021 | 52,000,000 | 52,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 5.343% – 5.559% due 11/01/2030, a Government National Mortgage Association, 2.875% due 05/20/2028, a Resolution Funding Strip, 0.000% due 01/15/2030, U.S. Treasury Bills, 0.000% due 07/08/2021 – 10/07/2021, U.S. Treasury Bonds, 2.375% – 3.000% due 02/15/2047 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.875% due 04/15/2029 – 02/15/2042, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 1.500% – 2.250% due 10/31/2021 – 11/15/2024, valued at $56,100,099); expected proceeds $55,000,076 | 0.050% | 07/01/2021 | 07/01/2021 | $ 55,000,000 | $ 55,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Tennessee Valley Authorities, 4.250% – 4.875% due 01/15/2048 – 09/15/2065, valued at $10,200,901); expected proceeds $10,000,015 | 0.055% | 07/01/2021 | 07/01/2021 | 10,000,000 | 10,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 234,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—3.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by a U.S. Treasury Bond, 4.375% due 11/15/2039, valued at $16,320,038); expected proceeds $16,029,353(c) | 0.555% | 07/01/2021 | 10/22/2021 | 16,000,000 | 16,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.750% – 3.375% due 05/15/2047 – 11/15/2048, valued at $22,590,772); expected proceeds $22,000,134 | 0.220% | 07/01/2021 | 08/11/2021 | 22,000,000 | 22,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 38,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—10.0% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $21,600,003); expected proceeds $20,000,128 | 0.230% | 07/01/2021 | 07/01/2021 | 20,000,000 | 20,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Common Stock, valued at $21,600,171); expected proceeds $20,000,117 | 0.210% | 07/01/2021 | 07/01/2021 | 20,000,000 | 20,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $27,000,014); expected proceeds $25,000,160 | 0.230% | 07/01/2021 | 07/01/2021 | 25,000,000 | 25,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2021 (collateralized by various Common Stocks, valued at $15,120,043); expected proceeds $14,024,527(c) | 0.530% | 07/01/2021 | 10/08/2021 | 14,000,000 | 14,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $16,200,015); expected proceeds $15,006,650(c) | 0.380% | 07/01/2021 | 08/11/2021 | 15,000,000 | 15,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by various Common Stocks, valued at $10,800,022); expected proceeds $10,009,500(c) | 0.380% | 07/01/2021 | 09/23/2021 | 10,000,000 | 10,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2021 (collateralized by various Common Stocks, valued at $18,360,003); expected proceeds $17,000,694 | 0.210% | 07/01/2021 | 07/01/2021 | $ 17,000,000 | $ 17,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by various Common Stocks, valued at $6,480,002); expected proceeds $6,000,035 | 0.210% | 07/01/2021 | 07/01/2021 | 6,000,000 | 6,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 127,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $1,263,174,776)(d) | 1,263,258,531 | |||||||||
Other Assets in Excess of Liabilities —(0.0)%(e) | (7,033) | |||||||||
NET ASSETS –100.0% | $ 1,263,251,498 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 $55,000,000 or 4.4% of net assets as of June 30, 2021. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Amount is less than 0.05% of net assets. |
SOFR | Secured Overnight Financing Rate |
PLC | Public Limited Company |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 113,528,900 | $— | $ 113,528,900 | ||||
Certificates of Deposit | — | 260,630,712 | — | 260,630,712 | ||||
Financial Company Commercial Paper | — | 326,890,415 | — | 326,890,415 | ||||
Other Notes | — | 128,339,768 | — | 128,339,768 | ||||
Treasury Debt | — | 34,868,736 | — | 34,868,736 | ||||
Government Agency Repurchase Agreements | — | 234,000,000 | — | 234,000,000 | ||||
Treasury Repurchase Agreements | — | 38,000,000 | — | 38,000,000 | ||||
Other Repurchase Agreements | — | 127,000,000 | — | 127,000,000 | ||||
Total Investments | $— | $1,263,258,531 | $— | $1,263,258,531 |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 864,258,531 |
Repurchase agreements, at value and amortized cost | 399,000,000 |
Total Investments | 1,263,258,531 |
Cash | 242 |
Interest receivable — unaffiliated issuers | 127,461 |
TOTAL ASSETS | 1,263,386,234 |
LIABILITIES | |
Advisory fee payable | 51,912 |
Custodian, sub-administrator and transfer agent fees payable | 55,474 |
Professional fees payable | 17,135 |
Accrued expenses and other liabilities | 10,215 |
TOTAL LIABILITIES | 134,736 |
NET ASSETS | $1,263,251,498 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 864,174,776 |
Repurchase agreements | 399,000,000 |
Total cost of investments | $1,263,174,776 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $1,046,191 |
EXPENSES | |
Advisory fee | 301,482 |
Custodian, sub-administrator and transfer agent fees | 111,820 |
Trustees’ fees and expenses | 15,361 |
Professional fees and expenses | 18,391 |
Printing and postage fees | 4,507 |
Insurance expense | 78 |
Miscellaneous expenses | 75 |
TOTAL EXPENSES | 451,714 |
NET INVESTMENT INCOME (LOSS) | $ 594,477 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,805 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 53,569 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 66,374 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 660,851 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 594,477 | $ 4,450,704 | |
Net realized gain (loss) | 12,805 | (133,114) | |
Net change in unrealized appreciation/depreciation | 53,569 | 29,435 | |
Net increase (decrease) in net assets resulting from operations | 660,851 | 4,347,025 | |
CAPITAL TRANSACTIONS | |||
Contributions | 1,075,403,519 | 1,370,984,362 | |
Withdrawals | (739,280,724) | (1,330,160,138) | |
Net increase (decrease) in net assets from capital transactions | 336,122,795 | 40,824,224 | |
Net increase (decrease) in net assets during the period | 336,783,646 | 45,171,249 | |
Net assets at beginning of period | 926,467,852 | 881,296,603 | |
NET ASSETS AT END OF PERIOD | $1,263,251,498 | $ 926,467,852 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | For the Period 12/04/19*- 12/31/19 | |||
Total return (a) | 0.06% | 0.59% | 0.13% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,263,251 | $926,468 | $881,297 | ||
Ratios to average net assets: | |||||
Total expenses | 0.07%(b) | 0.08% | 0.11%(b) | ||
Net investment income (loss) | 0.10%(b) | 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. |
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 | 0.07% | $1,000.60 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional U.S. Government Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $91,958,618,679 |
Receivable for fund shares sold | 9,916,630 |
Receivable from Adviser | 7,373,294 |
TOTAL ASSETS | 91,975,908,603 |
LIABILITIES | |
Payable for fund shares repurchased | 7,626,246 |
Administration fees payable | 3,482,666 |
Shareholder servicing fee payable | 594,282 |
Distribution fees payable | 120,282 |
Transfer agent fees payable | 28,755 |
Registration and filing fees payable | 12 |
Professional fees payable | 89,238 |
Printing fees payable | 8,293 |
Distribution payable | 448,121 |
Accrued expenses and other liabilities | 157,619 |
TOTAL LIABILITIES | 12,555,514 |
NET ASSETS | $91,963,353,089 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $91,963,287,553 |
Total distributable earnings (loss) | 65,536 |
NET ASSETS | $91,963,353,089 |
Administration Class | |
Net Assets | $ 2,178,071,544 |
Shares Outstanding | 2,178,201,518 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 2,508,013,450 |
Shares Outstanding | 2,508,011,662 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 348,979,037 |
Shares Outstanding | 348,985,656 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 1,093,196,141 |
Shares Outstanding | 1,093,197,841 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $80,578,716,599 |
Shares Outstanding | 80,578,953,677 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 5,256,376,318 |
Shares Outstanding | 5,256,391,544 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 33,334,307 |
Expenses allocated from affiliated Portfolio | (26,621,414) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 6,712,893 |
EXPENSES | |
Administration fees | |
Administration Class | 591,117 |
Institutional Class | 602,003 |
Investment Class | 103,268 |
Investor Class | 270,803 |
Premier Class | 17,936,142 |
Class G | 241,762 |
Shareholder servicing fees | |
Administration Class | 2,364,469 |
Institutional Class | 361,202 |
Investment Class | 516,340 |
Investor Class | 433,284 |
Distribution fees | |
Administration Class | 591,117 |
Investment Class | 206,536 |
Custodian fees | 23,247 |
Trustees’ fees and expenses | 10,535 |
Transfer agent fees | 62,266 |
Registration and filing fees | 1,175,926 |
Professional fees and expenses | 139,588 |
Printing and postage fees | 50,246 |
Insurance expense | 165,033 |
Miscellaneous expenses | 165,878 |
TOTAL EXPENSES | 26,010,762 |
Expenses waived/reimbursed by the Adviser | (31,019,546) |
NET EXPENSES | (5,008,784) |
NET INVESTMENT INCOME (LOSS) | $ 11,721,677 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 54,341 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 11,776,018 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 11,721,677 | $ 259,529,268 | |
Net realized gain (loss) | 54,341 | 93,892 | |
Net increase (decrease) in net assets resulting from operations | 11,776,018 | 259,623,160 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (84,971) | (4,573,492) | |
Institutional Class | (351,523) | (7,925,882) | |
Investment Class | (12,904) | (1,429,968) | |
Investor Class | (36,771) | (2,914,910) | |
Premier Class | (10,447,804) | (226,016,609) | |
Class G | (794,331) | (16,804,900) | |
Total distributions to shareholders | (11,728,304) | (259,665,761) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 14,255,275,484 | 31,088,369,220 | |
Reinvestment of distributions | 13,915 | 1,480,888 | |
Shares redeemed | (14,628,050,027) | (30,211,781,228) | |
Net increase (decrease) from capital share transactions | (372,760,628) | 878,068,880 | |
Institutional Class | |||
Shares sold | 18,766,823,379 | 48,481,712,594 | |
Reinvestment of distributions | 36,232 | 3,802,565 | |
Shares redeemed | (17,608,245,757) | �� | (48,086,318,494) |
Net increase (decrease) from capital share transactions | 1,158,613,854 | 399,196,665 | |
Investment Class | |||
Shares sold | 513,563,264 | 1,624,760,440 | |
Reinvestment of distributions | 1,482 | 206,037 | |
Shares redeemed | (647,601,107) | (1,659,948,146) | |
Net increase (decrease) from capital share transactions | (134,036,361) | (34,981,669) | |
Investor Class | |||
Shares sold | 15,610,051,648 | 20,279,658,576 | |
Reinvestment of distributions | 37,791 | 2,016,150 | |
Shares redeemed | (15,453,873,935) | (20,070,819,894) | |
Net increase (decrease) from capital share transactions | 156,215,504 | 210,854,832 | |
Premier Class | |||
Shares sold | 591,967,841,049 | 1,167,028,226,175 | |
Reinvestment of distributions | 7,789,835 | 180,794,674 | |
Shares redeemed | (579,001,677,373) | (1,152,430,920,049) | |
Net increase (decrease) from capital share transactions | 12,973,953,511 | 14,778,100,800 | |
Class G | |||
Shares sold | 29,294,502,355 | 58,771,955,180 | |
Reinvestment of distributions | 801,657 | 16,631,483 | |
Shares redeemed | (30,064,140,355) | (56,370,538,959) | |
Net increase (decrease) from capital share transactions | (768,836,343) | 2,418,047,704 | |
Net increase (decrease) in net assets from beneficial interest transactions | 13,013,149,537 | 18,649,287,212 | |
Net increase (decrease) in net assets during the period | 13,013,197,251 | 18,649,244,611 | |
Net assets at beginning of period | 78,950,155,838 | 60,300,911,227 | |
NET ASSETS AT END OF PERIOD | $ 91,963,353,089 | $ 78,950,155,838 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 14,255,275,484 | 31,088,369,220 | |
Reinvestment of distributions | 13,915 | 1,480,888 | |
Shares redeemed | (14,628,050,027) | (30,211,781,228) | |
Net increase (decrease) from share transactions | (372,760,628) | 878,068,880 | |
Institutional Class | |||
Shares sold | 18,766,823,379 | 48,481,712,594 | |
Reinvestment of distributions | 36,232 | 3,802,565 | |
Shares redeemed | (17,608,245,757) | (48,086,318,494) | |
Net increase (decrease) from share transactions | 1,158,613,854 | 399,196,665 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
Investment Class | |||
Shares sold | 513,563,264 | 1,624,760,440 | |
Reinvestment of distributions | 1,482 | 206,037 | |
Shares redeemed | (647,601,107) | (1,659,948,146) | |
Net increase (decrease) from share transactions | (134,036,361) | (34,981,669) | |
Investor Class | |||
Shares sold | 15,610,051,648 | 20,279,658,576 | |
Reinvestment of distributions | 37,791 | 2,016,150 | |
Shares redeemed | (15,453,873,935) | (20,070,819,894) | |
Net increase (decrease) from share transactions | 156,215,504 | 210,854,832 | |
Premier Class | |||
Shares sold | 591,967,841,049 | 1,167,028,226,175 | |
Reinvestment of distributions | 7,789,835 | 180,794,674 | |
Shares redeemed | (579,001,677,373) | (1,152,430,920,049) | |
Net increase (decrease) from share transactions | 12,973,953,511 | 14,778,100,800 | |
Class G | |||
Shares sold | 29,294,502,355 | 58,771,955,180 | |
Reinvestment of distributions | 801,657 | 16,631,483 | |
Shares redeemed | (30,064,140,355) | (56,370,538,959) | |
Net increase (decrease) from share transactions | (768,836,343) | 2,418,047,704 |
Administration Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0026 | 0.0186 | 0.0150 | 0.0054 | 0.0001 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0026) | (0.0186) | (0.0150) | (0.0054) | (0.0001) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.26% | 1.88% | 1.51% | 0.54% | 0.01% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,178,072 | $2,550,831 | $1,672,762 | $1,686,105 | $1,909,670 | $3,423,655 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.37%(e) | 0.37% | 0.37% | 0.37% | 0.37% | 0.37%(e) | |||||
Net expenses | 0.08%(e) | 0.23% | 0.37% | 0.37% | 0.37% | 0.37%(e) | |||||
Net investment income (loss) | 0.01%(e) | 0.20% | 1.87% | 1.47% | 0.50% | 0.04%(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. |
Institutional Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0002 | 0.0037 | 0.0207 | 0.0170 | |||
Net realized gain (loss) | (0.0001)(b) | 0.0000(b) | 0.0000(b) | — | |||
Total from investment operations | 0.0001 | 0.0037 | 0.0207 | 0.0170 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0001) | (0.0037) | (0.0207) | (0.0170) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.01% | 0.37% | 2.09% | 1.67% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,508,013 | $1,349,398 | $950,202 | $639,733 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15%(d) | 0.15% | 0.15% | 0.15%(d) | |||
Net expenses | 0.05%(d) | 0.14% | 0.15% | 0.15%(d) | |||
Net investment income (loss) | 0.03%(d) | 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) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0025 | 0.0178 | 0.0140 | 0.0044 | —(b) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0025 | 0.0178 | 0.0140 | 0.0044 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0025) | (0.0178) | (0.0140) | (0.0044) | —(b) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (0.0025) | (0.0178) | (0.0140) | (0.0044) | 0.0000(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.25% | 1.79% | 1.40% | 0.44% | 0.00%(d) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $348,979 | $483,015 | $517,997 | $380,085 | $432,488 | $903,050 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(e) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.08%(e) | 0.27% | 0.45% | 0.47% | 0.47% | 0.37% | |||||
Net investment income (loss) | 0.01%(e) | 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%. |
(e) | Annualized. |
Investor Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0033 | 0.0203 | 0.0170 | 0.0071 | 0.0014 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0033) | (0.0203) | (0.0170) | (0.0071) | (0.0014) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.33% | 2.05% | 1.68% | 0.71% | 0.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,093,196 | $936,980 | $726,126 | $1,875,096 | $1,245,204 | $230,156 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(e) | |||||
Net expenses | 0.07%(e) | 0.18% | 0.20% | 0.20% | 0.20% | 0.20%(e) | |||||
Net investment income (loss) | 0.01%(e) | 0.35% | 2.08% | 1.68% | 0.83% | 0.21%(e) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0002 | 0.0039 | 0.0211 | 0.0170 | 0.0079 | 0.0025 | |||||
Net realized gain (loss) | (0.0001)(b) | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0001 | 0.0039 | 0.0211 | 0.0170 | 0.0079 | 0.0025 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0001) | (0.0039) | (0.0211) | (0.0170) | (0.0079) | (0.0025) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0001) | (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 | $ 1.0000 | |||||
Total return (c) | 0.01% | 0.39% | 2.13% | 1.76% | 0.79% | 0.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $80,578,717 | $67,604,723 | $52,826,660 | $32,939,927 | $38,921,503 | $43,302,733 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.05%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.03%(d) | 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. |
(d) | Annualized. |
Class G(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0002 | 0.0043 | 0.0215 | 0.0180 | 0.0082 | 0.0029 | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | — | 0.0001 | 0.0000(b) | |||||
Total from investment operations | 0.0002 | 0.0043 | 0.0215 | 0.0180 | 0.0083 | 0.0029 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0002) | (0.0043) | (0.0215) | (0.0180) | (0.0083) | (0.0029) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0002) | (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 | $ 1.0000 | |||||
Total return (c) | 0.02% | 0.43% | 2.17% | 1.80% | 0.83% | 0.29% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $5,256,376 | $6,025,209 | $3,607,164 | $3,065,834 | $4,349,842 | $581,991 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.08%(d) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net expenses | 0.05%(d) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net investment income (loss) | 0.03%(d) | 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. |
(d) | Annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional U.S. Government Money Market Fund | Administration Class Investment Class Investor Class Institutional Class Premier Class Select Class Class G | August 23, 2016 October 17, 2007 March 21, 2016 January 18, 2018 October 25, 2007 Not commenced October 5, 2014 | Diversified |
Expiration Date | Amount | |
12/31/2023 | $ 4,506,387 | |
12/31/2024 | $28,231,423 |
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 | 0.08% | $1,000.00 | $0.40 | $1,024.40 | $0.40 | ||||
Institutional Class | 0.05 | 1,000.10 | 0.25 | 1,024.50 | 0.25 | ||||
Investment Class | 0.08 | 1,000.00 | 0.40 | 1,024.40 | 0.40 | ||||
Investor Class | 0.07 | 1,000.00 | 0.35 | 1,024.40 | 0.35 | ||||
Premier Class | 0.05 | 1,000.10 | 0.25 | 1,024.50 | 0.25 | ||||
Class G | 0.05 | 1,000.20 | 0.25 | 1,024.50 | 0.25 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street U.S. Government Money Market Portfolio |
1 | |
2 | |
13 | |
14 | |
15 | |
16 | |
17 | |
22 |
% of Net Assets | |||
Treasury Debt | 46.0% | ||
Treasury Repurchase Agreements | 24.3 | ||
Government Agency Debt | 18.1 | ||
Government Agency Repurchase Agreements | 15.0 | ||
Liabilities in Excess of Other Assets | (3.4) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 36.9% | ||
2 to 30 Days | 20.2 | ||
31 to 60 Days | 11.7 | ||
61 to 90 Days | 4.4 | ||
Over 90 Days | 30.2 | ||
Total | 103.4% | ||
Average days to maturity | 27 | ||
Weighted average life | 91 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—18.1% | ||||||||||
Federal Farm Credit Bank (a) | 0.050% | 09/01/2021 | 09/01/2021 | $ 7,000,000 | $ 6,999,397 | |||||
Federal Farm Credit Bank, SOFR + 0.01%(b) | 0.060% | 07/01/2021 | 06/30/2022 | 367,600,000 | 367,581,408 | |||||
Federal Farm Credit Bank, SOFR + 0.01%(b) | 0.063% | 07/01/2021 | 09/07/2022 | 324,500,000 | 324,431,782 | |||||
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.12%(b) | 0.064% | 07/22/2021 | 07/22/2021 | 181,300,000 | 181,300,000 | |||||
Federal Farm Credit Bank (a) | 0.070% | 09/08/2021 | 09/08/2021 | 30,000,000 | 29,995,975 | |||||
Federal Farm Credit Bank (a) | 0.070% | 10/19/2021 | 10/19/2021 | 86,270,000 | 86,251,548 | |||||
Federal Farm Credit Bank, SOFR + 0.02%(b) | 0.070% | 07/01/2021 | 10/27/2022 | 271,000,000 | 270,981,841 | |||||
Federal Farm Credit Bank, SOFR + 0.02%(b) | 0.070% | 07/01/2021 | 12/14/2022 | 361,392,000 | 361,370,689 | |||||
Federal Farm Credit Bank, SOFR + 0.02%(b) | 0.070% | 07/01/2021 | 03/14/2023 | 522,169,000 | 522,059,286 | |||||
Federal Farm Credit Bank, SOFR + 0.03%(b) | 0.075% | 07/01/2021 | 11/20/2021 | 347,000,000 | 346,993,144 | |||||
Federal Farm Credit Bank, SOFR + 0.03%(b) | 0.075% | 07/01/2021 | 06/08/2022 | 306,800,000 | 306,785,449 | |||||
Federal Farm Credit Bank, SOFR + 0.03%(b) | 0.075% | 07/01/2021 | 01/12/2023 | 309,250,000 | 309,225,998 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.03%(b) | 0.079% | 07/01/2021 | 04/03/2023 | 226,046,000 | 226,046,000 | |||||
Federal Farm Credit Bank, SOFR + 0.03%(b) | 0.080% | 07/01/2021 | 05/13/2022 | 390,900,000 | 390,865,523 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.04%(b) | 0.085% | 07/01/2021 | 05/03/2023 | 318,080,000 | 318,080,000 | |||||
Federal Farm Credit Bank, SOFR + 0.04%(b) | 0.090% | 07/01/2021 | 07/08/2022 | 275,000,000 | 274,985,795 | |||||
Federal Farm Credit Bank, SOFR + 0.04%(b) | 0.090% | 07/01/2021 | 07/11/2022 | 114,500,000 | 114,517,901 | |||||
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.09%(b) | 0.096% | 08/03/2021 | 08/03/2021 | 64,991,000 | 64,995,357 | |||||
Federal Farm Credit Bank, SOFR + 0.05%(b) | 0.100% | 07/01/2021 | 08/12/2022 | 477,000,000 | 477,134,652 | |||||
Federal Farm Credit Bank, SOFR + 0.06%(b) | 0.105% | 07/01/2021 | 12/13/2022 | 329,250,000 | 329,289,851 | |||||
Federal Farm Credit Bank, SOFR + 0.06%(b) | 0.105% | 07/01/2021 | 02/09/2023 | 54,700,000 | 54,700,000 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.01%(b) | 0.109% | 07/28/2021 | 12/28/2021 | 101,390,000 | 101,387,524 | |||||
Federal Farm Credit Bank, SOFR + 0.07%(b) | 0.115% | 07/01/2021 | 11/18/2022 | 39,250,000 | 39,250,000 | |||||
Federal Farm Credit Bank, SOFR + 0.09%(b) | 0.135% | 07/01/2021 | 10/07/2022 | 45,000,000 | 45,000,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.10%(b) | 0.150% | 07/01/2021 | 01/18/2022 | 100,000,000 | 99,997,570 | |||||
Federal Farm Credit Bank, FFR + 0.06%(b) | 0.155% | 07/01/2021 | 01/19/2023 | 150,000,000 | 149,988,221 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.13%(b) | 0.180% | 07/01/2021 | 02/28/2022 | 275,000,000 | 275,000,000 | |||||
Federal Farm Credit Bank, SOFR + 0.15%(b) | 0.200% | 07/01/2021 | 08/26/2022 | 22,000,000 | 22,031,863 | |||||
Federal Home Loan Bank (a) | 0.003% | 07/06/2021 | 07/06/2021 | 250,000,000 | 249,999,896 | |||||
Federal Home Loan Bank (a) | 0.003% | 09/21/2021 | 09/21/2021 | 96,800,000 | 96,799,289 | |||||
Federal Home Loan Bank (a) | 0.004% | 07/08/2021 | 07/08/2021 | 100,000,000 | 99,999,922 | |||||
Federal Home Loan Bank (a) | 0.004% | 07/14/2021 | 07/14/2021 | 181,741,000 | 181,740,737 | |||||
Federal Home Loan Bank (a) | 0.006% | 08/02/2021 | 08/02/2021 | 540,250,000 | 540,247,093 | |||||
Federal Home Loan Bank (a) | 0.006% | 08/04/2021 | 08/04/2021 | 250,000,000 | 249,998,579 | |||||
Federal Home Loan Bank (a) | 0.006% | 08/11/2021 | 08/11/2021 | 514,000,000 | 513,996,500 | |||||
Federal Home Loan Bank (a) | 0.011% | 10/29/2021 | 10/29/2021 | 256,200,000 | 256,190,762 | |||||
Federal Home Loan Bank (a) | 0.011% | 11/08/2021 | 11/08/2021 | 436,900,000 | 436,883,049 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(b) | 0.033% | 07/13/2021 | 08/13/2021 | 175,000,000 | 175,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.01%(b) | 0.060% | 07/01/2021 | 09/10/2021 | 310,000,000 | 310,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.01%(b) | 0.060% | 07/01/2021 | 04/14/2022 | 381,250,000 | 381,250,000 | |||||
Federal Home Loan Bank, SOFR + 0.01%(b) | 0.060% | 07/01/2021 | 04/22/2022 | 323,980,000 | 323,980,000 | |||||
Federal Home Loan Bank, SOFR + 0.01%(b) | 0.060% | 07/01/2021 | 06/01/2022 | 161,300,000 | 161,300,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.065% | 07/01/2021 | 06/17/2022 | 273,000,000 | 273,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.065% | 07/01/2021 | 06/24/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.070% | 07/01/2021 | 08/23/2021 | 479,000,000 | 479,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.070% | 07/01/2021 | 09/20/2021 | 155,650,000 | 155,650,000 | |||||
Federal Home Loan Bank, SOFR + 0.03%(b) | 0.075% | 07/01/2021 | 12/27/2021 | 400,250,000 | 400,250,000 | |||||
Federal Home Loan Bank, SOFR + 0.06%(b) | 0.110% | 07/01/2021 | 11/23/2022 | 350,000,000 | 350,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.06%(b) | 0.110% | 07/01/2021 | 12/16/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.07%(b) | 0.115% | 07/01/2021 | 11/10/2022 | 150,000,000 | 150,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.12%(b) | 0.170% | 07/01/2021 | 10/13/2021 | 687,000,000 | 687,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.12%(b) | 0.170% | 07/01/2021 | 02/28/2022 | 130,000,000 | 130,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.08%(b) | 0.125% | 07/01/2021 | 03/14/2022 | 250,000,000 | 250,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.15%(b) | 0.200% | 07/01/2021 | 03/04/2022 | $ 200,000,000 | $ 199,965,702 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.16%(b) | 0.210% | 07/01/2021 | 04/20/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.19%(b) | 0.240% | 07/01/2021 | 06/02/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.24%(b) | 0.290% | 07/01/2021 | 07/23/2021 | 271,800,000 | 271,800,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.30%(b) | 0.350% | 07/01/2021 | 10/25/2021 | 226,500,000 | 226,500,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.20%(b) | 0.250% | 07/01/2021 | 06/15/2022 | 457,150,000 | 457,150,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.27%(b) | 0.320% | 07/01/2021 | 05/04/2022 | 299,250,000 | 299,907,384 | |||||
Federal National Mortgage Assoc., SOFR + 0.31%(b) | 0.360% | 07/01/2021 | 10/25/2021 | 250,000,000 | 250,000,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.32%(b) | 0.370% | 07/01/2021 | 10/22/2021 | 224,800,000 | 224,800,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.33%(b) | 0.380% | 07/01/2021 | 10/15/2021 | 224,500,000 | 224,500,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.35%(b) | 0.400% | 07/01/2021 | 10/15/2021 | 226,600,000 | 226,600,000 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 16,750,755,687 | |||||||||
TREASURY DEBT—46.0% | ||||||||||
U.S. Treasury Bill (a) | 0.004% | 07/01/2021 | 07/01/2021 | 2,660,761,000 | 2,660,761,000 | |||||
U.S. Treasury Bill (a) | 0.005% | 07/15/2021 | 07/15/2021 | 1,075,260,000 | 1,075,238,884 | |||||
U.S. Treasury Bill (a) | 0.006% | 07/27/2021 | 07/27/2021 | 1,071,676,000 | 1,071,658,536 | |||||
U.S. Treasury Bill (a) | 0.010% | 08/03/2021 | 08/03/2021 | 400,000,000 | 399,996,333 | |||||
U.S. Treasury Bill (a) | 0.025% | 08/24/2021 | 08/24/2021 | 400,000,000 | 399,973,000 | |||||
U.S. Treasury Bill (a) | 0.028% | 08/10/2021 | 08/10/2021 | 477,280,000 | 477,265,785 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/05/2021 | 10/05/2021 | 158,000,000 | 157,987,360 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/12/2021 | 10/12/2021 | 647,000,000 | 646,944,466 | |||||
U.S. Treasury Bill (a) | 0.035% | 10/07/2021 | 10/07/2021 | 152,420,000 | 152,405,478 | |||||
U.S. Treasury Bill (a) | 0.038% | 12/09/2021 | 12/09/2021 | 1,771,301,000 | 1,770,993,420 | |||||
U.S. Treasury Bill (a) | 0.040% | 09/30/2021 | 09/30/2021 | 378,307,500 | 378,269,249 | |||||
U.S. Treasury Bill (a) | 0.040% | 10/14/2021 | 10/14/2021 | 484,060,000 | 484,003,526 | |||||
U.S. Treasury Bill (a) | 0.040% | 12/16/2021 | 12/16/2021 | 1,327,700,000 | 1,327,452,163 | |||||
U.S. Treasury Bill (a) | 0.043% | 10/21/2021 | 10/21/2021 | 900,656,000 | 900,540,566 | |||||
U.S. Treasury Bill (a) | 0.045% | 08/26/2021 | 08/26/2021 | 1,154,430,000 | 1,154,363,943 | |||||
U.S. Treasury Bill (a) | 0.048% | 10/26/2021 | 10/26/2021 | 1,307,800,000 | 1,307,592,662 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/06/2021 | 07/06/2021 | 2,514,500,000 | 2,514,487,235 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/13/2021 | 07/13/2021 | 3,061,569,000 | 3,061,557,651 | |||||
U.S. Treasury Bill (a) | 0.050% | 08/12/2021 | 08/12/2021 | 2,235,700,000 | 2,235,567,834 | |||||
U.S. Treasury Bill (a) | 0.050% | 11/02/2021 | 11/02/2021 | 1,000,000,000 | 999,834,722 | |||||
U.S. Treasury Bill (a) | 0.053% | 09/16/2021 | 09/16/2021 | 998,715,000 | 998,637,116 | |||||
U.S. Treasury Bill (a) | 0.056% | 07/20/2021 | 07/20/2021 | 1,063,285,000 | 1,063,265,032 | |||||
U.S. Treasury Bill (a) | 0.058% | 08/19/2021 | 08/19/2021 | 768,350,000 | 768,290,442 | |||||
U.S. Treasury Bill (a) | 0.058% | 12/30/2021 | 12/30/2021 | 504,960,000 | 504,816,369 | |||||
U.S. Treasury Bill (a) | 0.061% | 09/02/2021 | 09/02/2021 | 675,680,000 | 675,610,881 | |||||
U.S. Treasury Bill (a) | 0.063% | 09/09/2021 | 09/09/2021 | 1,504,600,000 | 1,504,456,374 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 777,900,000 | 777,497,653 | |||||
U.S. Treasury Bill (a) | 0.073% | 08/05/2021 | 08/05/2021 | 1,101,187,800 | 1,101,111,908 | |||||
U.S. Treasury Bill (a) | 0.085% | 07/29/2021 | 07/29/2021 | 1,251,000,000 | 1,250,910,884 | |||||
U.S. Treasury Bill (a) | 0.090% | 07/08/2021 | 07/08/2021 | 2,509,573,300 | 2,509,560,356 | |||||
U.S. Treasury Bill (a) | 0.093% | 07/22/2021 | 07/22/2021 | 660,000,000 | 659,972,408 | |||||
U.S. Treasury Note (a) | 0.051% | 09/15/2021 | 09/15/2021 | 196,000,000 | 197,094,046 | |||||
U.S. Treasury Note (a) | 0.056% | 09/30/2021 | 09/30/2021 | 210,900,000 | 211,985,704 | |||||
U.S. Treasury Note (a) | 0.056% | 12/31/2021 | 12/31/2021 | 46,085,000 | 46,530,610 | |||||
U.S. Treasury Note (a) | 0.058% | 10/31/2021 | 10/31/2021 | 326,760,000 | 328,056,646 | |||||
U.S. Treasury Note (a) | 0.061% | 07/31/2021 | 07/31/2021 | 238,020,000 | 238,353,093 | |||||
U.S. Treasury Note (a) | 0.061% | 09/30/2021 | 09/30/2021 | 428,000,000 | 429,134,476 | |||||
U.S. Treasury Note (a) | 0.062% | 10/31/2021 | 10/31/2021 | 142,440,000 | 143,357,653 | |||||
U.S. Treasury Note (a) | 0.066% | 10/15/2021 | 10/15/2021 | 390,637,000 | 393,818,352 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 0.084% | 07/01/2021 | 04/30/2023 | 642,550,000 | 642,597,668 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.099% | 07/01/2021 | 01/31/2023 | 890,806,000 | 891,084,019 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 07/31/2022 | 109,000,000 | 109,003,580 |
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 + 0.06%(b) | 0.105% | 07/01/2021 | 10/31/2022 | $ 776,700,000 | $ 776,849,820 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.164% | 07/01/2021 | 04/30/2022 | 200,000,000 | 200,107,614 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.204% | 07/01/2021 | 01/31/2022 | 505,000,000 | 505,232,284 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.270% | 07/01/2021 | 07/31/2021 | 1,577,300,000 | 1,577,263,250 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.350% | 07/01/2021 | 10/31/2021 | 835,509,200 | 835,619,148 | |||||
TOTAL TREASURY DEBT | 42,517,111,199 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—15.0% | ||||||||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal National Mortgage Associations, 2.000% – 4.500% due 10/01/2029 – 02/01/2051, U.S. Treasury Bonds, 1.125% – 3.000% due 08/15/2040 – 02/15/2051, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2023 – 01/15/2029, U.S. Treasury Notes, 0.125% – 3.125% due 07/31/2021 – 05/15/2031, and U.S. Treasury Strips, 0.000% due 02/15/2027 – 02/15/2028, valued at $397,800,105); expected proceeds $390,000,542 | 0.050% | 07/01/2021 | 07/01/2021 | 390,000,000 | 390,000,000 | |||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal National Mortgage Associations, 2.500% – 4.500% due 04/01/2044 – 06/01/2050, Government National Mortgage Associations, 8.500% – 9.000% due 12/20/2030 – 02/20/2033, a U.S. Treasury Bill, 0.000% due 10/07/2021, and a U.S. Treasury Bond, 2.750% due 08/15/2042, valued at $561,000,048); expected proceeds $550,000,611 | 0.040% | 07/01/2021 | 07/01/2021 | 550,000,000 | 550,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 6.000% due 01/15/2036 – 06/25/2051, Federal National Mortgage Associations, 0.000% – 8.500% due 09/25/2021 – 03/25/2061, and Government National Mortgage Associations, 0.928% – 6.257% due 09/20/2047 – 07/20/2070, valued at $1,597,260,000); expected proceeds $1,538,002,136 | 0.050% | 07/01/2021 | 07/01/2021 | 1,538,000,000 | 1,538,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/17/2021 (collateralized by Federal National Mortgage Associations, 1.500% – 2.500% due 05/01/2036 – 06/01/2051, valued at $102,000,001); expected proceeds $100,006,222 | 0.070% | 07/07/2021 | 07/07/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal National Mortgage Associations, 2.000% – 3.000% due 06/01/2036 – 06/01/2051, and Government National Mortgage Associations, 3.000% – 3.500% due 05/20/2051 – 06/20/2051, valued at $91,800,000); expected proceeds $90,000,125 | 0.050% | 07/01/2021 | 07/01/2021 | 90,000,000 | 90,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 2.486% due 08/01/2047, and Government National Mortgage Associations, 2.500% – 3.000% due 10/20/2046 – 05/20/2051, valued at $255,000,000); expected proceeds $250,000,382 | 0.055% | 07/01/2021 | 07/01/2021 | 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 Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Government National Mortgage Associations, 1.500% – 4.500% due 07/20/2046 – 06/20/2051, valued at $1,540,200,001); expected proceeds $1,510,002,097 | 0.050% | 07/01/2021 | 07/01/2021 | $ 1,510,000,000 | $ 1,510,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.014% – 6.497% due 05/15/2036 – 06/25/2051, Federal National Mortgage Associations, 4.232% – 6.609% due 05/25/2027 – 12/25/2050, and Government National Mortgage Associations, 0.270% – 6.557% due 10/20/2038 – 05/20/2051, valued at $260,590,616); expected proceeds $253,000,351 | 0.050% | 07/01/2021 | 07/01/2021 | 253,000,000 | 253,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by a Federal Farm Credit Bank, 2.490% due 06/30/2036, Federal Home Loan Banks, 0.060% – 2.625% due 08/20/2021 – 06/09/2023, Federal Home Loan Mortgage Corporations, 0.250% – 2.375% due 08/12/2021 – 12/04/2023, Federal National Mortgage Associations, 0.250% – 6.250% due 10/05/2022 – 05/15/2029, Tennessee Valley Authorities, 0.000% – 5.880% due 08/15/2022 – 09/15/2065, and U.S. Treasury Strips, 0.000% due 05/15/2036 – 05/15/2040, valued at $510,000,043); expected proceeds $500,004,861 | 0.050% | 07/02/2021 | 07/02/2021 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 7.000% due 03/15/2024 – 05/15/2053, Federal National Mortgage Associations, 0.000% – 10.000% due 06/25/2022 – 05/25/2050, and U.S. Treasury Notes, 0.125% – 1.875% due 04/30/2022 – 06/30/2023, valued at $1,024,525,952); expected proceeds $1,000,011,667 | 0.060% | 07/02/2021 | 07/02/2021 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Government National Mortgage Associations, 2.000% – 2.500% due 01/20/2051 – 05/20/2051, valued at $409,020,000); expected proceeds $401,000,613 | 0.055% | 07/01/2021 | 07/01/2021 | 401,000,000 | 401,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 05/03/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 6.000% due 07/01/2026 – 06/01/2050, Federal National Mortgage Associations, 2.500% – 5.500% due 09/01/2029 – 11/01/2050, Government National Mortgage Associations, 0.000% – 6.707% due 02/20/2035 – 06/16/2061, and a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2026, valued at $255,304,286); expected proceeds $250,024,444 (c) | 0.040% | 07/30/2021 | 07/30/2021 | 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 HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.000% due 03/01/2036 – 12/01/2047, and Federal National Mortgage Associations, 2.000% – 4.000% due 10/01/2033 – 06/01/2051, valued at $293,760,000); expected proceeds $288,000,400 | 0.050% | 07/01/2021 | 07/01/2021 | $ 288,000,000 | $ 288,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 7.000% due 09/01/2029 – 05/01/2051, and Federal National Mortgage Associations, 1.500% – 4.500% due 12/01/2035 – 05/01/2058, valued at $102,000,000); expected proceeds $100,001,722 (c) | 0.020% | 07/12/2021 | 07/12/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 4.500% due 04/01/2038 – 05/01/2051, and Federal National Mortgage Associations, 2.000% – 4.500% due 10/01/2028 – 01/01/2057, valued at $255,000,000); expected proceeds $250,000,347 | 0.050% | 07/01/2021 | 07/01/2021 | 250,000,000 | 250,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Federal Home Loan Mortgage Corporation Strip, 3.000% due 10/15/2047, Federal Home Loan Mortgage Corporations, 3.000% – 4.500% due 06/01/2048 – 09/01/2049, and Federal National Mortgage Associations, 1.500% – 3.500% due 07/01/2036 – 07/01/2051, valued at $454,920,057); expected proceeds $446,000,980 | 0.050% | 07/01/2021 | 07/01/2021 | 446,000,000 | 446,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 0.375% due 07/21/2025, Federal National Mortgage Associations, 2.375% – 2.875% due 01/19/2023 – 09/12/2023, Government National Mortgage Associations, 2.125% – 10.000% due 09/20/2021 – 04/15/2060, and a U.S. Treasury Bond, 2.500% due 02/15/2046, valued at $305,574,660); expected proceeds $299,583,416 | 0.050% | 07/01/2021 | 07/01/2021 | 299,583,000 | 299,583,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/04/2021 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.500% due 10/01/2034 – 06/01/2051, and Federal National Mortgage Associations, 1.971% – 6.000% due 02/01/2027 – 06/01/2051, valued at $408,001,020); expected proceeds $400,060,000 (c) | 0.090% | 07/01/2021 | 08/10/2021 | 400,000,000 | 400,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 3.000% due 06/01/2041 – 04/01/2050, and Federal National Mortgage Associations, 2.000% – 6.150% due 01/01/2027 – 06/01/2051, valued at $107,100,149); expected proceeds $105,000,146 | 0.050% | 07/01/2021 | 07/01/2021 | 105,000,000 | 105,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 8.000% due 01/01/2027 – 07/01/2051, and Federal National Mortgage Associations, 1.500% – 6.500% due 11/01/2022 – 06/01/2057, valued at $245,820,000); expected proceeds $241,000,335 | 0.050% | 07/01/2021 | 07/01/2021 | $ 241,000,000 | $ 241,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 07/01/2049, Federal National Mortgage Associations, 2.000% – 5.000% due 08/01/2025 – 04/01/2051, Government National Mortgage Associations, 2.000% – 3.500% due 07/20/2047 – 06/20/2051, U.S. Treasury Bonds, 3.000% – 6.250% due 08/15/2023 – 11/15/2045, U.S. Treasury Inflation Index Bonds, 0.750% – 1.375% due 02/15/2044 – 02/15/2045, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2026, and U.S. Treasury Notes, 0.375% – 3.000% due 02/28/2022 – 11/15/2027, valued at $54,060,010); expected proceeds $53,000,074 | 0.050% | 07/01/2021 | 07/01/2021 | 53,000,000 | 53,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Government National Mortgage Associations, 2.500% – 5.000% due 05/20/2036 – 02/20/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 04/15/2025 – 07/15/2028, and U.S. Treasury Notes, 0.125% – 2.000% due 07/31/2022 – 02/15/2025, valued at $166,260,015); expected proceeds $163,000,226 | 0.050% | 07/01/2021 | 07/01/2021 | 163,000,000 | 163,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 0.523% – 5.559% due 05/15/2022 – 06/01/2051, Federal National Mortgage Associations, 0.642% – 4.500% due 12/25/2021 – 02/01/2057, Government National Mortgage Associations, 0.193% – 3.000% due 11/26/2023 – 06/20/2051, a U.S. Treasury Bill, 0.000% due 12/02/2021, and U.S. Treasury Notes, 0.375% – 3.125% due 04/30/2026 – 02/15/2029, valued at $800,940,311); expected proceeds $785,001,090 | 0.050% | 07/01/2021 | 07/01/2021 | 785,000,000 | 785,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Farm Credit Banks, 1.540% – 2.490% due 02/09/2033 – 01/28/2041, Federal Home Loan Banks, 0.400% – 2.470% due 06/07/2024 – 02/25/2041, and a Tennessee Valley Authority, 5.880% due 04/01/2036, valued at $33,660,595); expected proceeds $33,000,050 | 0.055% | 07/01/2021 | 07/01/2021 | 33,000,000 | 33,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 4.500% due 12/01/2033 – 12/01/2050, and Federal National Mortgage Associations, 2.000% – 9.000% due 08/01/2021 – 09/01/2050, valued at $102,000,000); expected proceeds $100,000,167 | 0.060% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 10,095,583,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY REPURCHASE AGREEMENTS—24.3% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 2.875% due 05/15/2049, valued at $295,249,256); expected proceeds $289,460,402 | 0.050% | 07/01/2021 | 07/01/2021 | $ 289,460,000 | $ 289,460,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 1.875% due 02/15/2041, and a U.S. Treasury Note, 0.375% due 12/31/2025, valued at $153,000,081); expected proceeds $150,000,208 | 0.050% | 07/01/2021 | 07/01/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.250% – 0.875% due 10/31/2025 – 06/30/2026, valued at $71,400,070); expected proceeds $70,000,107 | 0.055% | 07/01/2021 | 07/01/2021 | 70,000,000 | 70,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 02/15/2043 – 08/15/2048, valued at $198,900,084); expected proceeds $195,000,271 | 0.050% | 07/01/2021 | 07/01/2021 | 195,000,000 | 195,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by U.S. Treasury Bills, 0.000% due 07/15/2021 – 10/26/2021, U.S. Treasury Bonds, 1.375% – 6.250% due 08/15/2023 – 08/15/2050, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 04/15/2028 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 07/15/2025 – 07/15/2030, U.S. Treasury Notes, 1.500% – 2.125% due 11/30/2021 – 02/29/2024, and U.S. Treasury Strips, 0.000% due 05/15/2025 – 05/15/2050, valued at $479,400,000); expected proceeds $470,004,569 | 0.050% | 07/02/2021 | 07/02/2021 | 470,000,000 | 470,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 2.500% due 02/15/2046, and U.S. Treasury Notes, 1.625% – 1.750% due 02/15/2026 – 12/31/2026, valued at $118,320,019); expected proceeds $116,000,161 | 0.050% | 07/01/2021 | 07/01/2021 | 116,000,000 | 116,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/07/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 4.375% due 05/15/2040 – 08/15/2050, U.S. Treasury Inflation Index Bonds, 0.125% – 1.375% due 02/15/2044 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 07/15/2025 – 07/15/2030, and U.S. Treasury Notes, 0.125% – 3.125% due 06/30/2022 – 05/15/2030, valued at $186,660,022); expected proceeds $183,001,576 | 0.010% | 07/07/2021 | 07/07/2021 | 183,000,000 | 183,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.084% – 2.750% due 04/30/2023 – 06/30/2023, valued at $438,618,733); expected proceeds $430,000,717 | 0.060% | 07/01/2021 | 07/01/2021 | 430,000,000 | 430,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2044 – 11/15/2044, valued at $86,700,005); expected proceeds $85,000,118 | 0.050% | 07/01/2021 | 07/01/2021 | 85,000,000 | 85,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Credit Suisse Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bills, 0.000% due 08/05/2021 – 06/16/2022, and U.S. Treasury Notes, 0.125% – 2.875% due 10/31/2022 – 11/15/2030, valued at $66,300,152); expected proceeds $65,000,090 | 0.050% | 07/01/2021 | 07/01/2021 | $ 65,000,000 | $ 65,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 1.500% – 2.750% due 08/15/2022 – 02/15/2030, valued at $11,100,015,450); expected proceeds $11,100,015,417 | 0.050% | 07/01/2021 | 07/01/2021 | 11,100,000,000 | 11,100,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 2.250% due 08/15/2049, and a U.S. Treasury Note, 0.125% due 01/15/2024, valued at $229,500,066); expected proceeds $225,000,313 | 0.050% | 07/01/2021 | 07/01/2021 | 225,000,000 | 225,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 2.375% due 05/15/2051, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2022 – 07/15/2030, and U.S. Treasury Notes, 0.125% – 2.875% due 05/31/2022 – 09/30/2026, valued at $1,846,174,315); expected proceeds $1,810,003,027 | 0.050% | 07/01/2021 | 07/01/2021 | 1,810,000,513 | 1,810,000,513 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.875% due 06/30/2023 – 08/15/2028, valued at $3,202,866,935); expected proceeds $3,140,004,361 | 0.050% | 07/01/2021 | 07/01/2021 | 3,140,000,000 | 3,140,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, valued at $13,176,439); expected proceeds $12,918,018 | 0.050% | 07/01/2021 | 07/01/2021 | 12,918,000 | 12,918,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2021 (collateralized by U.S. Treasury Bills, 0.000% due 10/14/2021 – 12/30/2021, U.S. Treasury Bonds, 1.375% – 5.375% due 02/15/2031 – 11/15/2040, U.S. Treasury Inflation Index Bonds, 0.125% – 1.375% due 02/15/2043 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 01/15/2025 – 10/15/2025, and U.S. Treasury Notes, 0.375% – 2.750% due 02/28/2022 – 11/15/2030, valued at $102,000,096); expected proceeds $100,001,222 | 0.055% | 07/06/2021 | 07/06/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.000% – 5.375% due 02/15/2031 – 02/15/2050, U.S. Treasury Inflation Index Bonds, 0.125% – 2.125% due 02/15/2041 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2025, and U.S. Treasury Notes, 0.125% – 2.750% due 04/30/2022 – 05/15/2030, valued at $102,000,016); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by a U.S. Treasury Note, 2.500% due 08/15/2023, valued at $373,320,646); expected proceeds $366,003,558 | 0.050% | 07/06/2021 | 07/06/2021 | $ 366,000,000 | $ 366,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.375% – 7.625% due 11/15/2022 – 08/15/2050, a U.S. Treasury Inflation Index Note, 0.625% due 01/15/2024, and U.S. Treasury Notes, 0.125% – 2.750% due 08/31/2021 – 04/30/2026, valued at $51,000,000); expected proceeds $50,000,069 | 0.050% | 07/01/2021 | 07/01/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 2.375% due 05/15/2051, a U.S. Treasury Inflation Index Bond, 1.750% due 01/15/2028, and U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 10/15/2024 – 01/15/2026, valued at $97,920,224); expected proceeds $96,000,133 | 0.050% | 07/01/2021 | 07/01/2021 | 96,000,000 | 96,000,000 | |||||
Agreement with MUFG Securities, dated 6/30/2021 (collateralized by U.S. Treasury Notes, 2.625% - 2.875% due 08/15/2028 - 02/15/2029, valued at $348,373,513); expected proceeds $341,700,475 | 0.050% | 07/01/2021 | 07/01/2021 | 341,700,000 | 341,700,000 | |||||
Agreement with National Australia Bank, Ltd., dated 6/30/2021 (collateralized by U.S. Treasury Notes, 1.500% - 2.375% due 10/31/2021 - 04/30/2026, valued at $408,040,093); expected proceeds $400,000,556 | 0.050% | 07/01/2021 | 07/01/2021 | 400,000,000 | 400,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/09/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and a U.S. Treasury Note, 0.625% due 08/15/2030, valued at $147,900,077); expected proceeds $145,021,992 (c) | 0.060% | 07/09/2021 | 07/09/2021 | 145,000,000 | 145,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/28/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $197,880,033); expected proceeds $194,022,633 (c) | 0.050% | 07/21/2021 | 07/21/2021 | 194,000,000 | 194,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/04/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $201,960,069); expected proceeds $198,024,750 (c) | 0.050% | 09/02/2021 | 09/02/2021 | 198,000,000 | 198,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/15/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $402,900,072); expected proceeds $395,009,875 (c) | 0.030% | 07/15/2021 | 07/15/2021 | 395,000,000 | 395,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 3.750% due 11/15/2043, and U.S. Treasury Strips, 0.000%, due 05/15/2027 – 02/15/2045, valued at $269,022,711); expected proceeds $263,024,663 | 0.060% | 07/01/2021 | 07/01/2021 | 263,024,225 | 263,024,225 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.250% - 3.750% due 11/15/2042 - 11/15/2048, and U.S. Treasury Strips, 0.000%, due 11/15/2027 – 05/15/2029, valued at $259,773,208); expected proceeds $254,482,824 | 0.060% | 07/01/2021 | 07/01/2021 | $ 254,482,400 | $ 254,482,400 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/03/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.000% due 02/15/2026 – 05/15/2051, U.S. Treasury Inflation Index Bonds, 0.250% – 3.625% due 04/15/2028 – 02/15/2050, and U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 07/15/2026 – 07/15/2028, valued at $187,680,045); expected proceeds $184,001,687 | 0.010% | 07/07/2021 | 07/07/2021 | 184,000,000 | 184,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.000% due 02/15/2026 – 08/15/2047, and U.S. Treasury Inflation Index Bonds, 0.750% – 1.375% due 02/15/2044 – 02/15/2047, valued at $162,180,000); expected proceeds $159,000,221 | 0.050% | 07/01/2021 | 07/01/2021 | 159,000,000 | 159,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by Federal Home Loan Mortgage Corporations, 0.523% – 5.559% due 05/15/2022 – 03/01/2049, Federal National Mortgage Associations, 0.792% – 4.500% due 11/01/2026 – 02/01/2057, Government National Mortgage Associations, 0.213% – 3.000% due 04/20/2026 – 04/20/2051, Resolution Funding Strips, 0.000% due 01/15/2030 – 04/15/2030, U.S. Treasury Bills, 0.000% due 07/08/2021 – 12/02/2021, U.S. Treasury Bonds, 2.250% – 8.000% due 11/15/2021 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.375% due 04/15/2032 – 02/15/2042, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 01/15/2022 – 01/15/2030, U.S. Treasury Notes, 0.125% – 3.125% due 07/15/2021 – 05/15/2030, and U.S. Treasury Strips, 0.000% due 08/15/2029 – 11/15/2048, valued at $367,287,516); expected proceeds $360,003,500 | 0.050% | 07/06/2021 | 07/06/2021 | 360,000,000 | 360,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 7.500% due 02/15/2023 – 11/15/2050, and U.S. Treasury Inflation Index Bonds, 2.500% – 3.875% due 01/15/2029 – 04/15/2029, valued at $428,400,016); expected proceeds $420,000,583 | 0.050% | 07/01/2021 | 07/01/2021 | 420,000,000 | 420,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.500% due 03/15/2023, valued at $51,000,092); expected proceeds $50,000,069 | 0.050% | 07/01/2021 | 07/01/2021 | 50,000,000 | 50,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Inflation Index Bonds, 1.375% – 2.375% due 01/15/2027 – 02/15/2044, valued at $102,000,150); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | $ 100,000,000 | $ 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 22,517,585,138 | |||||||||
TOTAL INVESTMENTS –103.4% (d)(e) | 91,881,035,024 | |||||||||
Liabilities in Excess of Other Assets —(3.4)% | 670,479,248 | |||||||||
NET ASSETS –100.0% | $92,551,514,272 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $1,682,000,000 or 1.8% of net assets as of June 30, 2021. |
(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 | $55,446,283,886 |
Repurchase agreements, at value and amortized cost | 36,434,751,138 |
Total Investments | 91,881,035,024 |
Cash | 3,078,042,357 |
Interest receivable — unaffiliated issuers | 14,232,975 |
Other Receivable | 122,595 |
TOTAL ASSETS | 94,973,432,951 |
LIABILITIES | |
Payable for investments purchased | 2,415,297,969 |
Advisory and administrator fee payable | 3,749,150 |
Custody, sub-administration and transfer agent fees payable | 2,574,101 |
Professional fees payable | 202,688 |
Accrued expenses and other liabilities | 94,771 |
TOTAL LIABILITIES | 2,421,918,679 |
NET ASSETS | $92,551,514,272 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $33,931,943 |
EXPENSES | |
Advisory and administrator fee | 20,852,358 |
Custodian, sub-administrator and transfer agent fees | 5,235,252 |
Trustees’ fees and expenses | 357,316 |
Professional fees and expenses | 298,924 |
Printing and postage fees | 41,117 |
Insurance expense | 12,528 |
Miscellaneous expenses | 25,136 |
TOTAL EXPENSES | 26,822,631 |
NET INVESTMENT INCOME (LOSS) | $ 7,109,312 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 54,821 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 7,164,133 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 7,109,312 | $ 305,998,992 | |
Net realized gain (loss) | 54,821 | 94,958 | |
Net increase (decrease) in net assets resulting from operations | 7,164,133 | 306,093,950 | |
CAPITAL TRANSACTIONS | |||
Contributions | 100,017,417,408 | 215,779,123,984 | |
Withdrawals | (87,085,014,419) | (197,361,054,418) | |
Net increase (decrease) in net assets from capital transactions | 12,932,402,989 | 18,418,069,566 | |
Net increase (decrease) in net assets during the period | 12,939,567,122 | 18,724,163,516 | |
Net assets at beginning of period | 79,611,947,150 | 60,887,783,634 | |
NET ASSETS AT END OF PERIOD | $ 92,551,514,272 | $ 79,611,947,150 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 0.02% | 0.45% | 2.20% | 1.81% | 0.74% | 0.31% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $92,551,514 | $79,611,947 | $60,887,784 | $41,221,782 | $48,665,017 | $50,925,227 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.06% | 0.07% | 0.07% | 0.06% | 0.07% | |||||
Net investment income (loss) | 0.02%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street U.S. Government Money Market Portfolio | 0.06% | $1,000.20 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Money Market Fund |
1 | |
2 | |
3 | |
5 | |
10 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $13,852,162,684 |
Receivable for fund shares sold | 476 |
Receivable from Adviser | 1,126,035 |
Other Receivable | 180 |
TOTAL ASSETS | 13,853,289,375 |
LIABILITIES | |
Payable for fund shares repurchased | 309,617 |
Administration fees payable | 549,734 |
Shareholder servicing fee payable | 142,351 |
Distribution fees payable | 31,111 |
Transfer agent fees payable | 5,352 |
Registration and filing fees payable | 40,513 |
Professional fees payable | 27,020 |
Printing fees payable | 17,019 |
Distribution payable | 5,430 |
Accrued expenses and other liabilities | 27,647 |
TOTAL LIABILITIES | 1,155,794 |
NET ASSETS | $13,852,133,581 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $13,852,037,515 |
Total distributable earnings (loss) | 96,066 |
NET ASSETS | $13,852,133,581 |
Administration Class | |
Net Assets | $ 50,001 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 761,801,841 |
Shares Outstanding | 761,800,864 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 374,428,589 |
Shares Outstanding | 374,422,536 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 654,871,099 |
Shares Outstanding | 654,868,688 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $12,060,982,051 |
Shares Outstanding | 12,060,996,190 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 5,566,632 |
Expenses allocated from affiliated Portfolio | (4,816,589) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 750,043 |
EXPENSES | |
Administration fees | |
Administration Class | 52 |
Institutional Class | 151,474 |
Investment Class | 104,243 |
Investor Class | 161,893 |
Premier Class | 3,272,316 |
Shareholder servicing fees | |
Administration Class | 204 |
Institutional Class | 90,831 |
Investment Class | 521,409 |
Investor Class | 259,181 |
Distribution fees | |
Administration Class | 52 |
Investment Class | 208,563 |
Custodian fees | 20,890 |
Trustees’ fees and expenses | 10,535 |
Transfer agent fees | 22,623 |
Registration and filing fees | 43,982 |
Professional fees | 40,519 |
Printing and postage fees | 14,108 |
Insurance expense | 40,401 |
Miscellaneous expenses | 35,446 |
TOTAL EXPENSES | 4,998,722 |
Expenses waived/reimbursed by the Adviser | (4,767,215) |
NET EXPENSES | 231,507 |
NET INVESTMENT INCOME (LOSS) | $ 518,536 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 19,446 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 537,982 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 518,536 | $ 57,214,714 | |
Net realized gain (loss) | 19,446 | 178,506 | |
Net increase (decrease) in net assets resulting from operations | 537,982 | 57,393,220 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (8) | (149) | |
Institutional Class | (19,912) | (257,953) | |
Investment Class | (15,385) | (1,153,922) | |
Investor Class | (23,680) | (786,402) | |
Premier Class | (459,551) | (55,345,250) | |
Total distributions to shareholders | (518,536) | (57,543,676) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | — | 275,000 | |
Reinvestment of distributions | 7 | 7 | |
Shares redeemed | (275,014) | — | |
Net increase (decrease) from capital share transactions | (275,007) | 275,007 | |
Institutional Class | |||
Shares sold | 2,487,738,774 | 3,735,792,128 | |
Reinvestment of distributions | 8,682 | 84,369 | |
Shares redeemed | (1,969,985,783) | (3,515,465,052) | |
Net increase (decrease) from capital share transactions | 517,761,673 | 220,411,445 | |
Investment Class | |||
Shares sold | 279,556,044 | 1,082,002,666 | |
Reinvestment of distributions | 948 | 63,745 | |
Shares redeemed | (385,083,303) | (1,010,336,945) | |
Net increase (decrease) from capital share transactions | (105,526,311) | 71,729,466 | |
Investor Class | |||
Shares sold | 2,664,522,178 | 5,510,238,580 | |
Reinvestment of distributions | 9,635 | 687,569 | |
Shares redeemed | (2,565,178,853) | (5,086,484,885) | |
Net increase (decrease) from capital share transactions | 99,352,960 | 424,441,264 | |
Premier Class | |||
Shares sold | 53,448,712,119 | 145,220,418,421 | |
Reinvestment of distributions | 477,560 | 52,578,238 | |
Shares redeemed | (56,096,220,116) | (142,377,771,533) | |
Net increase (decrease) from capital share transactions | (2,647,030,437) | 2,895,225,126 | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,135,717,122) | 3,612,082,308 | |
Net increase (decrease) in net assets during the period | (2,135,697,676) | 3,611,931,852 | |
Net assets at beginning of period | 15,987,831,257 | 12,375,899,405 | |
NET ASSETS AT END OF PERIOD | $ 13,852,133,581 | $ 15,987,831,257 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | — | 275,000 | |
Reinvestment of distributions | 7 | 7 | |
Shares redeemed | (275,014) | — | |
Net increase (decrease) from share transactions | (275,007) | 275,007 | |
Institutional Class | |||
Shares sold | 2,487,738,774 | 3,735,792,128 | |
Reinvestment of distributions | 8,682 | 84,369 | |
Shares redeemed | (1,969,985,783) | (3,515,465,052) | |
Net increase (decrease) from share transactions | 517,761,673 | 220,411,445 | |
Investment Class | |||
Shares sold | 279,556,044 | 1,082,002,666 | |
Reinvestment of distributions | 948 | 63,745 | |
Shares redeemed | (385,083,303) | (1,010,336,945) | |
Net increase (decrease) from share transactions | (105,526,311) | 71,729,466 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
Investor Class | |||
Shares sold | 2,664,522,178 | 5,510,238,580 | |
Reinvestment of distributions | 9,635 | 687,569 | |
Shares redeemed | (2,565,178,853) | (5,086,484,885) | |
Net increase (decrease) from share transactions | 99,352,960 | 424,441,264 | |
Premier Class | |||
Shares sold | 53,448,712,119 | 145,220,418,421 | |
Reinvestment of distributions | 477,560 | 52,578,238 | |
Shares redeemed | (56,096,220,116) | (142,377,771,533) | |
Net increase (decrease) from share transactions | (2,647,030,437) | 2,895,225,126 |
Administration Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0001 | 0.0029 | 0.0184 | 0.0076 | |||
Net realized gain (loss) | (0.0001) | (0.0001) | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0000(b) | 0.0028 | 0.0184 | 0.0076 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0000)(b) | (0.0028) | (0.0184) | (0.0076) | |||
Total distributions | (0.0000)(b) | (0.0028) | (0.0184) | (0.0076) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.00%(d) | 0.28% | 1.85% | 0.76% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 50 | $ 325 | $ 50 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.37%(e) | 0.37% | 0.37% | 0.37%(e) | |||
Net expenses | 0.08%(e) | 0.18% | 0.37% | 0.37%(e) | |||
Net investment income (loss) | 0.01%(e) | 0.07% | 1.84% | 1.79%(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. |
Institutional Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0000(b) | 0.0038 | 0.0205 | 0.0085 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0000(b) | 0.0038 | 0.0205 | 0.0085 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0000)(b) | (0.0038) | (0.0205) | (0.0085) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.00%(d) | 0.38% | 2.07% | 0.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $761,802 | $244,039 | $ 23,628 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15%(e) | 0.15% | 0.15% | 0.15%(e) | |||
Net expenses | 0.06%(e) | 0.14% | 0.15% | 0.15%(e) | |||
Net investment income (loss) | 0.01%(e) | 0.12% | 1.86% | 2.01%(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. |
Investment Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | (0.0000)(b) | 0.0027 | 0.0175 | 0.0138 | 0.0041 | —(b) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0001 | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0028 | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0027) | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | |||||
Net realized gains | — | (0.0001) | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.27% | 1.76% | 1.39% | 0.41% | 0.00%(d) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $374,429 | $479,954 | $408,230 | $390,735 | $366,364 | $609,545 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(e) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.07%(e) | 0.26% | 0.46% | 0.47% | 0.47% | 0.31% | |||||
Net investment income (loss) | 0.01%(e) | 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%. |
(e) | Annualized. |
Investor Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0035 | 0.0200 | 0.0165 | 0.0068 | 0.0001 | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0035 | 0.0200 | 0.0165 | 0.0068 | 0.0001 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0035) | (0.0200) | (0.0165) | (0.0068) | (0.0001) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.35% | 2.02% | 1.66% | 0.68% | 0.00%(d) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $654,871 | $555,517 | $131,075 | $ 97,241 | $ 29,583 | $ 27,402 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.18%(e) | |||||
Net expenses | 0.06%(e) | 0.17% | 0.20% | 0.20% | 0.20% | 0.18%(e) | |||||
Net investment income (loss) | 0.01%(e) | 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) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | (0.0000)(b) | 0.0040 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | |||||
Net realized gain (loss) | 0.0000(b) | 0.0001 | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0041 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0040) | (0.0208) | (0.0173) | (0.0076) | (0.0019) | |||||
Net realized gains | — | (0.0001) | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.40% | 2.10% | 1.74% | 0.76% | 0.19% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,060,982 | $14,707,995 | $11,812,916 | $9,424,507 | $12,123,627 | $12,651,785 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(e) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.07%(e) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.01%(e) | 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. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Select Class | July 31, 2018 July 31, 2018 October 25, 2007 December 22, 2016 October 25, 2007 Not commenced | Diversified |
Expiration Date | Amount | |
12/31/2024 | $4,764,028 | |
12/31/2023 | $1,398,757 |
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 | 0.08% | $1,000.00 | $0.40 | $1,024.40 | $0.40 | ||||
Institutional Class | 0.06 | 1,000.00 | 0.30 | 1,024.50 | 0.30 | ||||
Investment Class | 0.07 | 1,000.00 | 0.35 | 1,024.40 | 0.35 | ||||
Investor Class | 0.06 | 1,000.00 | 0.30 | 1,024.50 | 0.30 | ||||
Premier Class | 0.07 | 1,000.00 | 0.35 | 1,024.40 | 0.35 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
11 |
% of Net Assets | |||
Treasury Debt | 110.0% | ||
Liabilities in Excess of Other Assets | (10.0) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 7.4% | ||
2 to 30 Days | 33.2 | ||
31 to 60 Days | 19.8 | ||
61 to 90 Days | 8.4 | ||
Over 90 Days | 41.2 | ||
Total | 110.0% | ||
Average days to maturity | 49 | ||
Weighted average life | 99 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—110.0% | ||||||||||
U.S. Treasury Bill (a) | 0.004% | 07/01/2021 | 07/01/2021 | $ 1,070,614,000 | $ 1,070,614,000 | |||||
U.S. Treasury Bill (a) | 0.005% | 07/15/2021 | 07/15/2021 | 200,000,000 | 199,999,611 | |||||
U.S. Treasury Bill (a) | 0.025% | 08/24/2021 | 08/24/2021 | 400,000,000 | 399,982,000 | |||||
U.S. Treasury Bill (a) | 0.025% | 08/31/2021 | 08/31/2021 | 175,000,000 | 174,992,587 | |||||
U.S. Treasury Bill (a) | 0.028% | 08/10/2021 | 08/10/2021 | 74,950,000 | 74,947,767 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/05/2021 | 10/05/2021 | 152,930,000 | 152,917,766 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/12/2021 | 10/12/2021 | 300,000,000 | 299,974,250 | |||||
U.S. Treasury Bill (a) | 0.035% | 10/07/2021 | 10/07/2021 | 50,000,000 | 49,995,236 | |||||
U.S. Treasury Bill (a) | 0.038% | 10/28/2021 | 10/28/2021 | 100,000,000 | 99,987,604 | |||||
U.S. Treasury Bill (a) | 0.038% | 12/09/2021 | 12/09/2021 | 299,915,000 | 299,862,921 | |||||
U.S. Treasury Bill (a) | 0.040% | 09/30/2021 | 09/30/2021 | 400,340,000 | 400,292,078 | |||||
U.S. Treasury Bill (a) | 0.040% | 10/14/2021 | 10/14/2021 | 161,300,000 | 161,281,182 | |||||
U.S. Treasury Bill (a) | 0.040% | 12/16/2021 | 12/16/2021 | 300,000,000 | 299,944,000 | |||||
U.S. Treasury Bill (a) | 0.043% | 10/21/2021 | 10/21/2021 | 300,600,000 | 300,561,473 | |||||
U.S. Treasury Bill (a) | 0.045% | 08/26/2021 | 08/26/2021 | 377,000,000 | 376,976,007 | |||||
U.S. Treasury Bill (a) | 0.045% | 09/23/2021 | 09/23/2021 | 396,500,000 | 396,458,367 | |||||
U.S. Treasury Bill (a) | 0.048% | 10/26/2021 | 10/26/2021 | 449,950,000 | 449,878,666 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/06/2021 | 07/06/2021 | 1,065,790,000 | 1,065,788,066 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/13/2021 | 07/13/2021 | 1,242,623,000 | 1,242,614,526 | |||||
U.S. Treasury Bill (a) | 0.050% | 08/12/2021 | 08/12/2021 | 999,500,000 | 999,453,925 | |||||
U.S. Treasury Bill (a) | 0.050% | 11/02/2021 | 11/02/2021 | 450,390,000 | 450,315,561 | |||||
U.S. Treasury Bill (a) | 0.053% | 09/16/2021 | 09/16/2021 | 300,340,000 | 300,311,648 | |||||
U.S. Treasury Bill (a) | 0.053% | 12/23/2021 | 12/23/2021 | 205,500,000 | 205,448,304 | |||||
U.S. Treasury Bill (a) | 0.056% | 07/20/2021 | 07/20/2021 | 564,555,000 | 564,544,476 | |||||
U.S. Treasury Bill (a) | 0.058% | 08/19/2021 | 08/19/2021 | 300,000,000 | 299,984,841 | |||||
U.S. Treasury Bill (a) | 0.058% | 12/30/2021 | 12/30/2021 | 178,200,000 | 178,149,313 | |||||
U.S. Treasury Bill (a) | 0.063% | 09/09/2021 | 09/09/2021 | 350,000,000 | 349,968,889 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 150,000,000 | 149,922,417 | |||||
U.S. Treasury Bill (a) | 0.073% | 08/05/2021 | 08/05/2021 | 506,060,000 | 506,036,348 | |||||
U.S. Treasury Bill (a) | 0.085% | 07/29/2021 | 07/29/2021 | 500,500,000 | 500,479,875 | |||||
U.S. Treasury Bill (a) | 0.090% | 07/08/2021 | 07/08/2021 | 427,480,000 | 427,476,373 | |||||
U.S. Treasury Bill (a) | 0.093% | 07/22/2021 | 07/22/2021 | 850,023,000 | 850,005,770 | |||||
U.S. Treasury Note (a) | 0.023% | 07/31/2021 | 07/31/2021 | 56,000,000 | 56,103,359 | |||||
U.S. Treasury Note (a) | 0.066% | 10/15/2021 | 10/15/2021 | 67,200,000 | 67,746,918 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 0.084% | 07/01/2021 | 04/30/2023 | 150,000,000 | 150,011,128 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.099% | 07/01/2021 | 01/31/2023 | 29,500,000 | 29,507,814 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 07/31/2022 | 330,000,000 | 330,004,923 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 10/31/2022 | 538,559,000 | 538,711,644 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.164% | 07/01/2021 | 04/30/2022 | 446,600,000 | 446,849,493 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.204% | 07/01/2021 | 01/31/2022 | 554,000,000 | 554,350,301 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.270% | 07/01/2021 | 07/31/2021 | 160,307,000 | 160,313,143 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.350% | 07/01/2021 | 10/31/2021 | 369,250,000 | 369,453,673 | |||||
TOTAL INVESTMENTS –110.0% (c)(d) | 16,002,218,243 | |||||||||
Liabilities in Excess of Other Assets —(10.0)% | (1,453,310,183) | |||||||||
NET ASSETS –100.0% | $14,548,908,060 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 | $16,002,218,243 |
Cash | 892 |
Interest receivable — unaffiliated issuers | 1,611,782 |
TOTAL ASSETS | 16,003,830,917 |
LIABILITIES | |
Payable for investments purchased | 1,453,735,368 |
Advisory and administrator fee payable | 600,309 |
Custody, sub-administration and transfer agent fees payable | 505,266 |
Professional fees payable | 58,393 |
Accrued expenses and other liabilities | 23,521 |
TOTAL LIABILITIES | 1,454,922,857 |
NET ASSETS | $14,548,908,060 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $5,836,798 |
EXPENSES | |
Advisory and administrator fee | 3,872,363 |
Custodian, sub-administrator and transfer agent fees | 983,711 |
Trustees’ fees and expenses | 88,616 |
Professional fees | 87,295 |
Printing and postage fees | 11,320 |
Insurance expense | 3,137 |
Miscellaneous expenses | 6,378 |
TOTAL EXPENSES | 5,052,820 |
NET INVESTMENT INCOME (LOSS) | $ 783,978 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 20,413 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 804,391 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 783,978 | $ 69,648,659 | |
Net realized gain (loss) | 20,413 | 185,977 | |
Net increase (decrease) in net assets resulting from operations | 804,391 | 69,834,636 | |
CAPITAL TRANSACTIONS | |||
Contributions | 10,384,742,441 | 36,624,674,911 | |
Withdrawals | (12,608,141,928) | (32,739,648,118) | |
Net increase (decrease) in net assets from capital transactions | (2,223,399,487) | 3,885,026,793 | |
Net increase (decrease) in net assets during the period | (2,222,595,096) | 3,954,861,429 | |
Net assets at beginning of period | 16,771,503,156 | 12,816,641,727 | |
NET ASSETS AT END OF PERIOD | $ 14,548,908,060 | $ 16,771,503,156 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 0.01% | 0.48% | 2.18% | 1.80% | 0.73% | 0.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $14,548,908 | $16,771,503 | $12,816,642 | $10,372,969 | $13,005,602 | $14,004,301 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.01%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.07% | $1,000.00 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Plus Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $21,059,352,690 |
Receivable from Adviser | 1,547,815 |
TOTAL ASSETS | 21,060,900,505 |
LIABILITIES | |
Payable for fund shares repurchased | 7,000,334 |
Administration fees payable | 874,972 |
Shareholder servicing fee payable | 222,149 |
Distribution fees payable | 2,562 |
Transfer agent fees payable | 7,093 |
Registration and filing fees payable | 14 |
Professional fees payable | 28,700 |
Printing fees payable | 12,852 |
Distribution payable | 9,589 |
Accrued expenses and other liabilities | 32,018 |
TOTAL LIABILITIES | 8,190,283 |
NET ASSETS | $21,052,710,222 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $21,052,692,707 |
Total distributable earnings (loss) | 17,515 |
NET ASSETS | $21,052,710,222 |
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 | $ 409,907,112 |
Shares Outstanding | 409,906,279 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 30,425,864 |
Shares Outstanding | 30,432,208 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 613,875,736 |
Shares Outstanding | 613,876,299 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $16,369,134,549 |
Shares Outstanding | 16,369,264,436 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 3,629,316,961 |
Shares Outstanding | 3,629,630,248 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 9,722,325 |
Expenses allocated from affiliated Portfolio | (7,535,333) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 2,186,992 |
EXPENSES | |
Administration fees | |
Administration Class | 13 |
Institutional Class | 120,250 |
Investment Class | 9,003 |
Investor Class | 129,801 |
Premier Class | 4,597,948 |
Trust Class | 951,002 |
Shareholder servicing fees | |
Administration Class | 49 |
Institutional Class | 71,968 |
Investment Class | 45,035 |
Investor Class | 207,852 |
Trust Class | 1,065,305 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 18,010 |
Custodian fees | 22,735 |
Trustees’ fees and expenses | 10,535 |
Transfer agent fees | 9,864 |
Registration and filing fees | 323,363 |
Professional fees | 56,569 |
Printing and postage fees | 15,843 |
Insurance expense | 43,223 |
Miscellaneous expenses | 47,173 |
TOTAL EXPENSES | 7,745,554 |
Expenses waived/reimbursed by the Adviser | (7,859,290) |
NET EXPENSES | (113,736) |
NET INVESTMENT INCOME (LOSS) | $ 2,300,728 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 8,102 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 2,308,830 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,300,728 | $ 73,373,331 | |
Net realized gain (loss) | 8,102 | 71,429 | |
Net increase (decrease) in net assets resulting from operations | 2,308,830 | 73,444,760 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (2) | (131) | |
Institutional Class | (52,089) | (1,215,623) | |
Investment Class | (611) | (167,824) | |
Investor Class | (18,718) | (1,643,444) | |
Premier Class | (2,081,863) | (56,410,573) | |
Trust Class | (147,330) | (13,992,939) | |
Total distributions to shareholders | (2,300,613) | (73,430,534) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Institutional Class | |||
Shares sold | 2,587,415,751 | 3,459,672,489 | |
Reinvestment of distributions | 6,536 | 14,869 | |
Shares redeemed | (2,268,084,479) | (3,837,839,873) | |
Net increase (decrease) from capital share transactions | 319,337,808 | (378,152,515) | |
Investment Class | |||
Shares sold | 53,804,982 | 113,194,583 | |
Reinvestment of distributions | 236 | 51,260 | |
Shares redeemed | (65,736,868) | (122,974,456) | |
Net increase (decrease) from capital share transactions | (11,931,650) | (9,728,613) | |
Investor Class | |||
Shares sold | 5,019,043,989 | 10,654,831,975 | |
Reinvestment of distributions | 14,019 | 1,602,343 | |
Shares redeemed | (4,951,745,096) | (10,339,889,406) | |
Net increase (decrease) from capital share transactions | 67,312,912 | 316,544,912 | |
Premier Class | |||
Shares sold | 143,855,986,120 | 357,233,197,506 | |
Reinvestment of distributions | 1,897,993 | 47,415,475 | |
Shares redeemed | (147,493,170,384) | (351,948,556,858) | |
Net increase (decrease) from capital share transactions | (3,635,286,271) | 5,332,056,123 | |
Trust Class | |||
Shares sold | 14,799,070,366 | 38,065,217,733 | |
Reinvestment of distributions | 128,743 | 12,959,879 | |
Shares redeemed | (15,779,866,741) | (37,654,161,979) | |
Net increase (decrease) from capital share transactions | (980,667,632) | 424,015,633 | |
Net increase (decrease) in net assets from beneficial interest transactions | (4,241,234,833) | 5,684,735,540 | |
Net increase (decrease) in net assets during the period | (4,241,226,616) | 5,684,749,766 | |
Net assets at beginning of period | 25,293,936,838 | 19,609,187,072 | |
NET ASSETS AT END OF PERIOD | $ 21,052,710,222 | $ 25,293,936,838 | |
SHARES OF BENEFICIAL INTEREST: | |||
Institutional Class | |||
Shares sold | 2,587,415,751 | 3,459,672,489 | |
Reinvestment of distributions | 6,536 | 14,869 | |
Shares redeemed | (2,268,084,479) | (3,837,839,873) | |
Net increase (decrease) from share transactions | 319,337,808 | (378,152,515) | |
Investment Class | |||
Shares sold | 53,804,982 | 113,194,583 | |
Reinvestment of distributions | 236 | 51,260 | |
Shares redeemed | (65,736,868) | (122,974,456) | |
Net increase (decrease) from share transactions | (11,931,650) | (9,728,613) | |
Investor Class | |||
Shares sold | 5,019,043,989 | 10,654,831,975 | |
Reinvestment of distributions | 14,019 | 1,602,343 | |
Shares redeemed | (4,951,745,097) | (10,339,889,406) | |
Net increase (decrease) from share transactions | 67,312,911 | 316,544,912 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
Premier Class | |||
Shares sold | 143,855,986,120 | 357,233,197,506 | |
Reinvestment of distributions | 1,897,993 | 47,415,475 | |
Shares redeemed | (147,493,170,384) | (351,948,556,858) | |
Net increase (decrease) from share transactions | (3,635,286,271) | 5,332,056,123 | |
Trust Class | |||
Shares sold | 14,799,070,366 | 38,065,217,733 | |
Reinvestment of distributions | 128,743 | 12,959,879 | |
Shares redeemed | (15,779,866,741) | (37,654,161,979) | |
Net increase (decrease) from share transactions | (980,667,632) | 424,015,633 |
Administration Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | (0.0000)(b) | 0.0027 | 0.0185 | 0.0076 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | |||
Total from investment operations | 0.0000(b) | 0.0027 | 0.0185 | 0.0076 | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.0027) | (0.0185) | (0.0076) | |||
Total distributions | —(b) | (0.0027) | (0.0185) | (0.0076) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.00%(d) | 0.27% | 1.86% | 0.76% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 50 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.37%(e) | 0.36% | 0.37% | 0.37%(e) | |||
Net expenses | 0.08%(e) | 0.25% | 0.37% | 0.37%(e) | |||
Net investment income (loss) | 0.00%(d)(e) | 0.27% | 1.85% | 1.78%(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. |
Institutional Class(a) | |||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0001 | 0.0037 | 0.0207 | 0.0085 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | |||
Total from investment operations | 0.0001 | 0.0037 | 0.0207 | 0.0085 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0001) | (0.0037) | (0.0207) | (0.0085) | |||
Total distributions | (0.0001) | (0.0037) | (0.0207) | (0.0085) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.01% | 0.37% | 2.09% | 0.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $409,907 | $ 90,569 | $468,721 | $ 94,554 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15%(d) | 0.15% | 0.15% | 0.15%(d) | |||
Net expenses | 0.06%(d) | 0.15% | 0.15% | 0.15%(d) | |||
Net investment income (loss) | 0.02%(d) | 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) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0025 | 0.0180 | 0.0139 | 0.0042 | —(b) | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0025 | 0.0180 | 0.0139 | 0.0042 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0025) | (0.0180) | (0.0139) | (0.0042) | —(b) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | 0.0000(b) | (0.0025) | (0.0180) | (0.0139) | (0.0042) | 0.0000(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $1.0000 | |||||
Total return (c) | 0.00%(d) | 0.25% | 1.81% | 1.40% | 0.42% | 0.00%(d) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 30,426 | $ 42,358 | $ 52,086 | $ 69,812 | $ 19,242 | $48,170 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(e) | 0.47% | 0.47% | 0.47% | 0.47% | 0.49% | |||||
Net expenses | 0.08%(e) | 0.29% | 0.46% | 0.47% | 0.47% | 0.31% | |||||
Net investment income (loss) | 0.00%(e) | 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%. |
(e) | Annualized. |
Investor Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0034 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0034 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0000)(b) | (0.0034) | (0.0202) | (0.0166) | (0.0069) | (0.0004) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | 0.0000(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.34% | 2.03% | 1.67% | 0.69% | 0.04% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $613,876 | $546,563 | $230,017 | $774,885 | $328,764 | $101,461 | |||||
Ratios to Average Net Assets: | �� | ||||||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(e) | |||||
Net expenses | 0.07%(e) | 0.18% | 0.20% | 0.20% | 0.20% | 0.20%(e) | |||||
Net investment income (loss) | 0.01%(e) | 0.31% | 2.02% | 1.67% | 0.70% | 0.19%(e) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0001 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | 0.0019 | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0001 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | 0.0019 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0001) | (0.0040) | (0.0210) | (0.0174) | (0.0077) | (0.0019) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0001) | (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 | $ 1.0000 | |||||
Total return (c) | 0.01% | 0.40% | 2.12% | 1.75% | 0.77% | 0.19% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $16,369,135 | $20,004,414 | $14,672,348 | $8,402,049 | $4,000,478 | $2,515,246 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.14% | |||||
Net expenses | 0.06%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.02%(d) | 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. |
(d) | Annualized. |
Trust Class(a) | |||||||||||
Six Months Ended 06/30/21 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0000(b) | 0.0036 | 0.0204 | 0.0168 | 0.0071 | 0.0007 | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0000(b) | 0.0036 | 0.0204 | 0.0168 | 0.0071 | 0.0007 | |||||
Distributions to shareholders from: | �� | ||||||||||
Net investment income | (0.0000)(b) | (0.0036) | (0.0204) | (0.0168) | (0.0071) | (0.0007) | |||||
Net realized gains | — | — | — | — | 0.0000(b) | — | |||||
Total distributions | (0.0000)(b) | (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 | $ 1.0000 | |||||
Total return (c) | 0.00%(d) | 0.36% | 2.06% | 1.69% | 0.71% | 0.07% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,629,317 | $4,609,983 | $4,185,964 | $4,481,410 | $6,903,267 | $7,962,822 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.18%(e) | 0.18% | 0.18% | 0.18% | 0.18% | 0.18%(e) | |||||
Net expenses | 0.07%(e) | 0.16% | 0.18% | 0.18% | 0.18% | 0.18%(e) | |||||
Net investment income (loss) | 0.01%(e) | 0.33% | 2.05% | 1.64% | 0.70% | 0.19%(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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Plus Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Select Class Trust Class | July 31, 2018 July 31, 2018 October 24, 2007 October 14, 2016 October 24, 2007 Not commenced August 29, 2016 | Diversified |
Expiration Date | Amount | |
12/31/2023 | $1,084,579 | |
12/31/2024 | $7,047,396 |
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 | 0.08% | $1,000.00 | $0.40 | $1,024.40 | $0.40 | ||||
Institutional Class | 0.06 | 1,000.10 | 0.30 | 1,024.50 | 0.30 | ||||
Investment Class | 0.08 | 1,000.00 | 0.40 | 1,024.40 | 0.40 | ||||
Investor Class | 0.07 | 1,000.00 | 0.35 | 1,024.40 | 0.35 | ||||
Premier Class | 0.06 | 1,000.10 | 0.30 | 1,024.50 | 0.30 | ||||
Trust Class | 0.07 | 1,000.00 | 0.35 | 1,024.40 | 0.35 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund ; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 |
% of Net Assets | |||
Treasury Debt | 65.4% | ||
Treasury Repurchase Agreements | 32.5 | ||
Other Assets in Excess of Liabilities | 2.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 30.7% | ||
2 to 30 Days | 21.3 | ||
31 to 60 Days | 11.5 | ||
61 to 90 Days | 3.7 | ||
Over 90 Days | 30.7 | ||
Total | 97.9% | ||
Average days to maturity | 27 | ||
Weighted average life | 88 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—65.4% | ||||||||||
U.S. Treasury Bill (a) | 0.005% | 07/15/2021 | 07/15/2021 | $ 375,000,000 | $ 374,991,007 | |||||
U.S. Treasury Bill (a) | 0.006% | 07/27/2021 | 07/27/2021 | 304,170,000 | 304,164,712 | |||||
U.S. Treasury Bill (a) | 0.010% | 08/03/2021 | 08/03/2021 | 125,000,000 | 124,998,854 | |||||
U.S. Treasury Bill (a) | 0.025% | 08/24/2021 | 08/24/2021 | 102,700,000 | 102,693,068 | |||||
U.S. Treasury Bill (a) | 0.028% | 08/10/2021 | 08/10/2021 | 224,850,000 | 224,843,302 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/05/2021 | 10/05/2021 | 42,000,000 | 41,996,640 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/12/2021 | 10/12/2021 | 200,000,000 | 199,982,833 | |||||
U.S. Treasury Bill (a) | 0.035% | 10/07/2021 | 10/07/2021 | 56,000,000 | 55,994,664 | |||||
U.S. Treasury Bill (a) | 0.038% | 12/09/2021 | 12/09/2021 | 399,882,000 | 399,812,562 | |||||
U.S. Treasury Bill (a) | 0.040% | 09/30/2021 | 09/30/2021 | 118,000,000 | 117,988,069 | |||||
U.S. Treasury Bill (a) | 0.040% | 10/14/2021 | 10/14/2021 | 161,300,000 | 161,281,182 | |||||
U.S. Treasury Bill (a) | 0.040% | 12/16/2021 | 12/16/2021 | 350,000,000 | 349,934,667 | |||||
U.S. Treasury Bill (a) | 0.043% | 10/21/2021 | 10/21/2021 | 250,000,000 | 249,967,958 | |||||
U.S. Treasury Bill (a) | 0.045% | 08/26/2021 | 08/26/2021 | 262,500,000 | 262,487,544 | |||||
U.S. Treasury Bill (a) | 0.048% | 10/26/2021 | 10/26/2021 | 349,910,000 | 349,854,526 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/13/2021 | 07/13/2021 | 774,670,000 | 774,665,071 | |||||
U.S. Treasury Bill (a) | 0.050% | 08/12/2021 | 08/12/2021 | 602,137,000 | 602,101,875 | |||||
U.S. Treasury Bill (a) | 0.050% | 11/02/2021 | 11/02/2021 | 300,000,000 | 299,950,417 | |||||
U.S. Treasury Bill (a) | 0.052% | 09/16/2021 | 09/16/2021 | 349,500,000 | 349,469,072 | |||||
U.S. Treasury Bill (a) | 0.055% | 05/25/2021 | 07/20/2021 | 617,467,000 | 617,453,693 | |||||
U.S. Treasury Bill (a) | 0.058% | 12/30/2021 | 12/30/2021 | 148,500,000 | 148,457,761 | |||||
U.S. Treasury Bill (a) | 0.063% | 09/09/2021 | 09/09/2021 | 425,000,000 | 424,963,481 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 250,000,000 | 249,870,694 | |||||
U.S. Treasury Bill (a) | 0.073% | 08/05/2021 | 08/05/2021 | 425,000,000 | 424,970,709 | |||||
U.S. Treasury Bill (a) | 0.080% | 07/06/2021 | 07/06/2021 | 625,000,000 | 624,996,554 | |||||
U.S. Treasury Bill (a) | 0.085% | 07/29/2021 | 07/29/2021 | 374,620,000 | 374,594,809 | |||||
U.S. Treasury Bill (a) | 0.090% | 07/08/2021 | 07/08/2021 | 725,074,000 | 725,069,333 | |||||
U.S. Treasury Bill (a) | 0.093% | 07/22/2021 | 07/22/2021 | 200,000,000 | 199,989,057 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 725,019,000 | 725,019,000 | |||||
U.S. Treasury Note (a) | 0.051% | 09/15/2021 | 09/15/2021 | 75,000,000 | 75,418,640 | |||||
U.S. Treasury Note (a) | 0.056% | 09/30/2021 | 09/30/2021 | 80,000,000 | 80,411,836 | |||||
U.S. Treasury Note (a) | 0.056% | 09/30/2021 | 09/30/2021 | 51,000,000 | 51,135,585 | |||||
U.S. Treasury Note (a) | 0.056% | 12/31/2021 | 12/31/2021 | 11,522,000 | 11,633,410 | |||||
U.S. Treasury Note (a) | 0.058% | 10/31/2021 | 10/31/2021 | 124,440,000 | 124,933,801 | |||||
U.S. Treasury Note (a) | 0.061% | 07/31/2021 | 07/31/2021 | 92,200,000 | 92,329,028 | |||||
U.S. Treasury Note (a) | 0.062% | 10/31/2021 | 10/31/2021 | 45,800,000 | 46,095,061 | |||||
U.S. Treasury Note (a) | 0.066% | 10/15/2021 | 10/15/2021 | 122,560,000 | 123,557,997 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 0.084% | 07/01/2021 | 04/30/2023 | 172,049,000 | 172,061,763 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.099% | 07/01/2021 | 01/31/2023 | 219,485,000 | 219,555,290 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 07/31/2022 | 694,375,000 | 694,452,549 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 10/31/2022 | 884,361,000 | 884,553,988 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.164% | 07/01/2021 | 04/30/2022 | 971,345,000 | 971,913,844 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.204% | 07/01/2021 | 01/31/2022 | 847,500,000 | 848,018,429 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.270% | 07/01/2021 | 07/31/2021 | 954,000,000 | 954,002,796 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.350% | 07/01/2021 | 10/31/2021 | 614,000,000 | 614,325,995 | |||||
TOTAL TREASURY DEBT | 15,826,963,126 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY REPURCHASE AGREEMENTS—32.5% | ||||||||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 3.000% due 02/15/2047, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.875% due 01/15/2029, U.S. Treasury Notes, 0.125% – 3.125% due 07/31/2021 – 11/15/2030, and U.S. Treasury Strips, 0.000% due 02/15/2027 – 08/15/2028, valued at $102,000,007); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | $ 100,000,000 | $ 100,000,000 | |||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 08/15/2042 – 08/15/2043, valued at $204,000,041); expected proceeds $200,000,167 | 0.030% | 07/01/2021 | 07/01/2021 | 200,000,000 | 200,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 1.625% due 10/31/2026, valued at $108,120,087); expected proceeds $106,000,147 | 0.050% | 06/30/2021 | 07/01/2021 | 106,000,000 | 106,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.875% due 03/31/2023 – 08/15/2028, valued at $127,500,030); expected proceeds $125,000,174 | 0.050% | 07/01/2021 | 07/01/2021 | 125,000,000 | 125,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.125% due 06/30/2023, valued at $56,100,098); expected proceeds $55,000,076 | 0.050% | 07/01/2021 | 07/01/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 12/02/2021, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 04/15/2028 – 02/15/2042, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2023 – 07/15/2030, a U.S. Treasury Note, 2.125% due 08/15/2021, and U.S. Treasury Strips, 0.000% due 11/15/2026 – 02/15/2051, valued at $132,600,000); expected proceeds $130,001,264 | 0.050% | 07/02/2021 | 07/02/2021 | 130,000,000 | 130,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Inflation Index Bonds, 0.250% – 2.125% due 02/15/2040 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 04/15/2024 – 07/15/2030, a U.S. Treasury Note, 1.750% due 06/30/2024, and U.S. Treasury Strips, 0.000% due 02/15/2034 – 11/15/2047, valued at $258,060,000); expected proceeds $253,000,351 | 0.050% | 07/01/2021 | 07/01/2021 | 253,000,000 | 253,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/07/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 4.625% due 02/15/2040 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 01/15/2029 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 10/15/2024 – 07/15/2030, and U.S. Treasury Notes, 0.125% – 3.125% due 04/30/2022 – 02/15/2031, valued at $48,960,041); expected proceeds $48,000,413 | 0.010% | 07/08/2021 | 07/07/2021 | 48,000,000 | 48,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by U.S. Treasury Bills, 0.000% due 09/02/2021 – 10/26/2021, valued at $510,000,028); expected proceeds $500,004,861 | 0.050% | 07/02/2021 | 07/02/2021 | $ 500,000,000 | $ 500,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% due 07/15/2024 – 10/15/2024, valued at $155,040,065); expected proceeds $152,000,211 | 0.050% | 07/01/2021 | 07/01/2021 | 152,000,000 | 152,000,000 | |||||
Agreement with Credit Suisse Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bills, 0.000% due 08/19/2021 – 06/16/2022, U.S. Treasury Inflation Index Bonds, 2.125% – 3.875% due 04/15/2029 – 02/15/2040, and U.S. Treasury Notes, 0.125% – 2.875% due 07/31/2021 – 11/15/2030, valued at $102,000,195); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.000% due 02/15/2023 – 02/15/2030, valued at $3,000,004,192); expected proceeds $3,000,004,167 | 0.050% | 07/01/2021 | 07/01/2021 | 3,000,000,000 | 3,000,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.350% – 2.250% due 10/31/2021 – 11/15/2027, valued at $877,314,315); expected proceeds $860,001,194 | 0.050% | 07/01/2021 | 07/01/2021 | 860,000,000 | 860,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2030, valued at $500,051,338); expected proceeds $490,001,024 | 0.050% | 07/01/2021 | 07/01/2021 | 490,000,343 | 490,000,343 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.125% due 05/31/2023, valued at $204,000,021); expected proceeds $200,000,278 | 0.050% | 07/01/2021 | 07/01/2021 | 200,000,000 | 200,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 07/01/2021, and U.S. Treasury Strips, 0.000% due 02/15/2032 – 08/15/2043, valued at $142,800,000); expected proceeds $140,000,194 | 0.050% | 07/01/2021 | 07/01/2021 | 140,000,000 | 140,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2022, valued at $102,000,336); expected proceeds $100,000,972 | 0.050% | 07/06/2021 | 07/06/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 6.000% – 7.625% due 11/15/2022 – 02/15/2026, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and a U.S. Treasury Note, 0.125% due 06/30/2023, valued at $22,440,059); expected proceeds $22,000,031 | 0.050% | 07/01/2021 | 07/01/2021 | 22,000,000 | 22,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 0.500% – 0.750% due 02/28/2026 – 05/31/2026, valued at $76,500,131); expected proceeds $75,000,104 | 0.050% | 07/01/2021 | 07/01/2021 | $ 75,000,000 | $ 75,000,000 | |||||
Agreement with MUFG Securities, dated 6/30/2021 (collateralized by a U.S. Treasury Note, 2.625% due 02/15/2029, valued at $96,868,365); expected proceeds $95,000,132 | 0.050% | 07/01/2021 | 07/01/2021 | 95,000,000 | 95,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 6/30/2021 (collateralized by a U.S. Treasury Note, 1.750%due 01/31/2023, valued at $101,938,824); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/09/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $56,100,040); expected proceeds $55,008,342 (c) | 0.060% | 07/09/2021 | 07/09/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/28/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 11/15/2026 – 08/15/2030, valued at $57,120,036); expected proceeds $56,006,533 (c) | 0.050% | 07/21/2021 | 07/21/2021 | 56,000,000 | 56,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/04/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $53,040,098); expected proceeds $52,006,500 (c) | 0.050% | 09/02/2021 | 09/02/2021 | 52,000,000 | 52,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/15/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $107,100,088); expected proceeds $105,002,625 (c) | 0.030% | 07/15/2021 | 07/15/2021 | 105,000,000 | 105,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.875%due 08/15/2045, and U.S. Treasury Strips, 0.000%, due 11/15/2021 – 08/15/2030, valued at $48,873,430); expected proceeds $47,851,955 | 0.060% | 07/01/2021 | 07/01/2021 | 47,851,875 | 47,851,875 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by U.S. Treasury Strips, 0.000%, due 05/15/2029 – 05/15/2030, valued at $61,032,370); expected proceeds $59,758,850 | 0.060% | 07/01/2021 | 07/01/2021 | 59,758,750 | 59,758,750 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/03/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.000% due 02/15/2026 – 05/15/2051, U.S. Treasury Inflation Index Bonds, 0.250% – 2.500% due 01/15/2029 – 02/15/2050, and U.S. Treasury Notes, 0.250% – 2.000% due 09/30/2025 – 05/15/2030, valued at $49,980,054); expected proceeds $49,000,449 | 0.010% | 07/06/2021 | 07/07/2021 | 49,000,000 | 49,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.250% due 08/15/2023 – 05/15/2051, U.S. Treasury Inflation Index Bonds, 0.750% – 2.500% due 01/15/2029 – 02/15/2047, and U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 01/15/2026 – 07/15/2026, valued at $41,820,010); expected proceeds $41,000,057 | 0.050% | 07/01/2021 | 07/01/2021 | $ 41,000,000 | $ 41,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by U.S. Treasury Bonds, 2.750% – 3.750% due 11/15/2042 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 01/15/2027 – 02/15/2046, a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, U.S. Treasury Notes, 0.125% – 2.875% due 07/31/2021 – 12/31/2027, and U.S. Treasury Strips, 0.000% due 05/15/2027 – 02/15/2046, valued at $99,960,000); expected proceeds $98,000,953 | 0.050% | 07/06/2021 | 07/06/2021 | 98,000,000 | 98,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.250% – 1.875% due 11/15/2040 – 02/15/2051, valued at $319,260,049); expected proceeds $313,000,435 | 0.050% | 07/01/2021 | 07/01/2021 | 313,000,000 | 313,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.500% due 03/15/2023, valued at $51,000,092); expected proceeds $50,000,069 | 0.050% | 07/01/2021 | 07/01/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bills, 0.000% due 07/06/2021 – 12/30/2021, U.S. Treasury Bonds, 1.875% – 8.000% due 11/15/2021 – 02/15/2051, U.S. Treasury Inflation Index Bonds, 0.750% – 2.375% due 01/15/2025 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 01/15/2023 – 07/15/2030, U.S. Treasury Notes, 0.125% – 2.750% due 02/15/2022 – 03/31/2028, and U.S. Treasury Strips, 0.000% due 11/15/2023 – 05/15/2050, valued at $102,000,091); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,877,610,968 | |||||||||
TOTAL INVESTMENTS –97.9% (d)(e) | 23,704,574,094 | |||||||||
Other Assets in Excess of Liabilities —2.1% | 508,813,043 | |||||||||
NET ASSETS –100.0% | $24,213,387,137 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 $268,000,000 or 1.1% of net assets as of June 30, 2021. |
(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 | $15,826,963,126 |
Repurchase agreements, at value and amortized cost | 7,877,610,968 |
Total Investments | 23,704,574,094 |
Cash | 1,181,423,410 |
Interest receivable — unaffiliated issuers | 4,520,499 |
Other Receivable | 42,978 |
TOTAL ASSETS | 24,890,560,981 |
LIABILITIES | |
Payable for investments purchased | 675,394,936 |
Advisory and administrator fee payable | 993,920 |
Custody, sub-administration and transfer agent fees payable | 675,056 |
Professional fees payable | 74,256 |
Accrued expenses and other liabilities | 35,676 |
TOTAL LIABILITIES | 677,173,844 |
NET ASSETS | $24,213,387,137 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $10,980,881 |
EXPENSES | |
Advisory and administrator fee | 6,544,353 |
Custodian, sub-administrator and transfer agent fees | 1,656,224 |
Trustees’ fees and expenses | 135,671 |
Professional fees | 129,086 |
Printing and postage fees | 10,849 |
Insurance expense | 4,032 |
Miscellaneous expenses | 9,216 |
TOTAL EXPENSES | 8,489,431 |
NET INVESTMENT INCOME (LOSS) | $ 2,491,450 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 9,193 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 2,500,643 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,491,450 | $ 111,054,789 | |
Net realized gain (loss) | 9,193 | 91,876 | |
Net increase (decrease) in net assets resulting from operations | 2,500,643 | 111,146,665 | |
CAPITAL TRANSACTIONS | |||
Contributions | 32,927,539,284 | 96,988,717,280 | |
Withdrawals | (36,766,010,559) | (92,885,440,947) | |
Net increase (decrease) in net assets from capital transactions | (3,838,471,275) | 4,103,276,333 | |
Net increase (decrease) in net assets during the period | (3,835,970,632) | 4,214,422,998 | |
Net assets at beginning of period | 28,049,357,769 | 23,834,934,771 | |
NET ASSETS AT END OF PERIOD | $ 24,213,387,137 | $ 28,049,357,769 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 0.00%(b) | 0.46% | 2.19% | 1.82% | 0.82% | 0.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $24,213,387 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(c) | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.02%(c) | 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. |
(b) | Amount is less than 0.05%. |
(c) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,000.00 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
10 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $3,153,954,287 |
Receivable from Adviser | 224,133 |
TOTAL ASSETS | 3,154,178,420 |
LIABILITIES | |
Administration fees payable | 137,312 |
Transfer agent fees payable | 2,990 |
Registration and filing fees payable | 52,697 |
Professional fees payable | 15,849 |
Printing fees payable | 7,116 |
Distribution payable | 105 |
Accrued expenses and other liabilities | 3,357 |
TOTAL LIABILITIES | 219,426 |
NET ASSETS | $3,153,958,994 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,153,957,220 |
Total distributable earnings (loss) | 1,774 |
NET ASSETS | $3,153,958,994 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 3,153,957,220 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 1,179,479 |
Expenses allocated from affiliated Portfolio | (954,098) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 225,381 |
EXPENSES | |
Administration fees | 735,206 |
Custodian fees | 13,704 |
Trustees’ fees and expenses | 10,535 |
Transfer agent fees | 1,453 |
Registration and filing fees | 26,202 |
Professional fees and expenses | 14,339 |
Printing and postage fees | 9,671 |
Insurance expense | 10,260 |
Miscellaneous expenses | 11,551 |
TOTAL EXPENSES | 832,921 |
Expenses waived/reimbursed by the Adviser | (967,897) |
NET EXPENSES | (134,976) |
NET INVESTMENT INCOME (LOSS) | $ 360,357 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 1,091 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 361,448 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 360,357 | $ 22,874,101 | |
Net realized gain (loss) | 1,091 | 20,447 | |
Net increase (decrease) in net assets resulting from operations | 361,448 | 22,894,548 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (360,344) | (22,895,464) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 675,303,122 | 6,454,715,748 | |
Reinvestment of distributions | 364,737 | 23,024,368 | |
Cost of shares redeemed | (275,699,749) | (7,944,327,613) | |
Net increase (decrease) from share transactions | 399,968,110 | (1,466,587,497) | |
Net increase (decrease) in net assets during the period | 399,969,214 | (1,466,588,413) | |
Net assets at beginning of period | 2,753,989,780 | 4,220,578,193 | |
NET ASSETS AT END OF PERIOD | $3,153,958,994 | $ 2,753,989,780 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 675,303,122 | 6,454,715,748 | |
Reinvestment of distributions | 364,737 | 23,024,368 | |
Shares redeemed | (275,699,749) | (7,944,327,613) | |
Net increase (decrease) from share transactions | 399,968,110 | (1,466,587,497) |
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0001 | 0.0045 | 0.0213 | 0.0178 | 0.0025 | ||||
Net realized and unrealized gain (loss) | — | (0.0001) | (0.0000)(b) | — | — | ||||
Total from investment operations | 0.0001 | 0.0044 | 0.0213 | 0.0178 | 0.0025 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0044) | (0.0213) | (0.0178) | (0.0025) | ||||
Total distributions | (0.0001) | (0.0044) | (0.0213) | (0.0178) | (0.0025) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.44% | 2.16% | 1.79% | 0.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,153,959 | $2,753,990 | $4,220,578 | $3,620,569 | $2,926,362 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.13% | 0.16%(d) | ||||
Net expenses | 0.06%(d) | 0.08% | 0.08% | 0.08% | 0.08%(d) | ||||
Net investment income (loss) | 0.02%(d) | 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 |
Expiration Date | Amount | |
12/31/2023 | $ 645 | |
12/31/2024 | $357,206 |
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 | 0.06% | $1,000.10 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 |
% of Net Assets | |||
Treasury Debt | 65.4% | ||
Treasury Repurchase Agreements | 32.5 | ||
Other Assets in Excess of Liabilities | 2.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 30.7% | ||
2 to 30 Days | 21.3 | ||
31 to 60 Days | 11.5 | ||
61 to 90 Days | 3.7 | ||
Over 90 Days | 30.7 | ||
Total | 97.9% | ||
Average days to maturity | 27 | ||
Weighted average life | 88 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—65.4% | ||||||||||
U.S. Treasury Bill (a) | 0.005% | 07/15/2021 | 07/15/2021 | $ 375,000,000 | $ 374,991,007 | |||||
U.S. Treasury Bill (a) | 0.006% | 07/27/2021 | 07/27/2021 | 304,170,000 | 304,164,712 | |||||
U.S. Treasury Bill (a) | 0.010% | 08/03/2021 | 08/03/2021 | 125,000,000 | 124,998,854 | |||||
U.S. Treasury Bill (a) | 0.025% | 08/24/2021 | 08/24/2021 | 102,700,000 | 102,693,068 | |||||
U.S. Treasury Bill (a) | 0.028% | 08/10/2021 | 08/10/2021 | 224,850,000 | 224,843,302 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/05/2021 | 10/05/2021 | 42,000,000 | 41,996,640 | |||||
U.S. Treasury Bill (a) | 0.030% | 10/12/2021 | 10/12/2021 | 200,000,000 | 199,982,833 | |||||
U.S. Treasury Bill (a) | 0.035% | 10/07/2021 | 10/07/2021 | 56,000,000 | 55,994,664 | |||||
U.S. Treasury Bill (a) | 0.038% | 12/09/2021 | 12/09/2021 | 399,882,000 | 399,812,562 | |||||
U.S. Treasury Bill (a) | 0.040% | 09/30/2021 | 09/30/2021 | 118,000,000 | 117,988,069 | |||||
U.S. Treasury Bill (a) | 0.040% | 10/14/2021 | 10/14/2021 | 161,300,000 | 161,281,182 | |||||
U.S. Treasury Bill (a) | 0.040% | 12/16/2021 | 12/16/2021 | 350,000,000 | 349,934,667 | |||||
U.S. Treasury Bill (a) | 0.043% | 10/21/2021 | 10/21/2021 | 250,000,000 | 249,967,958 | |||||
U.S. Treasury Bill (a) | 0.045% | 08/26/2021 | 08/26/2021 | 262,500,000 | 262,487,544 | |||||
U.S. Treasury Bill (a) | 0.048% | 10/26/2021 | 10/26/2021 | 349,910,000 | 349,854,526 | |||||
U.S. Treasury Bill (a) | 0.050% | 07/13/2021 | 07/13/2021 | 774,670,000 | 774,665,071 | |||||
U.S. Treasury Bill (a) | 0.050% | 08/12/2021 | 08/12/2021 | 602,137,000 | 602,101,875 | |||||
U.S. Treasury Bill (a) | 0.050% | 11/02/2021 | 11/02/2021 | 300,000,000 | 299,950,417 | |||||
U.S. Treasury Bill (a) | 0.052% | 09/16/2021 | 09/16/2021 | 349,500,000 | 349,469,072 | |||||
U.S. Treasury Bill (a) | 0.055% | 05/25/2021 | 07/20/2021 | 617,467,000 | 617,453,693 | |||||
U.S. Treasury Bill (a) | 0.058% | 12/30/2021 | 12/30/2021 | 148,500,000 | 148,457,761 | |||||
U.S. Treasury Bill (a) | 0.063% | 09/09/2021 | 09/09/2021 | 425,000,000 | 424,963,481 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 250,000,000 | 249,870,694 | |||||
U.S. Treasury Bill (a) | 0.073% | 08/05/2021 | 08/05/2021 | 425,000,000 | 424,970,709 | |||||
U.S. Treasury Bill (a) | 0.080% | 07/06/2021 | 07/06/2021 | 625,000,000 | 624,996,554 | |||||
U.S. Treasury Bill (a) | 0.085% | 07/29/2021 | 07/29/2021 | 374,620,000 | 374,594,809 | |||||
U.S. Treasury Bill (a) | 0.090% | 07/08/2021 | 07/08/2021 | 725,074,000 | 725,069,333 | |||||
U.S. Treasury Bill (a) | 0.093% | 07/22/2021 | 07/22/2021 | 200,000,000 | 199,989,057 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 725,019,000 | 725,019,000 | |||||
U.S. Treasury Note (a) | 0.051% | 09/15/2021 | 09/15/2021 | 75,000,000 | 75,418,640 | |||||
U.S. Treasury Note (a) | 0.056% | 09/30/2021 | 09/30/2021 | 80,000,000 | 80,411,836 | |||||
U.S. Treasury Note (a) | 0.056% | 09/30/2021 | 09/30/2021 | 51,000,000 | 51,135,585 | |||||
U.S. Treasury Note (a) | 0.056% | 12/31/2021 | 12/31/2021 | 11,522,000 | 11,633,410 | |||||
U.S. Treasury Note (a) | 0.058% | 10/31/2021 | 10/31/2021 | 124,440,000 | 124,933,801 | |||||
U.S. Treasury Note (a) | 0.061% | 07/31/2021 | 07/31/2021 | 92,200,000 | 92,329,028 | |||||
U.S. Treasury Note (a) | 0.062% | 10/31/2021 | 10/31/2021 | 45,800,000 | 46,095,061 | |||||
U.S. Treasury Note (a) | 0.066% | 10/15/2021 | 10/15/2021 | 122,560,000 | 123,557,997 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 0.084% | 07/01/2021 | 04/30/2023 | 172,049,000 | 172,061,763 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.099% | 07/01/2021 | 01/31/2023 | 219,485,000 | 219,555,290 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 07/31/2022 | 694,375,000 | 694,452,549 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.105% | 07/01/2021 | 10/31/2022 | 884,361,000 | 884,553,988 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.164% | 07/01/2021 | 04/30/2022 | 971,345,000 | 971,913,844 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.204% | 07/01/2021 | 01/31/2022 | 847,500,000 | 848,018,429 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.270% | 07/01/2021 | 07/31/2021 | 954,000,000 | 954,002,796 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.350% | 07/01/2021 | 10/31/2021 | 614,000,000 | 614,325,995 | |||||
TOTAL TREASURY DEBT | 15,826,963,126 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY REPURCHASE AGREEMENTS—32.5% | ||||||||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bond, 3.000% due 02/15/2047, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.875% due 01/15/2029, U.S. Treasury Notes, 0.125% – 3.125% due 07/31/2021 – 11/15/2030, and U.S. Treasury Strips, 0.000% due 02/15/2027 – 08/15/2028, valued at $102,000,007); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | $ 100,000,000 | $ 100,000,000 | |||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 08/15/2042 – 08/15/2043, valued at $204,000,041); expected proceeds $200,000,167 | 0.030% | 07/01/2021 | 07/01/2021 | 200,000,000 | 200,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 1.625% due 10/31/2026, valued at $108,120,087); expected proceeds $106,000,147 | 0.050% | 06/30/2021 | 07/01/2021 | 106,000,000 | 106,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.875% due 03/31/2023 – 08/15/2028, valued at $127,500,030); expected proceeds $125,000,174 | 0.050% | 07/01/2021 | 07/01/2021 | 125,000,000 | 125,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.125% due 06/30/2023, valued at $56,100,098); expected proceeds $55,000,076 | 0.050% | 07/01/2021 | 07/01/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 12/02/2021, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 04/15/2028 – 02/15/2042, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2023 – 07/15/2030, a U.S. Treasury Note, 2.125% due 08/15/2021, and U.S. Treasury Strips, 0.000% due 11/15/2026 – 02/15/2051, valued at $132,600,000); expected proceeds $130,001,264 | 0.050% | 07/02/2021 | 07/02/2021 | 130,000,000 | 130,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Inflation Index Bonds, 0.250% – 2.125% due 02/15/2040 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 04/15/2024 – 07/15/2030, a U.S. Treasury Note, 1.750% due 06/30/2024, and U.S. Treasury Strips, 0.000% due 02/15/2034 – 11/15/2047, valued at $258,060,000); expected proceeds $253,000,351 | 0.050% | 07/01/2021 | 07/01/2021 | 253,000,000 | 253,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/07/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 4.625% due 02/15/2040 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 01/15/2029 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 10/15/2024 – 07/15/2030, and U.S. Treasury Notes, 0.125% – 3.125% due 04/30/2022 – 02/15/2031, valued at $48,960,041); expected proceeds $48,000,413 | 0.010% | 07/08/2021 | 07/07/2021 | 48,000,000 | 48,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/25/2021 (collateralized by U.S. Treasury Bills, 0.000% due 09/02/2021 – 10/26/2021, valued at $510,000,028); expected proceeds $500,004,861 | 0.050% | 07/02/2021 | 07/02/2021 | $ 500,000,000 | $ 500,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% due 07/15/2024 – 10/15/2024, valued at $155,040,065); expected proceeds $152,000,211 | 0.050% | 07/01/2021 | 07/01/2021 | 152,000,000 | 152,000,000 | |||||
Agreement with Credit Suisse Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bills, 0.000% due 08/19/2021 – 06/16/2022, U.S. Treasury Inflation Index Bonds, 2.125% – 3.875% due 04/15/2029 – 02/15/2040, and U.S. Treasury Notes, 0.125% – 2.875% due 07/31/2021 – 11/15/2030, valued at $102,000,195); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.000% due 02/15/2023 – 02/15/2030, valued at $3,000,004,192); expected proceeds $3,000,004,167 | 0.050% | 07/01/2021 | 07/01/2021 | 3,000,000,000 | 3,000,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Notes, 0.350% – 2.250% due 10/31/2021 – 11/15/2027, valued at $877,314,315); expected proceeds $860,001,194 | 0.050% | 07/01/2021 | 07/01/2021 | 860,000,000 | 860,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2030, valued at $500,051,338); expected proceeds $490,001,024 | 0.050% | 07/01/2021 | 07/01/2021 | 490,000,343 | 490,000,343 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.125% due 05/31/2023, valued at $204,000,021); expected proceeds $200,000,278 | 0.050% | 07/01/2021 | 07/01/2021 | 200,000,000 | 200,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 07/01/2021, and U.S. Treasury Strips, 0.000% due 02/15/2032 – 08/15/2043, valued at $142,800,000); expected proceeds $140,000,194 | 0.050% | 07/01/2021 | 07/01/2021 | 140,000,000 | 140,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2022, valued at $102,000,336); expected proceeds $100,000,972 | 0.050% | 07/06/2021 | 07/06/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 6.000% – 7.625% due 11/15/2022 – 02/15/2026, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and a U.S. Treasury Note, 0.125% due 06/30/2023, valued at $22,440,059); expected proceeds $22,000,031 | 0.050% | 07/01/2021 | 07/01/2021 | 22,000,000 | 22,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 0.500% – 0.750% due 02/28/2026 – 05/31/2026, valued at $76,500,131); expected proceeds $75,000,104 | 0.050% | 07/01/2021 | 07/01/2021 | $ 75,000,000 | $ 75,000,000 | |||||
Agreement with MUFG Securities, dated 6/30/2021 (collateralized by a U.S. Treasury Note, 2.625% due 02/15/2029, valued at $96,868,365); expected proceeds $95,000,132 | 0.050% | 07/01/2021 | 07/01/2021 | 95,000,000 | 95,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 6/30/2021 (collateralized by a U.S. Treasury Note, 1.750%due 01/31/2023, valued at $101,938,824); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/09/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $56,100,040); expected proceeds $55,008,342 (c) | 0.060% | 07/09/2021 | 07/09/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 04/28/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 11/15/2026 – 08/15/2030, valued at $57,120,036); expected proceeds $56,006,533 (c) | 0.050% | 07/21/2021 | 07/21/2021 | 56,000,000 | 56,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/04/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $53,040,098); expected proceeds $52,006,500 (c) | 0.050% | 09/02/2021 | 09/02/2021 | 52,000,000 | 52,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/15/2021 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 0.625% – 2.000% due 06/30/2024 – 08/15/2030, valued at $107,100,088); expected proceeds $105,002,625 (c) | 0.030% | 07/15/2021 | 07/15/2021 | 105,000,000 | 105,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 2.875%due 08/15/2045, and U.S. Treasury Strips, 0.000%, due 11/15/2021 – 08/15/2030, valued at $48,873,430); expected proceeds $47,851,955 | 0.060% | 07/01/2021 | 07/01/2021 | 47,851,875 | 47,851,875 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2021 (collateralized by U.S. Treasury Strips, 0.000%, due 05/15/2029 – 05/15/2030, valued at $61,032,370); expected proceeds $59,758,850 | 0.060% | 07/01/2021 | 07/01/2021 | 59,758,750 | 59,758,750 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/03/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.000% due 02/15/2026 – 05/15/2051, U.S. Treasury Inflation Index Bonds, 0.250% – 2.500% due 01/15/2029 – 02/15/2050, and U.S. Treasury Notes, 0.250% – 2.000% due 09/30/2025 – 05/15/2030, valued at $49,980,054); expected proceeds $49,000,449 | 0.010% | 07/06/2021 | 07/07/2021 | 49,000,000 | 49,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.250% due 08/15/2023 – 05/15/2051, U.S. Treasury Inflation Index Bonds, 0.750% – 2.500% due 01/15/2029 – 02/15/2047, and U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 01/15/2026 – 07/15/2026, valued at $41,820,010); expected proceeds $41,000,057 | 0.050% | 07/01/2021 | 07/01/2021 | $ 41,000,000 | $ 41,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2021 (collateralized by U.S. Treasury Bonds, 2.750% – 3.750% due 11/15/2042 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 01/15/2027 – 02/15/2046, a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, U.S. Treasury Notes, 0.125% – 2.875% due 07/31/2021 – 12/31/2027, and U.S. Treasury Strips, 0.000% due 05/15/2027 – 02/15/2046, valued at $99,960,000); expected proceeds $98,000,953 | 0.050% | 07/06/2021 | 07/06/2021 | 98,000,000 | 98,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bonds, 1.250% – 1.875% due 11/15/2040 – 02/15/2051, valued at $319,260,049); expected proceeds $313,000,435 | 0.050% | 07/01/2021 | 07/01/2021 | 313,000,000 | 313,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by a U.S. Treasury Note, 0.500% due 03/15/2023, valued at $51,000,092); expected proceeds $50,000,069 | 0.050% | 07/01/2021 | 07/01/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2021 (collateralized by U.S. Treasury Bills, 0.000% due 07/06/2021 – 12/30/2021, U.S. Treasury Bonds, 1.875% – 8.000% due 11/15/2021 – 02/15/2051, U.S. Treasury Inflation Index Bonds, 0.750% – 2.375% due 01/15/2025 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 01/15/2023 – 07/15/2030, U.S. Treasury Notes, 0.125% – 2.750% due 02/15/2022 – 03/31/2028, and U.S. Treasury Strips, 0.000% due 11/15/2023 – 05/15/2050, valued at $102,000,091); expected proceeds $100,000,139 | 0.050% | 07/01/2021 | 07/01/2021 | 100,000,000 | 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,877,610,968 | |||||||||
TOTAL INVESTMENTS –97.9% (d)(e) | 23,704,574,094 | |||||||||
Other Assets in Excess of Liabilities —2.1% | 508,813,043 | |||||||||
NET ASSETS –100.0% | $24,213,387,137 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 $268,000,000 or 1.1% of net assets as of June 30, 2021. |
(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 | $15,826,963,126 |
Repurchase agreements, at value and amortized cost | 7,877,610,968 |
Total Investments | 23,704,574,094 |
Cash | 1,181,423,410 |
Interest receivable — unaffiliated issuers | 4,520,499 |
Other Receivable | 42,978 |
TOTAL ASSETS | 24,890,560,981 |
LIABILITIES | |
Payable for investments purchased | 675,394,936 |
Advisory and administrator fee payable | 993,920 |
Custody, sub-administration and transfer agent fees payable | 675,056 |
Professional fees payable | 74,256 |
Accrued expenses and other liabilities | 35,676 |
TOTAL LIABILITIES | 677,173,844 |
NET ASSETS | $24,213,387,137 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $10,980,881 |
EXPENSES | |
Advisory and administrator fee | 6,544,353 |
Custodian, sub-administrator and transfer agent fees | 1,656,224 |
Trustees’ fees and expenses | 135,671 |
Professional fees | 129,086 |
Printing and postage fees | 10,849 |
Insurance expense | 4,032 |
Miscellaneous expenses | 9,216 |
TOTAL EXPENSES | 8,489,431 |
NET INVESTMENT INCOME (LOSS) | $ 2,491,450 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 9,193 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 2,500,643 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,491,450 | $ 111,054,789 | |
Net realized gain (loss) | 9,193 | 91,876 | |
Net increase (decrease) in net assets resulting from operations | 2,500,643 | 111,146,665 | |
CAPITAL TRANSACTIONS | |||
Contributions | 32,927,539,284 | 96,988,717,280 | |
Withdrawals | (36,766,010,559) | (92,885,440,947) | |
Net increase (decrease) in net assets from capital transactions | (3,838,471,275) | 4,103,276,333 | |
Net increase (decrease) in net assets during the period | (3,835,970,632) | 4,214,422,998 | |
Net assets at beginning of period | 28,049,357,769 | 23,834,934,771 | |
NET ASSETS AT END OF PERIOD | $ 24,213,387,137 | $ 28,049,357,769 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 0.00%(b) | 0.46% | 2.19% | 1.82% | 0.82% | 0.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $24,213,387 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(c) | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.02%(c) | 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. |
(b) | Amount is less than 0.05%. |
(c) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,000.00 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Aggregate Bond Index Fund |
State Street Global All Cap Equity ex- U.S. Index Fund |
State Street Small/Mid Cap Equity Index Fund |
State Street Aggregate Bond Index Portfolio |
State Street Global All Cap Equity ex- U.S. Index Portfolio |
State Street Small/Mid Cap Equity Index Portfolio |
1 | |
5 | |
Portfolio Statistics (Unaudited) | |
14 | |
15 | |
16 | |
Schedules of Investments (Unaudited) | |
17 | |
78 | |
162 | |
192 | |
195 | |
198 | |
210 |
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* | $575,895,262 | $968,704,177 | $369,428,612 | ||
Receivable for investments sold | — | 3,749,406 | 24,153 | ||
Receivable for fund shares sold | 286,236 | 156,399 | 296,387 | ||
Receivable from Adviser | 46,716 | 113,928 | 50,511 | ||
TOTAL ASSETS | 576,228,214 | 972,723,910 | 369,799,663 | ||
LIABILITIES | |||||
Payable for investments purchased | 50,690 | — | — | ||
Payable for fund shares repurchased | 230,241 | 3,900,040 | 315,285 | ||
Advisory fee payable | 11,700 | 48,433 | 8,932 | ||
Custodian fees payable | 9,352 | 8,925 | 9,362 | ||
Administration fees payable | 23,401 | 40,362 | 14,887 | ||
Distribution fees payable | 2,206 | 2,539 | 8,762 | ||
Transfer agent fees payable | 29,960 | 16,455 | 4,909 | ||
Sub-transfer agent fee payable | 45,351 | 8,684 | 49,257 | ||
Registration and filing fees payable | 1,099 | 4,117 | 451 | ||
Professional fees payable | 15,013 | 14,801 | 15,376 | ||
Printing and postage fees payable | 4,256 | 4,489 | 3,837 | ||
Accrued expenses and other liabilities | 341 | 381,759 | 287 | ||
TOTAL LIABILITIES | 423,610 | 4,430,604 | 431,345 | ||
NET ASSETS | $575,804,604 | $968,293,306 | $369,368,318 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $572,517,246 | $789,237,994 | $283,894,822 | ||
Total distributable earnings (loss) | 3,287,358 | 179,055,312 | 85,473,496 | ||
NET ASSETS | $575,804,604 | $968,293,306 | $369,368,318 | ||
Class A | |||||
Net Assets | $ 10,750,029 | $ 12,287,196 | $ 44,529,682 | ||
Shares Outstanding | 104,568 | 105,059 | 117,802 | ||
Net asset value, offering and redemption price per share | $ 102.80 | $ 116.96 | $ 378.00 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 106.81 | $ 123.44 | $ 398.94 | ||
Class I | |||||
Net Assets | $ 9,355,304 | $ 685,317 | $ 16,606,882 | ||
Shares Outstanding | 91,248 | 5,844 | 43,872 | ||
Net asset value, offering and redemption price per share | $ 102.53 | $ 117.27 | $ 378.53 | ||
Class K | |||||
Net Assets | $555,699,271 | $955,320,793 | $308,231,754 | ||
Shares Outstanding | 5,420,485 | 8,132,889 | 813,357 | ||
Net asset value, offering and redemption price per share | $ 102.52 | $ 117.46 | $ 378.96 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $580,621,353 | $803,654,798 | $300,350,129 |
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 | $ 4,206,991 | $ — | $ — | ||
EXPENSES | |||||
Advisory fee | 62,851 | 272,688 | 49,816 | ||
Administration fees | 125,703 | 227,240 | 83,026 | ||
Sub-transfer agent fee | |||||
Class A | 11,551 | 11,120 | 34,839 | ||
Class I | 7,020 | 321 | 11,639 | ||
Distribution fees | |||||
Class A | 14,439 | 13,900 | 43,549 | ||
License fees | — | 147,186 | — | ||
Custodian fees | 18,942 | 19,812 | 18,944 | ||
Trustees’ fees and expenses | 10,500 | 10,500 | 10,500 | ||
Transfer agent fees | 64,226 | 54,516 | 30,713 | ||
Registration and filing fees | 49,203 | 61,137 | 47,383 | ||
Professional fees and expenses | 12,584 | 13,546 | 12,109 | ||
Printing and postage fees | 4,597 | 6,230 | 3,137 | ||
Insurance expense | 495 | 746 | 186 | ||
Miscellaneous expenses | 2,523 | — | 2,442 | ||
TOTAL EXPENSES | 384,634 | 838,942 | 348,283 | ||
Expenses waived/reimbursed by the Adviser | (288,773) | (735,431) | (183,532) | ||
NET EXPENSES | 95,861 | 103,511 | 164,751 | ||
NET INVESTMENT INCOME (LOSS) | $ 4,111,130 | $ (103,511) | $ (164,751) | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | 5,703,397 | 14,478,010 | 13,295,671 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | (16,948,173) | 68,716,034 | 29,826,768 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (11,244,776) | 83,194,044 | 43,122,439 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (7,133,646) | $83,090,533 | $42,957,688 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(b) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 4,111,130 | $ 7,091,813 | $ (103,511) | $ 13,311,878 | $ (164,751) | $ 2,918,168 | |||||
Net realized gain (loss) | 5,703,397 | 5,851,428 | 14,478,010 | 1,541,239 | 13,295,671 | 1,940,813 | |||||
Net change in unrealized appreciation/depreciation | (16,948,173) | 7,105,030 | 68,716,034 | 80,189,735 | 29,826,768 | 36,530,670 | |||||
Net increase (decrease) in net assets resulting from operations | (7,133,646) | 20,048,271 | 83,090,533 | 95,042,852 | 42,957,688 | 41,389,651 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (71,093) | (376,387) | — | (118,663) | — | (255,924) | |||||
Class I | (49,160) | (239,504) | — | (6,455) | — | (91,947) | |||||
Class K | (4,001,822) | (9,329,360) | — | (13,440,767) | — | (3,125,619) | |||||
Total distributions to shareholders | (4,122,075) | (9,945,251) | — | (13,565,885) | — | (3,473,490) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 3,244,913 | 11,684,206 | 2,489,811 | 3,031,290 | 19,349,909 | 6,208,805 | |||||
Reinvestment of distributions | 70,952 | 368,911 | — | 118,658 | — | 255,333 | |||||
Cost of shares redeemed | (3,443,710) | (20,967,724) | (608,625) | (1,641,250) | (5,109,996) | (7,879,861) | |||||
Net increase (decrease) from capital share transactions | (127,845) | (8,914,607) | 1,881,186 | 1,508,698 | 14,239,913 | (1,415,723) | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 3,392,040 | 2,323,532 | 237,048 | 180,901 | 8,488,231 | 1,136,933 | |||||
Reinvestment of distributions | 8,649 | 13,681 | — | 6,455 | — | 91,947 | |||||
Cost of shares redeemed | (1,971,456) | (1,868,214) | (23,239) | (451,774) | (891,102) | (1,563,862) | |||||
Net increase (decrease) from capital share transactions | 1,429,233 | 468,999 | 213,809 | (264,418) | 7,597,129 | (334,982) | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 347,921,130 | 224,103,569 | 221,589,565 | 375,663,145 | 120,618,433 | 125,769,004 | |||||
Reinvestment of distributions | 4,001,743 | 9,328,326 | — | 13,024,795 | — | 3,107,246 | |||||
Cost of shares redeemed | (147,731,708) | (90,609,127) | (143,339,627) | (97,810,660) | (66,021,788) | (21,298,146) | |||||
Net increase (decrease) from capital share transactions | 204,191,165 | 142,822,768 | 78,249,938 | 290,877,280 | 54,596,645 | 107,578,104 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 205,492,553 | 134,377,160 | 80,344,933 | 292,121,560 | 76,433,687 | 105,827,399 | |||||
Net increase (decrease) in net assets during the period | 194,236,832 | 144,480,180 | 163,435,466 | 373,598,527 | 119,391,375 | 143,743,560 | |||||
Net assets at beginning of period | 381,567,772 | 237,087,592 | 804,857,840 | 431,259,313 | 249,976,943 | 106,233,383 | |||||
NET ASSETS AT END OF PERIOD | $ 575,804,604 | $381,567,772 | $ 968,293,306 | $804,857,840 | $369,368,318 | $249,976,943 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 31,368 | 111,233 | 22,489 | 32,665 | 53,742 | 24,561 | |||||
Reinvestment of distributions | 691 | 3,511 | — | 1,111 | — | 777 | |||||
Shares redeemed | (33,624) | (199,831) | (5,395) | (18,284) | (14,212) | (34,042) | |||||
Net increase (decrease) from share transactions | (1,565) | (85,087) | 17,094 | 15,492 | 39,530 | (8,704) |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(b) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(c) | ||||||
Class I | |||||||||||
Shares sold | 33,272 | 22,114 | 2,142 | 1,912 | 24,005 | 4,431 | |||||
Reinvestment of distributions | 85 | 130 | — | 61 | — | 280 | |||||
Shares redeemed | (18,831) | (17,675) | (206) | (5,594) | (2,511) | (7,244) | |||||
Net increase (decrease) from share transactions | 14,526 | 4,569 | 1,936 | (3,621) | 21,494 | (2,533) | |||||
Class K | |||||||||||
Shares sold | 3,377,905 | 2,129,056 | 1,994,411 | 4,024,381 | 344,108 | 424,709 | |||||
Reinvestment of distributions | 39,130 | 88,818 | — | 121,727 | — | 9,452 | |||||
Shares redeemed | (1,440,362) | (861,992) | (1,275,374) | (1,043,008) | (186,008) | (86,179) | |||||
Net increase (decrease) from share transactions | 1,976,673 | 1,355,882 | 719,037 | 3,103,100 | 158,100 | 347,982 |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | After the close of trading on April 17, 2020, State Street Global All Cap Equity ex-U.S. Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(c) | After the close of trading on April 17, 2020, State Street Small/Mid Cap Equity Index Fund underwent a 1-for-20 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
Class A | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $105.53 | $101.10 | $ 95.50 | $98.20 | $97.50 | $97.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.60 | 2.18 | 3.40 | 2.60 | 2.10 | 1.60 | |||||
Net realized and unrealized gain (loss) | (2.71) | 5.10 | 4.40 | (3.00) | 0.80 | 0.30 | |||||
Total from investment operations | (2.11) | 7.28 | 7.80 | (0.40) | 2.90 | 1.90 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.62) | (2.06) | (2.20) | (2.30) | (2.10) | (1.80) | |||||
Net realized gains | — | (0.79) | — | — | (0.10) | (0.10) | |||||
Total distributions | (0.62) | (2.85) | (2.20) | (2.30) | (2.20) | (1.90) | |||||
Net asset value, end of period | $102.80 | $105.53 | $101.10 | $95.50 | $98.20 | $97.50 | |||||
Total return (c) | (2.00)% | 7.25% | 8.27% | (0.39)% | 2.93% | 1.91% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $10,750 | $ 11,200 | $19,325 | $1,121 | $ 340 | $ 211 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.59%(e) | 0.66% | 0.68% | 0.55% | 0.58% | 0.67% | |||||
Net expenses (d) | 0.48%(e) | 0.48% | 0.48% | 0.31% | 0.40% | 0.40% | |||||
Net investment income (loss) | 1.18%(e) | 2.08% | 3.45% | 2.74% | 2.11% | 1.65% | |||||
Portfolio turnover rate (f) | 11%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $105.23 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | $ 97.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.69 | 2.38 | 2.70 | 2.70 | 2.30 | 1.80 | |||||
Net realized and unrealized gain (loss) | (2.66) | 5.20 | 5.40 | (2.90) | 0.90 | 0.60 | |||||
Total from investment operations | (1.97) | 7.58 | 8.10 | (0.20) | 3.20 | 2.40 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.73) | (2.36) | (2.80) | (2.70) | (2.30) | (2.10) | |||||
Net realized gains | — | (0.79) | — | — | (0.10) | (0.10) | |||||
Total distributions | (0.73) | (3.15) | (2.80) | (2.70) | (2.40) | (2.20) | |||||
Net asset value, end of period | $102.53 | $105.23 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | |||||
Total return (c) | (1.87)% | 7.57% | 8.55% | (0.20)% | 3.29% | 2.37% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 9,355 | $ 8,073 | $ 7,273 | $10,598 | $10,807 | $12,370 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.34%(e) | 0.41% | 0.32% | 0.27% | 0.26% | 0.33% | |||||
Net expenses (d) | 0.23%(e) | 0.23% | 0.12% | 0.04% | 0.08% | 0.06% | |||||
Net investment income (loss) | 1.36%(e) | 2.27% | 2.73% | 2.78% | 2.30% | 1.83% | |||||
Portfolio turnover rate (f) | 11%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | $ 97.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.84 | 2.59 | 2.90 | 2.70 | 2.30 | 2.00 | |||||
Net realized and unrealized gain (loss) | (2.71) | 5.20 | 5.20 | (2.80) | 0.90 | 0.30 | |||||
Total from investment operations | (1.87) | 7.79 | 8.10 | (0.10) | 3.20 | 2.30 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.81) | (2.60) | (2.80) | (2.70) | (2.30) | (2.10) | |||||
Net realized gains | — | (0.79) | — | — | (0.10) | (0.10) | |||||
Total distributions | (0.81) | (3.39) | (2.80) | (2.70) | (2.40) | (2.20) | |||||
Net asset value, end of period | $ 102.52 | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | |||||
Total return (c) | (1.77)% | 7.79% | 8.57% | (0.10)% | 3.30% | 2.27% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $555,699 | $362,294 | $210,489 | $127,817 | $97,318 | $76,429 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.21% | 0.23% | 0.27% | 0.26% | 0.33% | |||||
Net expenses (d) | 0.03%(e) | 0.03% | 0.03% | 0.04% | 0.08% | 0.06% | |||||
Net investment income (loss) | 1.65%(e) | 2.47% | 2.94% | 2.83% | 2.37% | 1.98% | |||||
Portfolio turnover rate (f) | 11%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class A | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $107.01 | $ 98.00 | $84.60 | $106.70 | $ 87.40 | $84.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.26) | 1.63 | 3.20 | 3.60 | 0.80 | 3.10 | |||||
Net realized and unrealized gain (loss) | 10.21 | 8.74 | 14.50 | (19.00) | 22.50 | 0.90 | |||||
Total from investment operations | 9.95 | 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 | $ 116.96 | $107.01 | $98.00 | $ 84.60 | $106.70 | $87.40 | |||||
Total return (c) | 9.30% | 10.47% | 21.01% | (14.38)% | 26.68% | 4.75% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,287 | $ 9,413 | $7,104 | $ 3,599 | $ 927 | $1,564 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.63%(e) | 0.70% | 0.71% | 0.57% | 0.53% | 0.58% | |||||
Net expenses (d) | 0.47%(e) | 0.46% | 0.45% | 0.42% | 0.44% | 0.42% | |||||
Net investment income (loss) | (0.47)%(e) | 1.79% | 3.44% | 3.59% | 0.79% | 3.51% | |||||
Portfolio turnover rate (f) | 1%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $107.12 | $ 98.10 | $84.60 | $106.70 | $ 87.40 | $84.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.07) | 1.26 | 2.70 | 2.30 | 2.10 | 1.70 | |||||
Net realized and unrealized gain (loss) | 10.22 | 9.44 | 15.40 | (17.60) | 21.40 | 2.50 | |||||
Total from investment operations | 10.15 | 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 | $ 117.27 | $107.12 | $98.10 | $ 84.60 | $106.70 | $87.40 | |||||
Total return (c) | 9.48% | 10.91% | 21.24% | (14.18)% | 27.00% | 5.02% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 685 | $ 419 | $ 739 | $ 635 | $ 999 | $ 501 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.29%(e) | 0.40% | 0.38% | 0.43% | 0.23% | 0.32% | |||||
Net expenses (d) | 0.13%(e) | 0.16% | 0.12% | 0.30% | 0.15% | 0.16% | |||||
Net investment income (loss) | (0.13)%(e) | 1.37% | 2.90% | 2.27% | 2.12% | 2.01% | |||||
Portfolio turnover rate (f) | 1%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | $ 84.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.01) | 2.49 | 2.90 | 2.60 | 3.20 | 2.00 | |||||
Net realized and unrealized gain (loss) | 10.23 | 8.40 | 15.40 | (17.70) | 20.40 | 2.20 | |||||
Total from investment operations | 10.22 | 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 | $ 117.46 | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | |||||
Total return (c) | 9.53% | 11.08% | 21.49% | (14.03)% | 27.11% | 5.02% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $955,321 | $795,026 | $423,417 | $433,086 | $456,567 | $222,297 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.18%(e) | 0.25% | 0.27% | 0.18% | 0.18% | 0.23% | |||||
Net expenses (d) | 0.02%(e) | 0.01% | 0.01% | 0.05% | 0.10% | 0.07% | |||||
Net investment income (loss) | (0.02)%(e) | 2.70% | 3.12% | 2.57% | 3.16% | 2.28% | |||||
Portfolio turnover rate (f) | 1%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class A | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $330.61 | $253.40 | $209.40 | $239.00 | $213.40 | $186.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.88) | 2.82 | 4.40 | 6.40 | 10.60 | 1.40 | |||||
Net realized and unrealized gain (loss) | 48.27 | 77.73 | 53.00 | (29.00) | 27.40 | 28.20 | |||||
Total from investment operations | 47.39 | 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 | $378.00 | $330.61 | $253.40 | $209.40 | $239.00 | $213.40 | |||||
Total return (d) | 14.33% | 31.79% | 27.42% | (9.35)% | 17.87% | 15.67% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $44,530 | $25,877 | $22,037 | $ 9,274 | $ 988 | $ 114 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.61%(f) | 0.69% | 0.79% | 0.80% | 1.10% | 2.48% | |||||
Net expenses (e) | 0.50%(f) | 0.50% | 0.49% | 0.29% | 0.35% | 0.30% | |||||
Net investment income (loss) | (0.50)%(f) | 1.12% | 1.76% | 2.65% | 4.60% | 0.69% | |||||
Portfolio turnover rate (g) | 19%(h) | 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) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $330.66 | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.44) | 3.20 | 3.80 | 4.00 | 8.00 | 2.80 | |||||
Net realized and unrealized gain (loss) | 48.31 | 78.24 | 54.40 | (25.80) | 30.60 | 27.40 | |||||
Total from investment operations | 47.87 | 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 | $378.53 | $330.66 | $253.40 | $209.60 | $239.00 | $213.40 | |||||
Total return (d) | 14.48% | 32.15% | 27.70% | (9.07)% | 18.16% | 15.96% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $16,607 | $ 7,400 | $ 6,312 | $ 5,038 | $ 4,135 | $ 297 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.36%(f) | 0.44% | 0.46% | 0.61% | 0.90% | 2.22% | |||||
Net expenses (e) | 0.24%(f) | 0.25% | 0.17% | 0.07% | 0.11% | 0.05% | |||||
Net investment income (loss) | (0.24)%(f) | 1.28% | 1.58% | 1.58% | 3.42% | 1.42% | |||||
Portfolio turnover rate (g) | 19%(h) | 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) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 330.71 | $ 253.40 | $209.60 | $239.00 | $213.40 | $186.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.08) | 7.44 | 5.40 | 5.80 | 3.00 | 3.00 | |||||
Net realized and unrealized gain (loss) | 48.33 | 74.73 | 53.00 | (27.60) | 35.60 | 27.20 | |||||
Total from investment operations | 48.25 | 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 | $ 378.96 | $ 330.71 | $253.40 | $209.60 | $239.00 | $213.40 | |||||
Total return (d) | 14.59% | 32.44% | 27.84% | (9.03)% | 18.16% | 16.21% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $308,232 | $216,700 | $77,885 | $38,195 | $18,750 | $14,098 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.16%(f) | 0.24% | 0.34% | 0.55% | 0.96% | 2.21% | |||||
Net expenses (e) | 0.04%(f) | 0.05% | 0.05% | 0.04% | 0.05% | 0.05% | |||||
Net investment income (loss) | (0.04)%(f) | 2.91% | 2.17% | 2.37% | 1.29% | 1.51% | |||||
Portfolio turnover rate (g) | 19%(h) | 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) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
% of Net Assets | |||
U.S. Treasury Obligations | 37.1% | ||
U.S. Government Agency Obligations | 29.7 | ||
Corporate Bonds & Notes | 26.6 | ||
Foreign Government Obligations | 3.8 | ||
Mortgage-Backed Securities | 1.1 | ||
Municipal Bonds & Notes | 0.6 | ||
Asset-Backed Securities | 0.3 | ||
Short-Term Investments | 12.8 | ||
Liabilities in Excess of Other Assets | (12.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.5% | ||
Electric | 2.0 | ||
Pharmaceuticals | 1.8 | ||
Telecommunications | 1.4 | ||
Oil & Gas | 1.4 | ||
TOTAL | 12.1% |
% of Net Assets | |||
Common Stocks | 95.5% | ||
Warrants | 0.0 * | ||
Corporate Bonds & Notes | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 6.0 | ||
Liabilities in Excess of Other Assets | (1.5) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Common Stocks | 98.7% | ||
Rights | 0.0 * | ||
Corporate Bonds & Notes | 0.0 * | ||
Short-Term Investments | 3.5 | ||
Liabilities in Excess of Other Assets | (2.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Software | 12.8% | ||
Biotechnology | 6.8 | ||
Equity Real Estate Investment Trusts (REITs) | 6.1 | ||
IT Services | 5.2 | ||
Banks | 4.4 | ||
TOTAL | 35.3% |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 26.6% | ||||||
ADVERTISING — 0.0% (a) | ||||||
Interpublic Group of Cos., Inc.: | ||||||
2.40%, 3/1/2031 | $ 100,000 | $ 100,298 | ||||
3.38%, 3/1/2041 | 70,000 | 72,395 | ||||
4.65%, 10/1/2028 | 10,000 | 11,740 | ||||
5.40%, 10/1/2048 | 25,000 | 33,484 | ||||
Omnicom Group, Inc.: | ||||||
2.45%, 4/30/2030 | 100,000 | 101,569 | ||||
2.60%, 8/1/2031 (b) | 200,000 | 203,408 | ||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 110,387 | ||||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 25,905 | ||||
659,186 | ||||||
AEROSPACE & DEFENSE — 0.5% | ||||||
Boeing Co.: | ||||||
1.17%, 2/4/2023 | 65,000 | 65,242 | ||||
1.43%, 2/4/2024 | 100,000 | 100,257 | ||||
1.95%, 2/1/2024 | 30,000 | 30,744 | ||||
2.20%, 2/4/2026 | 650,000 | 656,142 | ||||
2.60%, 10/30/2025 | 35,000 | 36,428 | ||||
2.75%, 2/1/2026 | 550,000 | 574,068 | ||||
2.80%, 3/1/2023 | 25,000 | 25,844 | ||||
2.95%, 2/1/2030 | 50,000 | 51,200 | ||||
3.25%, 2/1/2028 | 50,000 | 53,024 | ||||
3.25%, 3/1/2028 | 25,000 | 26,374 | ||||
3.38%, 6/15/2046 | 25,000 | 24,084 | ||||
3.50%, 3/1/2039 | 250,000 | 251,980 | ||||
3.55%, 3/1/2038 | 165,000 | 169,018 | ||||
3.63%, 2/1/2031 | 30,000 | 32,269 | ||||
3.65%, 3/1/2047 | 100,000 | 99,751 | ||||
3.75%, 2/1/2050 | 50,000 | 51,578 | ||||
3.83%, 3/1/2059 | 250,000 | 251,768 | ||||
4.51%, 5/1/2023 | 400,000 | 426,340 | ||||
4.88%, 5/1/2025 | 335,000 | 375,468 | ||||
5.04%, 5/1/2027 | 150,000 | 173,166 | ||||
5.15%, 5/1/2030 | 200,000 | 237,010 | ||||
5.71%, 5/1/2040 | 150,000 | 193,539 | ||||
5.81%, 5/1/2050 | 200,000 | 269,858 | ||||
5.93%, 5/1/2060 | 150,000 | 206,901 | ||||
General Dynamics Corp.: | ||||||
1.15%, 6/1/2026 (b) | 35,000 | 35,175 | ||||
2.25%, 11/15/2022 | 25,000 | 25,542 | ||||
2.25%, 6/1/2031 (b) | 45,000 | 46,184 | ||||
2.38%, 11/15/2024 | 250,000 | 263,615 | ||||
2.85%, 6/1/2041 | 40,000 | 41,082 | ||||
3.63%, 4/1/2030 (b) | 100,000 | 113,126 | ||||
4.25%, 4/1/2050 | 60,000 | 76,849 | ||||
L3Harris Technologies, Inc.: | ||||||
2.90%, 12/15/2029 | 15,000 | 15,918 | ||||
3.83%, 4/27/2025 | 50,000 | 54,836 |
Security Description | Principal Amount | Value | ||||
3.85%, 6/15/2023 | $ 70,000 | $ 74,430 | ||||
3.85%, 12/15/2026 | 50,000 | 56,136 | ||||
4.40%, 6/15/2028 | 100,000 | 116,125 | ||||
Lockheed Martin Corp.: | ||||||
1.85%, 6/15/2030 (b) | 395,000 | 396,386 | ||||
2.80%, 6/15/2050 (b) | 400,000 | 401,144 | ||||
3.55%, 1/15/2026 | 100,000 | 110,546 | ||||
3.60%, 3/1/2035 | 50,000 | 57,368 | ||||
4.70%, 5/15/2046 | 110,000 | 145,554 | ||||
Northrop Grumman Corp.: | ||||||
2.93%, 1/15/2025 | 150,000 | 159,926 | ||||
3.25%, 8/1/2023 | 200,000 | 211,604 | ||||
3.25%, 1/15/2028 | 150,000 | 163,706 | ||||
4.03%, 10/15/2047 | 100,000 | 118,782 | ||||
4.75%, 6/1/2043 | 25,000 | 32,192 | ||||
Raytheon Technologies Corp.: | ||||||
2.25%, 7/1/2030 | 700,000 | 711,739 | ||||
3.13%, 5/4/2027 | 200,000 | 217,500 | ||||
3.13%, 7/1/2050 (b) | 200,000 | 205,656 | ||||
3.50%, 3/15/2027 | 136,000 | 150,073 | ||||
4.13%, 11/16/2028 | 60,000 | 69,107 | ||||
4.35%, 4/15/2047 | 450,000 | 551,200 | ||||
4.45%, 11/16/2038 | 20,000 | 24,206 | ||||
4.50%, 6/1/2042 | 100,000 | 124,469 | ||||
4.63%, 11/16/2048 | 35,000 | 44,942 | ||||
6.13%, 7/15/2038 | 50,000 | 71,363 | ||||
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 250,000 | 257,012 | ||||
9,525,546 | ||||||
AGRICULTURE — 0.3% | ||||||
Altria Group, Inc.: | ||||||
2.45%, 2/4/2032 | 250,000 | 241,638 | ||||
3.88%, 9/16/2046 | 100,000 | 99,152 | ||||
4.40%, 2/14/2026 | 117,000 | 132,352 | ||||
4.45%, 5/6/2050 | 500,000 | 532,045 | ||||
4.50%, 5/2/2043 | 25,000 | 26,991 | ||||
4.80%, 2/14/2029 | 40,000 | 46,386 | ||||
5.80%, 2/14/2039 | 285,000 | 351,371 | ||||
5.95%, 2/14/2049 | 75,000 | 96,011 | ||||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 (b) | 250,000 | 276,825 | ||||
BAT Capital Corp.: | ||||||
2.26%, 3/25/2028 | 25,000 | 24,859 | ||||
2.73%, 3/25/2031 (b) | 50,000 | 49,249 | ||||
2.79%, 9/6/2024 | 70,000 | 73,603 | ||||
3.22%, 8/15/2024 | 50,000 | 53,113 | ||||
3.22%, 9/6/2026 | 100,000 | 106,103 | ||||
3.46%, 9/6/2029 | 100,000 | 105,727 | ||||
3.56%, 8/15/2027 | 100,000 | 107,006 | ||||
3.73%, 9/25/2040 | 30,000 | 29,376 | ||||
3.98%, 9/25/2050 | 250,000 | 244,167 | ||||
4.39%, 8/15/2037 | 100,000 | 107,891 | ||||
4.54%, 8/15/2047 | 105,000 | 110,717 | ||||
4.70%, 4/2/2027 | 250,000 | 282,447 | ||||
4.76%, 9/6/2049 | 100,000 | 108,221 |
Security Description | Principal Amount | Value | ||||
BAT International Finance PLC 1.67%, 3/25/2026 | $ 525,000 | $ 525,651 | ||||
Bunge, Ltd. Finance Corp.: | ||||||
2.75%, 5/14/2031 | 200,000 | 202,294 | ||||
3.75%, 9/25/2027 | 30,000 | 33,080 | ||||
4.35%, 3/15/2024 (b) | 100,000 | 108,856 | ||||
Philip Morris International, Inc.: | ||||||
0.88%, 5/1/2026 | 150,000 | 148,110 | ||||
1.75%, 11/1/2030 | 150,000 | 145,398 | ||||
2.13%, 5/10/2023 | 75,000 | 77,258 | ||||
2.75%, 2/25/2026 | 125,000 | 133,396 | ||||
3.13%, 3/2/2028 (b) | 200,000 | 217,878 | ||||
4.13%, 3/4/2043 | 25,000 | 28,570 | ||||
4.25%, 11/10/2044 | 250,000 | 291,977 | ||||
4.50%, 3/20/2042 | 50,000 | 59,254 | ||||
Reynolds American, Inc.: | ||||||
5.70%, 8/15/2035 | 25,000 | 30,184 | ||||
5.85%, 8/15/2045 | 175,000 | 214,590 | ||||
5,421,746 | ||||||
AIRLINES — 0.1% | ||||||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 83,763 | 85,125 | ||||
American Airlines 2019-1 Pass Through Trust Series AA, Class AA, 3.15%, 8/15/2033 | 70,939 | 72,662 | ||||
Delta Air Lines 2020-1 Pass Through Trust Series AA, Class AA, 2.00%, 12/10/2029 | 94,021 | 94,862 | ||||
JetBlue 2020-1 Pass Through Trust Series 1A, 4.00%, 5/15/2034 | 24,182 | 26,627 | ||||
Southwest Airlines Co.: | ||||||
2.63%, 2/10/2030 | 100,000 | 102,566 | ||||
4.75%, 5/4/2023 | 250,000 | 268,320 | ||||
5.13%, 6/15/2027 | 100,000 | 117,757 | ||||
5.25%, 5/4/2025 | 90,000 | 102,807 | ||||
United Airlines 2016-1 Pass Through Trust Series AA, Class AA, 3.10%, 1/7/2030 | 40,766 | 43,005 | ||||
United Airlines 2018-1 Pass Through Trust Series AA, Class AA, 3.50%, 9/1/2031 | 101,598 | 106,073 | ||||
United Airlines 2019-1 Pass Through Trust Series AA, Class AA, 4.15%, 2/25/2033 | 67,407 | 73,926 |
Security Description | Principal Amount | Value | ||||
United Airlines 2019-2 Pass Through Trust Series AA, Class AA, 2.70%, 11/1/2033 | $ 62,472 | $ 62,383 | ||||
United Airlines 2020-1 Class B Pass Through Trust Series 2020-1, Class B, 4.88%, 1/15/2026 | 543,480 | 576,377 | ||||
United Airlines 2020-1 Pass Through Trust Series 20-1, Class A, 5.88%, 4/15/2029 | 561,473 | 624,555 | ||||
2,357,045 | ||||||
APPAREL — 0.1% | ||||||
NIKE, Inc.: | ||||||
2.38%, 11/1/2026 | 50,000 | 53,186 | ||||
2.40%, 3/27/2025 | 500,000 | 528,575 | ||||
2.85%, 3/27/2030 | 500,000 | 543,265 | ||||
3.25%, 3/27/2040 | 200,000 | 219,444 | ||||
3.38%, 3/27/2050 (b) | 150,000 | 169,323 | ||||
3.88%, 11/1/2045 | 30,000 | 35,951 | ||||
Ralph Lauren Corp.: | ||||||
2.95%, 6/15/2030 | 15,000 | 15,959 | ||||
3.75%, 9/15/2025 | 25,000 | 27,568 | ||||
VF Corp.: | ||||||
2.40%, 4/23/2025 | 100,000 | 104,869 | ||||
2.95%, 4/23/2030 | 65,000 | 68,791 | ||||
1,766,931 | ||||||
AUTO MANUFACTURERS — 0.5% | ||||||
American Honda Finance Corp.: | ||||||
Series MTN, 0.40%, 10/21/2022 | 150,000 | 150,238 | ||||
Series MTN, 0.88%, 7/7/2023 | 500,000 | 504,440 | ||||
Series MTN, 2.00%, 3/24/2028 (b) | 115,000 | 117,992 | ||||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 104,523 | ||||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 52,964 | ||||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 321,441 | ||||
Cummins, Inc. 1.50%, 9/1/2030 | 200,000 | 192,968 | ||||
General Motors Co.: | ||||||
5.15%, 4/1/2038 | 200,000 | 243,454 | ||||
5.20%, 4/1/2045 | 200,000 | 247,660 | ||||
5.40%, 10/2/2023 | 250,000 | 275,215 | ||||
6.13%, 10/1/2025 | 250,000 | 295,947 | ||||
6.60%, 4/1/2036 | 100,000 | 136,811 | ||||
6.75%, 4/1/2046 | 25,000 | 36,099 |
Security Description | Principal Amount | Value | |||
General Motors Financial Co., Inc.: | |||||
1.05%, 3/8/2024 | $ 50,000 | $ 50,303 | |||
1.25%, 1/8/2026 | 500,000 | 496,680 | |||
1.70%, 8/18/2023 | 300,000 | 306,066 | |||
2.40%, 4/10/2028 | 100,000 | 101,483 | |||
2.70%, 6/10/2031 | 500,000 | 503,440 | |||
3.55%, 7/8/2022 | 50,000 | 51,586 | |||
3.70%, 5/9/2023 | 100,000 | 105,016 | |||
3.95%, 4/13/2024 | 150,000 | 161,610 | |||
4.00%, 1/15/2025 | 35,000 | 38,133 | |||
4.15%, 6/19/2023 | 200,000 | 212,452 | |||
4.35%, 1/17/2027 | 185,000 | 208,057 | |||
5.20%, 3/20/2023 | 250,000 | 269,180 | |||
5.25%, 3/1/2026 | 100,000 | 115,530 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 1.10%, 5/11/2026 (b) | 70,000 | 70,132 | |||
Series MTN, 2.00%, 9/26/2022 | 30,000 | 30,614 | |||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 51,132 | |||
Series MTN, 2.65%, 4/6/2023 | 80,000 | 83,242 | |||
Toyota Motor Credit Corp.: | |||||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 25,656 | |||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 54,873 | |||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 106,692 | |||
Series MTN, 0.35%, 10/14/2022 | 100,000 | 100,106 | |||
Series MTN, 0.40%, 4/6/2023 | 55,000 | 55,034 | |||
Series MTN, 0.45%, 7/22/2022 | 100,000 | 100,221 | |||
Series MTN, 0.45%, 1/11/2024 | 750,000 | 747,765 | |||
Series MTN, 0.80%, 10/16/2025 | 100,000 | 99,240 | |||
Series MTN, 1.15%, 8/13/2027 | 60,000 | 59,077 | |||
Series MTN, 1.35%, 8/25/2023 | 150,000 | 152,926 | |||
Series MTN, 1.80%, 2/13/2025 | 150,000 | 154,731 | |||
Series MTN, 1.90%, 4/6/2028 (b) | 100,000 | 101,852 | |||
Series MTN, 2.15%, 9/8/2022 | 50,000 | 51,074 | |||
Series MTN, 2.90%, 3/30/2023 | 500,000 | 522,140 | |||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 53,115 | |||
Series MTN, 3.00%, 4/1/2025 | 500,000 | 537,335 |
Security Description | Principal Amount | Value | ||||
Series MTN, 3.40%, 4/14/2025 | $ 100,000 | $ 109,157 | ||||
8,565,402 | ||||||
AUTO PARTS & EQUIPMENT — 0.0% (a) | ||||||
Aptiv PLC: | ||||||
4.25%, 1/15/2026 | 25,000 | 28,248 | ||||
4.40%, 10/1/2046 (b) | 30,000 | 35,021 | ||||
Aptiv PLC 4.35%, 3/15/2029 | 45,000 | 51,877 | ||||
BorgWarner, Inc. 2.65%, 7/1/2027 (b) | 50,000 | 53,025 | ||||
Lear Corp.: | ||||||
3.50%, 5/30/2030 | 25,000 | 26,881 | ||||
4.25%, 5/15/2029 | 25,000 | 28,232 | ||||
5.25%, 5/15/2049 (b) | 30,000 | 37,825 | ||||
261,109 | ||||||
BANKS — 5.5% | ||||||
Banco Bilbao Vizcaya Argentaria SA 1.13%, 9/18/2025 | 200,000 | 198,378 | ||||
Banco Santander SA: | ||||||
1.85%, 3/25/2026 | 200,000 | 202,300 | ||||
2.75%, 5/28/2025 | 200,000 | 210,740 | ||||
2.75%, 12/3/2030 | 200,000 | 198,218 | ||||
2.96%, 3/25/2031 | 200,000 | 206,162 | ||||
3.13%, 2/23/2023 | 200,000 | 208,226 | ||||
4.38%, 4/12/2028 | 200,000 | 228,474 | ||||
Bank of America Corp.: | ||||||
6.11%, 1/29/2037 | 75,000 | 102,926 | ||||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (c) | 250,000 | 262,635 | ||||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (c) | 96,000 | 99,503 | ||||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (c) | 250,000 | 269,452 | ||||
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (c) | 750,000 | 817,747 | ||||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (c) | 100,000 | 115,699 | ||||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 237,696 | ||||
SOFR + 0.69%, 0.98%, 4/22/2025 (c) | 150,000 | 150,471 | ||||
SOFR + 0.96%, 1.73%, 7/22/2027 (c) | 650,000 | 655,369 | ||||
SOFR + 1.32%, 2.69%, 4/22/2032 (c) | 150,000 | 154,512 | ||||
SOFR + 1.58%, 3.31%, 4/22/2042 (c) | 150,000 | 158,646 |
Security Description | Principal Amount | Value | |||
SOFR + 2.15%, 2.59%, 4/29/2031 (c) | $ 735,000 | $ 756,616 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 143,095 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 274,995 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 54,904 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 50,333 | |||
Series MTN, 4.00%, 4/1/2024 (b) | 50,000 | 54,515 | |||
Series MTN, 4.13%, 1/22/2024 (b) | 25,000 | 27,221 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 54,880 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 65,225 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 133,180 | |||
Series MTN, 3 Month USD LIBOR + 0.64%, 2.02%, 2/13/2026 (c) | 500,000 | 515,500 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (c) | 75,000 | 78,482 | |||
Series MTN, 3 Month USD LIBOR + 0.94%, 3.86%, 7/23/2024 (c) | 500,000 | 532,865 | |||
Series MTN, 3 Month USD LIBOR + 0.99%, 2.50%, 2/13/2031 (c) | 250,000 | 255,610 | |||
Series MTN, 3 Month USD LIBOR + 1.06%, 3.56%, 4/23/2027 (c) | 250,000 | 273,710 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | 250,000 | 266,267 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (c) | 100,000 | 107,657 | |||
Series MTN, 3 Month USD LIBOR + 1.19%, 2.88%, 10/22/2030 (c) | 75,000 | 78,953 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (c) | 150,000 | 170,082 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (c) | 500,000 | 574,620 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (c) | 150,000 | 175,412 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 185,915 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 3.15%, 4.08%, 3/20/2051 (c) | $ 600,000 | $ 716,106 | |||
Series MTN, SOFR + 0.41%, 0.52%, 6/14/2024 (b) (c) | 700,000 | 699,797 | |||
Series MTN, SOFR + 0.74%, 0.81%, 10/24/2024 (c) | 100,000 | 100,336 | |||
Series MTN, SOFR + 0.91%, 0.98%, 9/25/2025 (c) | 250,000 | 249,708 | |||
Series MTN, SOFR + 1.01%, 1.20%, 10/24/2026 (c) | 100,000 | 99,185 | |||
Series MTN, SOFR + 1.06%, 2.09%, 6/14/2029 (c) | 700,000 | 705,719 | |||
Series MTN, SOFR + 1.15%, 1.32%, 6/19/2026 (c) | 200,000 | 200,480 | |||
Series MTN, SOFR + 1.37%, 1.92%, 10/24/2031 (c) | 100,000 | 97,468 | |||
Series MTN, SOFR + 1.46%, 1.49%, 5/19/2024 (c) | 400,000 | 407,068 | |||
Series MTN, SOFR + 1.53%, 1.90%, 7/23/2031 (c) | 500,000 | 485,165 | |||
Series MTN, SOFR + 1.88%, 2.83%, 10/24/2051 (c) | 275,000 | 268,799 | |||
Series MTN, SOFR + 1.93%, 2.68%, 6/19/2041 (c) | 350,000 | 340,550 | |||
Series N, SOFR + 0.91%, 1.66%, 3/11/2027 (c) | 600,000 | 605,064 | |||
Series N, SOFR + 1.22%, 2.65%, 3/11/2032 (c) | 150,000 | 153,987 | |||
Series N, SOFR + 1.65%, 3.48%, 3/13/2052 (c) | 350,000 | 382,970 | |||
Bank of Montreal: | |||||
0.45%, 12/8/2023 | 250,000 | 250,092 | |||
Series MTN, 1.85%, 5/1/2025 (b) | 500,000 | 516,650 | |||
Series MTN, 2.05%, 11/1/2022 | 60,000 | 61,400 | |||
Series MTN, 2.50%, 6/28/2024 (b) | 65,000 | 68,606 | |||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 30,848 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 | 100,000 | 107,511 | |||
Series MTN, 0.50%, 4/26/2024 | 100,000 | 99,864 |
Security Description | Principal Amount | Value | |||
Series MTN, 0.75%, 1/28/2026 | $ 250,000 | $ 247,458 | |||
Series MTN, 1.65%, 7/14/2028 (b) | 100,000 | 100,344 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 207,200 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 109,936 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 277,135 | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (c) | 250,000 | 275,365 | |||
Bank of Nova Scotia: | |||||
0.70%, 4/15/2024 | 165,000 | 165,160 | |||
1.05%, 3/2/2026 | 250,000 | 247,530 | |||
1.30%, 6/11/2025 (b) | 150,000 | 151,436 | |||
1.35%, 6/24/2026 (b) | 100,000 | 99,989 | |||
1.63%, 5/1/2023 | 400,000 | 408,920 | |||
2.15%, 8/1/2031 | 100,000 | 99,622 | |||
Barclays PLC: | |||||
3.68%, 1/10/2023 | 200,000 | 203,392 | |||
4.38%, 1/12/2026 | 50,000 | 56,022 | |||
5.25%, 8/17/2045 | 25,000 | 33,235 | |||
1 year CMT + 0.80%, 1.01%, 12/10/2024 (c) | 245,000 | 245,914 | |||
1 year CMT + 1.20%, 2.67%, 3/10/2032 (c) | 200,000 | 201,354 | |||
1 year CMT + 1.70%, 3.81%, 3/10/2042 (c) | 550,000 | 580,420 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (c) | 250,000 | 266,522 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (c) | 250,000 | 269,740 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | 200,000 | 234,354 | |||
SOFR + 2.71%, 2.85%, 5/7/2026 (c) | 200,000 | 211,266 | |||
5 year CMT + 2.90%, 3.56%, 9/23/2035 (c) | 250,000 | 260,442 | |||
BBVA USA 2.50%, 8/27/2024 | 250,000 | 263,137 | |||
BNP Paribas SA Series MTN, 4.25%, 10/15/2024 (b) | 250,000 | 276,785 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 272,627 | |||
Canadian Imperial Bank of Commerce: | |||||
0.45%, 6/22/2023 | 75,000 | 74,990 | |||
0.50%, 12/14/2023 | 200,000 | 199,434 | |||
0.95%, 6/23/2023 | 500,000 | 504,580 | |||
0.95%, 10/23/2025 | 45,000 | 44,800 | |||
1.25%, 6/22/2026 | 100,000 | 99,499 |
Security Description | Principal Amount | Value | |||
3.10%, 4/2/2024 | $ 100,000 | $ 106,312 | |||
3 Month USD LIBOR + 0.79%, 2.61%, 7/22/2023 (c) | 50,000 | 51,164 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 | 250,000 | 269,042 | |||
Citigroup, Inc.: | |||||
2.70%, 10/27/2022 | 250,000 | 257,150 | |||
3.20%, 10/21/2026 | 300,000 | 325,041 | |||
3.75%, 6/16/2024 | 25,000 | 27,199 | |||
4.13%, 7/25/2028 | 70,000 | 78,938 | |||
4.30%, 11/20/2026 | 50,000 | 56,491 | |||
4.40%, 6/10/2025 | 250,000 | 279,282 | |||
4.45%, 9/29/2027 | 150,000 | 171,315 | |||
4.65%, 7/30/2045 | 25,000 | 32,217 | |||
4.65%, 7/23/2048 | 250,000 | 327,460 | |||
5.30%, 5/6/2044 | 50,000 | 67,086 | |||
6.68%, 9/13/2043 | 175,000 | 269,048 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (c) | 250,000 | 266,645 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (c) | 100,000 | 102,547 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 273,775 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (c) | 250,000 | 283,787 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 110,447 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | 250,000 | 278,180 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (c) | 150,000 | 186,509 | |||
SOFR + 0.67%, 0.98%, 5/1/2025 (c) | 100,000 | 100,249 | |||
SOFR + 0.69%, 0.78%, 10/30/2024 (c) | 600,000 | 601,416 | |||
SOFR + 0.77%, 1.12%, 1/28/2027 (c) | 1,000,000 | 985,970 | |||
SOFR + 0.77%, 1.46%, 6/9/2027 (c) | 500,000 | 497,850 | |||
SOFR + 1.17%, 2.56%, 5/1/2032 (c) | 110,000 | 112,064 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (c) | 100,000 | 106,072 | |||
SOFR + 1.67%, 1.68%, 5/15/2024 (c) | 500,000 | 510,585 | |||
SOFR + 2.11%, 2.57%, 6/3/2031 (c) | 150,000 | 154,154 |
Security Description | Principal Amount | Value | |||
SOFR + 2.84%, 3.11%, 4/8/2026 (c) | $ 250,000 | $ 267,460 | |||
SOFR + 3.91%, 4.41%, 3/31/2031 (c) | 250,000 | 292,275 | |||
SOFR + 4.55%, 5.32%, 3/26/2041 (c) | 250,000 | 335,300 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 4/28/2025 | 250,000 | 261,212 | |||
Citizens Financial Group, Inc.: | |||||
2.50%, 2/6/2030 | 75,000 | 76,999 | |||
2.85%, 7/27/2026 | 25,000 | 26,657 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 53,177 | |||
4.00%, 2/1/2029 | 50,000 | 57,465 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 259,082 | |||
4.38%, 8/4/2025 | 250,000 | 278,730 | |||
5.75%, 12/1/2043 | 50,000 | 70,663 | |||
Series BKNT, 3.75%, 7/21/2026 | 500,000 | 549,750 | |||
Credit Suisse AG: | |||||
0.50%, 2/2/2024 | 500,000 | 498,190 | |||
1.00%, 5/5/2023 | 250,000 | 252,547 | |||
2.95%, 4/9/2025 | 500,000 | 535,785 | |||
Series MTN, 3.63%, 9/9/2024 | 500,000 | 542,995 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.80%, 6/9/2023 | 150,000 | 158,856 | |||
Deutsche Bank AG: | |||||
0.90%, 5/28/2024 | 150,000 | 149,405 | |||
3.30%, 11/16/2022 (b) | 250,000 | 258,702 | |||
3.70%, 5/30/2024 | 50,000 | 53,623 | |||
3.95%, 2/27/2023 | 250,000 | 262,435 | |||
SOFR + 0.72%, 3.04%, 5/28/2032 (c) | 150,000 | 152,580 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (c) | 500,000 | 507,710 | |||
SOFR + 2.16%, 2.22%, 9/18/2024 (c) | 250,000 | 256,710 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 | 250,000 | 260,675 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 27,280 | |||
Fifth Third Bancorp: | |||||
2.55%, 5/5/2027 | 500,000 | 528,685 | |||
3.95%, 3/14/2028 | 100,000 | 115,185 | |||
Fifth Third Bank NA Series BKNT, 3.85%, 3/15/2026 | 225,000 | 249,746 | |||
FNB Corp. 2.20%, 2/24/2023 | 10,000 | 10,158 | |||
Goldman Sachs Group, Inc.: | |||||
0.52%, 3/8/2023 | 65,000 | 65,038 |
Security Description | Principal Amount | Value | |||
2.60%, 2/7/2030 | $ 750,000 | $ 777,817 | |||
3.50%, 1/23/2025 | 50,000 | 54,054 | |||
3.50%, 4/1/2025 | 250,000 | 271,140 | |||
3.50%, 11/16/2026 | 250,000 | 271,807 | |||
3.63%, 1/22/2023 | 25,000 | 26,233 | |||
3.75%, 2/25/2026 | 50,000 | 55,315 | |||
3.80%, 3/15/2030 | 250,000 | 281,277 | |||
4.00%, 3/3/2024 | 800,000 | 868,976 | |||
4.75%, 10/21/2045 | 50,000 | 65,293 | |||
5.15%, 5/22/2045 | 250,000 | 333,410 | |||
5.95%, 1/15/2027 | 50,000 | 60,934 | |||
6.25%, 2/1/2041 | 200,000 | 296,214 | |||
6.75%, 10/1/2037 | 150,000 | 218,436 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (c) | 250,000 | 256,262 | |||
3 Month USD LIBOR + 1.30%, 4.22%, 5/1/2029 (c) | 500,000 | 570,835 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 234,504 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 426,268 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 276,102 | |||
SOFR + 0.51%, 0.66%, 9/10/2024 (c) | 100,000 | 99,822 | |||
SOFR + 0.57%, 0.67%, 3/8/2024 (c) | 100,000 | 100,180 | |||
SOFR + 0.61%, 0.86%, 2/12/2026 (c) | 535,000 | 531,020 | |||
SOFR + 0.80%, 1.43%, 3/9/2027 (c) | 80,000 | 79,765 | |||
SOFR + 0.82%, 1.54%, 9/10/2027 (c) | 150,000 | 149,540 | |||
SOFR + 1.09%, 1.99%, 1/27/2032 (c) | 90,000 | 87,395 | |||
SOFR + 1.28%, 2.62%, 4/22/2032 (c) | 180,000 | 184,086 | |||
SOFR + 1.51%, 3.21%, 4/22/2042 (c) | 155,000 | 162,192 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 347,613 | |||
Series FXD, 0.48%, 1/27/2023 | 200,000 | 200,006 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 65,263 | |||
Series VAR, SOFR + 0.54%, 0.63%, 11/17/2023 (c) | 405,000 | 405,219 | |||
Series VAR, SOFR + 0.79%, 1.09%, 12/9/2026 (c) | 450,000 | 443,110 |
Security Description | Principal Amount | Value | |||
HSBC Holdings PLC: | |||||
3.60%, 5/25/2023 | $ 250,000 | $ 264,685 | |||
4.30%, 3/8/2026 | 250,000 | 282,215 | |||
4.95%, 3/31/2030 | 250,000 | 301,715 | |||
5.25%, 3/14/2044 | 250,000 | 324,212 | |||
6.50%, 9/15/2037 | 200,000 | 278,578 | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (c) | 250,000 | 258,950 | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (c) | 250,000 | 265,487 | |||
3 Month USD LIBOR + 1.21%, 3.80%, 3/11/2025 (c) | 750,000 | 806,452 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (c) | 200,000 | 222,590 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (c) | 250,000 | 288,962 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | 250,000 | 277,290 | |||
SOFR + 1.19%, 2.80%, 5/24/2032 (c) | 200,000 | 205,300 | |||
SOFR + 1.29%, 1.59%, 5/24/2027 (c) | 750,000 | 750,997 | |||
SOFR + 1.54%, 1.65%, 4/18/2026 (c) | 350,000 | 354,679 | |||
SOFR + 1.73%, 2.01%, 9/22/2028 (c) | 200,000 | 200,668 | |||
SOFR + 1.93%, 2.10%, 6/4/2026 (c) | 500,000 | 514,290 | |||
SOFR + 2.39%, 2.85%, 6/4/2031 (c) | 200,000 | 207,544 | |||
Huntington Bancshares, Inc. 4.00%, 5/15/2025 | 100,000 | 111,000 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 266,480 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 215,328 | |||
4.55%, 10/2/2028 | 200,000 | 234,732 | |||
Series VAR, SOFR + 1.01%, 1.73%, 4/1/2027 (c) | 500,000 | 504,405 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 55,259 | |||
JPMorgan Chase & Co.: | |||||
2.70%, 5/18/2023 | 125,000 | 129,930 | |||
2.95%, 10/1/2026 | 350,000 | 377,111 | |||
2.97%, 1/15/2023 | 50,000 | 50,711 | |||
3.38%, 5/1/2023 | 75,000 | 78,953 | |||
3.88%, 2/1/2024 (b) | 50,000 | 54,190 | |||
4.13%, 12/15/2026 | 50,000 | 56,586 | |||
4.25%, 10/1/2027 | 80,000 | 91,223 |
Security Description | Principal Amount | Value | |||
4.85%, 2/1/2044 | $ 50,000 | $ 65,558 | |||
4.95%, 6/1/2045 | 50,000 | 66,215 | |||
5.40%, 1/6/2042 | 50,000 | 68,722 | |||
5.50%, 10/15/2040 | 150,000 | 205,458 | |||
5.63%, 8/16/2043 | 250,000 | 353,055 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (c) | 75,000 | 79,088 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (c) | 200,000 | 212,936 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | 185,000 | 203,824 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 106,214 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (c) | 125,000 | 139,800 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (c) | 200,000 | 229,656 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 277,442 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 230,308 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 219,624 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 117,172 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 58,895 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 121,624 | |||
SOFR + 0.42%, 0.56%, 2/16/2025 (b) (c) | 120,000 | 119,251 | |||
SOFR + 0.58%, 0.70%, 3/16/2024 (c) | 600,000 | 601,914 | |||
SOFR + 0.58%, 0.97%, 6/23/2025 (c) | 100,000 | 100,118 | |||
SOFR + 0.60%, 0.65%, 9/16/2024 (c) | 350,000 | 350,185 | |||
SOFR + 0.70%, 1.04%, 2/4/2027 (c) | 250,000 | 245,728 | |||
SOFR + 0.80%, 1.05%, 11/19/2026 (c) | 600,000 | 592,542 | |||
SOFR + 0.89%, 1.58%, 4/22/2027 (c) | 135,000 | 135,725 | |||
SOFR + 1.07%, 1.95%, 2/4/2032 (c) | 650,000 | 632,079 |
Security Description | Principal Amount | Value | |||
SOFR + 1.11%, 1.76%, 11/19/2031 (c) | $ 100,000 | $ 96,042 | |||
SOFR + 1.25%, 2.58%, 4/22/2032 (c) | 905,000 | 929,788 | |||
SOFR + 1.46%, 1.51%, 6/1/2024 (c) | 200,000 | 203,778 | |||
SOFR + 1.46%, 3.16%, 4/22/2042 (c) | 200,000 | 208,248 | |||
SOFR + 1.51%, 2.53%, 11/19/2041 (c) | 100,000 | 95,269 | |||
SOFR + 1.58%, 3.33%, 4/22/2052 (c) | 485,000 | 517,607 | |||
SOFR + 1.59%, 2.01%, 3/13/2026 (c) | 720,000 | 743,422 | |||
SOFR + 1.85%, 2.08%, 4/22/2026 (c) | 250,000 | 258,522 | |||
SOFR + 1.89%, 2.18%, 6/1/2028 (c) | 200,000 | 204,692 | |||
SOFR + 2.04%, 2.52%, 4/22/2031 (c) | 500,000 | 513,860 | |||
SOFR + 2.44%, 3.11%, 4/22/2051 (c) | 250,000 | 259,157 | |||
SOFR + 2.46%, 3.11%, 4/22/2041 (c) | 165,000 | 170,980 | |||
SOFR + 2.52%, 2.96%, 5/13/2031 (c) | 565,000 | 593,809 | |||
SOFR + 3.79%, 4.49%, 3/24/2031 (c) | 250,000 | 296,297 | |||
KeyBank NA: | |||||
Series BKNT, 2.30%, 9/14/2022 | 250,000 | 255,872 | |||
Series BKNT, 3.40%, 5/20/2026 | 25,000 | 27,261 | |||
KeyCorp.: | |||||
Series MTN, 2.25%, 4/6/2027 | 100,000 | 103,722 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 73,304 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 26,153 | |||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 51,979 | |||
Lloyds Banking Group PLC: | |||||
3.75%, 1/11/2027 | 100,000 | 110,360 | |||
3.90%, 3/12/2024 | 250,000 | 270,840 | |||
4.34%, 1/9/2048 | 200,000 | 234,422 | |||
4.55%, 8/16/2028 | 250,000 | 291,315 | |||
4.65%, 3/24/2026 | 100,000 | 113,120 | |||
1 year CMT + 0.55%, 0.70%, 5/11/2024 (c) | 200,000 | 200,514 | |||
1 year CMT + 0.85%, 1.63%, 5/11/2027 (c) | 200,000 | 200,282 | |||
1 year CMT + 3.50%, 3.87%, 7/9/2025 (c) | 250,000 | 270,905 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (c) | $ 200,000 | $ 206,242 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
1.41%, 7/17/2025 | 500,000 | 505,380 | |||
2.19%, 2/25/2025 | 250,000 | 260,197 | |||
2.67%, 7/25/2022 | 300,000 | 307,503 | |||
2.76%, 9/13/2026 | 25,000 | 26,597 | |||
3.29%, 7/25/2027 | 50,000 | 55,045 | |||
3.41%, 3/7/2024 | 250,000 | 267,795 | |||
3.46%, 3/2/2023 | 50,000 | 52,525 | |||
3.68%, 2/22/2027 | 50,000 | 55,853 | |||
3.74%, 3/7/2029 | 250,000 | 281,432 | |||
3.76%, 7/26/2023 | 100,000 | 106,768 | |||
3.78%, 3/2/2025 | 50,000 | 54,895 | |||
3.85%, 3/1/2026 | 25,000 | 27,942 | |||
3.96%, 3/2/2028 | 50,000 | 56,814 | |||
4.05%, 9/11/2028 | 100,000 | 114,957 | |||
4.29%, 7/26/2038 | 35,000 | 42,525 | |||
1 year CMT + 0.68%, 0.85%, 9/15/2024 (c) | 250,000 | 251,200 | |||
Mizuho Financial Group, Inc.: | |||||
4.02%, 3/5/2028 | 200,000 | 228,112 | |||
3 Month USD LIBOR + 1.31%, 2.87%, 9/13/2030 (c) | 200,000 | 210,030 | |||
SOFR + 1.24%, 2.84%, 7/16/2025 (c) | 200,000 | 211,090 | |||
SOFR + 1.77%, 2.20%, 7/10/2031 (c) | 500,000 | 499,250 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 110,981 | |||
3.95%, 4/23/2027 | 25,000 | 27,927 | |||
4.30%, 1/27/2045 | 50,000 | 62,013 | |||
4.38%, 1/22/2047 | 100,000 | 125,339 | |||
6.38%, 7/24/2042 | 65,000 | 99,645 | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (c) | 250,000 | 264,345 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | 100,000 | 110,799 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (c) | 250,000 | 308,442 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 117,325 | |||
SOFR + 0.526%, 0.79%, 5/30/2025 (b) (c) | 150,000 | 149,408 | |||
SOFR + 0.62%, 0.73%, 4/5/2024 (c) | 240,000 | 240,523 | |||
SOFR + 0.72%, 0.99%, 12/10/2026 (c) | 450,000 | 443,331 | |||
SOFR + 0.88%, 1.59%, 5/4/2027 (c) | 245,000 | 246,688 |
Security Description | Principal Amount | Value | |||
SOFR + 1.49%, 3.22%, 4/22/2042 (c) | $ 145,000 | $ 153,429 | |||
SOFR + 1.99%, 2.19%, 4/28/2026 (c) | 255,000 | 264,876 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 312,831 | |||
Series GMTN, 3.70%, 10/23/2024 | 250,000 | 272,587 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 52,695 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 139,718 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 556,720 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 56,664 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (c) | 250,000 | 293,167 | |||
Series GMTN, SOFR + 1.14%, 2.70%, 1/22/2031 (c) | 250,000 | 261,875 | |||
Series GMTN, SOFR + 4.84%, 5.60%, 3/24/2051 (c) | 200,000 | 297,872 | |||
Series I, SOFR + 0.75%, 0.86%, 10/21/2025 (c) | 515,000 | 514,954 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 243,583 | |||
Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024 (c) | 500,000 | 499,840 | |||
Series MTN, SOFR + 0.47%, 0.56%, 11/10/2023 (c) | 75,000 | 75,083 | |||
Series MTN, SOFR + 1.03%, 1.79%, 2/13/2032 (c) | 65,000 | 62,525 | |||
Series MTN, SOFR + 1.15%, 2.72%, 7/22/2025 (c) | 500,000 | 526,395 | |||
Series MTN, SOFR + 3.12%, 3.62%, 4/1/2031 (c) | 500,000 | 558,470 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 261,037 | |||
Series BKNT, 2.50%, 7/12/2026 | 50,000 | 53,170 | |||
National Bank of Canada Series MTN, 1 year CMT + 0.40%, 0.55%, 11/15/2024 (c) | 250,000 | 248,905 | |||
Natwest Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 80,119 | |||
1 year CMT + 0.90%, 1.64%, 6/14/2027 (c) | 1,450,000 | 1,449,927 | |||
1 year CMT + 2.55%, 3.07%, 5/22/2028 (c) | 500,000 | 527,525 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (c) | $ 250,000 | $ 268,385 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) | 200,000 | 229,216 | |||
Northern Trust Corp.: | |||||
1.95%, 5/1/2030 | 75,000 | 75,603 | |||
3.65%, 8/3/2028 | 100,000 | 113,190 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 68,476 | |||
PNC Bank NA Series BKNT, 3.25%, 1/22/2028 | 250,000 | 276,000 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 | 150,000 | 157,338 | |||
2.55%, 1/22/2030 | 500,000 | 526,440 | |||
3.15%, 5/19/2027 | 100,000 | 109,427 | |||
3.45%, 4/23/2029 | 100,000 | 111,909 | |||
3.50%, 1/23/2024 | 50,000 | 53,679 | |||
3.90%, 4/29/2024 | 50,000 | 54,333 | |||
SOFR + 0.98%, 2.31%, 4/23/2032 (b) (c) | 135,000 | 138,187 | |||
Regions Financial Corp. 2.25%, 5/18/2025 | 100,000 | 104,187 | |||
Royal Bank of Canada: | |||||
1.20%, 4/27/2026 | 100,000 | 99,892 | |||
Series GMTN, 1.60%, 4/17/2023 | 500,000 | 510,930 | |||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 536,235 | |||
Series GMTN, 4.65%, 1/27/2026 (b) | 100,000 | 114,601 | |||
Series MTN, 0.50%, 10/26/2023 | 35,000 | 35,035 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 52,035 | |||
4.40%, 7/13/2027 | 50,000 | 56,095 | |||
4.50%, 7/17/2025 | 50,000 | 55,480 | |||
3.50%, 6/7/2024 | 70,000 | 74,912 | |||
Santander UK Group Holdings PLC: | |||||
3.57%, 1/10/2023 | 250,000 | 253,992 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) | 200,000 | 219,788 | |||
SOFR + 0.79%, 1.09%, 3/15/2025 (c) | 200,000 | 200,766 | |||
SOFR + 0.99%, 1.67%, 6/14/2027 (c) | 750,000 | 748,590 | |||
1 year CMT + 1.25%, 1.53%, 8/21/2026 (c) | 750,000 | 751,395 |
Security Description | Principal Amount | Value | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
1.47%, 7/8/2025 | $ 200,000 | $ 202,302 | |||
2.14%, 9/23/2030 | 200,000 | 195,582 | |||
2.30%, 1/12/2041 | 750,000 | 702,412 | |||
2.35%, 1/15/2025 | 500,000 | 522,540 | |||
2.45%, 9/27/2024 | 200,000 | 209,868 | |||
2.78%, 7/12/2022 | 350,000 | 358,886 | |||
2.78%, 10/18/2022 | 100,000 | 103,060 | |||
3.01%, 10/19/2026 | 50,000 | 53,964 | |||
3.04%, 7/16/2029 | 200,000 | 214,404 | |||
3.10%, 1/17/2023 | 200,000 | 208,418 | |||
3.36%, 7/12/2027 | 50,000 | 54,664 | |||
3.75%, 7/19/2023 | 50,000 | 53,341 | |||
3.78%, 3/9/2026 | 30,000 | 33,391 | |||
3.94%, 7/19/2028 | 50,000 | 56,808 | |||
4.31%, 10/16/2028 (b) | 100,000 | 116,016 | |||
SunTrust Bank Series BKNT, 4.05%, 11/3/2025 | 40,000 | 44,954 | |||
SVB Financial Group: | |||||
1.80%, 2/2/2031 | 135,000 | 129,146 | |||
2.10%, 5/15/2028 | 80,000 | 81,126 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 15,426 | |||
Toronto-Dominion Bank: | |||||
0.55%, 3/4/2024 | 250,000 | 249,807 | |||
Series GMTN, 3.50%, 7/19/2023 (b) | 50,000 | 53,173 | |||
Series MTN, 0.30%, 6/2/2023 | 100,000 | 99,959 | |||
Series MTN, 0.45%, 9/11/2023 | 200,000 | 200,128 | |||
Series MTN, 0.75%, 6/12/2023 | 165,000 | 166,188 | |||
Series MTN, 0.75%, 9/11/2025 (b) | 250,000 | 247,615 | |||
Series MTN, 1.15%, 6/12/2025 | 200,000 | 201,488 | |||
Series MTN, 1.20%, 6/3/2026 (b) | 100,000 | 100,240 | |||
Truist Bank: | |||||
Series BKNT, 1.25%, 3/9/2023 | 500,000 | 507,480 | |||
Series BKNT, 1.50%, 3/10/2025 (b) | 250,000 | 255,645 | |||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 51,081 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 104,027 | |||
Series BKNT, 3.63%, 9/16/2025 | 25,000 | 27,516 | |||
Truist Financial Corp.: | |||||
4.00%, 5/1/2025 | 100,000 | 111,071 | |||
Series MTN, 1.13%, 8/3/2027 (b) | 100,000 | 97,615 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.20%, 3/16/2023 | $ 100,000 | $ 102,949 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 105,438 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 53,774 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 113,859 | |||
Series MTN, SOFR + 0.61%, 1.27%, 3/2/2027 (c) | 60,000 | 59,947 | |||
Series MTN, SOFR + 0.86%, 1.89%, 6/7/2029 (c) | 50,000 | 50,262 | |||
US Bancorp: | |||||
1.45%, 5/12/2025 | 150,000 | 153,344 | |||
2.40%, 7/30/2024 | 100,000 | 105,282 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 108,200 | |||
Series MTN, 1.38%, 7/22/2030 (b) | 150,000 | 144,102 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 54,439 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 27,226 | |||
US Bank NA: | |||||
Series BKNT, 2.05%, 1/21/2025 | 500,000 | 521,870 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 265,090 | |||
Wells Fargo & Co.: | |||||
3.00%, 4/22/2026 (b) | 250,000 | 268,877 | |||
3.00%, 10/23/2026 | 250,000 | 269,557 | |||
4.13%, 8/15/2023 | 25,000 | 26,870 | |||
4.48%, 1/16/2024 | 25,000 | 27,366 | |||
5.38%, 11/2/2043 | 150,000 | 200,853 | |||
5.61%, 1/15/2044 | 325,000 | 444,519 | |||
SOFR + 2.00%, 2.19%, 4/30/2026 (c) | 310,000 | 321,839 | |||
SOFR + 2.53%, 3.07%, 4/30/2041 (c) | 915,000 | 938,278 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 56,976 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 191,999 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 161,670 | |||
Series MTN, 3.55%, 9/29/2025 (b) | 50,000 | 54,979 | |||
Series MTN, 3.75%, 1/24/2024 | 1,000,000 | 1,075,500 | |||
Series MTN, 4.15%, 1/24/2029 | 250,000 | 287,715 | |||
Series MTN, 3 Month USD LIBOR + 0.75%, 2.16%, 2/11/2026 (c) | 625,000 | 648,456 |
Security Description | Principal Amount | Value | ||||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (c) | $ 110,000 | $ 118,823 | ||||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 385,346 | ||||
Series MTN, SOFR + 1.09%, 2.41%, 10/30/2025 (c) | 250,000 | 261,565 | ||||
Series MTN, SOFR + 1.26%, 2.57%, 2/11/2031 (c) | 250,000 | 258,792 | ||||
Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (c) | 665,000 | 679,317 | ||||
Series MTN, SOFR + 2.10%, 2.39%, 6/2/2028 (c) | 200,000 | 207,384 | ||||
Series MTN, SOFR + 4.03%, 4.48%, 4/4/2031 (c) | 150,000 | 177,363 | ||||
Series MTN, SOFR + 4.50%, 5.01%, 4/4/2051 (c) | 500,000 | 684,960 | ||||
Westpac Banking Corp.: | ||||||
1.15%, 6/3/2026 | 100,000 | 100,080 | ||||
2.15%, 6/3/2031 | 600,000 | 606,798 | ||||
2.35%, 2/19/2025 (b) | 100,000 | 105,113 | ||||
2.85%, 5/13/2026 | 50,000 | 53,949 | ||||
2.96%, 11/16/2040 | 530,000 | 520,349 | ||||
3.30%, 2/26/2024 | 300,000 | 321,609 | ||||
3.35%, 3/8/2027 | 150,000 | 165,896 | ||||
3.40%, 1/25/2028 | 100,000 | 111,940 | ||||
3.65%, 5/15/2023 (b) | 100,000 | 106,109 | ||||
4.42%, 7/24/2039 | 25,000 | 29,542 | ||||
5 year CMT + 2.00%, 4.11%, 7/24/2034 (b) (c) | 30,000 | 32,928 | ||||
5 year CMT + 1.75%, 2.67%, 11/15/2035 (c) | 40,000 | 39,383 | ||||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 262,020 | ||||
103,820,349 | ||||||
BEVERAGES — 0.7% | ||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.65%, 2/1/2026 | 250,000 | 276,375 | ||||
4.70%, 2/1/2036 | 125,000 | 153,309 | ||||
4.90%, 2/1/2046 | 250,000 | 316,227 | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.50%, 6/1/2030 | 500,000 | 555,705 | ||||
3.75%, 7/15/2042 | 50,000 | 54,471 | ||||
4.00%, 4/13/2028 | 80,000 | 91,085 | ||||
4.35%, 6/1/2040 | 500,000 | 595,005 | ||||
4.38%, 4/15/2038 | 215,000 | 256,224 |
Security Description | Principal Amount | Value | |||
4.50%, 6/1/2050 | $ 250,000 | $ 304,847 | |||
4.60%, 4/15/2048 | 35,000 | 42,790 | |||
4.60%, 6/1/2060 | 500,000 | 615,305 | |||
4.75%, 1/23/2029 | 750,000 | 893,340 | |||
4.75%, 4/15/2058 | 125,000 | 156,604 | |||
4.90%, 1/23/2031 (b) | 65,000 | 79,938 | |||
4.95%, 1/15/2042 | 250,000 | 315,322 | |||
5.45%, 1/23/2039 | 350,000 | 461,734 | |||
5.55%, 1/23/2049 | 350,000 | 481,236 | |||
5.80%, 1/23/2059 | 45,000 | 65,033 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 54,549 | |||
4.00%, 4/15/2038 | 50,000 | 58,887 | |||
Coca-Cola Co 1.45%, 6/1/2027 | 790,000 | 797,616 | |||
Coca-Cola Co.: | |||||
1.00%, 3/15/2028 | 250,000 | 242,550 | |||
1.38%, 3/15/2031 | 200,000 | 191,038 | |||
1.50%, 3/5/2028 (b) | 60,000 | 60,139 | |||
2.00%, 3/5/2031 (b) | 65,000 | 65,644 | |||
2.13%, 9/6/2029 (b) | 150,000 | 154,628 | |||
2.25%, 1/5/2032 | 100,000 | 102,387 | |||
2.50%, 3/15/2051 | 250,000 | 235,427 | |||
2.60%, 6/1/2050 | 350,000 | 336,927 | |||
2.88%, 5/5/2041 | 100,000 | 103,611 | |||
3.00%, 3/5/2051 | 90,000 | 93,400 | |||
Coca-Cola Femsa SAB de CV 1.85%, 9/1/2032 | 250,000 | 241,140 | |||
Constellation Brands, Inc.: | |||||
2.88%, 5/1/2030 | 25,000 | 26,256 | |||
3.15%, 8/1/2029 | 100,000 | 107,489 | |||
3.75%, 5/1/2050 | 20,000 | 22,052 | |||
4.25%, 5/1/2023 | 25,000 | 26,660 | |||
4.50%, 5/9/2047 | 50,000 | 60,465 | |||
4.65%, 11/15/2028 | 30,000 | 35,319 | |||
Diageo Capital PLC: | |||||
2.13%, 4/29/2032 | 500,000 | 502,675 | |||
2.63%, 4/29/2023 | 75,000 | 77,716 | |||
3.88%, 5/18/2028 | 200,000 | 228,426 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 30,653 | |||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 157,897 | |||
Keurig Dr Pepper, Inc.: | |||||
0.75%, 3/15/2024 | 550,000 | 550,528 | |||
2.25%, 3/15/2031 (b) | 40,000 | 40,333 | |||
3.13%, 12/15/2023 | 50,000 | 53,044 | |||
3.20%, 5/1/2030 | 45,000 | 48,759 | |||
3.35%, 3/15/2051 (b) | 280,000 | 294,319 | |||
3.80%, 5/1/2050 | 70,000 | 78,853 | |||
4.06%, 5/25/2023 (b) | 25,000 | 26,647 | |||
4.42%, 5/25/2025 | 200,000 | 224,544 | |||
5.09%, 5/25/2048 | 25,000 | 33,079 | |||
Molson Coors Beverage Co. 4.20%, 7/15/2046 (b) | 30,000 | 33,392 |
Security Description | Principal Amount | Value | ||||
Molson Coors Brewing Co. 3.00%, 7/15/2026 | $ 50,000 | $ 53,625 | ||||
PepsiCo, Inc.: | ||||||
0.40%, 10/7/2023 | 525,000 | 525,430 | ||||
0.75%, 5/1/2023 | 365,000 | 368,040 | ||||
1.40%, 2/25/2031 (b) | 40,000 | 38,681 | ||||
1.63%, 5/1/2030 (b) | 75,000 | 74,015 | ||||
2.25%, 3/19/2025 (b) | 250,000 | 262,787 | ||||
2.63%, 7/29/2029 | 50,000 | 53,538 | ||||
2.85%, 2/24/2026 | 85,000 | 91,803 | ||||
2.88%, 10/15/2049 | 100,000 | 102,755 | ||||
3.38%, 7/29/2049 | 35,000 | 39,129 | ||||
3.45%, 10/6/2046 | 150,000 | 168,372 | ||||
3.60%, 3/1/2024 | 775,000 | 832,900 | ||||
3.63%, 3/19/2050 | 150,000 | 175,462 | ||||
4.45%, 4/14/2046 | 75,000 | 96,012 | ||||
4.60%, 7/17/2045 | 25,000 | 32,623 | ||||
14,026,771 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Amgen, Inc.: | ||||||
2.20%, 2/21/2027 | 70,000 | 72,689 | ||||
2.30%, 2/25/2031 (b) | 100,000 | 101,272 | ||||
2.77%, 9/1/2053 | 65,000 | 61,779 | ||||
3.15%, 2/21/2040 | 850,000 | 884,000 | ||||
3.20%, 11/2/2027 | 250,000 | 272,780 | ||||
3.38%, 2/21/2050 | 600,000 | 632,274 | ||||
3.63%, 5/22/2024 | 100,000 | 107,668 | ||||
4.40%, 5/1/2045 | 50,000 | 60,632 | ||||
4.56%, 6/15/2048 | 200,000 | 251,458 | ||||
4.66%, 6/15/2051 | 150,000 | 193,722 | ||||
Baxalta, Inc. 4.00%, 6/23/2025 | 8,000 | 8,843 | ||||
Biogen, Inc.: | ||||||
2.25%, 5/1/2030 | 35,000 | 35,093 | ||||
3.25%, 2/15/2051 (d) | 308,000 | 308,108 | ||||
4.05%, 9/15/2025 | 50,000 | 55,672 | ||||
Gilead Sciences, Inc.: | ||||||
0.75%, 9/29/2023 | 45,000 | 45,033 | ||||
1.20%, 10/1/2027 | 295,000 | 287,528 | ||||
1.65%, 10/1/2030 (b) | 290,000 | 280,436 | ||||
2.60%, 10/1/2040 | 350,000 | 337,148 | ||||
2.80%, 10/1/2050 (b) | 100,000 | 96,066 | ||||
2.95%, 3/1/2027 | 25,000 | 26,906 | ||||
3.25%, 9/1/2022 | 250,000 | 257,155 | ||||
3.65%, 3/1/2026 | 85,000 | 93,748 | ||||
4.15%, 3/1/2047 | 120,000 | 141,210 | ||||
4.50%, 2/1/2045 | 25,000 | 30,530 | ||||
4.60%, 9/1/2035 | 100,000 | 122,321 | ||||
4.75%, 3/1/2046 | 175,000 | 221,900 | ||||
4.80%, 4/1/2044 | 25,000 | 31,653 | ||||
Regeneron Pharmaceuticals, Inc.: | ||||||
1.75%, 9/15/2030 | 35,000 | 33,201 | ||||
2.80%, 9/15/2050 | 30,000 | 27,348 |
Security Description | Principal Amount | Value | ||||
Royalty Pharma PLC: | ||||||
0.75%, 9/2/2023 (d) | $ 55,000 | $ 55,164 | ||||
1.20%, 9/2/2025 (d) | 70,000 | 69,406 | ||||
2.20%, 9/2/2030 (d) | 40,000 | 39,237 | ||||
3.30%, 9/2/2040 (d) | 65,000 | 65,348 | ||||
3.55%, 9/2/2050 (d) | 315,000 | 314,499 | ||||
5,621,827 | ||||||
BUILDING MATERIALS — 0.2% | ||||||
Carrier Global Corp.: | ||||||
2.24%, 2/15/2025 | 535,000 | 556,603 | ||||
2.70%, 2/15/2031 | 250,000 | 257,998 | ||||
2.72%, 2/15/2030 | 300,000 | 311,025 | ||||
3.38%, 4/5/2040 | 1,015,000 | 1,068,084 | ||||
3.58%, 4/5/2050 | 550,000 | 583,808 | ||||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 53,602 | ||||
Johnson Controls International PLC: | ||||||
4.50%, 2/15/2047 | 320,000 | 401,408 | ||||
3.63%, 7/2/2024 (e) | 23,000 | 24,713 | ||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75%, 9/15/2030 | 15,000 | 14,457 | ||||
Leidos, Inc. 2.30%, 2/15/2031 | 55,000 | 53,887 | ||||
Lennox International, Inc. 1.35%, 8/1/2025 | 25,000 | 25,164 | ||||
Martin Marietta Materials, Inc.: | ||||||
0.65%, 7/15/2023 (f) | 25,000 | 25,048 | ||||
2.40%, 7/15/2031 (f) | 50,000 | 50,210 | ||||
3.20%, 7/15/2051 (f) | 70,000 | 69,910 | ||||
4.25%, 12/15/2047 | 100,000 | 116,829 | ||||
Masco Corp.: | ||||||
2.00%, 2/15/2031 | 100,000 | 97,522 | ||||
3.13%, 2/15/2051 | 500,000 | 496,175 | ||||
4.50%, 5/15/2047 | 100,000 | 121,337 | ||||
Owens Corning: | ||||||
3.95%, 8/15/2029 | 70,000 | 79,118 | ||||
4.30%, 7/15/2047 | 100,000 | 116,281 | ||||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 125,951 | ||||
4,649,130 | ||||||
CHEMICALS — 0.5% | ||||||
Air Products & Chemicals, Inc.: | ||||||
1.50%, 10/15/2025 | 20,000 | 20,463 | ||||
2.05%, 5/15/2030 | 20,000 | 20,387 | ||||
2.70%, 5/15/2040 | 50,000 | 50,601 | ||||
2.80%, 5/15/2050 | 35,000 | 35,071 | ||||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 27,009 | ||||
Celanese US Holdings LLC: | ||||||
3.50%, 5/8/2024 | 30,000 | 32,113 |
Security Description | Principal Amount | Value | |||
4.63%, 11/15/2022 | $ 10,000 | $ 10,540 | |||
Dow Chemical Co.: | |||||
2.10%, 11/15/2030 (b) | 500,000 | 495,150 | |||
3.60%, 11/15/2050 (b) | 750,000 | 808,545 | |||
3.63%, 5/15/2026 | 100,000 | 110,650 | |||
4.25%, 10/1/2034 | 50,000 | 57,830 | |||
4.38%, 11/15/2042 | 50,000 | 59,593 | |||
4.80%, 11/30/2028 | 100,000 | 119,940 | |||
4.80%, 5/15/2049 | 65,000 | 83,243 | |||
DuPont de Nemours, Inc.: | |||||
4.21%, 11/15/2023 | 750,000 | 811,965 | |||
4.49%, 11/15/2025 | 100,000 | 113,686 | |||
4.73%, 11/15/2028 | 150,000 | 178,770 | |||
5.42%, 11/15/2048 (b) | 110,000 | 152,760 | |||
Eastman Chemical Co.: | |||||
3.80%, 3/15/2025 | 25,000 | 27,311 | |||
4.50%, 12/1/2028 | 100,000 | 116,630 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 153,138 | |||
2.70%, 11/1/2026 (b) | 150,000 | 160,707 | |||
EI du Pont de Nemours & Co. 1.70%, 7/15/2025 | 40,000 | 41,004 | |||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 121,384 | |||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 22,759 | |||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 45,000 | 52,078 | |||
Linde, Inc.: | |||||
3.20%, 1/30/2026 | 275,000 | 300,897 | |||
3.55%, 11/7/2042 | 25,000 | 28,802 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 31,151 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 | 100,000 | 109,124 | |||
LYB International Finance III LLC: | |||||
1.25%, 10/1/2025 | 20,000 | 19,976 | |||
2.25%, 10/1/2030 | 25,000 | 24,976 | |||
2.88%, 5/1/2025 | 50,000 | 53,120 | |||
3.38%, 5/1/2030 | 50,000 | 54,322 | |||
3.38%, 10/1/2040 | 280,000 | 290,231 | |||
3.63%, 4/1/2051 (b) | 40,000 | 42,354 | |||
3.80%, 10/1/2060 | 30,000 | 31,676 | |||
4.20%, 10/15/2049 | 50,000 | 57,278 | |||
4.20%, 5/1/2050 | 50,000 | 57,351 | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | 25,000 | 30,385 | |||
5.75%, 4/15/2024 | 100,000 | 112,014 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 258,787 | |||
4.05%, 11/15/2027 | 250,000 | 280,185 | |||
5.63%, 11/15/2043 | 25,000 | 32,729 |
Security Description | Principal Amount | Value | ||||
NewMarket Corp. 2.70%, 3/18/2031 | $ 750,000 | $ 751,252 | ||||
Nutrien, Ltd.: | ||||||
2.95%, 5/13/2030 | 100,000 | 105,558 | ||||
3.00%, 4/1/2025 | 50,000 | 53,241 | ||||
4.00%, 12/15/2026 | 50,000 | 56,339 | ||||
4.13%, 3/15/2035 | 25,000 | 28,583 | ||||
4.20%, 4/1/2029 | 85,000 | 97,724 | ||||
5.00%, 4/1/2049 | 150,000 | 197,740 | ||||
PPG Industries, Inc.: | ||||||
1.20%, 3/15/2026 | 70,000 | 69,854 | ||||
2.80%, 8/15/2029 | 100,000 | 106,242 | ||||
Praxair, Inc. 1.10%, 8/10/2030 | 500,000 | 470,070 | ||||
RPM International, Inc.: | ||||||
3.75%, 3/15/2027 | 50,000 | 54,893 | ||||
4.25%, 1/15/2048 | 200,000 | 220,026 | ||||
5.25%, 6/1/2045 | 25,000 | 31,270 | ||||
Sherwin-Williams Co.: | ||||||
2.30%, 5/15/2030 (b) | 60,000 | 60,839 | ||||
2.95%, 8/15/2029 | 50,000 | 53,708 | ||||
3.30%, 5/15/2050 (b) | 100,000 | 106,117 | ||||
3.45%, 6/1/2027 | 30,000 | 33,059 | ||||
3.80%, 8/15/2049 | 50,000 | 57,430 | ||||
Westlake Chemical Corp.: | ||||||
4.38%, 11/15/2047 | 150,000 | 175,848 | ||||
5.00%, 8/15/2046 (b) | 100,000 | 126,501 | ||||
8,554,979 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Automatic Data Processing, Inc.: | ||||||
1.25%, 9/1/2030 (b) | 75,000 | 71,645 | ||||
1.70%, 5/15/2028 | 60,000 | 60,494 | ||||
Block Financial LLC 3.88%, 8/15/2030 | 30,000 | 32,439 | ||||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 50,870 | ||||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 167,904 | ||||
Equifax, Inc.: | ||||||
2.60%, 12/1/2024 | 50,000 | 52,701 | ||||
3.95%, 6/15/2023 | 40,000 | 42,501 | ||||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 124,101 | ||||
Georgetown University Series 20A, 2.94%, 4/1/2050 | 25,000 | 25,388 | ||||
Global Payments, Inc.: | ||||||
1.20%, 3/1/2026 | 75,000 | 74,370 | ||||
2.65%, 2/15/2025 | 350,000 | 368,690 | ||||
Massachusetts Institute of Technology: | ||||||
3.96%, 7/1/2038 | 50,000 | 60,163 |
Security Description | Principal Amount | Value | ||||
Series F, 2.99%, 7/1/2050 | $ 100,000 | $ 110,515 | ||||
Moody's Corp. 2.63%, 1/15/2023 | 250,000 | 258,102 | ||||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 182,021 | ||||
Novant Health, Inc. 3.17%, 11/1/2051 | 85,000 | 89,263 | ||||
PayPal Holdings, Inc.: | ||||||
1.35%, 6/1/2023 | 250,000 | 254,523 | ||||
2.20%, 9/26/2022 | 20,000 | 20,481 | ||||
2.30%, 6/1/2030 (b) | 55,000 | 56,993 | ||||
2.40%, 10/1/2024 | 35,000 | 36,892 | ||||
2.65%, 10/1/2026 | 270,000 | 289,583 | ||||
2.85%, 10/1/2029 | 30,000 | 32,396 | ||||
3.25%, 6/1/2050 (b) | 65,000 | 70,702 | ||||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 251,516 | ||||
RELX Capital, Inc.: | ||||||
3.50%, 3/16/2023 | 30,000 | 31,472 | ||||
4.00%, 3/18/2029 | 100,000 | 113,585 | ||||
S&P Global, Inc.: | ||||||
2.50%, 12/1/2029 | 55,000 | 57,752 | ||||
3.25%, 12/1/2049 | 65,000 | 70,028 | ||||
Total System Services, Inc. 4.45%, 6/1/2028 | 100,000 | 115,234 | ||||
Trustees of Princeton University Series 2020, 2.52%, 7/1/2050 | 20,000 | 19,751 | ||||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 28,421 | ||||
University of Chicago Series 20B, 2.76%, 4/1/2045 | 10,000 | 10,133 | ||||
University of Southern California: | ||||||
2.81%, 10/1/2050 | 50,000 | 50,808 | ||||
3.03%, 10/1/2039 | 25,000 | 26,801 | ||||
Series A, 3.23%, 10/1/2120 | 35,000 | 34,692 | ||||
Verisk Analytics, Inc. 4.13%, 3/15/2029 (b) | 120,000 | 136,374 | ||||
3,479,304 | ||||||
COMPUTERS — 0.8% | ||||||
Apple, Inc.: | ||||||
0.55%, 8/20/2025 | 200,000 | 197,800 | ||||
0.70%, 2/8/2026 | 200,000 | 197,802 | ||||
0.75%, 5/11/2023 | 465,000 | 468,855 | ||||
1.13%, 5/11/2025 | 350,000 | 354,182 | ||||
1.20%, 2/8/2028 | 500,000 | 492,555 | ||||
1.25%, 8/20/2030 | 200,000 | 191,782 | ||||
1.65%, 5/11/2030 | 90,000 | 89,213 | ||||
1.65%, 2/8/2031 (b) | 200,000 | 196,818 |
Security Description | Principal Amount | Value | |||
2.05%, 9/11/2026 | $ 750,000 | $ 784,635 | |||
2.38%, 2/8/2041 | 50,000 | 48,644 | |||
2.40%, 1/13/2023 (b) | 200,000 | 206,276 | |||
2.40%, 5/3/2023 | 25,000 | 25,938 | |||
2.40%, 8/20/2050 | 110,000 | 103,674 | |||
2.65%, 5/11/2050 | 300,000 | 294,033 | |||
2.65%, 2/8/2051 | 200,000 | 196,198 | |||
2.75%, 1/13/2025 | 200,000 | 213,830 | |||
2.80%, 2/8/2061 | 500,000 | 489,080 | |||
2.85%, 5/11/2024 | 200,000 | 212,324 | |||
3.00%, 2/9/2024 | 850,000 | 901,875 | |||
3.00%, 11/13/2027 | 100,000 | 109,455 | |||
3.20%, 5/11/2027 | 250,000 | 276,157 | |||
3.25%, 2/23/2026 | 150,000 | 164,718 | |||
3.45%, 5/6/2024 | 250,000 | 270,615 | |||
3.45%, 2/9/2045 | 350,000 | 392,542 | |||
3.85%, 5/4/2043 | 25,000 | 29,756 | |||
3.85%, 8/4/2046 | 150,000 | 178,167 | |||
4.38%, 5/13/2045 | 75,000 | 95,605 | |||
4.50%, 2/23/2036 | 350,000 | 441,966 | |||
4.65%, 2/23/2046 | 75,000 | 99,516 | |||
Dell International LLC/EMC Corp.: | |||||
4.00%, 7/15/2024 | 50,000 | 54,352 | |||
4.90%, 10/1/2026 | 100,000 | 115,396 | |||
5.45%, 6/15/2023 | 325,000 | 352,544 | |||
6.02%, 6/15/2026 | 520,000 | 623,662 | |||
6.20%, 7/15/2030 | 250,000 | 321,430 | |||
8.35%, 7/15/2046 | 1,020,000 | 1,668,771 | |||
DXC Technology Co. 4.13%, 4/15/2025 | 65,000 | 71,432 | |||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 53,450 | |||
Hewlett Packard Enterprise Co.: | |||||
1.45%, 4/1/2024 | 150,000 | 152,526 | |||
1.75%, 4/1/2026 | 150,000 | 151,743 | |||
4.40%, 10/15/2022 | 200,000 | 208,736 | |||
4.45%, 10/2/2023 | 250,000 | 270,510 | |||
4.65%, 10/1/2024 | 250,000 | 277,885 | |||
4.90%, 10/15/2025 | 70,000 | 79,710 | |||
6.20%, 10/15/2035 | 10,000 | 13,571 | |||
6.35%, 10/15/2045 | 10,000 | 13,503 | |||
HP, Inc.: | |||||
1.45%, 6/17/2026 (d) | 200,000 | 198,944 | |||
4.05%, 9/15/2022 | 25,000 | 26,069 | |||
6.00%, 9/15/2041 | 250,000 | 328,795 | |||
International Business Machines Corp.: | |||||
1.70%, 5/15/2027 | 850,000 | 861,033 | |||
1.95%, 5/15/2030 | 350,000 | 349,674 | |||
2.85%, 5/15/2040 | 100,000 | 101,107 | |||
2.88%, 11/9/2022 | 100,000 | 103,472 | |||
2.95%, 5/15/2050 | 100,000 | 100,305 | |||
3.00%, 5/15/2024 | 200,000 | 213,138 | |||
3.30%, 5/15/2026 | 250,000 | 274,930 |
Security Description | Principal Amount | Value | ||||
3.50%, 5/15/2029 | $ 215,000 | $ 240,697 | ||||
3.63%, 2/12/2024 | 50,000 | 53,850 | ||||
4.15%, 5/15/2039 | 100,000 | 118,821 | ||||
4.70%, 2/19/2046 (b) | 325,000 | 423,920 | ||||
5.88%, 11/29/2032 | 25,000 | 34,252 | ||||
Leidos, Inc. 3.63%, 5/15/2025 | 25,000 | 27,151 | ||||
15,609,390 | ||||||
CONSTRUCTION MATERIALS — 0.0% (a) | ||||||
Carrier Global Corp. 2.49%, 2/15/2027 | 35,000 | 36,626 | ||||
COSMETICS/PERSONAL CARE — 0.2% | ||||||
Colgate-Palmolive Co.: | ||||||
Series GMTN, 2.25%, 11/15/2022 | 30,000 | 30,802 | ||||
Series MTN, 3.70%, 8/1/2047 | 55,000 | 66,390 | ||||
Estee Lauder Cos., Inc.: | ||||||
1.95%, 3/15/2031 (b) | 95,000 | 94,944 | ||||
2.00%, 12/1/2024 | 45,000 | 47,039 | ||||
2.38%, 12/1/2029 | 40,000 | 41,787 | ||||
3.13%, 12/1/2049 (b) | 60,000 | 65,166 | ||||
Procter & Gamble Co.: | ||||||
0.55%, 10/29/2025 | 550,000 | 543,246 | ||||
1.00%, 4/23/2026 | 500,000 | 504,035 | ||||
1.20%, 10/29/2030 (b) | 800,000 | 762,376 | ||||
2.45%, 11/3/2026 | 150,000 | 160,521 | ||||
3.00%, 3/25/2030 (b) | 100,000 | 110,282 | ||||
Unilever Capital Corp.: | ||||||
1.38%, 9/14/2030 (b) | 100,000 | 96,682 | ||||
2.00%, 7/28/2026 (b) | 100,000 | 104,252 | ||||
2.90%, 5/5/2027 | 150,000 | 162,535 | ||||
3.10%, 7/30/2025 | 50,000 | 54,337 | ||||
2,844,394 | ||||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | ||||||
WW Grainger, Inc.: | ||||||
1.85%, 2/15/2025 | 100,000 | 103,531 | ||||
4.60%, 6/15/2045 | 50,000 | 64,572 | ||||
168,103 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
1.75%, 1/30/2026 (b) | 225,000 | 222,415 | ||||
3.65%, 7/21/2027 (b) | 150,000 | 160,345 | ||||
4.50%, 9/15/2023 | 150,000 | 160,891 | ||||
6.50%, 7/15/2025 | 500,000 | 586,265 | ||||
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | 70,000 | 75,516 | ||||
Air Lease Corp.: | ||||||
1.88%, 8/15/2026 (b) | 100,000 | 100,092 | ||||
2.75%, 1/15/2023 | 50,000 | 51,574 | ||||
3.00%, 9/15/2023 | 25,000 | 26,155 |
Security Description | Principal Amount | Value | |||
3.13%, 12/1/2030 | $ 100,000 | $ 101,680 | |||
3.25%, 3/1/2025 | 100,000 | 106,556 | |||
3.63%, 4/1/2027 | 70,000 | 75,358 | |||
3.88%, 7/3/2023 | 50,000 | 53,061 | |||
4.25%, 9/15/2024 | 25,000 | 27,290 | |||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 164,071 | |||
Series MTN, 0.70%, 2/15/2024 | 100,000 | 99,520 | |||
Series MTN, 2.88%, 1/15/2026 | 160,000 | 168,280 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 (b) | 25,000 | 26,695 | |||
4.25%, 6/15/2026 | 65,000 | 70,553 | |||
5.00%, 4/1/2023 | 25,000 | 26,744 | |||
Ally Financial, Inc.: | |||||
1.45%, 10/2/2023 | 195,000 | 198,071 | |||
3.05%, 6/5/2023 | 65,000 | 67,815 | |||
5.80%, 5/1/2025 (b) | 215,000 | 249,942 | |||
American Express Co.: | |||||
2.50%, 8/1/2022 (b) | 250,000 | 255,347 | |||
2.50%, 7/30/2024 | 165,000 | 173,895 | |||
3.00%, 10/30/2024 | 100,000 | 107,249 | |||
3.40%, 2/27/2023 | 200,000 | 209,388 | |||
3.70%, 8/3/2023 | 50,000 | 53,241 | |||
4.20%, 11/6/2025 | 105,000 | 118,874 | |||
Ameriprise Financial, Inc. 3.70%, 10/15/2024 | 50,000 | 54,690 | |||
BlackRock, Inc.: | |||||
1.90%, 1/28/2031 (b) | 25,000 | 25,004 | |||
2.40%, 4/30/2030 | 45,000 | 47,114 | |||
3.20%, 3/15/2027 | 56,000 | 62,042 | |||
3.25%, 4/30/2029 (b) | 60,000 | 67,101 | |||
3.50%, 3/18/2024 | 25,000 | 27,021 | |||
Blackstone/GSO Secured Lending Fund 3.63%, 1/15/2026 (b) (d) | 150,000 | 159,300 | |||
Brookfield Finance, Inc.: | |||||
2.72%, 4/15/2031 | 80,000 | 82,502 | |||
3.50%, 3/30/2051 | 50,000 | 52,356 | |||
3.90%, 1/25/2028 | 50,000 | 55,874 | |||
4.35%, 4/15/2030 | 100,000 | 115,552 | |||
4.70%, 9/20/2047 | 50,000 | 60,966 | |||
4.85%, 3/29/2029 | 100,000 | 117,795 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 260,390 | |||
3.30%, 10/30/2024 | 100,000 | 107,740 | |||
3.75%, 7/28/2026 | 125,000 | 137,891 | |||
3.80%, 1/31/2028 | 250,000 | 282,157 | |||
3.90%, 1/29/2024 | 200,000 | 215,806 | |||
Cboe Global Markets, Inc. 1.63%, 12/15/2030 (b) | 100,000 | 96,480 | |||
Charles Schwab Corp.: | |||||
0.75%, 3/18/2024 | 500,000 | 502,790 | |||
0.90%, 3/11/2026 (b) | 250,000 | 248,217 | |||
1.15%, 5/13/2026 | 50,000 | 49,952 |
Security Description | Principal Amount | Value | |||
1.65%, 3/11/2031 (b) | $ 250,000 | $ 242,857 | |||
2.30%, 5/13/2031 (b) | 100,000 | 102,171 | |||
2.65%, 1/25/2023 | 100,000 | 103,388 | |||
3.20%, 1/25/2028 | 50,000 | 55,131 | |||
3.45%, 2/13/2026 | 50,000 | 55,098 | |||
3.85%, 5/21/2025 | 250,000 | 276,450 | |||
4.00%, 2/1/2029 | 50,000 | 57,637 | |||
CI Financial Corp. 3.20%, 12/17/2030 | 250,000 | 256,665 | |||
CME Group, Inc. 3.75%, 6/15/2028 | 100,000 | 114,018 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 72,487 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 52,387 | |||
4.10%, 2/9/2027 | 75,000 | 84,045 | |||
4.50%, 1/30/2026 | 50,000 | 56,593 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 163,473 | |||
Franklin Resources, Inc. 1.60%, 10/30/2030 | 100,000 | 96,091 | |||
GE Capital Funding LLC: | |||||
3.45%, 5/15/2025 | 200,000 | 217,450 | |||
4.05%, 5/15/2027 | 200,000 | 226,356 | |||
4.40%, 5/15/2030 | 200,000 | 233,122 | |||
4.55%, 5/15/2032 | 200,000 | 238,632 | |||
GE Capital International Funding Co. Unlimited Co.: | |||||
3.37%, 11/15/2025 | 250,000 | 272,747 | |||
4.42%, 11/15/2035 | 550,000 | 660,588 | |||
Intercontinental Exchange, Inc.: | |||||
2.10%, 6/15/2030 | 30,000 | 29,829 | |||
2.65%, 9/15/2040 | 50,000 | 47,916 | |||
3.00%, 6/15/2050 | 25,000 | 24,612 | |||
3.00%, 9/15/2060 | 50,000 | 48,196 | |||
3.10%, 9/15/2027 | 100,000 | 108,836 | |||
3.75%, 12/1/2025 | 180,000 | 199,379 | |||
4.25%, 9/21/2048 | 150,000 | 177,300 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 55,377 | |||
Jefferies Group LLC: | |||||
2.75%, 10/15/2032 | 40,000 | 40,206 | |||
6.50%, 1/20/2043 | 50,000 | 69,281 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 56,202 | |||
4.85%, 1/15/2027 | 90,000 | 104,686 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 115,577 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 104,525 | |||
2.95%, 6/1/2029 | 100,000 | 109,296 | |||
3.30%, 3/26/2027 | 30,000 | 33,172 | |||
3.35%, 3/26/2030 | 50,000 | 56,287 |
Security Description | Principal Amount | Value | ||||
3.50%, 2/26/2028 | $ 30,000 | $ 33,744 | ||||
3.65%, 6/1/2049 | 100,000 | 116,398 | ||||
3.85%, 3/26/2050 | 515,000 | 623,794 | ||||
3.95%, 2/26/2048 | 30,000 | 36,509 | ||||
Nasdaq, Inc.: | ||||||
1.65%, 1/15/2031 (b) | 200,000 | 188,856 | ||||
2.50%, 12/21/2040 | 250,000 | 232,192 | ||||
3.25%, 4/28/2050 | 40,000 | 40,136 | ||||
Nomura Holdings, Inc.: | ||||||
1.85%, 7/16/2025 | 200,000 | 204,232 | ||||
2.65%, 1/16/2025 | 500,000 | 525,140 | ||||
ORIX Corp.: | ||||||
2.25%, 3/9/2031 | 100,000 | 100,816 | ||||
2.90%, 7/18/2022 | 30,000 | 30,773 | ||||
3.70%, 7/18/2027 (b) | 50,000 | 55,838 | ||||
Raymond James Financial, Inc. 3.75%, 4/1/2051 | 165,000 | 181,299 | ||||
Stifel Financial Corp. 4.00%, 5/15/2030 | 100,000 | 111,366 | ||||
Synchrony Financial: | ||||||
2.85%, 7/25/2022 | 30,000 | 30,706 | ||||
4.50%, 7/23/2025 | 50,000 | 55,990 | ||||
Visa, Inc.: | ||||||
0.75%, 8/15/2027 (b) | 45,000 | 43,712 | ||||
1.10%, 2/15/2031 | 500,000 | 472,860 | ||||
1.90%, 4/15/2027 | 500,000 | 516,615 | ||||
2.05%, 4/15/2030 | 150,000 | 154,299 | ||||
2.70%, 4/15/2040 | 350,000 | 362,029 | ||||
2.75%, 9/15/2027 | 250,000 | 270,325 | ||||
2.80%, 12/14/2022 | 75,000 | 77,449 | ||||
3.65%, 9/15/2047 | 100,000 | 117,790 | ||||
4.15%, 12/14/2035 | 50,000 | 61,464 | ||||
4.30%, 12/14/2045 | 200,000 | 257,172 | ||||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 106,624 | ||||
16,591,814 | ||||||
ELECTRIC — 2.0% | ||||||
AEP Texas, Inc.: | ||||||
2.40%, 10/1/2022 | 150,000 | 153,402 | ||||
3.45%, 5/15/2051 | 50,000 | 51,708 | ||||
3.80%, 10/1/2047 | 25,000 | 27,309 | ||||
Series H, 3.45%, 1/15/2050 | 100,000 | 103,709 | ||||
AEP Transmission Co. LLC: | ||||||
3.75%, 12/1/2047 | 100,000 | 114,464 | ||||
3.80%, 6/15/2049 | 50,000 | 57,877 | ||||
4.25%, 9/15/2048 | 20,000 | 24,645 | ||||
AES Corp.: | ||||||
1.38%, 1/15/2026 (d) | 250,000 | 247,510 | ||||
2.45%, 1/15/2031 (d) | 500,000 | 495,175 | ||||
Alabama Power Co.: | ||||||
3.13%, 7/15/2051 | 50,000 | 51,284 | ||||
3.85%, 12/1/2042 | 75,000 | 85,988 |
Security Description | Principal Amount | Value | |||
Series 20-A, 1.45%, 9/15/2030 | $ 50,000 | $ 47,770 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 80,462 | |||
Ameren Corp.: | |||||
1.75%, 3/15/2028 | 50,000 | 49,579 | |||
3.65%, 2/15/2026 | 50,000 | 54,834 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 57,195 | |||
3.80%, 5/15/2028 (b) | 25,000 | 28,284 | |||
4.15%, 3/15/2046 | 50,000 | 60,778 | |||
4.50%, 3/15/2049 | 50,000 | 64,281 | |||
American Electric Power Co., Inc.: | |||||
Series F, 2.95%, 12/15/2022 | 50,000 | 51,489 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 115,134 | |||
Series M, 0.75%, 11/1/2023 | 20,000 | 20,010 | |||
Series N, 1.00%, 11/1/2025 (b) | 30,000 | 29,770 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 29,618 | |||
7.00%, 4/1/2038 | 25,000 | 37,382 | |||
Arizona Public Service Co.: | |||||
2.65%, 9/15/2050 | 85,000 | 80,453 | |||
3.75%, 5/15/2046 | 25,000 | 28,228 | |||
4.20%, 8/15/2048 | 25,000 | 30,179 | |||
4.25%, 3/1/2049 | 50,000 | 60,811 | |||
4.35%, 11/15/2045 | 50,000 | 60,788 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 53,548 | |||
Baltimore Gas & Electric Co.: | |||||
2.25%, 6/15/2031 | 400,000 | 404,764 | |||
6.35%, 10/1/2036 | 50,000 | 71,972 | |||
Berkshire Hathaway Energy Co.: | |||||
1.65%, 5/15/2031 | 30,000 | 28,871 | |||
2.80%, 1/15/2023 (b) | 40,000 | 41,386 | |||
2.85%, 5/15/2051 | 300,000 | 291,285 | |||
3.25%, 4/15/2028 | 30,000 | 32,968 | |||
3.70%, 7/15/2030 | 250,000 | 283,335 | |||
3.75%, 11/15/2023 | 350,000 | 374,150 | |||
4.25%, 10/15/2050 | 500,000 | 613,575 | |||
4.50%, 2/1/2045 | 50,000 | 61,244 | |||
5.15%, 11/15/2043 | 150,000 | 198,174 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 26,640 | |||
3.88%, 10/15/2049 | 100,000 | 107,845 | |||
4.35%, 5/1/2033 | 30,000 | 34,989 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 59,685 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 107,819 |
Security Description | Principal Amount | Value | |||
Series AC, 4.25%, 2/1/2049 | $ 200,000 | $ 249,672 | |||
Series AE, 2.35%, 4/1/2031 | 55,000 | 56,448 | |||
Series AF, 3.35%, 4/1/2051 | 350,000 | 385,343 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 52,611 | |||
CenterPoint Energy, Inc.: | |||||
2.65%, 6/1/2031 | 40,000 | 40,816 | |||
4.25%, 11/1/2028 | 25,000 | 28,640 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 23,865 | |||
CMS Energy Corp.: | |||||
3.45%, 8/15/2027 | 50,000 | 55,340 | |||
5 year CMT + 4.12%, 4.75%, 6/1/2050 (b) (c) | 50,000 | 55,745 | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 (b) | 125,000 | 149,836 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 173,551 | |||
Series 130, 3.13%, 3/15/2051 | 150,000 | 156,877 | |||
Connecticut Light & Power Co.: | |||||
Series A, 0.75%, 12/1/2025 | 250,000 | 246,970 | |||
Series A, 3.20%, 3/15/2027 | 150,000 | 164,821 | |||
Series A, 4.15%, 6/1/2045 (b) | 100,000 | 122,377 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.70%, 11/15/2059 | 85,000 | 90,590 | |||
3.85%, 6/15/2046 (b) | 50,000 | 55,478 | |||
4.45%, 3/15/2044 | 75,000 | 90,205 | |||
4.50%, 5/15/2058 | 100,000 | 121,349 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 34,727 | |||
Series 20B, 3.95%, 4/1/2050 | 250,000 | 284,325 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 116,789 | |||
Series C, 3.00%, 12/1/2060 | 150,000 | 138,799 | |||
Series D, 4.00%, 12/1/2028 | 100,000 | 114,713 | |||
Consumers Energy Co.: | |||||
0.35%, 6/1/2023 | 25,000 | 24,960 | |||
3.25%, 8/15/2046 | 50,000 | 53,899 | |||
3.75%, 2/15/2050 | 50,000 | 58,792 | |||
4.05%, 5/15/2048 | 100,000 | 122,150 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 | 30,000 | 33,488 | |||
Dominion Energy, Inc.: | |||||
4.70%, 12/1/2044 | 130,000 | 162,259 | |||
Series A, 1.45%, 4/15/2026 | 75,000 | 75,556 |
Security Description | Principal Amount | Value | |||
Series B, 3.30%, 4/15/2041 | $ 565,000 | $ 592,843 | |||
Series C, 3.38%, 4/1/2030 | 350,000 | 381,591 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 26,643 | |||
DTE Electric Co.: | |||||
2.25%, 3/1/2030 (b) | 500,000 | 513,590 | |||
3.70%, 6/1/2046 | 75,000 | 85,784 | |||
DTE Energy Co.: | |||||
Series B, 3.30%, 6/15/2022 | 175,000 | 179,053 | |||
Series C, 3.40%, 6/15/2029 | 175,000 | 191,257 | |||
Series D, 3.70%, 8/1/2023 (b) | 50,000 | 53,111 | |||
Series F, 1.05%, 6/1/2025 | 70,000 | 69,886 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 | 150,000 | 156,030 | |||
2.55%, 4/15/2031 | 75,000 | 77,988 | |||
3.20%, 8/15/2049 | 100,000 | 105,105 | |||
3.45%, 4/15/2051 (b) | 90,000 | 99,809 | |||
3.88%, 3/15/2046 | 150,000 | 173,268 | |||
3.95%, 11/15/2028 | 100,000 | 114,689 | |||
4.25%, 12/15/2041 | 130,000 | 157,452 | |||
Duke Energy Corp.: | |||||
0.90%, 9/15/2025 | 350,000 | 346,542 | |||
2.40%, 8/15/2022 | 200,000 | 204,188 | |||
2.55%, 6/15/2031 | 100,000 | 101,398 | |||
2.65%, 9/1/2026 | 50,000 | 52,888 | |||
3.15%, 8/15/2027 | 100,000 | 108,182 | |||
3.30%, 6/15/2041 | 850,000 | 870,068 | |||
3.50%, 6/15/2051 | 100,000 | 103,391 | |||
3.75%, 9/1/2046 | 250,000 | 266,547 | |||
3.95%, 8/15/2047 | 150,000 | 165,474 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 157,416 | |||
3.20%, 1/15/2027 | 250,000 | 273,085 | |||
6.40%, 6/15/2038 | 50,000 | 73,804 | |||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | 65,000 | 62,981 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 31,296 | |||
Duke Energy Progress LLC: | |||||
2.50%, 8/15/2050 (b) | 100,000 | 92,214 | |||
3.60%, 9/15/2047 (b) | 50,000 | 55,767 | |||
3.70%, 9/1/2028 | 50,000 | 56,289 | |||
4.20%, 8/15/2045 | 150,000 | 180,819 | |||
Edison International: | |||||
2.95%, 3/15/2023 | 50,000 | 51,627 | |||
3.55%, 11/15/2024 | 80,000 | 85,213 | |||
4.13%, 3/15/2028 (b) | 50,000 | 53,222 | |||
Emera US Finance L.P.: | |||||
0.83%, 6/15/2024 (d) | 750,000 | 747,082 | |||
4.75%, 6/15/2046 | 130,000 | 155,163 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 57,748 |
Security Description | Principal Amount | Value | |||
Entergy Arkansas LLC: | |||||
2.65%, 6/15/2051 | $ 100,000 | $ 95,340 | |||
3.35%, 6/15/2052 | 100,000 | 107,308 | |||
4.20%, 4/1/2049 | 25,000 | 30,462 | |||
Entergy Corp.: | |||||
1.90%, 6/15/2028 (b) | 125,000 | 124,796 | |||
2.40%, 6/15/2031 | 150,000 | 149,890 | |||
2.95%, 9/1/2026 | 50,000 | 53,417 | |||
4.00%, 7/15/2022 | 50,000 | 51,567 | |||
Entergy Louisiana LLC: | |||||
0.62%, 11/17/2023 | 25,000 | 25,032 | |||
3.05%, 6/1/2031 | 25,000 | 27,055 | |||
3.25%, 4/1/2028 | 200,000 | 218,902 | |||
4.20%, 4/1/2050 | 50,000 | 61,444 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 26,702 | |||
3.50%, 6/1/2051 (b) | 145,000 | 159,828 | |||
3.85%, 6/1/2049 | 125,000 | 144,691 | |||
Entergy Texas, Inc.: | |||||
1.75%, 3/15/2031 | 85,000 | 81,360 | |||
3.55%, 9/30/2049 | 25,000 | 26,857 | |||
Evergy Kansas Central, Inc.: | |||||
3.25%, 9/1/2049 | 25,000 | 26,362 | |||
4.13%, 3/1/2042 | 30,000 | 35,317 | |||
Evergy Metro, Inc.: | |||||
4.20%, 6/15/2047 | 25,000 | 30,155 | |||
4.20%, 3/15/2048 | 50,000 | 60,835 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 120,688 | |||
Series 2020, 2.25%, 6/1/2030 | 50,000 | 50,904 | |||
Eversource Energy: | |||||
Series L, 2.90%, 10/1/2024 | 250,000 | 264,805 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 16,103 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 29,149 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 108,920 | |||
3.95%, 6/15/2025 | 50,000 | 55,020 | |||
4.70%, 4/15/2050 | 250,000 | 315,667 | |||
5.10%, 6/15/2045 (b) | 330,000 | 432,336 | |||
Florida Power & Light Co.: | |||||
2.85%, 4/1/2025 | 500,000 | 534,315 | |||
3.15%, 10/1/2049 | 30,000 | 32,576 | |||
3.25%, 6/1/2024 | 25,000 | 26,706 | |||
3.95%, 3/1/2048 | 85,000 | 103,290 | |||
3.99%, 3/1/2049 (b) | 25,000 | 30,739 | |||
4.05%, 10/1/2044 | 50,000 | 60,858 | |||
4.13%, 6/1/2048 | 100,000 | 124,381 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 53,759 | |||
Georgia Power Co.: | |||||
Series A, 2.20%, 9/15/2024 | 100,000 | 104,144 | |||
Series A, 3.25%, 3/15/2051 | 570,000 | 578,470 |
Security Description | Principal Amount | Value | |||
Indiana Michigan Power Co.: | |||||
3.25%, 5/1/2051 (b) | $ 45,000 | $ 47,117 | |||
4.25%, 8/15/2048 | 15,000 | 18,255 | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 | 50,000 | 54,341 | |||
3.70%, 9/15/2046 | 50,000 | 55,780 | |||
4.10%, 9/26/2028 | 50,000 | 57,430 | |||
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 | 100,000 | 112,220 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 54,569 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 177,811 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
0.35%, 2/8/2024 (b) | 345,000 | 344,100 | |||
1.00%, 6/15/2026 | 100,000 | 99,200 | |||
1.35%, 3/15/2031 | 50,000 | 46,444 | |||
2.95%, 2/7/2024 | 100,000 | 105,562 | |||
3.40%, 2/7/2028 | 50,000 | 55,051 | |||
3.90%, 11/1/2028 | 100,000 | 113,593 | |||
4.02%, 11/1/2032 | 50,000 | 58,638 | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c) | 75,000 | 78,550 | |||
Series MTN, 1.65%, 6/15/2031 | 200,000 | 190,502 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
0.65%, 3/1/2023 | 570,000 | 571,972 | |||
1.90%, 6/15/2028 | 750,000 | 758,482 | |||
2.25%, 6/1/2030 | 250,000 | 252,322 | |||
2.75%, 11/1/2029 | 165,000 | 174,347 | |||
2.80%, 1/15/2023 | 150,000 | 155,044 | |||
3.15%, 4/1/2024 | 100,000 | 106,372 | |||
3.50%, 4/1/2029 | 100,000 | 110,653 | |||
3.55%, 5/1/2027 | 100,000 | 110,620 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (b) (c) | 25,000 | 28,044 | |||
Northern States Power Co.: | |||||
2.60%, 6/1/2051 | 50,000 | 48,163 | |||
2.90%, 3/1/2050 | 30,000 | 30,704 | |||
3.60%, 9/15/2047 | 50,000 | 56,938 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 54,682 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 125,738 | |||
Ohio Power Co.: | |||||
4.00%, 6/1/2049 | 20,000 | 23,671 | |||
Series Q, 1.63%, 1/15/2031 | 100,000 | 96,170 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 56,194 |
Security Description | Principal Amount | Value | |||
Oncor Electric Delivery Co. LLC: | |||||
0.55%, 10/1/2025 | $ 70,000 | $ 68,326 | |||
3.70%, 11/15/2028 | 200,000 | 226,304 | |||
3.80%, 9/30/2047 | 100,000 | 117,010 | |||
7.50%, 9/1/2038 | 50,000 | 81,362 | |||
Series WI, 5.35%, 10/1/2052 | 100,000 | 145,657 | |||
Pacific Gas & Electric Co.: | |||||
1.37%, 3/10/2023 | 65,000 | 65,006 | |||
2.50%, 2/1/2031 | 350,000 | 328,391 | |||
3.25%, 6/1/2031 (b) | 40,000 | 39,356 | |||
3.30%, 8/1/2040 | 350,000 | 318,300 | |||
3.45%, 7/1/2025 | 250,000 | 261,985 | |||
3.50%, 8/1/2050 | 295,000 | 262,559 | |||
4.20%, 6/1/2041 | 55,000 | 54,127 | |||
4.50%, 7/1/2040 | 250,000 | 250,012 | |||
4.55%, 7/1/2030 | 250,000 | 267,435 | |||
4.95%, 7/1/2050 | 250,000 | 257,515 | |||
PacifiCorp: | |||||
2.70%, 9/15/2030 | 320,000 | 336,096 | |||
3.30%, 3/15/2051 | 65,000 | 69,243 | |||
PECO Energy Co.: | |||||
3.05%, 3/15/2051 | 45,000 | 46,982 | |||
3.90%, 3/1/2048 | 125,000 | 148,950 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 72,276 | |||
3.95%, 6/1/2047 | 50,000 | 59,362 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 53,052 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 175,216 | |||
Series 34, 3.20%, 3/1/2050 | 30,000 | 32,440 | |||
Series 35, 1.90%, 1/15/2031 | 500,000 | 496,280 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 0.95%, 3/15/2026 (b) | 150,000 | 149,346 | |||
Series MTN, 2.05%, 8/1/2050 (b) | 50,000 | 43,280 | |||
Series MTN, 3.00%, 3/1/2051 | 150,000 | 155,541 | |||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 54,972 | |||
Series MTN, 3.20%, 8/1/2049 | 30,000 | 32,172 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 113,855 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 56,652 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 56,722 |
Security Description | Principal Amount | Value | |||
Public Service Enterprise Group, Inc.: | |||||
1.60%, 8/15/2030 | $ 100,000 | $ 94,748 | |||
2.65%, 11/15/2022 | 100,000 | 102,869 | |||
2.88%, 6/15/2024 | 70,000 | 74,252 | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | 65,000 | 69,143 | |||
4.22%, 6/15/2048 | 65,000 | 79,703 | |||
5.80%, 3/15/2040 | 50,000 | 69,592 | |||
San Diego Gas & Electric Co.: | |||||
Series RRR, 3.75%, 6/1/2047 | 50,000 | 57,146 | |||
Series VVV, 1.70%, 10/1/2030 | 150,000 | 144,997 | |||
Sempra Energy: | |||||
2.90%, 2/1/2023 | 15,000 | 15,532 | |||
3.25%, 6/15/2027 | 300,000 | 325,404 | |||
3.40%, 2/1/2028 | 30,000 | 32,964 | |||
3.80%, 2/1/2038 | 100,000 | 111,548 | |||
4.00%, 2/1/2048 | 30,000 | 33,641 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 53,141 | |||
Southern California Edison Co.: | |||||
2.25%, 6/1/2030 | 100,000 | 98,690 | |||
2.85%, 8/1/2029 | 115,000 | 119,411 | |||
3.65%, 2/1/2050 | 250,000 | 250,635 | |||
4.00%, 4/1/2047 | 191,000 | 201,123 | |||
4.50%, 9/1/2040 | 25,000 | 28,753 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 52,431 | |||
Series 20A, 2.95%, 2/1/2051 | 500,000 | 455,745 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 112,962 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 109,957 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 50,155 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 52,523 | |||
Southern Co.: | |||||
3.25%, 7/1/2026 | 250,000 | 271,212 | |||
4.25%, 7/1/2036 | 250,000 | 289,987 | |||
Series B, 5 year CMT + 3.73%, 4.00%, 1/15/2051 (c) | 500,000 | 530,260 | |||
Southern Power Co.: | |||||
0.90%, 1/15/2026 | 250,000 | 245,720 | |||
Series F, 4.95%, 12/15/2046 (b) | 150,000 | 179,910 | |||
Southwestern Electric Power Co.: | |||||
Series K, 2.75%, 10/1/2026 | 50,000 | 53,031 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 28,517 | |||
Series N, 1.65%, 3/15/2026 | 300,000 | 303,963 |
Security Description | Principal Amount | Value | ||||
Southwestern Public Service Co.: | ||||||
3.30%, 6/15/2024 | $ 50,000 | $ 53,164 | ||||
3.75%, 6/15/2049 | 100,000 | 115,576 | ||||
Tampa Electric Co.: | ||||||
3.63%, 6/15/2050 (b) | 150,000 | 167,826 | ||||
4.30%, 6/15/2048 | 50,000 | 61,290 | ||||
4.45%, 6/15/2049 | 25,000 | 31,673 | ||||
Tucson Electric Power Co.: | ||||||
3.25%, 5/1/2051 | 35,000 | 36,216 | ||||
4.85%, 12/1/2048 | 50,000 | 65,330 | ||||
Union Electric Co.: | ||||||
2.15%, 3/15/2032 | 250,000 | 250,650 | ||||
3.50%, 3/15/2029 | 250,000 | 278,452 | ||||
4.00%, 4/1/2048 | 50,000 | 59,320 | ||||
Virginia Electric & Power Co.: | ||||||
2.45%, 12/15/2050 | 375,000 | 345,401 | ||||
3.30%, 12/1/2049 | 50,000 | 53,744 | ||||
3.45%, 2/15/2024 | 50,000 | 53,304 | ||||
4.60%, 12/1/2048 | 250,000 | 323,207 | ||||
8.88%, 11/15/2038 | 50,000 | 88,848 | ||||
Series B, 2.95%, 11/15/2026 | 30,000 | 32,411 | ||||
WEC Energy Group, Inc.: | ||||||
0.55%, 9/15/2023 | 100,000 | 100,041 | ||||
1.80%, 10/15/2030 | 250,000 | 239,327 | ||||
3.55%, 6/15/2025 | 21,000 | 22,894 | ||||
Wisconsin Electric Power Co.: | ||||||
2.05%, 12/15/2024 | 50,000 | 52,294 | ||||
4.30%, 10/15/2048 | 25,000 | 31,281 | ||||
Xcel Energy, Inc.: | ||||||
0.50%, 10/15/2023 | 100,000 | 99,984 | ||||
2.60%, 12/1/2029 | 100,000 | 104,294 | ||||
4.00%, 6/15/2028 | 50,000 | 56,890 | ||||
37,392,153 | ||||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a) | ||||||
Emerson Electric Co.: | ||||||
0.88%, 10/15/2026 | 65,000 | 64,088 | ||||
1.95%, 10/15/2030 | 50,000 | 50,560 | ||||
2.63%, 2/15/2023 | 25,000 | 25,794 | ||||
140,442 | ||||||
ELECTRONICS — 0.1% | ||||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 52,448 | ||||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 54,329 | ||||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 54,250 | ||||
Amphenol Corp.: | ||||||
2.80%, 2/15/2030 | 100,000 | 105,838 | ||||
4.35%, 6/1/2029 | 50,000 | 58,650 | ||||
Arrow Electronics, Inc.: | ||||||
3.25%, 9/8/2024 | 50,000 | 53,221 | ||||
3.88%, 1/12/2028 | 25,000 | 28,003 |
Security Description | Principal Amount | Value | ||||
Avnet, Inc. 3.00%, 5/15/2031 | $ 100,000 | $ 99,771 | ||||
Flex, Ltd.: | ||||||
3.75%, 2/1/2026 | 50,000 | 54,483 | ||||
4.88%, 6/15/2029 | 75,000 | 86,631 | ||||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 54,323 | ||||
Honeywell International, Inc.: | ||||||
0.48%, 8/19/2022 | 145,000 | 145,033 | ||||
1.95%, 6/1/2030 | 250,000 | 254,003 | ||||
2.15%, 8/8/2022 | 45,000 | 45,857 | ||||
2.30%, 8/15/2024 | 100,000 | 105,020 | ||||
2.50%, 11/1/2026 | 150,000 | 159,846 | ||||
2.70%, 8/15/2029 | 60,000 | 64,373 | ||||
3.35%, 12/1/2023 | 50,000 | 53,449 | ||||
Hubbell, Inc.: | ||||||
2.30%, 3/15/2031 | 60,000 | 60,236 | ||||
3.35%, 3/1/2026 | 50,000 | 54,053 | ||||
Jabil, Inc.: | ||||||
1.70%, 4/15/2026 | 65,000 | 65,462 | ||||
3.60%, 1/15/2030 | 25,000 | 27,067 | ||||
3.95%, 1/12/2028 | 25,000 | 27,798 | ||||
Keysight Technologies, Inc.: | ||||||
3.00%, 10/30/2029 | 50,000 | 52,889 | ||||
4.60%, 4/6/2027 | 30,000 | 34,844 | ||||
Roper Technologies, Inc.: | ||||||
2.00%, 6/30/2030 | 30,000 | 29,579 | ||||
2.95%, 9/15/2029 | 40,000 | 42,778 | ||||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 58,626 | ||||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 54,828 | ||||
2,037,688 | ||||||
ENVIRONMENTAL CONTROL — 0.0% (a) | ||||||
Republic Services, Inc.: | ||||||
1.45%, 2/15/2031 (b) | 100,000 | 93,755 | ||||
2.90%, 7/1/2026 | 45,000 | 48,251 | ||||
3.38%, 11/15/2027 | 60,000 | 65,938 | ||||
3.95%, 5/15/2028 | 150,000 | 170,559 | ||||
Waste Connections, Inc.: | ||||||
3.05%, 4/1/2050 | 20,000 | 20,356 | ||||
3.50%, 5/1/2029 | 50,000 | 55,080 | ||||
Waste Management, Inc.: | ||||||
0.75%, 11/15/2025 | 20,000 | 19,824 | ||||
1.15%, 3/15/2028 | 30,000 | 29,052 | ||||
1.50%, 3/15/2031 | 30,000 | 28,392 | ||||
2.00%, 6/1/2029 | 75,000 | 75,730 | ||||
2.40%, 5/15/2023 | 150,000 | 155,214 | ||||
2.50%, 11/15/2050 | 20,000 | 18,649 | ||||
2.95%, 6/1/2041 | 55,000 | 56,704 | ||||
837,504 | ||||||
FOOD — 0.3% | ||||||
Campbell Soup Co.: | ||||||
2.38%, 4/24/2030 (b) | 15,000 | 15,111 |
Security Description | Principal Amount | Value | |||
3.65%, 3/15/2023 | $ 15,000 | $ 15,760 | |||
3.95%, 3/15/2025 | 100,000 | 110,233 | |||
4.15%, 3/15/2028 | 50,000 | 56,996 | |||
4.80%, 3/15/2048 | 20,000 | 24,657 | |||
Conagra Brands, Inc.: | |||||
5.30%, 11/1/2038 | 265,000 | 337,051 | |||
5.40%, 11/1/2048 | 40,000 | 53,465 | |||
Flowers Foods, Inc. 2.40%, 3/15/2031 (b) | 45,000 | 45,088 | |||
General Mills, Inc.: | |||||
3.00%, 2/1/2051 (b) (d) | 510,000 | 513,850 | |||
3.20%, 2/10/2027 | 100,000 | 108,974 | |||
3.65%, 2/15/2024 (b) | 50,000 | 53,556 | |||
3.70%, 10/17/2023 | 20,000 | 21,400 | |||
4.20%, 4/17/2028 | 25,000 | 28,826 | |||
Hershey Co.: | |||||
0.90%, 6/1/2025 | 45,000 | 45,133 | |||
3.20%, 8/21/2025 | 25,000 | 27,158 | |||
3.38%, 5/15/2023 | 50,000 | 52,614 | |||
Hormel Foods Corp.: | |||||
0.65%, 6/3/2024 | 35,000 | 35,067 | |||
1.70%, 6/3/2028 | 570,000 | 573,124 | |||
3.05%, 6/3/2051 | 45,000 | 46,842 | |||
Ingredion, Inc. 2.90%, 6/1/2030 | 100,000 | 104,814 | |||
JM Smucker Co.: | |||||
3.38%, 12/15/2027 | 100,000 | 109,680 | |||
3.55%, 3/15/2050 | 25,000 | 26,962 | |||
4.25%, 3/15/2035 | 50,000 | 58,563 | |||
Kellogg Co.: | |||||
4.30%, 5/15/2028 | 100,000 | 115,746 | |||
4.50%, 4/1/2046 | 100,000 | 124,131 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 | 50,000 | 53,071 | |||
2.80%, 8/1/2022 | 200,000 | 204,758 | |||
3.70%, 8/1/2027 | 35,000 | 38,962 | |||
3.85%, 8/1/2023 | 75,000 | 79,593 | |||
4.45%, 2/1/2047 | 100,000 | 119,520 | |||
4.65%, 1/15/2048 | 100,000 | 122,599 | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | 200,000 | 204,712 | |||
3.40%, 8/15/2027 | 100,000 | 110,202 | |||
Mondelez International, Inc.: | |||||
1.50%, 5/4/2025 | 60,000 | 61,013 | |||
1.50%, 2/4/2031 | 40,000 | 37,889 | |||
1.88%, 10/15/2032 | 75,000 | 72,542 | |||
2.63%, 9/4/2050 | 35,000 | 32,587 | |||
2.75%, 4/13/2030 | 35,000 | 36,841 | |||
Sysco Corp.: | |||||
2.40%, 2/15/2030 | 10,000 | 10,179 | |||
3.25%, 7/15/2027 | 50,000 | 54,217 | |||
3.30%, 7/15/2026 | 100,000 | 108,728 | |||
3.30%, 2/15/2050 | 10,000 | 10,036 | |||
3.55%, 3/15/2025 | 50,000 | 54,416 | |||
3.75%, 10/1/2025 | 5,000 | 5,501 |
Security Description | Principal Amount | Value | ||||
4.45%, 3/15/2048 | $ 50,000 | $ 59,707 | ||||
4.85%, 10/1/2045 | 5,000 | 6,239 | ||||
6.60%, 4/1/2050 | 250,000 | 388,507 | ||||
Tyson Foods, Inc.: | ||||||
3.55%, 6/2/2027 (b) | 150,000 | 165,985 | ||||
4.55%, 6/2/2047 | 285,000 | 348,293 | ||||
5,090,898 | ||||||
FOREST PRODUCTS & PAPER — 0.0% (a) | ||||||
Celulosa Arauco y Constitucion SA: | ||||||
3.88%, 11/2/2027 | 200,000 | 215,370 | ||||
4.50%, 8/1/2024 | 50,000 | 53,907 | ||||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 | 25,000 | 29,075 | ||||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 36,030 | ||||
International Paper Co.: | ||||||
4.35%, 8/15/2048 (b) | 27,000 | 33,613 | ||||
5.00%, 9/15/2035 | 100,000 | 125,832 | ||||
Suzano Austria GmbH: | ||||||
3.13%, 1/15/2032 (f) | 80,000 | 79,167 | ||||
3.75%, 1/15/2031 | 150,000 | 157,055 | ||||
730,049 | ||||||
GAS — 0.2% | ||||||
Atmos Energy Corp.: | ||||||
0.63%, 3/9/2023 | 65,000 | 65,018 | ||||
1.50%, 1/15/2031 | 100,000 | 94,821 | ||||
3.00%, 6/15/2027 | 150,000 | 162,187 | ||||
4.15%, 1/15/2043 | 25,000 | 29,273 | ||||
CenterPoint Energy Resources Corp.: | ||||||
0.70%, 3/2/2023 | 45,000 | 45,003 | ||||
3.55%, 4/1/2023 | 100,000 | 105,035 | ||||
National Fuel Gas Co.: | ||||||
3.95%, 9/15/2027 | 50,000 | 53,828 | ||||
5.50%, 1/15/2026 | 30,000 | 34,742 | ||||
NiSource, Inc.: | ||||||
0.95%, 8/15/2025 | 560,000 | 555,772 | ||||
1.70%, 2/15/2031 (b) | 100,000 | 94,708 | ||||
2.95%, 9/1/2029 | 100,000 | 105,850 | ||||
3.49%, 5/15/2027 | 50,000 | 55,007 | ||||
4.38%, 5/15/2047 | 150,000 | 179,427 | ||||
4.80%, 2/15/2044 | 30,000 | 37,201 | ||||
ONE Gas, Inc.: | ||||||
1.10%, 3/11/2024 | 200,000 | 200,248 | ||||
4.50%, 11/1/2048 | 90,000 | 107,787 | ||||
Piedmont Natural Gas Co., Inc. 2.50%, 3/15/2031 | 190,000 | 192,491 | ||||
Southern California Gas Co.: | ||||||
3.15%, 9/15/2024 | 25,000 | 26,762 | ||||
3.20%, 6/15/2025 | 50,000 | 53,925 | ||||
3.75%, 9/15/2042 | 30,000 | 33,758 | ||||
5.13%, 11/15/2040 | 25,000 | 32,710 |
Security Description | Principal Amount | Value | ||||
Series VV, 4.30%, 1/15/2049 | $ 50,000 | $ 62,444 | ||||
Southern Co. Gas Capital Corp.: | ||||||
4.40%, 5/30/2047 | 150,000 | 176,691 | ||||
Series 20-A, 1.75%, 1/15/2031 | 500,000 | 475,265 | ||||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 27,797 | ||||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 56,151 | ||||
3,063,901 | ||||||
HAND & MACHINE TOOLS — 0.0% (a) | ||||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 56,786 | ||||
Snap-on, Inc. 3.10%, 5/1/2050 | 70,000 | 74,132 | ||||
Stanley Black & Decker, Inc.: | ||||||
2.75%, 11/15/2050 | 100,000 | 97,542 | ||||
3.40%, 3/1/2026 | 35,000 | 38,494 | ||||
4.25%, 11/15/2028 | 100,000 | 116,621 | ||||
5 year CMT + 2.66%, 4.00%, 3/15/2060 (c) | 30,000 | 31,970 | ||||
415,545 | ||||||
HEALTH CARE PRODUCTS — 0.3% | ||||||
Abbott Laboratories: | ||||||
1.40%, 6/30/2030 (b) | 500,000 | 483,640 | ||||
2.95%, 3/15/2025 | 75,000 | 80,576 | ||||
3.40%, 11/30/2023 | 35,000 | 37,305 | ||||
3.75%, 11/30/2026 | 85,000 | 96,149 | ||||
4.75%, 11/30/2036 | 250,000 | 321,967 | ||||
4.75%, 4/15/2043 | 25,000 | 33,104 | ||||
4.90%, 11/30/2046 | 150,000 | 204,705 | ||||
Baxter International, Inc.: | ||||||
1.73%, 4/1/2031 (b) | 45,000 | 43,804 | ||||
3.50%, 8/15/2046 (b) | 50,000 | 55,785 | ||||
Boston Scientific Corp.: | ||||||
1.90%, 6/1/2025 | 65,000 | 67,069 | ||||
2.65%, 6/1/2030 | 100,000 | 103,380 | ||||
3.45%, 3/1/2024 | 25,000 | 26,696 | ||||
4.00%, 3/1/2029 | 35,000 | 39,831 | ||||
4.55%, 3/1/2039 | 50,000 | 61,064 | ||||
4.70%, 3/1/2049 | 35,000 | 44,799 | ||||
Danaher Corp. 2.60%, 10/1/2050 (b) | 565,000 | 539,598 | ||||
DH Europe Finance II Sarl: | ||||||
2.05%, 11/15/2022 | 50,000 | 51,157 | ||||
2.20%, 11/15/2024 | 50,000 | 52,210 | ||||
2.60%, 11/15/2029 | 30,000 | 31,412 | ||||
3.25%, 11/15/2039 | 50,000 | 53,632 | ||||
3.40%, 11/15/2049 | 50,000 | 55,000 | ||||
Medtronic, Inc.: | ||||||
3.50%, 3/15/2025 | 47,000 | 51,589 | ||||
4.38%, 3/15/2035 | 54,000 | 67,208 |
Security Description | Principal Amount | Value | ||||
4.63%, 3/15/2045 | $ 345,000 | $ 452,550 | ||||
PerkinElmer, Inc.: | ||||||
2.55%, 3/15/2031 | 85,000 | 87,235 | ||||
3.30%, 9/15/2029 (b) | 65,000 | 70,332 | ||||
Smith & Nephew PLC 2.03%, 10/14/2030 | 50,000 | 48,992 | ||||
Stryker Corp.: | ||||||
0.60%, 12/1/2023 | 65,000 | 64,986 | ||||
1.15%, 6/15/2025 | 50,000 | 50,277 | ||||
1.95%, 6/15/2030 | 50,000 | 49,456 | ||||
2.90%, 6/15/2050 | 25,000 | 25,114 | ||||
3.38%, 11/1/2025 | 25,000 | 27,307 | ||||
3.50%, 3/15/2026 | 25,000 | 27,542 | ||||
3.65%, 3/7/2028 | 50,000 | 56,118 | ||||
4.63%, 3/15/2046 | 25,000 | 32,012 | ||||
Thermo Fisher Scientific, Inc.: | ||||||
4.10%, 8/15/2047 | 100,000 | 121,731 | ||||
4.13%, 3/25/2025 | 535,000 | 593,138 | ||||
Zimmer Biomet Holdings, Inc.: | ||||||
3.55%, 4/1/2025 | 100,000 | 108,512 | ||||
3.55%, 3/20/2030 | 350,000 | 383,257 | ||||
4,800,239 | ||||||
HEALTH CARE SERVICES — 0.7% | ||||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 55,180 | ||||
Aetna, Inc.: | ||||||
2.80%, 6/15/2023 | 200,000 | 208,168 | ||||
3.88%, 8/15/2047 | 100,000 | 112,331 | ||||
4.13%, 11/15/2042 | 25,000 | 28,647 | ||||
AHS Hospital Corp. Series 2021, 2.78%, 7/1/2051 | 75,000 | 73,801 | ||||
Anthem, Inc.: | ||||||
0.45%, 3/15/2023 (b) | 85,000 | 85,093 | ||||
1.50%, 3/15/2026 | 600,000 | 607,320 | ||||
2.25%, 5/15/2030 | 265,000 | 267,300 | ||||
2.38%, 1/15/2025 | 20,000 | 20,941 | ||||
2.55%, 3/15/2031 | 100,000 | 103,147 | ||||
2.95%, 12/1/2022 | 50,000 | 51,698 | ||||
3.13%, 5/15/2050 | 270,000 | 276,188 | ||||
3.30%, 1/15/2023 | 50,000 | 52,168 | ||||
3.35%, 12/1/2024 | 50,000 | 53,938 | ||||
3.50%, 8/15/2024 | 25,000 | 26,917 | ||||
3.60%, 3/15/2051 | 305,000 | 335,171 | ||||
3.65%, 12/1/2027 | 130,000 | 145,445 | ||||
4.10%, 3/1/2028 | 100,000 | 114,434 | ||||
4.38%, 12/1/2047 | 130,000 | 158,592 | ||||
4.55%, 3/1/2048 | 50,000 | 62,670 | ||||
4.65%, 1/15/2043 | 50,000 | 62,405 | ||||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 183,039 | ||||
Banner Health 2.34%, 1/1/2030 | 40,000 | 40,914 |
Security Description | Principal Amount | Value | |||
Baylor Scott & White Holdings Series 2021, 1.78%, 11/15/2030 | $ 25,000 | $ 24,502 | |||
Children's Hospital Corp. Series 2020, 2.59%, 2/1/2050 | 15,000 | 14,249 | |||
CommonSpirit Health: | |||||
2.76%, 10/1/2024 | 250,000 | 263,155 | |||
4.19%, 10/1/2049 | 250,000 | 287,112 | |||
4.35%, 11/1/2042 | 25,000 | 29,217 | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 60,002 | |||
HCA, Inc.: | |||||
2.38%, 7/15/2031 | 650,000 | 643,305 | |||
3.50%, 7/15/2051 | 650,000 | 650,175 | |||
4.13%, 6/15/2029 | 35,000 | 39,469 | |||
4.50%, 2/15/2027 | 50,000 | 56,533 | |||
4.75%, 5/1/2023 | 55,000 | 58,956 | |||
5.00%, 3/15/2024 | 85,000 | 93,948 | |||
5.13%, 6/15/2039 | 275,000 | 343,384 | |||
5.25%, 4/15/2025 | 60,000 | 68,710 | |||
5.25%, 6/15/2026 | 65,000 | 75,190 | |||
5.25%, 6/15/2049 | 100,000 | 127,638 | |||
5.50%, 6/15/2047 | 65,000 | 84,646 | |||
Humana, Inc.: | |||||
2.90%, 12/15/2022 | 150,000 | 154,924 | |||
4.80%, 3/15/2047 | 100,000 | 126,525 | |||
4.95%, 10/1/2044 | 50,000 | 64,590 | |||
Indiana University Health, Inc. Obligated Group Series 2021, 2.85%, 11/1/2051 (f) | 25,000 | 25,123 | |||
Johns Hopkins Health System Corp. 3.84%, 5/15/2046 | 50,000 | 59,189 | |||
Kaiser Foundation Hospitals: | |||||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 114,060 | |||
Series 2021, 2.81%, 6/1/2041 | 135,000 | 137,932 | |||
Series 2021, 3.00%, 6/1/2051 | 135,000 | 139,254 | |||
Laboratory Corp. of America Holdings: | |||||
1.55%, 6/1/2026 | 70,000 | 70,006 | |||
2.30%, 12/1/2024 | 100,000 | 104,718 | |||
2.70%, 6/1/2031 (b) | 100,000 | 101,753 | |||
2.95%, 12/1/2029 | 100,000 | 105,313 | |||
3.25%, 9/1/2024 (b) | 100,000 | 107,048 | |||
4.70%, 2/1/2045 | 25,000 | 30,033 | |||
Mass General Brigham, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 116,333 |
Security Description | Principal Amount | Value | |||
Mayo Clinic Series 2021, 3.20%, 11/15/2061 | $ 100,000 | $ 107,668 | |||
Memorial Sloan-Kettering Cancer Center: | |||||
4.13%, 7/1/2052 | 25,000 | 31,589 | |||
Series 2020, 2.96%, 1/1/2050 | 55,000 | 56,238 | |||
Methodist Hospital Series 20A, 2.71%, 12/1/2050 | 65,000 | 63,000 | |||
Montefiore Obligated Group 4.29%, 9/1/2050 | 50,000 | 53,590 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 38,501 | |||
New York and Presbyterian Hospital: | |||||
2.26%, 8/1/2040 | 50,000 | 47,046 | |||
Series 2019, 3.95%, 8/1/2119 | 35,000 | 41,286 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 59,135 | |||
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | 100,000 | 105,545 | |||
Orlando Health Obligated Group 3.33%, 10/1/2050 | 25,000 | 26,709 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 83,859 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 37,091 | |||
4.20%, 6/30/2029 | 100,000 | 115,347 | |||
4.70%, 3/30/2045 | 25,000 | 30,599 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 55,636 | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | 20,000 | 21,020 | |||
Sutter Health: | |||||
Series 20A, 2.29%, 8/15/2030 | 55,000 | 55,516 | |||
Series 20A, 3.36%, 8/15/2050 | 55,000 | 58,433 | |||
Trinity Health Corp. Series 2021, 2.63%, 12/1/2040 | 50,000 | 49,275 | |||
UnitedHealth Group, Inc.: | |||||
1.15%, 5/15/2026 | 100,000 | 100,068 | |||
1.25%, 1/15/2026 | 35,000 | 35,300 | |||
2.00%, 5/15/2030 (b) | 305,000 | 307,528 | |||
2.30%, 5/15/2031 (b) | 100,000 | 102,413 | |||
2.38%, 10/15/2022 | 100,000 | 102,654 |
Security Description | Principal Amount | Value | ||||
2.75%, 5/15/2040 | $ 300,000 | $ 303,585 | ||||
2.90%, 5/15/2050 | 550,000 | 554,647 | ||||
3.05%, 5/15/2041 | 100,000 | 104,778 | ||||
3.10%, 3/15/2026 (b) | 50,000 | 54,518 | ||||
3.13%, 5/15/2060 | 100,000 | 103,069 | ||||
3.25%, 5/15/2051 | 100,000 | 106,909 | ||||
3.38%, 4/15/2027 | 100,000 | 111,033 | ||||
3.50%, 2/15/2024 | 10,000 | 10,770 | ||||
3.50%, 8/15/2039 | 200,000 | 223,264 | ||||
3.70%, 12/15/2025 | 10,000 | 11,134 | ||||
3.75%, 7/15/2025 | 305,000 | 338,373 | ||||
3.75%, 10/15/2047 | 50,000 | 57,634 | ||||
3.88%, 12/15/2028 | 15,000 | 17,273 | ||||
4.25%, 4/15/2047 | 100,000 | 122,971 | ||||
4.63%, 7/15/2035 | 200,000 | 253,236 | ||||
4.75%, 7/15/2045 | 230,000 | 301,525 | ||||
6.88%, 2/15/2038 | 25,000 | 38,788 | ||||
Willis-Knighton Medical Center Series 2021, 3.07%, 3/1/2051 | 550,000 | 542,657 | ||||
12,543,709 | ||||||
HOME BUILDERS — 0.0% (a) | ||||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 104,871 | ||||
Lennar Corp. 4.75%, 11/29/2027 | 250,000 | 288,885 | ||||
NVR, Inc. 3.00%, 5/15/2030 (b) | 130,000 | 137,764 | ||||
PulteGroup, Inc. 5.00%, 1/15/2027 (b) | 250,000 | 292,142 | ||||
823,662 | ||||||
HOME FURNISHINGS — 0.0% (a) | ||||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 100,000 | 114,440 | ||||
Whirlpool Corp.: | ||||||
2.40%, 5/15/2031 | 25,000 | 25,222 | ||||
4.50%, 6/1/2046 | 25,000 | 30,036 | ||||
4.60%, 5/15/2050 | 50,000 | 62,028 | ||||
4.75%, 2/26/2029 | 60,000 | 71,131 | ||||
302,857 | ||||||
HOUSEHOLD PRODUCTS & WARES — 0.0% (a) | ||||||
Clorox Co.: | ||||||
3.10%, 10/1/2027 | 50,000 | 54,493 | ||||
3.90%, 5/15/2028 | 50,000 | 56,955 | ||||
Kimberly-Clark Corp.: | ||||||
1.05%, 9/15/2027 | 15,000 | 14,675 | ||||
2.75%, 2/15/2026 | 25,000 | 27,131 | ||||
3.10%, 3/26/2030 | 40,000 | 44,141 | ||||
3.20%, 4/25/2029 | 100,000 | 110,766 | ||||
3.90%, 5/4/2047 | 50,000 | 60,454 | ||||
3.95%, 11/1/2028 | 55,000 | 63,648 | ||||
432,263 |
Security Description | Principal Amount | Value | ||||
INSURANCE — 0.8% | ||||||
Aflac, Inc.: | ||||||
1.13%, 3/15/2026 | $ 105,000 | $ 105,222 | ||||
4.75%, 1/15/2049 | 75,000 | 98,716 | ||||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 62,720 | ||||
Allstate Corp.: | ||||||
1.45%, 12/15/2030 (b) | 250,000 | 238,987 | ||||
3.85%, 8/10/2049 | 125,000 | 148,529 | ||||
4.20%, 12/15/2046 | 50,000 | 61,514 | ||||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | 25,000 | 27,136 | ||||
American Financial Group, Inc.: | ||||||
3.50%, 8/15/2026 | 15,000 | 16,316 | ||||
4.50%, 6/15/2047 | 100,000 | 119,722 | ||||
American International Group, Inc.: | ||||||
2.50%, 6/30/2025 | 600,000 | 632,970 | ||||
3.40%, 6/30/2030 | 100,000 | 109,688 | ||||
3.88%, 1/15/2035 | 200,000 | 226,062 | ||||
3.90%, 4/1/2026 | 30,000 | 33,489 | ||||
4.25%, 3/15/2029 | 100,000 | 115,419 | ||||
4.38%, 6/30/2050 | 315,000 | 383,604 | ||||
4.50%, 7/16/2044 | 50,000 | 60,692 | ||||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 113,821 | ||||
Aon Corp.: | ||||||
2.20%, 11/15/2022 | 100,000 | 102,458 | ||||
3.75%, 5/2/2029 | 100,000 | 112,539 | ||||
Aon PLC: | ||||||
3.50%, 6/14/2024 | 50,000 | 53,770 | ||||
3.88%, 12/15/2025 | 150,000 | 166,764 | ||||
Arch Capital Group, Ltd. 3.64%, 6/30/2050 (b) | 105,000 | 113,393 | ||||
Assurant, Inc.: | ||||||
2.65%, 1/15/2032 | 600,000 | 598,794 | ||||
4.20%, 9/27/2023 (b) | 100,000 | 107,405 | ||||
4.90%, 3/27/2028 | 50,000 | 58,273 | ||||
Athene Holding, Ltd.: | ||||||
3.50%, 1/15/2031 | 150,000 | 160,081 | ||||
4.13%, 1/12/2028 | 100,000 | 111,760 | ||||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 27,549 | ||||
Berkshire Hathaway Finance Corp.: | ||||||
1.45%, 10/15/2030 (b) | 80,000 | 78,190 | ||||
1.85%, 3/12/2030 | 10,000 | 10,101 | ||||
2.50%, 1/15/2051 (b) | 110,000 | 102,928 | ||||
2.85%, 10/15/2050 | 340,000 | 338,956 | ||||
4.20%, 8/15/2048 | 100,000 | 123,466 | ||||
4.25%, 1/15/2049 | 150,000 | 186,288 | ||||
Berkshire Hathaway, Inc.: | ||||||
2.75%, 3/15/2023 | 50,000 | 51,886 |
Security Description | Principal Amount | Value | |||
3.00%, 2/11/2023 | $ 25,000 | $ 26,080 | |||
3.13%, 3/15/2026 | 55,000 | 60,127 | |||
4.50%, 2/11/2043 | 180,000 | 230,431 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 (b) | 150,000 | 163,762 | |||
4.70%, 6/22/2047 | 150,000 | 166,494 | |||
Brown & Brown, Inc.: | |||||
2.38%, 3/15/2031 (b) | 150,000 | 149,968 | |||
4.50%, 3/15/2029 | 50,000 | 57,424 | |||
Chubb INA Holdings, Inc.: | |||||
1.38%, 9/15/2030 (b) | 150,000 | 142,699 | |||
2.88%, 11/3/2022 | 50,000 | 51,491 | |||
3.35%, 5/3/2026 | 250,000 | 274,815 | |||
4.15%, 3/13/2043 | 25,000 | 30,364 | |||
4.35%, 11/3/2045 | 125,000 | 158,059 | |||
CNA Financial Corp.: | |||||
2.05%, 8/15/2030 (b) | 100,000 | 98,305 | |||
3.45%, 8/15/2027 (b) | 100,000 | 109,568 | |||
4.50%, 3/1/2026 | 25,000 | 28,341 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 57,410 | |||
Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 97,000 | 102,604 | |||
4.35%, 4/20/2028 | 150,000 | 171,970 | |||
5.00%, 4/20/2048 | 100,000 | 127,565 | |||
Everest Reinsurance Holdings, Inc. 3.50%, 10/15/2050 | 500,000 | 533,645 | |||
Fairfax Financial Holdings, Ltd.: | |||||
3.38%, 3/3/2031 (d) | 70,000 | 73,083 | |||
4.85%, 4/17/2028 | 100,000 | 115,031 | |||
Fidelity National Financial, Inc.: | |||||
2.45%, 3/15/2031 | 100,000 | 99,733 | |||
4.50%, 8/15/2028 | 50,000 | 57,527 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 27,666 | |||
Globe Life, Inc.: | |||||
2.15%, 8/15/2030 | 100,000 | 98,796 | |||
4.55%, 9/15/2028 | 25,000 | 29,246 | |||
Hanover Insurance Group, Inc. 2.50%, 9/1/2030 | 15,000 | 15,070 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 (b) | 70,000 | 73,748 | |||
4.40%, 3/15/2048 | 100,000 | 122,846 | |||
Kemper Corp. 2.40%, 9/30/2030 | 100,000 | 99,960 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 106,644 | |||
3.80%, 3/1/2028 | 35,000 | 39,197 | |||
4.00%, 9/1/2023 | 15,000 | 16,107 | |||
4.35%, 3/1/2048 | 50,000 | 59,739 | |||
6.30%, 10/9/2037 | 50,000 | 70,183 |
Security Description | Principal Amount | Value | |||
Loews Corp.: | |||||
3.20%, 5/15/2030 | $ 15,000 | $ 16,276 | |||
3.75%, 4/1/2026 | 50,000 | 55,610 | |||
Manulife Financial Corp.: | |||||
2.48%, 5/19/2027 | 70,000 | 73,917 | |||
5 Year US ISDA + 1.65%, 4.06%, 2/24/2032 (c) | 50,000 | 55,162 | |||
Markel Corp.: | |||||
3.45%, 5/7/2052 | 135,000 | 139,216 | |||
3.50%, 11/1/2027 | 50,000 | 54,963 | |||
4.15%, 9/17/2050 (b) | 50,000 | 57,757 | |||
5.00%, 5/20/2049 | 30,000 | 38,888 | |||
Marsh & McLennan Cos., Inc.: | |||||
3.30%, 3/14/2023 | 150,000 | 156,592 | |||
3.75%, 3/14/2026 | 25,000 | 27,788 | |||
3.88%, 3/15/2024 | 100,000 | 108,484 | |||
4.38%, 3/15/2029 | 250,000 | 293,242 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 56,453 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 324,480 | |||
4.05%, 3/1/2045 | 150,000 | 180,091 | |||
4.88%, 11/13/2043 | 200,000 | 263,664 | |||
6.40%, 12/15/2066 | 100,000 | 128,172 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 54,184 | |||
Old Republic International Corp. 3.85%, 6/11/2051 | 85,000 | 90,285 | |||
Principal Financial Group, Inc.: | |||||
2.13%, 6/15/2030 | 150,000 | 149,809 | |||
3.70%, 5/15/2029 | 50,000 | 56,176 | |||
Progressive Corp.: | |||||
4.00%, 3/1/2029 | 50,000 | 57,532 | |||
4.20%, 3/15/2048 | 100,000 | 124,550 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 117,351 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (c) | 170,000 | 184,543 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 221,316 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 80,000 | 86,115 | |||
5 year CMT + 3.04%, 3.70%, 10/1/2050 (c) | 600,000 | 627,288 | |||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 54,135 | |||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 114,007 | |||
Series MTN, 4.60%, 5/15/2044 (b) | 75,000 | 95,648 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 37,780 |
Security Description | Principal Amount | Value | ||||
Reinsurance Group of America, Inc.: | ||||||
3.15%, 6/15/2030 | $ 35,000 | $ 37,400 | ||||
3.90%, 5/15/2029 | 50,000 | 56,022 | ||||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 32,769 | ||||
Travelers Cos., Inc.: | ||||||
2.55%, 4/27/2050 (b) | 10,000 | 9,636 | ||||
3.05%, 6/8/2051 | 250,000 | 263,877 | ||||
3.75%, 5/15/2046 | 10,000 | 11,712 | ||||
4.00%, 5/30/2047 | 80,000 | 97,075 | ||||
4.05%, 3/7/2048 | 100,000 | 122,002 | ||||
4.10%, 3/4/2049 | 100,000 | 123,503 | ||||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 36,807 | ||||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 29,310 | ||||
Unum Group: | ||||||
4.00%, 6/15/2029 (b) | 70,000 | 78,683 | ||||
4.13%, 6/15/2051 | 100,000 | 100,916 | ||||
4.50%, 12/15/2049 | 15,000 | 16,055 | ||||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 55,409 | ||||
W R Berkley Corp. 3.55%, 3/30/2052 | 100,000 | 106,290 | ||||
Willis North America, Inc.: | ||||||
3.60%, 5/15/2024 | 50,000 | 53,771 | ||||
3.88%, 9/15/2049 | 70,000 | 79,187 | ||||
4.50%, 9/15/2028 | 50,000 | 57,862 | ||||
WR Berkley Corp. 4.00%, 5/12/2050 | 45,000 | 51,520 | ||||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 170,306 | ||||
14,596,492 | ||||||
INTERNET — 0.5% | ||||||
Alibaba Group Holding, Ltd.: | ||||||
2.70%, 2/9/2041 | 500,000 | 479,295 | ||||
3.15%, 2/9/2051 | 500,000 | 491,935 | ||||
3.40%, 12/6/2027 | 200,000 | 218,494 | ||||
3.60%, 11/28/2024 (b) | 75,000 | 81,515 | ||||
4.20%, 12/6/2047 (b) | 260,000 | 300,017 | ||||
Alphabet, Inc.: | ||||||
0.45%, 8/15/2025 (b) | 500,000 | 494,675 | ||||
1.10%, 8/15/2030 | 165,000 | 156,730 | ||||
1.90%, 8/15/2040 | 350,000 | 318,626 | ||||
2.00%, 8/15/2026 | 250,000 | 261,592 | ||||
2.05%, 8/15/2050 | 250,000 | 221,267 | ||||
Amazon.com, Inc.: | ||||||
0.25%, 5/12/2023 | 40,000 | 40,013 | ||||
0.40%, 6/3/2023 | 250,000 | 250,537 | ||||
0.45%, 5/12/2024 | 70,000 | 69,864 | ||||
0.80%, 6/3/2025 | 815,000 | 816,589 | ||||
1.00%, 5/12/2026 (b) | 150,000 | 150,053 | ||||
1.50%, 6/3/2030 (b) | 235,000 | 230,272 | ||||
1.65%, 5/12/2028 | 150,000 | 151,209 |
Security Description | Principal Amount | Value | ||||
2.10%, 5/12/2031 | $ 150,000 | $ 152,525 | ||||
2.40%, 2/22/2023 | 200,000 | 206,550 | ||||
2.50%, 11/29/2022 | 25,000 | 25,661 | ||||
2.50%, 6/3/2050 | 390,000 | 368,359 | ||||
2.70%, 6/3/2060 | 530,000 | 505,005 | ||||
2.80%, 8/22/2024 | 100,000 | 106,428 | ||||
2.88%, 5/12/2041 | 150,000 | 154,859 | ||||
3.10%, 5/12/2051 | 150,000 | 157,680 | ||||
3.15%, 8/22/2027 | 100,000 | 110,480 | ||||
3.25%, 5/12/2061 | 150,000 | 158,795 | ||||
3.80%, 12/5/2024 | 30,000 | 33,005 | ||||
3.88%, 8/22/2037 | 125,000 | 148,801 | ||||
4.05%, 8/22/2047 | 125,000 | 152,401 | ||||
4.25%, 8/22/2057 | 150,000 | 191,928 | ||||
4.95%, 12/5/2044 | 125,000 | 169,695 | ||||
5.20%, 12/3/2025 | 50,000 | 58,666 | ||||
Baidu, Inc. 2.88%, 7/6/2022 | 250,000 | 255,332 | ||||
Booking Holdings, Inc.: | ||||||
3.60%, 6/1/2026 | 250,000 | 277,147 | ||||
4.63%, 4/13/2030 (b) | 100,000 | 119,626 | ||||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 179,699 | ||||
eBay, Inc.: | ||||||
1.40%, 5/10/2026 | 100,000 | 100,260 | ||||
1.90%, 3/11/2025 | 140,000 | 144,768 | ||||
2.60%, 5/10/2031 | 100,000 | 101,771 | ||||
2.70%, 3/11/2030 | 100,000 | 104,023 | ||||
2.75%, 1/30/2023 | 150,000 | 155,351 | ||||
3.45%, 8/1/2024 | 25,000 | 26,845 | ||||
3.65%, 5/10/2051 | 50,000 | 52,987 | ||||
Expedia Group, Inc.: | ||||||
2.95%, 3/15/2031 | 555,000 | 564,657 | ||||
3.25%, 2/15/2030 | 35,000 | 36,565 | ||||
3.80%, 2/15/2028 | 50,000 | 54,469 | ||||
4.63%, 8/1/2027 | 590,000 | 666,641 | ||||
VeriSign, Inc. 2.70%, 6/15/2031 | 80,000 | 81,189 | ||||
10,354,851 | ||||||
INVESTMENT COMPANY SECURITY — 0.2% | ||||||
Ares Capital Corp.: | ||||||
2.15%, 7/15/2026 | 750,000 | 746,190 | ||||
2.88%, 6/15/2028 | 500,000 | 507,090 | ||||
3.50%, 2/10/2023 | 50,000 | 51,900 | ||||
3.88%, 1/15/2026 | 100,000 | 107,196 | ||||
4.20%, 6/10/2024 | 50,000 | 53,742 | ||||
4.25%, 3/1/2025 | 50,000 | 54,046 | ||||
FS KKR Capital Corp.: | ||||||
3.40%, 1/15/2026 | 250,000 | 258,580 | ||||
4.13%, 2/1/2025 (b) | 100,000 | 106,376 | ||||
Golub Capital BDC, Inc. 2.50%, 8/24/2026 | 60,000 | 60,308 | ||||
Main Street Capital Corp. 3.00%, 7/14/2026 | 85,000 | 87,298 |
Security Description | Principal Amount | Value | ||||
Oaktree Specialty Lending Corp. 2.70%, 1/15/2027 | $ 100,000 | $ 100,130 | ||||
Owl Rock Capital Corp.: | ||||||
3.40%, 7/15/2026 | 250,000 | 260,713 | ||||
4.00%, 3/30/2025 | 50,000 | 53,307 | ||||
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | 500,000 | 493,750 | ||||
2,940,626 | ||||||
IRON/STEEL — 0.0% (a) | ||||||
Nucor Corp.: | ||||||
2.00%, 6/1/2025 | 15,000 | 15,515 | ||||
2.70%, 6/1/2030 | 15,000 | 15,670 | ||||
2.98%, 12/15/2055 (d) | 50,000 | 48,354 | ||||
4.00%, 8/1/2023 | 25,000 | 26,624 | ||||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 40,000 | 40,091 | ||||
Steel Dynamics, Inc.: | ||||||
1.65%, 10/15/2027 | 10,000 | 9,968 | ||||
2.80%, 12/15/2024 | 25,000 | 26,385 | ||||
3.25%, 10/15/2050 | 20,000 | 19,958 | ||||
3.45%, 4/15/2030 | 40,000 | 43,584 | ||||
Vale Overseas, Ltd.: | ||||||
6.25%, 8/10/2026 | 150,000 | 180,271 | ||||
6.88%, 11/10/2039 | 300,000 | 418,698 | ||||
8.25%, 1/17/2034 (b) | 25,000 | 36,412 | ||||
881,530 | ||||||
LODGING — 0.1% | ||||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 | 50,000 | 54,192 | ||||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 55,157 | ||||
Las Vegas Sands Corp.: | ||||||
2.90%, 6/25/2025 | 65,000 | 67,740 | ||||
3.20%, 8/8/2024 | 45,000 | 47,225 | ||||
3.50%, 8/18/2026 | 30,000 | 31,892 | ||||
3.90%, 8/8/2029 | 40,000 | 42,621 | ||||
Marriott International, Inc.: | ||||||
3.75%, 3/15/2025 | 25,000 | 26,871 | ||||
Series EE, 5.75%, 5/1/2025 | 290,000 | 334,857 | ||||
Series GG, 3.50%, 10/15/2032 | 500,000 | 531,595 | ||||
Sands China, Ltd. 5.13%, 8/8/2025 | 250,000 | 279,880 | ||||
1,472,030 | ||||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | ||||||
Caterpillar Financial Services Corp.: | ||||||
0.25%, 3/1/2023 | 65,000 | 64,944 | ||||
0.65%, 7/7/2023 | 500,000 | 502,700 |
Security Description | Principal Amount | Value | ||||
0.90%, 3/2/2026 | $ 600,000 | $ 598,206 | ||||
Series MTN, 0.45%, 9/14/2023 | 250,000 | 250,335 | ||||
Series MTN, 0.45%, 5/17/2024 (b) | 50,000 | 49,882 | ||||
Series MTN, 0.80%, 11/13/2025 (b) | 30,000 | 29,825 | ||||
Series MTN, 1.95%, 11/18/2022 | 300,000 | 306,672 | ||||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 26,994 | ||||
Caterpillar, Inc.: | ||||||
2.60%, 9/19/2029 (b) | 100,000 | 106,736 | ||||
2.60%, 4/9/2030 | 95,000 | 101,396 | ||||
3.25%, 4/9/2050 (b) | 125,000 | 138,539 | ||||
3.80%, 8/15/2042 | 125,000 | 148,676 | ||||
4.75%, 5/15/2064 | 25,000 | 36,021 | ||||
Oshkosh Corp. 3.10%, 3/1/2030 | 10,000 | 10,594 | ||||
2,371,520 | ||||||
MACHINERY-DIVERSIFIED — 0.2% | ||||||
CNH Industrial Capital LLC: | ||||||
1.45%, 7/15/2026 | 150,000 | 149,195 | ||||
4.20%, 1/15/2024 | 100,000 | 108,259 | ||||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 16,633 | ||||
Deere & Co.: | ||||||
2.88%, 9/7/2049 | 35,000 | 36,608 | ||||
3.90%, 6/9/2042 (b) | 225,000 | 276,662 | ||||
Flowserve Corp. 3.50%, 10/1/2030 | 35,000 | 36,937 | ||||
IDEX Corp.: | ||||||
2.63%, 6/15/2031 | 100,000 | 101,591 | ||||
3.00%, 5/1/2030 | 25,000 | 26,428 | ||||
John Deere Capital Corp.: | ||||||
1.45%, 1/15/2031 (b) | 70,000 | 67,677 | ||||
3.65%, 10/12/2023 | 100,000 | 107,457 | ||||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 26,496 | ||||
Series MTN, 0.25%, 1/17/2023 | 100,000 | 99,953 | ||||
Series MTN, 0.45%, 1/17/2024 (b) | 100,000 | 99,815 | ||||
Series MTN, 0.45%, 6/7/2024 | 65,000 | 64,821 | ||||
Series MTN, 0.70%, 1/15/2026 (b) | 100,000 | 98,984 | ||||
Series MTN, 1.50%, 3/6/2028 | 100,000 | 99,482 | ||||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 153,344 | ||||
Series MTN, 2.25%, 9/14/2026 | 100,000 | 105,321 | ||||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 68,542 |
Security Description | Principal Amount | Value | ||||
Series MTN, 2.80%, 3/6/2023 | $ 150,000 | $ 156,281 | ||||
Series MTN, 2.80%, 7/18/2029 (b) | 50,000 | 54,039 | ||||
Series MTN, 3.40%, 9/11/2025 (b) | 25,000 | 27,604 | ||||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 109,647 | ||||
nVent Finance Sarl 4.55%, 4/15/2028 | 50,000 | 54,995 | ||||
Otis Worldwide Corp.: | ||||||
2.06%, 4/5/2025 | 600,000 | 623,646 | ||||
2.57%, 2/15/2030 | 250,000 | 259,067 | ||||
3.11%, 2/15/2040 | 250,000 | 258,483 | ||||
Rockwell Automation, Inc.: | ||||||
3.50%, 3/1/2029 | 85,000 | 95,289 | ||||
4.20%, 3/1/2049 (b) | 250,000 | 312,947 | ||||
Westinghouse Air Brake Technologies Corp.: | ||||||
4.40%, 3/15/2024 | 50,000 | 54,223 | ||||
4.95%, 9/15/2028 | 300,000 | 348,459 | ||||
Xylem, Inc. 1.95%, 1/30/2028 | 45,000 | 45,528 | ||||
4,144,413 | ||||||
MEDIA — 0.9% | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||
2.30%, 2/1/2032 | 350,000 | 337,095 | ||||
2.80%, 4/1/2031 | 290,000 | 296,670 | ||||
3.50%, 6/1/2041 | 500,000 | 503,390 | ||||
3.70%, 4/1/2051 | 730,000 | 726,467 | ||||
3.85%, 4/1/2061 | 100,000 | 98,300 | ||||
3.90%, 6/1/2052 | 100,000 | 101,759 | ||||
4.20%, 3/15/2028 | 250,000 | 282,800 | ||||
4.40%, 12/1/2061 | 100,000 | 107,555 | ||||
4.46%, 7/23/2022 | 150,000 | 155,269 | ||||
4.80%, 3/1/2050 | 155,000 | 178,577 | ||||
4.91%, 7/23/2025 | 50,000 | 56,694 | ||||
5.05%, 3/30/2029 | 100,000 | 118,210 | ||||
5.38%, 5/1/2047 | 150,000 | 183,933 | ||||
6.48%, 10/23/2045 | 185,000 | 255,339 | ||||
Class USD, 4.50%, 2/1/2024 | 100,000 | 108,922 | ||||
Comcast Corp.: | ||||||
1.50%, 2/15/2031 | 150,000 | 142,126 | ||||
1.95%, 1/15/2031 | 70,000 | 68,994 | ||||
2.45%, 8/15/2052 (b) | 115,000 | 103,822 | ||||
2.65%, 8/15/2062 | 75,000 | 68,450 | ||||
2.80%, 1/15/2051 | 805,000 | 774,724 | ||||
3.10%, 4/1/2025 | 535,000 | 577,137 | ||||
3.15%, 3/1/2026 | 225,000 | 244,836 | ||||
3.15%, 2/15/2028 | 200,000 | 219,314 | ||||
3.20%, 7/15/2036 | 250,000 | 267,662 |
Security Description | Principal Amount | Value | |||
3.30%, 2/1/2027 | $ 150,000 | $ 164,688 | |||
3.30%, 4/1/2027 | 100,000 | 110,252 | |||
3.40%, 4/1/2030 | 550,000 | 607,458 | |||
3.40%, 7/15/2046 | 100,000 | 106,845 | |||
3.60%, 3/1/2024 (b) | 25,000 | 26,996 | |||
3.70%, 4/15/2024 | 500,000 | 541,935 | |||
3.75%, 4/1/2040 | 250,000 | 282,650 | |||
3.90%, 3/1/2038 | 150,000 | 172,012 | |||
3.95%, 10/15/2025 | 350,000 | 391,720 | |||
4.00%, 11/1/2049 | 69,000 | 81,262 | |||
4.15%, 10/15/2028 | 250,000 | 289,480 | |||
4.20%, 8/15/2034 | 100,000 | 118,200 | |||
4.25%, 10/15/2030 | 50,000 | 58,799 | |||
4.25%, 1/15/2033 | 50,000 | 59,533 | |||
4.60%, 10/15/2038 | 305,000 | 378,057 | |||
4.65%, 7/15/2042 | 75,000 | 94,774 | |||
4.70%, 10/15/2048 | 500,000 | 648,235 | |||
4.95%, 10/15/2058 | 105,000 | 145,273 | |||
Discovery Communications LLC: | |||||
3.80%, 3/13/2024 | 100,000 | 107,215 | |||
3.95%, 3/20/2028 | 30,000 | 33,401 | |||
4.00%, 9/15/2055 | 265,000 | 280,264 | |||
4.65%, 5/15/2050 (b) | 250,000 | 292,605 | |||
5.20%, 9/20/2047 | 100,000 | 124,565 | |||
Fox Corp.: | |||||
4.03%, 1/25/2024 | 25,000 | 27,084 | |||
4.71%, 1/25/2029 | 40,000 | 46,997 | |||
5.48%, 1/25/2039 | 275,000 | 355,561 | |||
5.58%, 1/25/2049 | 25,000 | 33,760 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 59,609 | |||
6.13%, 1/31/2046 (b) | 100,000 | 137,204 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 54,437 | |||
Time Warner Cable LLC: | |||||
4.50%, 9/15/2042 | 100,000 | 111,490 | |||
5.50%, 9/1/2041 | 425,000 | 528,466 | |||
5.88%, 11/15/2040 | 50,000 | 64,527 | |||
6.75%, 6/15/2039 | 50,000 | 70,000 | |||
TWDC Enterprises 18 Corp.: | |||||
3.00%, 2/13/2026 | 50,000 | 54,306 | |||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 27,192 | |||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 76,988 | |||
ViacomCBS, Inc.: | |||||
2.90%, 1/15/2027 (b) | 125,000 | 132,918 | |||
3.70%, 6/1/2028 | 50,000 | 55,646 | |||
4.20%, 6/1/2029 | 200,000 | 230,102 | |||
4.38%, 3/15/2043 | 25,000 | 28,860 | |||
4.75%, 5/15/2025 | 250,000 | 282,847 | |||
4.95%, 1/15/2031 (b) | 250,000 | 301,790 | |||
4.95%, 5/19/2050 (b) | 200,000 | 252,724 | |||
5.85%, 9/1/2043 | 200,000 | 273,944 |
Security Description | Principal Amount | Value | ||||
Walt Disney Co.: | ||||||
1.65%, 9/1/2022 | $ 20,000 | $ 20,313 | ||||
1.75%, 8/30/2024 | 50,000 | 51,662 | ||||
1.75%, 1/13/2026 | 105,000 | 107,964 | ||||
2.00%, 9/1/2029 | 185,000 | 186,813 | ||||
2.20%, 1/13/2028 | 70,000 | 72,535 | ||||
2.65%, 1/13/2031 | 440,000 | 462,097 | ||||
3.35%, 3/24/2025 | 250,000 | 271,875 | ||||
3.38%, 11/15/2026 | 100,000 | 110,289 | ||||
3.50%, 5/13/2040 | 650,000 | 724,230 | ||||
3.60%, 1/13/2051 | 75,000 | 85,006 | ||||
3.70%, 10/15/2025 | 100,000 | 110,490 | ||||
3.80%, 5/13/2060 | 90,000 | 105,792 | ||||
4.00%, 10/1/2023 | 100,000 | 107,721 | ||||
4.70%, 3/23/2050 | 150,000 | 200,212 | ||||
5.40%, 10/1/2043 | 75,000 | 104,719 | ||||
6.65%, 11/15/2037 | 250,000 | 377,882 | ||||
17,400,316 | ||||||
METAL FABRICATE & HARDWARE — 0.0% (a) | ||||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 77,113 | ||||
Timken Co. 4.50%, 12/15/2028 (b) | 20,000 | 22,344 | ||||
99,457 | ||||||
MINING — 0.1% | ||||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 32,918 | ||||
Barrick North America Finance LLC 5.75%, 5/1/2043 | 250,000 | 351,945 | ||||
BHP Billiton Finance USA, Ltd.: | ||||||
4.13%, 2/24/2042 | 125,000 | 150,852 | ||||
5.00%, 9/30/2043 | 50,000 | 67,931 | ||||
Newmont Corp.: | ||||||
2.25%, 10/1/2030 | 65,000 | 64,957 | ||||
2.80%, 10/1/2029 | 80,000 | 83,966 | ||||
3.70%, 3/15/2023 (b) | 7,000 | 7,313 | ||||
4.88%, 3/15/2042 | 50,000 | 63,525 | ||||
Rio Tinto Finance USA PLC: | ||||||
4.13%, 8/21/2042 (b) | 25,000 | 30,468 | ||||
4.75%, 3/22/2042 | 150,000 | 196,306 | ||||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 | 250,000 | 277,015 | ||||
Southern Copper Corp. 5.88%, 4/23/2045 | 357,000 | 499,000 | ||||
1,826,196 | ||||||
MISCELLANEOUS MANUFACTURER — 0.2% | ||||||
3M Co.: | ||||||
1.75%, 2/14/2023 | 100,000 | 102,242 | ||||
2.00%, 2/14/2025 | 100,000 | 104,180 | ||||
2.38%, 8/26/2029 | 100,000 | 104,809 | ||||
2.88%, 10/15/2027 (b) | 225,000 | 244,435 | ||||
3.25%, 8/26/2049 (b) | 60,000 | 65,563 |
Security Description | Principal Amount | Value | ||||
Series MTN, 3.38%, 3/1/2029 | $ 50,000 | $ 56,017 | ||||
Series MTN, 3.63%, 10/15/2047 (b) | 25,000 | 28,939 | ||||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 36,695 | ||||
Carlisle Cos., Inc. 2.75%, 3/1/2030 (b) | 65,000 | 67,813 | ||||
Eaton Corp.: | ||||||
3.10%, 9/15/2027 | 100,000 | 108,802 | ||||
4.15%, 11/2/2042 | 25,000 | 29,836 | ||||
General Electric Co.: | ||||||
3.45%, 5/1/2027 | 795,000 | 874,556 | ||||
3.63%, 5/1/2030 (b) | 800,000 | 893,032 | ||||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 53,539 | ||||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 325,000 | 388,050 | ||||
Parker-Hannifin Corp.: | ||||||
2.70%, 6/14/2024 | 35,000 | 36,893 | ||||
4.00%, 6/14/2049 | 40,000 | 47,464 | ||||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 53,722 | ||||
Textron, Inc.: | ||||||
2.45%, 3/15/2031 | 30,000 | 30,154 | ||||
3.90%, 9/17/2029 | 50,000 | 55,936 | ||||
4.00%, 3/15/2026 | 50,000 | 55,865 | ||||
Trane Technologies Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 36,131 | ||||
Trane Technologies Luxembourg Finance SA 3.80%, 3/21/2029 | 100,000 | 112,885 | ||||
3,587,558 | ||||||
OIL & GAS — 1.4% | ||||||
BP Capital Markets America, Inc.: | ||||||
1.75%, 8/10/2030 (b) | 500,000 | 488,110 | ||||
2.94%, 6/4/2051 | 105,000 | 100,697 | ||||
3.00%, 2/24/2050 | 250,000 | 242,822 | ||||
3.02%, 1/16/2027 (b) | 200,000 | 215,742 | ||||
3.06%, 6/17/2041 | 500,000 | 504,945 | ||||
3.22%, 4/14/2024 | 200,000 | 213,128 | ||||
3.38%, 2/8/2061 | 650,000 | 653,204 | ||||
3.59%, 4/14/2027 | 250,000 | 276,775 | ||||
3.63%, 4/6/2030 (b) | 200,000 | 224,398 | ||||
3.94%, 9/21/2028 | 100,000 | 113,898 | ||||
BP Capital Markets PLC 3.81%, 2/10/2024 | 900,000 | 973,710 | ||||
Canadian Natural Resources, Ltd.: | ||||||
2.95%, 1/15/2023 | 250,000 | 259,025 | ||||
3.85%, 6/1/2027 | 50,000 | 55,072 | ||||
3.90%, 2/1/2025 | 25,000 | 27,219 | ||||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 124,734 |
Security Description | Principal Amount | Value | |||
Cenovus Energy, Inc.: | |||||
4.40%, 4/15/2029 | $ 100,000 | $ 113,279 | |||
5.38%, 7/15/2025 | 500,000 | 572,025 | |||
Chevron Corp.: | |||||
1.14%, 5/11/2023 | 250,000 | 253,720 | |||
1.55%, 5/11/2025 | 885,000 | 906,249 | |||
2.00%, 5/11/2027 | 350,000 | 361,529 | |||
2.24%, 5/11/2030 (b) | 100,000 | 103,127 | |||
2.90%, 3/3/2024 (b) | 750,000 | 793,770 | |||
2.95%, 5/16/2026 (b) | 50,000 | 54,220 | |||
2.98%, 5/11/2040 | 45,000 | 47,056 | |||
3.08%, 5/11/2050 | 100,000 | 103,542 | |||
3.19%, 6/24/2023 | 25,000 | 26,241 | |||
Chevron USA, Inc.: | |||||
0.33%, 8/12/2022 | 65,000 | 65,042 | |||
0.43%, 8/11/2023 | 30,000 | 30,033 | |||
0.69%, 8/12/2025 | 65,000 | 64,492 | |||
1.02%, 8/12/2027 | 40,000 | 38,970 | |||
2.34%, 8/12/2050 | 65,000 | 58,916 | |||
4.95%, 8/15/2047 | 250,000 | 334,932 | |||
5.25%, 11/15/2043 | 50,000 | 67,982 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 | 250,000 | 275,805 | |||
CNOOC Finance 2015 USA LLC: | |||||
3.50%, 5/5/2025 | 300,000 | 321,447 | |||
4.38%, 5/2/2028 | 250,000 | 282,650 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 117,682 | |||
ConocoPhillips: | |||||
3.75%, 10/1/2027 (d) | 300,000 | 336,969 | |||
6.50%, 2/1/2039 | 75,000 | 110,931 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 232,200 | |||
5.95%, 3/15/2046 | 200,000 | 296,984 | |||
6.95%, 4/15/2029 | 50,000 | 67,975 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 29,420 | |||
5.25%, 9/15/2024 (d) | 500,000 | 557,225 | |||
5.85%, 12/15/2025 | 50,000 | 58,705 | |||
Diamondback Energy, Inc.: | |||||
0.90%, 3/24/2023 | 40,000 | 40,009 | |||
2.88%, 12/1/2024 | 60,000 | 63,425 | |||
3.13%, 3/24/2031 | 45,000 | 46,789 | |||
3.25%, 12/1/2026 | 45,000 | 48,227 | |||
3.50%, 12/1/2029 | 100,000 | 107,184 | |||
4.40%, 3/24/2051 | 35,000 | 39,535 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 | 100,000 | 105,258 | |||
5.88%, 5/28/2045 | 225,000 | 240,696 | |||
6.88%, 4/29/2030 | 250,000 | 301,680 | |||
7.38%, 9/18/2043 | 50,000 | 61,640 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 103,258 |
Security Description | Principal Amount | Value | |||
3.90%, 4/1/2035 | $ 25,000 | $ 28,875 | |||
4.38%, 4/15/2030 (b) | 30,000 | 35,558 | |||
4.95%, 4/15/2050 | 35,000 | 46,759 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 78,853 | |||
2.88%, 4/6/2025 | 250,000 | 267,112 | |||
3.25%, 11/18/2049 | 305,000 | 322,891 | |||
3.63%, 9/10/2028 | 50,000 | 56,205 | |||
3.63%, 4/6/2040 | 100,000 | 113,714 | |||
3.70%, 3/1/2024 | 300,000 | 324,303 | |||
3.95%, 5/15/2043 | 50,000 | 58,420 | |||
4.80%, 11/8/2043 | 30,000 | 39,082 | |||
Exxon Mobil Corp.: | |||||
1.57%, 4/15/2023 | 150,000 | 153,246 | |||
1.90%, 8/16/2022 | 20,000 | 20,372 | |||
2.02%, 8/16/2024 | 50,000 | 52,033 | |||
2.44%, 8/16/2029 | 50,000 | 52,308 | |||
2.61%, 10/15/2030 | 300,000 | 316,431 | |||
2.99%, 3/19/2025 | 650,000 | 697,424 | |||
3.00%, 8/16/2039 | 50,000 | 51,417 | |||
3.10%, 8/16/2049 | 50,000 | 50,992 | |||
3.29%, 3/19/2027 | 350,000 | 387,114 | |||
3.45%, 4/15/2051 | 545,000 | 593,053 | |||
3.48%, 3/19/2030 | 250,000 | 280,777 | |||
4.11%, 3/1/2046 | 125,000 | 147,750 | |||
4.23%, 3/19/2040 | 105,000 | 125,647 | |||
4.33%, 3/19/2050 | 250,000 | 310,337 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 93,797 | |||
5.80%, 4/1/2047 | 250,000 | 326,357 | |||
HollyFrontier Corp. 2.63%, 10/1/2023 | 45,000 | 46,566 | |||
Marathon Oil Corp.: | |||||
4.40%, 7/15/2027 (b) | 50,000 | 56,617 | |||
5.20%, 6/1/2045 | 50,000 | 59,983 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 53,798 | |||
3.80%, 4/1/2028 | 30,000 | 33,417 | |||
4.50%, 5/1/2023 | 250,000 | 266,707 | |||
4.50%, 4/1/2048 | 25,000 | 28,591 | |||
4.70%, 5/1/2025 | 350,000 | 394,726 | |||
5.13%, 12/15/2026 | 150,000 | 176,587 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 123,350 | |||
Phillips 66: | |||||
2.15%, 12/15/2030 | 150,000 | 147,568 | |||
3.70%, 4/6/2023 | 520,000 | 548,969 | |||
3.85%, 4/9/2025 | 180,000 | 198,113 | |||
3.90%, 3/15/2028 | 50,000 | 56,246 | |||
4.88%, 11/15/2044 | 95,000 | 118,951 | |||
Pioneer Natural Resources Co.: | |||||
0.55%, 5/15/2023 | 15,000 | 15,010 | |||
0.75%, 1/15/2024 | 105,000 | 104,995 | |||
1.13%, 1/15/2026 | 95,000 | 94,051 |
Security Description | Principal Amount | Value | ||||
2.15%, 1/15/2031 | $ 70,000 | $ 68,694 | ||||
4.45%, 1/15/2026 | 50,000 | 56,390 | ||||
Shell International Finance B.V.: | ||||||
0.38%, 9/15/2023 | 200,000 | 200,012 | ||||
2.38%, 4/6/2025 | 250,000 | 263,092 | ||||
2.38%, 11/7/2029 | 100,000 | 103,929 | ||||
2.50%, 9/12/2026 | 150,000 | 159,726 | ||||
2.75%, 4/6/2030 (b) | 250,000 | 266,530 | ||||
3.13%, 11/7/2049 | 100,000 | 103,505 | ||||
3.25%, 5/11/2025 | 100,000 | 108,582 | ||||
3.25%, 4/6/2050 (b) | 500,000 | 532,270 | ||||
4.00%, 5/10/2046 | 100,000 | 116,964 | ||||
4.13%, 5/11/2035 | 75,000 | 89,077 | ||||
4.38%, 5/11/2045 | 250,000 | 306,580 | ||||
4.55%, 8/12/2043 | 250,000 | 312,052 | ||||
5.50%, 3/25/2040 | 25,000 | 34,806 | ||||
Suncor Energy, Inc.: | ||||||
2.80%, 5/15/2023 | 45,000 | 46,772 | ||||
3.10%, 5/15/2025 | 40,000 | 42,826 | ||||
3.60%, 12/1/2024 | 25,000 | 27,008 | ||||
3.75%, 3/4/2051 | 285,000 | 308,139 | ||||
4.00%, 11/15/2047 | 70,000 | 77,360 | ||||
5.35%, 7/15/2033 | 25,000 | 30,816 | ||||
6.50%, 6/15/2038 | 50,000 | 70,569 | ||||
TotalEnergies Capital International SA: | ||||||
2.99%, 6/29/2041 | 500,000 | 508,630 | ||||
3.13%, 5/29/2050 | 200,000 | 202,970 | ||||
3.75%, 4/10/2024 | 375,000 | 407,310 | ||||
TotalEnergies Capital SA 3.88%, 10/11/2028 (b) | 25,000 | 28,660 | ||||
Valero Energy Corp.: | ||||||
1.20%, 3/15/2024 | 1,000,000 | 1,008,090 | ||||
2.15%, 9/15/2027 | 250,000 | 254,210 | ||||
2.85%, 4/15/2025 | 55,000 | 58,317 | ||||
3.40%, 9/15/2026 | 50,000 | 54,151 | ||||
6.63%, 6/15/2037 | 250,000 | 342,445 | ||||
26,059,852 | ||||||
OIL & GAS SERVICES — 0.1% | ||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | ||||||
2.77%, 12/15/2022 | 100,000 | 103,288 | ||||
3.34%, 12/15/2027 | 50,000 | 54,690 | ||||
4.08%, 12/15/2047 (b) | 150,000 | 171,877 | ||||
Halliburton Co.: | ||||||
2.92%, 3/1/2030 (b) | 500,000 | 519,700 | ||||
3.80%, 11/15/2025 | 22,000 | 24,313 | ||||
4.85%, 11/15/2035 | 150,000 | 176,662 | ||||
5.00%, 11/15/2045 | 35,000 | 42,734 | ||||
7.45%, 9/15/2039 | 25,000 | 36,837 | ||||
NOV, Inc. 3.60%, 12/1/2029 (b) | 100,000 | 104,568 |
Security Description | Principal Amount | Value | ||||
Schlumberger Investment SA 2.65%, 6/26/2030 (b) | $ 150,000 | $ 157,775 | ||||
1,392,444 | ||||||
PACKAGING & CONTAINERS — 0.1% | ||||||
Amcor Flexibles North America, Inc. 2.69%, 5/25/2031 | 130,000 | 132,534 | ||||
Berry Global, Inc. 1.57%, 1/15/2026 (d) | 250,000 | 250,322 | ||||
Packaging Corp. of America: | ||||||
3.00%, 12/15/2029 | 25,000 | 26,572 | ||||
3.40%, 12/15/2027 | 35,000 | 38,471 | ||||
4.05%, 12/15/2049 | 10,000 | 11,731 | ||||
WRKCo, Inc.: | ||||||
3.00%, 6/15/2033 | 500,000 | 524,330 | ||||
3.38%, 9/15/2027 | 100,000 | 109,149 | ||||
3.75%, 3/15/2025 | 100,000 | 109,225 | ||||
4.20%, 6/1/2032 | 50,000 | 57,940 | ||||
1,260,274 | ||||||
PHARMACEUTICALS — 1.8% | ||||||
AbbVie, Inc.: | ||||||
2.60%, 11/21/2024 | 605,000 | 638,178 | ||||
2.90%, 11/6/2022 | 25,000 | 25,830 | ||||
2.95%, 11/21/2026 | 605,000 | 650,399 | ||||
3.20%, 5/14/2026 | 200,000 | 216,778 | ||||
3.20%, 11/21/2029 | 245,000 | 265,911 | ||||
3.25%, 10/1/2022 | 500,000 | 513,965 | ||||
3.60%, 5/14/2025 | 350,000 | 382,084 | ||||
3.75%, 11/14/2023 | 235,000 | 252,174 | ||||
3.80%, 3/15/2025 | 425,000 | 464,797 | ||||
3.85%, 6/15/2024 | 50,000 | 54,213 | ||||
4.05%, 11/21/2039 | 700,000 | 812,595 | ||||
4.25%, 11/14/2028 | 35,000 | 40,586 | ||||
4.25%, 11/21/2049 | 340,000 | 407,657 | ||||
4.30%, 5/14/2036 | 50,000 | 59,315 | ||||
4.40%, 11/6/2042 | 50,000 | 60,769 | ||||
4.45%, 5/14/2046 | 150,000 | 181,689 | ||||
4.50%, 5/14/2035 | 50,000 | 60,397 | ||||
4.55%, 3/15/2035 | 350,000 | 424,186 | ||||
4.75%, 3/15/2045 | 75,000 | 93,986 | ||||
4.88%, 11/14/2048 | 25,000 | 32,417 | ||||
AmerisourceBergen Corp.: | ||||||
0.74%, 3/15/2023 (b) | 105,000 | 105,208 | ||||
2.70%, 3/15/2031 (b) | 200,000 | 205,374 | ||||
2.80%, 5/15/2030 | 100,000 | 104,296 | ||||
3.45%, 12/15/2027 | 50,000 | 54,561 | ||||
Astrazeneca Finance LLC: | ||||||
0.70%, 5/28/2024 | 80,000 | 79,909 | ||||
1.20%, 5/28/2026 | 35,000 | 34,878 | ||||
1.75%, 5/28/2028 | 55,000 | 54,973 | ||||
2.25%, 5/28/2031 (b) | 20,000 | 20,279 | ||||
AstraZeneca PLC: | ||||||
0.30%, 5/26/2023 | 75,000 | 74,790 | ||||
0.70%, 4/8/2026 | 500,000 | 487,145 |
Security Description | Principal Amount | Value | |||
3.00%, 5/28/2051 | $ 30,000 | $ 30,842 | |||
3.38%, 11/16/2025 | 35,000 | 38,328 | |||
3.50%, 8/17/2023 | 50,000 | 53,109 | |||
4.00%, 1/17/2029 | 35,000 | 40,230 | |||
4.00%, 9/18/2042 | 25,000 | 29,828 | |||
4.38%, 8/17/2048 (b) | 40,000 | 50,449 | |||
6.45%, 9/15/2037 | 25,000 | 37,265 | |||
Becton Dickinson & Co.: | |||||
1.96%, 2/11/2031 | 65,000 | 63,422 | |||
3.36%, 6/6/2024 | 50,000 | 53,567 | |||
3.70%, 6/6/2027 | 163,000 | 181,186 | |||
3.73%, 12/15/2024 | 50,000 | 54,460 | |||
4.69%, 12/15/2044 | 20,000 | 24,940 | |||
Becton Dickinson and Co. 4.67%, 6/6/2047 | 210,000 | 261,696 | |||
Bristol-Myers Squibb Co.: | |||||
0.54%, 11/13/2023 | 35,000 | 35,022 | |||
0.75%, 11/13/2025 (b) | 50,000 | 49,552 | |||
1.13%, 11/13/2027 (b) | 50,000 | 49,182 | |||
1.45%, 11/13/2030 (b) | 30,000 | 29,002 | |||
2.35%, 11/13/2040 | 520,000 | 500,484 | |||
2.55%, 11/13/2050 (b) | 30,000 | 28,730 | |||
2.90%, 7/26/2024 | 319,000 | 340,178 | |||
3.25%, 2/20/2023 | 48,000 | 50,148 | |||
3.25%, 2/27/2027 | 250,000 | 276,890 | |||
3.25%, 8/1/2042 | 50,000 | 53,806 | |||
3.40%, 7/26/2029 | 500,000 | 560,100 | |||
3.88%, 8/15/2025 | 130,000 | 144,661 | |||
3.90%, 2/20/2028 | 100,000 | 114,413 | |||
4.13%, 6/15/2039 | 535,000 | 646,820 | |||
4.25%, 10/26/2049 | 150,000 | 189,456 | |||
4.35%, 11/15/2047 | 225,000 | 285,219 | |||
4.55%, 2/20/2048 | 100,000 | 130,523 | |||
5.00%, 8/15/2045 | 114,000 | 155,993 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 265,255 | |||
3.41%, 6/15/2027 (b) | 300,000 | 327,723 | |||
4.90%, 9/15/2045 | 25,000 | 30,057 | |||
Cigna Corp.: | |||||
1.25%, 3/15/2026 (b) | 65,000 | 65,196 | |||
2.38%, 3/15/2031 | 560,000 | 567,818 | |||
2.40%, 3/15/2030 | 120,000 | 122,525 | |||
3.05%, 10/15/2027 | 50,000 | 53,995 | |||
3.20%, 3/15/2040 | 585,000 | 607,224 | |||
3.40%, 3/15/2050 | 415,000 | 431,687 | |||
3.40%, 3/15/2051 | 540,000 | 564,824 | |||
3.75%, 7/15/2023 | 36,000 | 38,329 | |||
4.38%, 10/15/2028 | 310,000 | 360,821 | |||
4.80%, 8/15/2038 | 60,000 | 74,731 | |||
4.90%, 12/15/2048 | 295,000 | 381,287 | |||
6.13%, 11/15/2041 | 25,000 | 35,702 | |||
CVS Health Corp.: | |||||
1.30%, 8/21/2027 (b) | 300,000 | 294,507 | |||
1.88%, 2/28/2031 (b) | 250,000 | 242,675 | |||
2.70%, 8/21/2040 | 850,000 | 824,236 |
Security Description | Principal Amount | Value | |||
2.88%, 6/1/2026 | $ 210,000 | $ 225,595 | |||
3.38%, 8/12/2024 | 25,000 | 26,877 | |||
3.50%, 7/20/2022 | 200,000 | 205,592 | |||
3.70%, 3/9/2023 | 41,000 | 43,164 | |||
3.75%, 4/1/2030 | 250,000 | 280,265 | |||
3.88%, 7/20/2025 | 20,000 | 22,083 | |||
4.10%, 3/25/2025 (b) | 311,000 | 344,787 | |||
4.13%, 4/1/2040 | 350,000 | 405,734 | |||
4.30%, 3/25/2028 | 460,000 | 528,448 | |||
4.78%, 3/25/2038 | 675,000 | 830,277 | |||
4.88%, 7/20/2035 | 45,000 | 54,864 | |||
5.05%, 3/25/2048 | 300,000 | 390,138 | |||
5.13%, 7/20/2045 | 185,000 | 240,119 | |||
Eli Lilly & Co.: | |||||
2.25%, 5/15/2050 (b) | 100,000 | 90,612 | |||
2.50%, 9/15/2060 | 250,000 | 228,822 | |||
GlaxoSmithKline Capital PLC: | |||||
0.53%, 10/1/2023 | 100,000 | 100,157 | |||
3.00%, 6/1/2024 | 70,000 | 74,652 | |||
3.38%, 6/1/2029 (b) | 835,000 | 928,153 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 26,034 | |||
3.38%, 5/15/2023 | 100,000 | 105,580 | |||
3.63%, 5/15/2025 | 55,000 | 60,680 | |||
3.88%, 5/15/2028 | 100,000 | 114,588 | |||
4.20%, 3/18/2043 | 25,000 | 31,112 | |||
6.38%, 5/15/2038 | 50,000 | 74,862 | |||
Johnson & Johnson: | |||||
0.55%, 9/1/2025 | 800,000 | 791,992 | |||
0.95%, 9/1/2027 | 65,000 | 63,841 | |||
1.30%, 9/1/2030 | 570,000 | 552,980 | |||
2.10%, 9/1/2040 | 65,000 | 61,698 | |||
2.25%, 9/1/2050 | 100,000 | 93,348 | |||
2.45%, 3/1/2026 | 30,000 | 31,951 | |||
2.45%, 9/1/2060 | 65,000 | 61,285 | |||
2.90%, 1/15/2028 | 250,000 | 273,470 | |||
3.38%, 12/5/2023 | 25,000 | 26,852 | |||
3.40%, 1/15/2038 | 100,000 | 113,355 | |||
3.55%, 3/1/2036 | 150,000 | 174,396 | |||
3.63%, 3/3/2037 | 200,000 | 233,164 | |||
3.75%, 3/3/2047 (b) | 100,000 | 120,210 | |||
4.50%, 12/5/2043 | 50,000 | 65,051 | |||
McKesson Corp.: | |||||
0.90%, 12/3/2025 | 370,000 | 364,724 | |||
2.85%, 3/15/2023 | 25,000 | 25,817 | |||
3.95%, 2/16/2028 | 60,000 | 68,086 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 32,530 | |||
Merck & Co., Inc.: | |||||
0.75%, 2/24/2026 | 350,000 | 347,319 | |||
1.45%, 6/24/2030 | 55,000 | 53,582 | |||
2.35%, 6/24/2040 | 70,000 | 67,777 | |||
2.40%, 9/15/2022 | 25,000 | 25,515 | |||
2.75%, 2/10/2025 | 325,000 | 346,278 | |||
2.90%, 3/7/2024 | 45,000 | 47,804 |
Security Description | Principal Amount | Value | |||
3.40%, 3/7/2029 | $ 100,000 | $ 112,074 | |||
3.60%, 9/15/2042 | 25,000 | 28,692 | |||
3.70%, 2/10/2045 | 50,000 | 57,818 | |||
3.90%, 3/7/2039 | 100,000 | 118,367 | |||
4.00%, 3/7/2049 | 65,000 | 79,489 | |||
Novartis Capital Corp.: | |||||
1.75%, 2/14/2025 | 100,000 | 103,215 | |||
2.00%, 2/14/2027 | 100,000 | 103,984 | |||
2.20%, 8/14/2030 | 100,000 | 103,416 | |||
2.75%, 8/14/2050 (b) | 815,000 | 821,927 | |||
3.00%, 11/20/2025 | 25,000 | 27,122 | |||
3.10%, 5/17/2027 | 30,000 | 32,820 | |||
3.40%, 5/6/2024 | 25,000 | 26,966 | |||
4.00%, 11/20/2045 | 50,000 | 61,056 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 55,060 | |||
Pfizer, Inc.: | |||||
0.80%, 5/28/2025 | 750,000 | 752,055 | |||
1.70%, 5/28/2030 | 150,000 | 149,197 | |||
2.55%, 5/28/2040 | 150,000 | 150,453 | |||
2.70%, 5/28/2050 | 250,000 | 249,255 | |||
2.95%, 3/15/2024 | 100,000 | 106,379 | |||
3.00%, 12/15/2026 | 150,000 | 164,694 | |||
3.20%, 9/15/2023 | 50,000 | 52,930 | |||
3.40%, 5/15/2024 | 25,000 | 27,067 | |||
3.45%, 3/15/2029 | 100,000 | 112,498 | |||
3.60%, 9/15/2028 | 100,000 | 113,260 | |||
3.90%, 3/15/2039 | 25,000 | 29,796 | |||
4.00%, 12/15/2036 | 150,000 | 181,245 | |||
4.00%, 3/15/2049 | 100,000 | 122,836 | |||
4.10%, 9/15/2038 | 200,000 | 243,202 | |||
4.20%, 9/15/2048 | 35,000 | 44,092 | |||
7.20%, 3/15/2039 | 75,000 | 122,842 | |||
Sanofi 3.63%, 6/19/2028 | 100,000 | 114,147 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.88%, 9/23/2023 | 100,000 | 104,652 | |||
3.20%, 9/23/2026 | 30,000 | 32,564 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
2.05%, 3/31/2030 (b) | 250,000 | 247,840 | |||
3.03%, 7/9/2040 | 200,000 | 202,114 | |||
3.18%, 7/9/2050 | 500,000 | 504,515 | |||
4.40%, 11/26/2023 | 100,000 | 108,554 | |||
5.00%, 11/26/2028 | 100,000 | 120,445 | |||
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | 250,000 | 306,140 | |||
Viatris, Inc.: | |||||
2.70%, 6/22/2030 (d) | 150,000 | 151,579 | |||
3.85%, 6/22/2040 (d) | 500,000 | 533,670 | |||
4.00%, 6/22/2050 (d) | 150,000 | 158,949 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 35,752 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 53,989 |
Security Description | Principal Amount | Value | ||||
3.00%, 5/15/2050 (b) | $ 105,000 | $ 108,520 | ||||
3.90%, 8/20/2028 | 50,000 | 56,937 | ||||
4.45%, 8/20/2048 | 25,000 | 31,852 | ||||
4.70%, 2/1/2043 | 25,000 | 32,185 | ||||
33,441,863 | ||||||
PIPELINES — 0.8% | ||||||
Boardwalk Pipelines L.P.: | ||||||
3.40%, 2/15/2031 | 45,000 | 47,740 | ||||
4.80%, 5/3/2029 | 40,000 | 46,389 | ||||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 | 90,000 | 98,294 | ||||
Enable Midstream Partners L.P.: | ||||||
4.15%, 9/15/2029 | 100,000 | 109,484 | ||||
4.40%, 3/15/2027 | 50,000 | 55,281 | ||||
4.95%, 5/15/2028 | 30,000 | 34,356 | ||||
Enbridge, Inc.: | ||||||
2.50%, 8/1/2033 | 200,000 | 200,090 | ||||
2.90%, 7/15/2022 | 50,000 | 51,180 | ||||
3.40%, 8/1/2051 | 145,000 | 145,563 | ||||
3.70%, 7/15/2027 | 50,000 | 55,252 | ||||
4.00%, 11/15/2049 | 100,000 | 111,096 | ||||
4.25%, 12/1/2026 | 50,000 | 56,427 | ||||
Energy Transfer L.P.: | ||||||
2.90%, 5/15/2025 | 500,000 | 526,375 | ||||
4.00%, 10/1/2027 | 50,000 | 55,117 | ||||
4.20%, 4/15/2027 | 50,000 | 55,326 | ||||
4.75%, 1/15/2026 | 225,000 | 253,289 | ||||
5.00%, 5/15/2050 | 250,000 | 288,810 | ||||
5.15%, 2/1/2043 | 25,000 | 28,273 | ||||
5.15%, 3/15/2045 | 225,000 | 259,317 | ||||
5.25%, 4/15/2029 | 275,000 | 324,838 | ||||
5.30%, 4/1/2044 | 25,000 | 28,958 | ||||
5.35%, 5/15/2045 | 25,000 | 28,932 | ||||
5.40%, 10/1/2047 | 150,000 | 177,543 | ||||
5.88%, 1/15/2024 | 250,000 | 276,952 | ||||
6.25%, 4/15/2049 | 275,000 | 361,633 | ||||
Enterprise Products Operating LLC: | ||||||
3.13%, 7/31/2029 | 100,000 | 107,895 | ||||
3.20%, 2/15/2052 (b) | 200,000 | 198,162 | ||||
3.70%, 1/31/2051 | 500,000 | 537,260 | ||||
3.75%, 2/15/2025 | 75,000 | 81,764 | ||||
3.95%, 2/15/2027 | 200,000 | 223,876 | ||||
4.15%, 10/16/2028 | 25,000 | 28,716 | ||||
4.20%, 1/31/2050 | 65,000 | 75,230 | ||||
4.80%, 2/1/2049 | 25,000 | 30,787 | ||||
4.85%, 3/15/2044 | 50,000 | 61,346 | ||||
4.90%, 5/15/2046 | 50,000 | 61,872 | ||||
5.10%, 2/15/2045 | 200,000 | 253,778 | ||||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (c) | 250,000 | 245,040 |
Security Description | Principal Amount | Value | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | $ 150,000 | $ 157,111 | |||
Kinder Morgan Energy Partners L.P. 5.40%, 9/1/2044 | 25,000 | 31,246 | |||
Kinder Morgan, Inc.: | |||||
2.00%, 2/15/2031 | 110,000 | 105,896 | |||
3.15%, 1/15/2023 | 450,000 | 467,275 | |||
3.25%, 8/1/2050 | 650,000 | 629,135 | |||
3.60%, 2/15/2051 | 100,000 | 102,175 | |||
4.30%, 6/1/2025 | 300,000 | 334,140 | |||
5.05%, 2/15/2046 | 50,000 | 60,665 | |||
5.30%, 12/1/2034 | 200,000 | 247,362 | |||
5.55%, 6/1/2045 | 150,000 | 194,014 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 55,868 | |||
4.85%, 2/1/2049 | 275,000 | 333,173 | |||
5.00%, 3/1/2026 | 50,000 | 57,571 | |||
MPLX L.P.: | |||||
1.75%, 3/1/2026 | 35,000 | 35,398 | |||
2.65%, 8/15/2030 | 500,000 | 505,385 | |||
3.50%, 12/1/2022 | 75,000 | 77,918 | |||
4.00%, 3/15/2028 | 35,000 | 39,138 | |||
4.50%, 4/15/2038 | 180,000 | 205,778 | |||
4.70%, 4/15/2048 | 100,000 | 116,270 | |||
4.80%, 2/15/2029 (b) | 105,000 | 123,086 | |||
4.88%, 6/1/2025 | 50,000 | 56,452 | |||
4.90%, 4/15/2058 | 25,000 | 29,864 | |||
5.20%, 3/1/2047 | 100,000 | 122,755 | |||
5.20%, 12/1/2047 | 100,000 | 122,068 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 25,690 | |||
ONEOK, Inc.: | |||||
2.20%, 9/15/2025 | 25,000 | 25,724 | |||
2.75%, 9/1/2024 | 100,000 | 105,230 | |||
3.10%, 3/15/2030 | 25,000 | 26,140 | |||
3.40%, 9/1/2029 | 100,000 | 106,618 | |||
4.00%, 7/13/2027 | 30,000 | 33,152 | |||
4.45%, 9/1/2049 | 40,000 | 44,424 | |||
4.50%, 3/15/2050 | 25,000 | 27,904 | |||
4.55%, 7/15/2028 | 50,000 | 57,012 | |||
4.95%, 7/13/2047 | 150,000 | 175,762 | |||
5.20%, 7/15/2048 | 25,000 | 30,665 | |||
Phillips 66 Partners L.P.: | |||||
2.45%, 12/15/2024 | 100,000 | 104,378 | |||
3.15%, 12/15/2029 | 100,000 | 105,101 | |||
3.55%, 10/1/2026 | 10,000 | 10,874 | |||
3.75%, 3/1/2028 | 25,000 | 27,383 | |||
4.90%, 10/1/2046 | 10,000 | 11,894 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 26,803 | |||
4.50%, 12/15/2026 | 50,000 | 56,174 | |||
4.65%, 10/15/2025 | 400,000 | 447,572 |
Security Description | Principal Amount | Value | ||||
4.70%, 6/15/2044 | $ 25,000 | $ 26,503 | ||||
Sabine Pass Liquefaction LLC: | ||||||
4.20%, 3/15/2028 | 100,000 | 112,952 | ||||
5.63%, 3/1/2025 | 200,000 | 228,628 | ||||
5.75%, 5/15/2024 | 75,000 | 84,216 | ||||
5.88%, 6/30/2026 | 250,000 | 295,847 | ||||
4.50%, 5/15/2030 | 250,000 | 288,447 | ||||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 384,275 | ||||
TransCanada PipeLines, Ltd.: | ||||||
2.50%, 8/1/2022 | 100,000 | 102,325 | ||||
4.10%, 4/15/2030 | 700,000 | 803,565 | ||||
4.63%, 3/1/2034 | 250,000 | 296,540 | ||||
4.75%, 5/15/2038 | 100,000 | 120,254 | ||||
7.63%, 1/15/2039 | 25,000 | 38,824 | ||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||
3.25%, 5/15/2030 | 750,000 | 808,627 | ||||
7.85%, 2/1/2026 | 200,000 | 254,092 | ||||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 56,968 | ||||
Williams Cos., Inc.: | ||||||
3.50%, 11/15/2030 (b) | 100,000 | 109,151 | ||||
3.70%, 1/15/2023 | 20,000 | 20,820 | ||||
3.75%, 6/15/2027 | 200,000 | 222,060 | ||||
3.90%, 1/15/2025 | 50,000 | 54,666 | ||||
4.55%, 6/24/2024 | 65,000 | 71,601 | ||||
5.10%, 9/15/2045 | 125,000 | 155,194 | ||||
5.75%, 6/24/2044 | 25,000 | 32,823 | ||||
15,808,862 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.9% | ||||||
Agree L.P. 2.00%, 6/15/2028 | 65,000 | 64,473 | ||||
Alexandria Real Estate Equities, Inc.: | ||||||
2.00%, 5/18/2032 | 125,000 | 121,849 | ||||
3.00%, 5/18/2051 | 250,000 | 245,355 | ||||
3.38%, 8/15/2031 | 60,000 | 65,846 | ||||
3.45%, 4/30/2025 | 100,000 | 109,075 | ||||
4.00%, 2/1/2050 | 100,000 | 115,339 | ||||
4.70%, 7/1/2030 | 35,000 | 41,706 | ||||
American Campus Communities Operating Partnership L.P.: | ||||||
3.30%, 7/15/2026 | 50,000 | 53,762 | ||||
3.63%, 11/15/2027 | 30,000 | 32,712 | ||||
American Tower Corp.: | ||||||
1.50%, 1/31/2028 | 500,000 | 487,020 | ||||
2.75%, 1/15/2027 | 200,000 | 211,552 | ||||
3.00%, 6/15/2023 | 250,000 | 261,860 | ||||
3.10%, 6/15/2050 | 100,000 | 97,775 | ||||
3.13%, 1/15/2027 | 100,000 | 107,133 | ||||
3.38%, 10/15/2026 | 75,000 | 81,614 | ||||
3.50%, 1/31/2023 | 50,000 | 52,380 |
Security Description | Principal Amount | Value | |||
AvalonBay Communities, Inc.: | |||||
Series GMTN, 2.95%, 9/15/2022 | $ 25,000 | $ 25,624 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 53,886 | |||
Series MTN, 2.45%, 1/15/2031 | 70,000 | 72,049 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 43,400 | |||
Series MTN, 3.30%, 6/1/2029 | 65,000 | 70,998 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 58,444 | |||
Boston Properties L.P.: | |||||
2.55%, 4/1/2032 | 200,000 | 201,124 | |||
2.75%, 10/1/2026 | 150,000 | 160,168 | |||
2.90%, 3/15/2030 | 35,000 | 36,456 | |||
3.40%, 6/21/2029 | 100,000 | 108,732 | |||
3.65%, 2/1/2026 | 100,000 | 110,229 | |||
3.85%, 2/1/2023 | 75,000 | 78,322 | |||
Brixmor Operating Partnership L.P.: | |||||
2.25%, 4/1/2028 | 50,000 | 50,028 | |||
3.65%, 6/15/2024 | 50,000 | 53,882 | |||
4.05%, 7/1/2030 | 25,000 | 28,031 | |||
4.13%, 6/15/2026 | 50,000 | 55,744 | |||
4.13%, 5/15/2029 | 100,000 | 112,133 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 70,797 | |||
4.10%, 10/15/2028 (b) | 20,000 | 22,990 | |||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 57,886 | |||
Corporate Office Properties L.P.: | |||||
2.25%, 3/15/2026 | 35,000 | 35,978 | |||
2.75%, 4/15/2031 | 40,000 | 40,310 | |||
Crown Castle International Corp.: | |||||
2.10%, 4/1/2031 | 500,000 | 487,655 | |||
2.50%, 7/15/2031 | 500,000 | 503,605 | |||
2.90%, 4/1/2041 | 500,000 | 485,665 | |||
3.20%, 9/1/2024 | 250,000 | 267,197 | |||
3.65%, 9/1/2027 | 150,000 | 165,388 | |||
3.70%, 6/15/2026 | 15,000 | 16,505 | |||
4.00%, 3/1/2027 | 20,000 | 22,394 | |||
4.75%, 5/15/2047 | 100,000 | 122,167 | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 | 100,000 | 104,898 | |||
4.38%, 2/15/2029 | 30,000 | 34,319 | |||
CyrusOne L.P./CyrusOne Finance Corp.: | |||||
2.90%, 11/15/2024 | 150,000 | 158,358 | |||
3.45%, 11/15/2029 | 60,000 | 63,903 | |||
Digital Realty Trust L.P. 3.70%, 8/15/2027 | 150,000 | 168,094 |
Security Description | Principal Amount | Value | |||
Duke Realty L.P.: | |||||
1.75%, 2/1/2031 (b) | $ 70,000 | $ 67,338 | |||
3.05%, 3/1/2050 | 10,000 | 9,873 | |||
4.00%, 9/15/2028 | 100,000 | 113,980 | |||
Equinix, Inc.: | |||||
1.00%, 9/15/2025 | 150,000 | 148,842 | |||
1.45%, 5/15/2026 | 70,000 | 70,339 | |||
1.55%, 3/15/2028 | 75,000 | 73,662 | |||
2.00%, 5/15/2028 | 70,000 | 70,204 | |||
2.50%, 5/15/2031 | 100,000 | 101,754 | |||
2.63%, 11/18/2024 | 65,000 | 68,428 | |||
2.95%, 9/15/2051 | 150,000 | 143,641 | |||
3.20%, 11/18/2029 | 45,000 | 48,354 | |||
3.40%, 2/15/2052 | 50,000 | 51,391 | |||
ERP Operating L.P.: | |||||
3.00%, 7/1/2029 | 25,000 | 26,893 | |||
3.50%, 3/1/2028 | 100,000 | 110,569 | |||
4.00%, 8/1/2047 | 50,000 | 59,114 | |||
4.15%, 12/1/2028 | 100,000 | 114,910 | |||
Essex Portfolio L.P.: | |||||
1.70%, 3/1/2028 | 165,000 | 162,310 | |||
2.55%, 6/15/2031 | 30,000 | 30,452 | |||
3.00%, 1/15/2030 | 25,000 | 26,304 | |||
3.63%, 5/1/2027 | 50,000 | 55,102 | |||
4.00%, 3/1/2029 | 65,000 | 73,416 | |||
4.50%, 3/15/2048 | 50,000 | 60,760 | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | 75,000 | 80,594 | |||
3.25%, 7/15/2027 | 50,000 | 53,913 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.35%, 9/1/2024 | 55,000 | 58,272 | |||
4.00%, 1/15/2030 | 65,000 | 70,036 | |||
4.00%, 1/15/2031 | 50,000 | 53,923 | |||
5.25%, 6/1/2025 | 20,000 | 22,531 | |||
5.38%, 11/1/2023 | 20,000 | 21,824 | |||
5.38%, 4/15/2026 | 40,000 | 46,032 | |||
5.75%, 6/1/2028 | 20,000 | 23,806 | |||
Healthcare Realty Trust, Inc. 2.40%, 3/15/2030 | 25,000 | 25,162 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.00%, 3/15/2031 | 55,000 | 53,253 | |||
3.50%, 8/1/2026 | 25,000 | 27,468 | |||
Healthpeak Properties, Inc.: | |||||
1.35%, 2/1/2027 | 100,000 | 99,877 | |||
2.88%, 1/15/2031 | 125,000 | 131,280 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 26,168 | |||
3.88%, 3/1/2027 | 50,000 | 54,942 | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | 50,000 | 53,404 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 157,540 |
Security Description | Principal Amount | Value | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | $ 200,000 | $ 211,122 | |||
4.65%, 4/1/2029 | 25,000 | 28,802 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 52,236 | |||
3.45%, 12/15/2024 | 50,000 | 53,414 | |||
4.75%, 12/15/2028 | 25,000 | 29,032 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 | 50,000 | 53,056 | |||
3.30%, 2/1/2025 | 40,000 | 43,102 | |||
3.70%, 10/1/2049 | 100,000 | 108,012 | |||
3.80%, 4/1/2027 (b) | 25,000 | 27,680 | |||
Life Storage L.P. 4.00%, 6/15/2029 | 100,000 | 112,058 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 55,701 | |||
3.95%, 3/15/2029 | 100,000 | 113,560 | |||
National Retail Properties, Inc.: | |||||
3.10%, 4/15/2050 | 100,000 | 97,300 | |||
3.50%, 4/15/2051 | 45,000 | 47,024 | |||
3.60%, 12/15/2026 | 50,000 | 54,632 | |||
4.30%, 10/15/2028 | 35,000 | 39,801 | |||
Office Properties Income Trust: | |||||
4.25%, 5/15/2024 | 50,000 | 53,254 | |||
4.50%, 2/1/2025 | 25,000 | 27,175 | |||
Omega Healthcare Investors, Inc.: | |||||
3.25%, 4/15/2033 | 200,000 | 199,464 | |||
3.63%, 10/1/2029 | 50,000 | 53,487 | |||
4.38%, 8/1/2023 | 31,000 | 33,061 | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | 100,000 | 109,816 | |||
Piedmont Operating Partnership L.P. 3.15%, 8/15/2030 | 100,000 | 101,740 | |||
Prologis L.P.: | |||||
1.25%, 10/15/2030 | 30,000 | 28,246 | |||
1.63%, 3/15/2031 | 250,000 | 240,910 | |||
2.13%, 4/15/2027 (b) | 50,000 | 52,109 | |||
2.25%, 4/15/2030 | 65,000 | 66,342 | |||
3.00%, 4/15/2050 | 50,000 | 51,387 | |||
4.38%, 2/1/2029 | 65,000 | 76,464 | |||
Public Storage: | |||||
1.85%, 5/1/2028 (b) | 250,000 | 251,942 | |||
2.37%, 9/15/2022 | 125,000 | 127,821 | |||
Realty Income Corp.: | |||||
0.75%, 3/15/2026 | 250,000 | 245,195 | |||
1.80%, 3/15/2033 (b) | 300,000 | 286,449 | |||
3.65%, 1/15/2028 | 100,000 | 111,753 | |||
3.88%, 4/15/2025 | 100,000 | 110,390 | |||
4.13%, 10/15/2026 | 50,000 | 56,683 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 56,182 |
Security Description | Principal Amount | Value | |||
4.40%, 2/1/2047 | $ 150,000 | $ 174,333 | |||
Sabra Health Care L.P.: | |||||
4.80%, 6/1/2024 | 25,000 | 27,334 | |||
5.13%, 8/15/2026 | 25,000 | 28,138 | |||
Simon Property Group L.P.: | |||||
1.75%, 2/1/2028 | 250,000 | 249,075 | |||
2.20%, 2/1/2031 (b) | 250,000 | 246,952 | |||
2.65%, 7/15/2030 (b) | 350,000 | 363,104 | |||
2.75%, 6/1/2023 | 200,000 | 207,632 | |||
4.25%, 11/30/2046 | 50,000 | 58,267 | |||
Spirit Realty L.P.: | |||||
2.10%, 3/15/2028 | 50,000 | 49,823 | |||
2.70%, 2/15/2032 | 60,000 | 59,497 | |||
3.40%, 1/15/2030 | 100,000 | 106,571 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 56,580 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 (b) | 50,000 | 54,140 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 164,097 | |||
Series MTN, 1.90%, 3/15/2033 | 250,000 | 234,315 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 26,736 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 54,748 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 | 25,000 | 26,314 | |||
3.00%, 1/15/2030 | 50,000 | 52,280 | |||
3.85%, 4/1/2027 | 100,000 | 111,787 | |||
4.00%, 3/1/2028 | 100,000 | 112,434 | |||
4.38%, 2/1/2045 | 75,000 | 85,172 | |||
VEREIT Operating Partnership L.P.: | |||||
2.85%, 12/15/2032 | 250,000 | 261,455 | |||
3.10%, 12/15/2029 | 150,000 | 160,641 | |||
3.95%, 8/15/2027 | 40,000 | 45,069 | |||
4.60%, 2/6/2024 | 5,000 | 5,453 | |||
4.63%, 11/1/2025 | 50,000 | 56,673 | |||
4.88%, 6/1/2026 | 10,000 | 11,542 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 53,224 | |||
Welltower, Inc.: | |||||
2.05%, 1/15/2029 | 560,000 | 560,801 | |||
2.70%, 2/15/2027 | 50,000 | 53,053 | |||
2.80%, 6/1/2031 | 200,000 | 206,664 | |||
3.10%, 1/15/2030 | 55,000 | 58,614 | |||
4.00%, 6/1/2025 | 175,000 | 193,165 | |||
4.13%, 3/15/2029 | 100,000 | 113,522 | |||
Weyerhaeuser Co. 4.00%, 11/15/2029 | 200,000 | 228,272 | |||
WP Carey, Inc.: | |||||
2.25%, 4/1/2033 (b) | 50,000 | 48,110 | |||
3.85%, 7/15/2029 | 100,000 | 110,958 | |||
17,227,418 |
Security Description | Principal Amount | Value | ||||
RETAIL — 0.7% | ||||||
Advance Auto Parts, Inc. 3.90%, 4/15/2030 | $ 100,000 | $ 111,811 | ||||
AutoNation, Inc. 4.75%, 6/1/2030 | 50,000 | 59,194 | ||||
AutoZone, Inc.: | ||||||
1.65%, 1/15/2031 | 40,000 | 38,067 | ||||
3.13%, 4/18/2024 | 100,000 | 106,466 | ||||
3.75%, 6/1/2027 | 100,000 | 111,813 | ||||
Best Buy Co., Inc. 4.45%, 10/1/2028 | 50,000 | 57,959 | ||||
Costco Wholesale Corp.: | ||||||
1.38%, 6/20/2027 | 100,000 | 100,687 | ||||
1.60%, 4/20/2030 | 65,000 | 64,054 | ||||
1.75%, 4/20/2032 | 530,000 | 522,193 | ||||
Darden Restaurants, Inc.: | ||||||
3.85%, 5/1/2027 | 15,000 | 16,657 | ||||
4.55%, 2/15/2048 | 15,000 | 17,620 | ||||
Dollar General Corp.: | ||||||
4.13%, 5/1/2028 | 70,000 | 80,214 | ||||
4.15%, 11/1/2025 | 25,000 | 28,003 | ||||
Dollar Tree, Inc.: | ||||||
3.70%, 5/15/2023 | 95,000 | 100,362 | ||||
4.00%, 5/15/2025 | 100,000 | 110,363 | ||||
4.20%, 5/15/2028 | 45,000 | 51,337 | ||||
Home Depot, Inc.: | ||||||
2.13%, 9/15/2026 | 150,000 | 157,834 | ||||
2.38%, 3/15/2051 | 500,000 | 462,535 | ||||
2.50%, 4/15/2027 | 350,000 | 373,212 | ||||
2.70%, 4/15/2030 | 250,000 | 267,490 | ||||
2.80%, 9/14/2027 (b) | 250,000 | 270,960 | ||||
3.00%, 4/1/2026 | 350,000 | 381,024 | ||||
3.13%, 12/15/2049 | 100,000 | 105,992 | ||||
3.30%, 4/15/2040 | 250,000 | 274,090 | ||||
3.35%, 4/15/2050 | 150,000 | 165,993 | ||||
3.75%, 2/15/2024 | 25,000 | 26,937 | ||||
4.25%, 4/1/2046 | 35,000 | 43,578 | ||||
5.95%, 4/1/2041 | 50,000 | 73,104 | ||||
Kohl's Corp.: | ||||||
3.38%, 5/1/2031 (b) | 90,000 | 93,233 | ||||
5.55%, 7/17/2045 (b) | 20,000 | 23,983 | ||||
Lowe's Cos., Inc.: | ||||||
1.30%, 4/15/2028 | 20,000 | 19,508 | ||||
1.70%, 10/15/2030 | 520,000 | 498,820 | ||||
2.50%, 4/15/2026 | 50,000 | 53,069 | ||||
2.63%, 4/1/2031 | 100,000 | 103,555 | ||||
3.00%, 10/15/2050 | 265,000 | 261,070 | ||||
3.10%, 5/3/2027 (b) | 200,000 | 218,256 | ||||
3.38%, 9/15/2025 | 25,000 | 27,364 | ||||
3.50%, 4/1/2051 | 50,000 | 53,666 | ||||
3.70%, 4/15/2046 | 50,000 | 54,926 | ||||
4.05%, 5/3/2047 | 300,000 | 345,663 | ||||
McDonald's Corp.: | ||||||
Series MTN, 1.45%, 9/1/2025 | 15,000 | 15,302 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.13%, 3/1/2030 | $ 15,000 | $ 15,164 | |||
Series MTN, 2.63%, 9/1/2029 (b) | 75,000 | 78,958 | |||
Series MTN, 3.35%, 4/1/2023 | 80,000 | 83,912 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 55,236 | |||
Series MTN, 3.60%, 7/1/2030 | 250,000 | 281,130 | |||
Series MTN, 3.63%, 9/1/2049 | 160,000 | 177,266 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 83,374 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 113,232 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 153,237 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 24,917 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 185,953 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 128,739 | |||
Nordstrom, Inc. 4.25%, 8/1/2031 (b) (d) | 40,000 | 41,765 | |||
O'Reilly Automotive, Inc.: | |||||
1.75%, 3/15/2031 (b) | 45,000 | 43,268 | |||
3.60%, 9/1/2027 | 50,000 | 56,022 | |||
4.35%, 6/1/2028 | 100,000 | 116,098 | |||
Starbucks Corp.: | |||||
2.00%, 3/12/2027 | 100,000 | 102,837 | |||
2.25%, 3/12/2030 | 100,000 | 101,422 | |||
2.55%, 11/15/2030 | 100,000 | 103,594 | |||
3.35%, 3/12/2050 | 25,000 | 26,112 | |||
3.50%, 11/15/2050 | 150,000 | 161,235 | |||
3.80%, 8/15/2025 | 50,000 | 55,354 | |||
3.85%, 10/1/2023 | 25,000 | 26,685 | |||
4.00%, 11/15/2028 | 50,000 | 57,542 | |||
4.45%, 8/15/2049 | 100,000 | 124,092 | |||
4.50%, 11/15/2048 | 30,000 | 37,382 | |||
Target Corp.: | |||||
2.25%, 4/15/2025 | 500,000 | 524,710 | |||
2.50%, 4/15/2026 | 50,000 | 53,776 | |||
3.38%, 4/15/2029 | 100,000 | 112,324 | |||
TJX Cos., Inc.: | |||||
1.60%, 5/15/2031 (b) | 250,000 | 240,945 | |||
2.25%, 9/15/2026 | 50,000 | 52,580 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.20%, 4/15/2030 (b) | 50,000 | 53,354 | |||
3.45%, 6/1/2026 | 250,000 | 272,005 | |||
4.10%, 4/15/2050 (b) | 350,000 | 385,714 | |||
Walmart, Inc.: | |||||
2.65%, 12/15/2024 (b) | 150,000 | 159,792 | |||
2.95%, 9/24/2049 | 650,000 | 690,137 |
Security Description | Principal Amount | Value | ||||
3.25%, 7/8/2029 (b) | $ 80,000 | $ 89,548 | ||||
3.30%, 4/22/2024 | 325,000 | 348,283 | ||||
3.40%, 6/26/2023 | 325,000 | 344,172 | ||||
3.70%, 6/26/2028 | 425,000 | 483,811 | ||||
3.95%, 6/28/2038 | 325,000 | 390,484 | ||||
4.05%, 6/29/2048 | 185,000 | 232,771 | ||||
12,816,896 | ||||||
SEMICONDUCTORS — 0.6% | ||||||
Applied Materials, Inc.: | ||||||
1.75%, 6/1/2030 | 30,000 | 29,696 | ||||
3.90%, 10/1/2025 | 25,000 | 27,906 | ||||
4.35%, 4/1/2047 | 100,000 | 127,416 | ||||
5.10%, 10/1/2035 | 50,000 | 66,056 | ||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%, 1/15/2027 | 350,000 | 386,827 | ||||
Broadcom, Inc.: | ||||||
1.95%, 2/15/2028 (b) (d) | 80,000 | 80,038 | ||||
2.45%, 2/15/2031 (b) (d) | 700,000 | 688,877 | ||||
2.60%, 2/15/2033 (b) (d) | 200,000 | 196,064 | ||||
3.15%, 11/15/2025 | 80,000 | 85,810 | ||||
3.42%, 4/15/2033 (d) | 315,000 | 332,130 | ||||
3.47%, 4/15/2034 (d) | 250,000 | 264,600 | ||||
3.50%, 2/15/2041 (d) | 565,000 | 579,814 | ||||
3.75%, 2/15/2051 (d) | 40,000 | 41,801 | ||||
4.11%, 9/15/2028 | 159,000 | 178,753 | ||||
4.15%, 11/15/2030 | 100,000 | 112,217 | ||||
4.25%, 4/15/2026 | 500,000 | 560,700 | ||||
4.30%, 11/15/2032 | 55,000 | 62,624 | ||||
4.75%, 4/15/2029 | 150,000 | 174,490 | ||||
5.00%, 4/15/2030 | 200,000 | 236,400 | ||||
Intel Corp.: | ||||||
2.45%, 11/15/2029 (b) | 150,000 | 157,990 | ||||
2.88%, 5/11/2024 | 200,000 | 212,638 | ||||
3.10%, 2/15/2060 | 150,000 | 153,237 | ||||
3.15%, 5/11/2027 | 200,000 | 219,900 | ||||
3.25%, 11/15/2049 | 150,000 | 159,864 | ||||
3.40%, 3/25/2025 | 500,000 | 545,825 | ||||
3.75%, 3/25/2027 | 300,000 | 338,850 | ||||
4.10%, 5/19/2046 | 370,000 | 444,522 | ||||
4.10%, 5/11/2047 | 50,000 | 59,984 | ||||
4.75%, 3/25/2050 | 150,000 | 199,161 | ||||
KLA Corp.: | ||||||
3.30%, 3/1/2050 | 50,000 | 53,125 | ||||
4.10%, 3/15/2029 | 65,000 | 74,942 | ||||
Lam Research Corp.: | ||||||
3.75%, 3/15/2026 | 50,000 | 56,020 | ||||
4.00%, 3/15/2029 | 280,000 | 325,657 | ||||
4.88%, 3/15/2049 | 25,000 | 33,835 | ||||
Marvell Technology, Inc.: | ||||||
1.65%, 4/15/2026 (d) | 65,000 | 64,976 | ||||
2.45%, 4/15/2028 (d) | 65,000 | 66,248 | ||||
2.95%, 4/15/2031 (d) | 60,000 | 62,209 | ||||
Micron Technology, Inc.: | ||||||
2.50%, 4/24/2023 | 30,000 | 31,002 |
Security Description | Principal Amount | Value | ||||
4.66%, 2/15/2030 | $ 200,000 | $ 232,848 | ||||
NVIDIA Corp.: | ||||||
0.31%, 6/15/2023 (b) | 85,000 | 85,015 | ||||
0.58%, 6/14/2024 | 75,000 | 75,039 | ||||
1.55%, 6/15/2028 | 100,000 | 99,629 | ||||
2.00%, 6/15/2031 | 100,000 | 100,110 | ||||
3.20%, 9/16/2026 | 50,000 | 55,027 | ||||
3.50%, 4/1/2040 | 300,000 | 340,008 | ||||
3.50%, 4/1/2050 | 150,000 | 169,632 | ||||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (d) | 100,000 | 110,094 | ||||
NXP B.V./NXP Funding LLC/NXP USA, Inc.: | ||||||
2.70%, 5/1/2025 (d) | 10,000 | 10,543 | ||||
3.15%, 5/1/2027 (d) | 15,000 | 16,070 | ||||
3.40%, 5/1/2030 (d) | 20,000 | 21,803 | ||||
QUALCOMM, Inc.: | ||||||
1.30%, 5/20/2028 | 250,000 | 244,690 | ||||
2.15%, 5/20/2030 | 100,000 | 102,346 | ||||
2.60%, 1/30/2023 | 200,000 | 207,102 | ||||
2.90%, 5/20/2024 | 200,000 | 212,512 | ||||
3.25%, 5/20/2027 | 50,000 | 55,216 | ||||
3.25%, 5/20/2050 (b) | 45,000 | 48,522 | ||||
3.45%, 5/20/2025 | 50,000 | 54,868 | ||||
4.30%, 5/20/2047 | 50,000 | 62,952 | ||||
4.80%, 5/20/2045 | 25,000 | 33,224 | ||||
Texas Instruments, Inc.: | ||||||
2.90%, 11/3/2027 | 70,000 | 76,240 | ||||
3.88%, 3/15/2039 | 250,000 | 300,142 | ||||
4.15%, 5/15/2048 | 150,000 | 190,131 | ||||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 52,924 | ||||
10,448,891 | ||||||
SOFTWARE — 0.8% | ||||||
Activision Blizzard, Inc. 4.50%, 6/15/2047 | 150,000 | 187,152 | ||||
Adobe, Inc.: | ||||||
1.70%, 2/1/2023 | 20,000 | 20,450 | ||||
1.90%, 2/1/2025 (b) | 30,000 | 31,185 | ||||
2.30%, 2/1/2030 | 30,000 | 31,234 | ||||
3.25%, 2/1/2025 | 25,000 | 27,079 | ||||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 55,089 | ||||
Broadridge Financial Solutions, Inc.: | ||||||
2.60%, 5/1/2031 | 150,000 | 152,874 | ||||
2.90%, 12/1/2029 | 50,000 | 52,851 | ||||
Citrix Systems, Inc.: | ||||||
1.25%, 3/1/2026 | 55,000 | 54,374 | ||||
3.30%, 3/1/2030 | 100,000 | 105,261 | ||||
Electronic Arts, Inc.: | ||||||
1.85%, 2/15/2031 | 90,000 | 87,030 | ||||
2.95%, 2/15/2051 | 65,000 | 63,637 |
Security Description | Principal Amount | Value | |||
Fidelity National Information Services, Inc.: | |||||
0.38%, 3/1/2023 | $ 40,000 | $ 39,966 | |||
0.60%, 3/1/2024 (b) | 35,000 | 34,944 | |||
1.15%, 3/1/2026 | 805,000 | 798,640 | |||
1.65%, 3/1/2028 | 35,000 | 34,789 | |||
2.25%, 3/1/2031 | 100,000 | 99,845 | |||
3.10%, 3/1/2041 | 15,000 | 15,411 | |||
Fiserv, Inc.: | |||||
2.25%, 6/1/2027 | 50,000 | 51,887 | |||
2.65%, 6/1/2030 | 50,000 | 51,763 | |||
2.75%, 7/1/2024 | 100,000 | 105,448 | |||
3.20%, 7/1/2026 | 275,000 | 297,916 | |||
3.50%, 7/1/2029 | 65,000 | 71,553 | |||
3.80%, 10/1/2023 | 150,000 | 160,532 | |||
4.20%, 10/1/2028 (b) | 65,000 | 74,769 | |||
4.40%, 7/1/2049 | 60,000 | 72,278 | |||
Intuit, Inc.: | |||||
0.95%, 7/15/2025 (b) | 15,000 | 15,032 | |||
1.65%, 7/15/2030 (b) | 15,000 | 14,772 | |||
Microsoft Corp.: | |||||
2.00%, 8/8/2023 | 50,000 | 51,637 | |||
2.40%, 8/8/2026 | 200,000 | 213,132 | |||
2.53%, 6/1/2050 | 918,000 | 902,091 | |||
2.65%, 11/3/2022 | 300,000 | 308,271 | |||
2.68%, 6/1/2060 | 288,000 | 286,744 | |||
2.88%, 2/6/2024 | 500,000 | 529,080 | |||
2.92%, 3/17/2052 | 660,000 | 700,088 | |||
3.04%, 3/17/2062 | 312,000 | 333,603 | |||
3.13%, 11/3/2025 | 50,000 | 54,558 | |||
3.30%, 2/6/2027 | 280,000 | 311,626 | |||
3.45%, 8/8/2036 | 262,000 | 302,791 | |||
3.63%, 12/15/2023 | 25,000 | 26,815 | |||
Oracle Corp.: | |||||
1.65%, 3/25/2026 | 590,000 | 598,183 | |||
2.30%, 3/25/2028 | 105,000 | 107,817 | |||
2.40%, 9/15/2023 | 200,000 | 207,474 | |||
2.50%, 4/1/2025 | 600,000 | 630,258 | |||
2.63%, 2/15/2023 | 235,000 | 243,011 | |||
2.65%, 7/15/2026 | 45,000 | 47,494 | |||
2.80%, 4/1/2027 | 250,000 | 265,077 | |||
2.88%, 3/25/2031 | 370,000 | 385,274 | |||
2.95%, 5/15/2025 | 10,000 | 10,650 | |||
2.95%, 4/1/2030 | 300,000 | 316,191 | |||
3.60%, 4/1/2040 | 750,000 | 791,175 | |||
3.60%, 4/1/2050 | 525,000 | 539,416 | |||
3.65%, 3/25/2041 | 160,000 | 169,942 | |||
3.80%, 11/15/2037 | 180,000 | 197,350 | |||
3.85%, 7/15/2036 | 150,000 | 165,724 | |||
3.85%, 4/1/2060 | 250,000 | 264,705 | |||
3.90%, 5/15/2035 | 5,000 | 5,595 | |||
3.95%, 3/25/2051 | 370,000 | 404,299 | |||
4.00%, 7/15/2046 | 180,000 | 195,588 | |||
4.10%, 3/25/2061 | 145,000 | 160,693 | |||
4.30%, 7/8/2034 | 200,000 | 232,278 |
Security Description | Principal Amount | Value | ||||
4.38%, 5/15/2055 | $ 10,000 | $ 11,600 | ||||
Roper Technologies, Inc.: | ||||||
0.45%, 8/15/2022 | 50,000 | 50,030 | ||||
1.75%, 2/15/2031 (b) | 250,000 | 240,317 | ||||
3.80%, 12/15/2026 | 30,000 | 33,484 | ||||
4.20%, 9/15/2028 | 65,000 | 74,790 | ||||
salesforce.com, Inc.: | ||||||
0.63%, 7/15/2024 | 55,000 | 55,027 | ||||
1.50%, 7/15/2028 | 65,000 | 64,992 | ||||
1.95%, 7/15/2031 | 120,000 | 120,186 | ||||
2.70%, 7/15/2041 (f) | 60,000 | 60,376 | ||||
2.90%, 7/15/2051 | 100,000 | 101,046 | ||||
3.05%, 7/15/2061 | 50,000 | 50,811 | ||||
3.25%, 4/11/2023 | 275,000 | 288,502 | ||||
3.70%, 4/11/2028 | 25,000 | 28,463 | ||||
ServiceNow, Inc. 1.40%, 9/1/2030 | 65,000 | 60,989 | ||||
VMware, Inc. 3.90%, 8/21/2027 | 150,000 | 166,702 | ||||
14,173,706 | ||||||
TELECOMMUNICATIONS — 1.4% | ||||||
America Movil SAB de CV: | ||||||
2.88%, 5/7/2030 | 200,000 | 210,812 | ||||
3.13%, 7/16/2022 | 100,000 | 102,720 | ||||
4.38%, 7/16/2042 | 50,000 | 60,217 | ||||
4.38%, 4/22/2049 | 200,000 | 247,088 | ||||
6.13%, 3/30/2040 | 100,000 | 141,757 | ||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 850,000 | 851,827 | ||||
1.65%, 2/1/2028 (b) | 530,000 | 526,057 | ||||
1.70%, 3/25/2026 (b) | 100,000 | 101,074 | ||||
2.25%, 2/1/2032 | 125,000 | 122,861 | ||||
2.30%, 6/1/2027 | 550,000 | 569,184 | ||||
2.55%, 12/1/2033 (d) | 350,000 | 346,892 | ||||
2.75%, 6/1/2031 (b) | 350,000 | 363,856 | ||||
3.10%, 2/1/2043 | 150,000 | 147,050 | ||||
3.30%, 2/1/2052 | 90,000 | 87,658 | ||||
3.40%, 5/15/2025 | 250,000 | 272,407 | ||||
3.50%, 6/1/2041 | 600,000 | 624,570 | ||||
3.50%, 9/15/2053 (d) | 650,000 | 651,898 | ||||
3.50%, 2/1/2061 | 100,000 | 98,022 | ||||
3.55%, 9/15/2055 (d) | 429,000 | 429,867 | ||||
3.65%, 6/1/2051 | 100,000 | 104,509 | ||||
3.65%, 9/15/2059 (d) | 694,000 | 703,105 | ||||
3.80%, 2/15/2027 | 150,000 | 167,319 | ||||
3.80%, 12/1/2057 (d) | 471,000 | 492,195 | ||||
3.85%, 6/1/2060 | 45,000 | 47,468 | ||||
4.10%, 2/15/2028 | 184,000 | 209,835 | ||||
4.13%, 2/17/2026 | 350,000 | 393,344 | ||||
4.45%, 4/1/2024 | 25,000 | 27,317 | ||||
4.50%, 5/15/2035 | 300,000 | 352,074 | ||||
4.55%, 3/9/2049 | 208,000 | 244,119 | ||||
4.65%, 6/1/2044 | 25,000 | 29,417 | ||||
4.75%, 5/15/2046 | 30,000 | 36,446 | ||||
4.85%, 3/1/2039 | 570,000 | 692,977 |
Security Description | �� | Principal Amount | Value | ||
Bell Telephone Co. of Canada or Bell Canada: | |||||
4.30%, 7/29/2049 | $ 55,000 | $ 66,717 | |||
4.46%, 4/1/2048 | 30,000 | 37,227 | |||
Series US-3, 0.75%, 3/17/2024 | 150,000 | 150,396 | |||
Series US-4, 3.65%, 3/17/2051 | 150,000 | 164,156 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 238,524 | |||
Cisco Systems, Inc.: | |||||
3.50%, 6/15/2025 | 25,000 | 27,607 | |||
3.63%, 3/4/2024 | 25,000 | 27,054 | |||
5.50%, 1/15/2040 | 300,000 | 424,452 | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | 25,000 | 29,793 | |||
5.35%, 11/15/2048 | 100,000 | 134,872 | |||
5.75%, 8/15/2040 | 25,000 | 33,944 | |||
Deutsche Telekom International Finance B.V. 8.75%, 6/15/2030 | 250,000 | 374,425 | |||
Juniper Networks, Inc.: | |||||
1.20%, 12/10/2025 | 250,000 | 249,682 | |||
2.00%, 12/10/2030 (b) | 250,000 | 239,942 | |||
3.75%, 8/15/2029 | 100,000 | 111,314 | |||
Motorola Solutions, Inc.: | |||||
2.75%, 5/24/2031 | 100,000 | 102,060 | |||
4.00%, 9/1/2024 | 23,000 | 25,182 | |||
4.60%, 2/23/2028 | 125,000 | 145,660 | |||
4.60%, 5/23/2029 | 50,000 | 58,307 | |||
Orange SA 5.50%, 2/6/2044 | 50,000 | 69,603 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 | 30,000 | 31,068 | |||
3.70%, 11/15/2049 | 50,000 | 53,239 | |||
4.30%, 2/15/2048 | 40,000 | 46,262 | |||
4.35%, 5/1/2049 | 155,000 | 182,441 | |||
5.00%, 3/15/2044 | 50,000 | 62,541 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 176,468 | |||
5.21%, 3/8/2047 | 300,000 | 375,576 | |||
5.52%, 3/1/2049 | 150,000 | 194,933 | |||
7.05%, 6/20/2036 | 25,000 | 35,987 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 36,604 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 188,354 | |||
T-Mobile USA, Inc.: | |||||
2.05%, 2/15/2028 | 45,000 | 45,600 | |||
2.25%, 11/15/2031 | 50,000 | 49,242 | |||
2.55%, 2/15/2031 | 165,000 | 166,881 | |||
3.00%, 2/15/2041 (b) | 555,000 | 548,834 | |||
3.30%, 2/15/2051 | 100,000 | 99,645 | |||
3.50%, 4/15/2025 | 650,000 | 704,905 | |||
3.60%, 11/15/2060 | 20,000 | 20,420 |
Security Description | Principal Amount | Value | ||||
3.75%, 4/15/2027 | $ 150,000 | $ 165,764 | ||||
3.88%, 4/15/2030 | 380,000 | 424,152 | ||||
4.38%, 4/15/2040 | 350,000 | 410,242 | ||||
4.50%, 4/15/2050 | 545,000 | 648,332 | ||||
Verizon Communications, Inc.: | ||||||
0.75%, 3/22/2024 | 555,000 | 557,420 | ||||
0.85%, 11/20/2025 | 200,000 | 197,558 | ||||
1.45%, 3/20/2026 | 580,000 | 585,359 | ||||
1.50%, 9/18/2030 | 60,000 | 57,264 | ||||
1.68%, 10/30/2030 | 55,000 | 52,544 | ||||
1.75%, 1/20/2031 | 200,000 | 191,664 | ||||
2.55%, 3/21/2031 | 500,000 | 511,575 | ||||
2.63%, 8/15/2026 | 50,000 | 53,121 | ||||
2.65%, 11/20/2040 | 200,000 | 192,964 | ||||
2.88%, 11/20/2050 | 200,000 | 190,996 | ||||
2.99%, 10/30/2056 | 837,000 | 786,973 | ||||
3.00%, 11/20/2060 | 175,000 | 164,297 | ||||
3.15%, 3/22/2030 | 500,000 | 539,275 | ||||
3.38%, 2/15/2025 | 500,000 | 543,230 | ||||
3.40%, 3/22/2041 | 500,000 | 529,615 | ||||
3.55%, 3/22/2051 | 500,000 | 534,280 | ||||
3.70%, 3/22/2061 | 500,000 | 536,265 | ||||
3.88%, 2/8/2029 | 10,000 | 11,378 | ||||
4.00%, 3/22/2050 | 500,000 | 575,430 | ||||
4.02%, 12/3/2029 | 350,000 | 401,485 | ||||
4.27%, 1/15/2036 | 28,000 | 33,396 | ||||
4.33%, 9/21/2028 | 285,000 | 331,255 | ||||
4.40%, 11/1/2034 | 250,000 | 298,105 | ||||
4.50%, 8/10/2033 | 250,000 | 299,152 | ||||
4.52%, 9/15/2048 | 25,000 | 30,860 | ||||
4.81%, 3/15/2039 | 100,000 | 126,799 | ||||
5.01%, 4/15/2049 | 15,000 | 19,848 | ||||
Vodafone Group PLC: | ||||||
4.13%, 5/30/2025 | 50,000 | 55,814 | ||||
4.38%, 5/30/2028 | 500,000 | 581,630 | ||||
4.38%, 2/19/2043 | 75,000 | 87,521 | ||||
5.00%, 5/30/2038 | 250,000 | 314,902 | ||||
5.25%, 5/30/2048 | 225,000 | 294,941 | ||||
26,521,265 | ||||||
TEXTILES — 0.0% (a) | ||||||
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 100,000 | 109,824 | ||||
TOYS/GAMES/HOBBIES — 0.0% (a) | ||||||
Hasbro, Inc.: | ||||||
3.50%, 9/15/2027 | 30,000 | 32,779 | ||||
3.90%, 11/19/2029 (b) | 100,000 | 111,215 | ||||
143,994 | ||||||
TRANSPORTATION — 0.5% | ||||||
Burlington Northern Santa Fe LLC: | ||||||
3.05%, 2/15/2051 | 15,000 | 15,635 | ||||
3.30%, 9/15/2051 | 350,000 | 381,892 | ||||
3.40%, 9/1/2024 | 100,000 | 108,206 |
Security Description | Principal Amount | Value | |||
3.55%, 2/15/2050 | $ 250,000 | $ 283,165 | |||
3.75%, 4/1/2024 | 25,000 | 26,992 | |||
3.90%, 8/1/2046 | 100,000 | 117,422 | |||
4.05%, 6/15/2048 | 155,000 | 187,316 | |||
4.13%, 6/15/2047 | 150,000 | 182,310 | |||
4.15%, 12/15/2048 | 30,000 | 36,803 | |||
4.45%, 3/15/2043 | 50,000 | 62,676 | |||
4.55%, 9/1/2044 | 50,000 | 63,730 | |||
4.90%, 4/1/2044 | 125,000 | 166,607 | |||
Canadian National Railway Co.: | |||||
2.45%, 5/1/2050 | 15,000 | 13,575 | |||
2.75%, 3/1/2026 | 100,000 | 107,338 | |||
2.95%, 11/21/2024 | 50,000 | 53,312 | |||
3.20%, 8/2/2046 | 25,000 | 25,908 | |||
3.65%, 2/3/2048 | 50,000 | 55,484 | |||
Canadian Pacific Railway Co.: | |||||
2.05%, 3/5/2030 | 35,000 | 34,879 | |||
4.00%, 6/1/2028 | 100,000 | 113,689 | |||
4.80%, 9/15/2035 | 30,000 | 37,247 | |||
CSX Corp.: | |||||
2.40%, 2/15/2030 (b) | 50,000 | 51,494 | |||
2.50%, 5/15/2051 | 60,000 | 54,607 | |||
3.25%, 6/1/2027 | 50,000 | 54,832 | |||
3.35%, 9/15/2049 | 65,000 | 68,862 | |||
3.40%, 8/1/2024 | 25,000 | 26,911 | |||
3.80%, 3/1/2028 | 50,000 | 56,368 | |||
3.80%, 11/1/2046 | 100,000 | 113,149 | |||
4.10%, 3/15/2044 | 75,000 | 87,778 | |||
4.25%, 3/15/2029 | 95,000 | 110,437 | |||
4.30%, 3/1/2048 | 50,000 | 60,707 | |||
4.50%, 3/15/2049 | 125,000 | 156,262 | |||
4.65%, 3/1/2068 | 50,000 | 65,630 | |||
FedEx Corp.: | |||||
2.40%, 5/15/2031 | 65,000 | 66,210 | |||
3.25%, 5/15/2041 | 65,000 | 66,927 | |||
3.40%, 2/15/2028 | 50,000 | 55,549 | |||
3.90%, 2/1/2035 | 200,000 | 228,920 | |||
4.05%, 2/15/2048 | 50,000 | 57,434 | |||
4.55%, 4/1/2046 | 100,000 | 121,059 | |||
4.75%, 11/15/2045 | 25,000 | 31,161 | |||
4.95%, 10/17/2048 | 100,000 | 129,048 | |||
5.25%, 5/15/2050 | 250,000 | 339,147 | |||
GXO Logistics, Inc. 1.65%, 7/15/2026 (d) (f) | 750,000 | 746,197 | |||
Kansas City Southern: | |||||
2.88%, 11/15/2029 | 65,000 | 68,428 | |||
3.50%, 5/1/2050 | 25,000 | 26,445 | |||
4.70%, 5/1/2048 | 50,000 | 62,304 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 161,763 | |||
3.05%, 5/15/2050 | 350,000 | 350,871 | |||
3.15%, 6/1/2027 | 50,000 | 54,364 | |||
3.16%, 5/15/2055 | 68,000 | 68,762 | |||
3.40%, 11/1/2049 | 100,000 | 106,172 |
Security Description | Principal Amount | Value | ||||
3.94%, 11/1/2047 | $ 100,000 | $ 114,782 | ||||
4.45%, 6/15/2045 | 19,000 | 23,227 | ||||
Ryder System, Inc. Series MTN, 2.50%, 9/1/2024 | 40,000 | 41,870 | ||||
Union Pacific Corp.: | ||||||
2.15%, 2/5/2027 | 250,000 | 259,492 | ||||
2.38%, 5/20/2031 | 40,000 | 40,868 | ||||
2.40%, 2/5/2030 | 500,000 | 516,150 | ||||
2.75%, 3/1/2026 | 50,000 | 53,447 | ||||
2.97%, 9/16/2062 | 110,000 | 105,629 | ||||
3.20%, 5/20/2041 | 70,000 | 74,008 | ||||
3.25%, 2/5/2050 | 700,000 | 737,380 | ||||
3.50%, 6/8/2023 | 50,000 | 52,912 | ||||
3.55%, 5/20/2061 | 100,000 | 107,289 | ||||
3.80%, 10/1/2051 | 52,000 | 59,426 | ||||
3.80%, 4/6/2071 (d) | 175,000 | 193,846 | ||||
3.84%, 3/20/2060 | 130,000 | 147,572 | ||||
4.10%, 9/15/2067 | 15,000 | 17,479 | ||||
United Parcel Service, Inc.: | ||||||
2.40%, 11/15/2026 | 30,000 | 31,916 | ||||
2.45%, 10/1/2022 | 125,000 | 128,334 | ||||
2.50%, 4/1/2023 | 150,000 | 155,391 | ||||
3.05%, 11/15/2027 | 50,000 | 55,386 | ||||
3.75%, 11/15/2047 | 175,000 | 206,010 | ||||
3.90%, 4/1/2025 | 500,000 | 553,610 | ||||
5.30%, 4/1/2050 | 200,000 | 292,878 | ||||
9,690,886 | ||||||
TRUCKING & LEASING — 0.0% (a) | ||||||
GATX Corp.: | ||||||
1.90%, 6/1/2031 | 200,000 | 190,354 | ||||
3.10%, 6/1/2051 | 250,000 | 238,970 | ||||
3.85%, 3/30/2027 | 50,000 | 55,235 | ||||
4.55%, 11/7/2028 | 50,000 | 58,377 | ||||
4.70%, 4/1/2029 | 25,000 | 29,301 | ||||
572,237 | ||||||
WATER — 0.0% (a) | ||||||
American Water Capital Corp.: | ||||||
2.30%, 6/1/2031 | 100,000 | 101,665 | ||||
2.95%, 9/1/2027 | 121,000 | 130,690 | ||||
3.25%, 6/1/2051 | 100,000 | 104,635 | ||||
3.40%, 3/1/2025 | 25,000 | 27,159 | ||||
3.45%, 5/1/2050 | 50,000 | 54,067 | ||||
3.75%, 9/1/2028 | 100,000 | 113,335 | ||||
3.75%, 9/1/2047 | 100,000 | 112,887 | ||||
4.30%, 12/1/2042 | 25,000 | 30,675 | ||||
Essential Utilities, Inc.: | ||||||
2.40%, 5/1/2031 | 105,000 | 105,750 | ||||
2.70%, 4/15/2030 | 60,000 | 62,334 | ||||
843,197 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $481,962,484) | 502,757,160 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 0.3% | |||||
ASSET-BACKED - OTHER — 0.1% | |||||
Ford Credit Floorplan Master Owner Trust Series 2020-1, Class A1, 0.70%, 9/15/2025 | $ 350,000 | $ 351,635 | |||
Verizon Owner Trust Series 2020-B, Class A, 0.47%, 2/20/2025 | 500,000 | 501,431 | |||
853,066 | |||||
AUTOMOBILE — 0.2% | |||||
AmeriCredit Automobile Receivables Trust: | |||||
Series 2021-1, Class A3, 0.37%, 8/18/2025 | 100,000 | 99,972 | |||
Series 2020-3, Class A3, 0.53%, 6/18/2025 | 56,000 | 56,156 | |||
Carmax Auto Owner Trust 2019-1 Series 2019-1, Class A4, 3.26%, 8/15/2024 | 213,000 | 221,944 | |||
CarMax Auto Owner Trust 2021-2 Series 2021-2, Class A3, 0.52%, 2/17/2026 | 100,000 | 100,177 | |||
Drive Auto Receivables Trust Series 2021-1, Class A3, 0.44%, 11/15/2024 | 100,000 | 100,106 | |||
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | 350,000 | 350,628 | |||
Ford Credit Auto Owner Trust Series 2020-B, Class A3, 0.56%, 10/15/2024 | 189,000 | 189,682 | |||
GM Financial Automobile Leasing Trust 2021-2 Series 2021-2, Class A3, 0.34%, 5/20/2024 | 267,000 | 266,867 | |||
GM Financial Consumer Automobile Receivables Trust 2021-2 Series 2021-2, Class A3, 0.51%, 4/16/2026 | 155,000 | 155,260 | |||
Honda Auto Receivables Owner Trust Series 2021-2, Class A3, 0.33%, 8/15/2025 | 215,000 | 214,502 | |||
Hyundai Auto Receivables Trust Series 2021-A, Class A3, 0.38%, 9/15/2025 | 87,000 | 86,948 | |||
Mercedes-Benz Auto Trust Series 2021-B, Class A3, 0.40%, 11/15/2024 | 200,000 | 199,932 |
Security Description | Principal Amount | Value | |||
Santander Drive Auto Receivables Trust Series 2021-2, Class A3, 0.34%, 2/18/2025 | $ 225,000 | $ 224,969 | |||
Toyota Auto Receivables Owner Trust: | |||||
Series 2020-D, Class A3, 0.35%, 1/15/2025 | 1,340,000 | 1,340,605 | |||
Series 2020-D, Class A4, 0.47%, 1/15/2026 | 250,000 | 250,154 | |||
Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024 | 100,000 | 100,133 | |||
World Omni Auto Receivables Trust Series 2021-A, Class A3, 0.30%, 1/15/2026 | 300,000 | 299,272 | |||
4,257,307 | |||||
CREDIT CARD — 0.0% (a) | |||||
BA Credit Card Trust Series 2021-A1, Class A1, 0.44%, 9/15/2026 | 45,000 | 44,879 | |||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 200,000 | 234,146 | |||
279,025 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $5,381,663) | 5,389,398 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.8% | |||||
AUSTRIA — 0.0% (a) | |||||
Oesterreichische Kontrollbank AG: | |||||
0.38%, 09/17/2025 (b) | 90,000 | 88,361 | |||
1.50%, 02/12/2025 | 50,000 | 51,435 | |||
1.63%, 09/17/2022 | 40,000 | 40,675 | |||
Series GMTN, 0.50%, 02/02/2026 (b) | 500,000 | 491,475 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 104,380 | |||
776,326 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond 1.63%, 1/22/2025 | 1,250,000 | 1,292,925 | |||
Export Development Canada: | |||||
1.38%, 02/24/2023 | 250,000 | 254,680 | |||
1.75%, 07/18/2022 | 150,000 | 152,454 | |||
2.50%, 01/24/2023 | 200,000 | 206,996 | |||
Province of Alberta Canada: | |||||
1.00%, 05/20/2025 (b) | 500,000 | 503,375 | |||
1.30%, 07/22/2030 | 400,000 | 384,436 | |||
2.20%, 07/26/2022 | 50,000 | 51,039 |
Security Description | Principal Amount | Value | |||
3.30%, 03/15/2028 | $ 650,000 | $ 727,174 | |||
Province of British Columbia Canada: | |||||
1.30%, 01/29/2031 | 200,000 | 194,024 | |||
2.25%, 06/02/2026 | 150,000 | 158,883 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 | 250,000 | 262,325 | |||
Series GX, 2.60%, 04/16/2024 (b) | 100,000 | 105,553 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 57,101 | |||
Province of Ontario Canada: | |||||
0.63%, 01/21/2026 | 440,000 | 433,902 | |||
1.05%, 04/14/2026 (b) | 200,000 | 200,602 | |||
1.13%, 10/07/2030 | 500,000 | 475,490 | |||
1.60%, 02/25/2031 | 250,000 | 246,832 | |||
2.00%, 10/02/2029 | 350,000 | 361,483 | |||
2.20%, 10/03/2022 | 250,000 | 256,025 | |||
2.50%, 04/27/2026 | 350,000 | 374,346 | |||
3.40%, 10/17/2023 (b) | 350,000 | 373,548 | |||
Province of Quebec Canada: | |||||
0.60%, 07/23/2025 (b) | 1,000,000 | 991,760 | |||
1.35%, 05/28/2030 (b) | 300,000 | 293,436 | |||
1.90%, 04/21/2031 (b) | 500,000 | 509,290 | |||
2.50%, 04/20/2026 | 250,000 | 267,735 | |||
2.75%, 04/12/2027 | 200,000 | 217,080 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 214,446 | |||
Series QX, 1.50%, 02/11/2025 | 500,000 | 513,870 | |||
10,080,810 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.45%, 01/31/2031 (b) | 200,000 | 203,756 | |||
3.10%, 01/22/2061 | 250,000 | 239,315 | |||
3.13%, 01/21/2026 (b) | 50,000 | 54,166 | |||
3.24%, 02/06/2028 | 200,000 | 217,738 | |||
3.86%, 06/21/2047 | 300,000 | 331,104 | |||
1,046,079 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond: | |||||
3.13%, 04/15/2031 | 450,000 | 440,284 | |||
3.25%, 04/22/2032 | 735,000 | 733,860 | |||
3.88%, 02/15/2061 | 250,000 | 223,563 | |||
4.13%, 05/15/2051 (b) | 200,000 | 189,504 | |||
4.50%, 01/28/2026 | 250,000 | 272,985 | |||
4.50%, 03/15/2029 | 250,000 | 272,685 | |||
5.00%, 06/15/2045 | 200,000 | 212,510 | |||
5.20%, 05/15/2049 (b) | 250,000 | 273,310 | |||
5.63%, 02/26/2044 | 200,000 | 226,270 | |||
2,844,971 |
Security Description | Principal Amount | Value | |||
FREE OF TAX — 0.0% (a) | |||||
Asian Development Bank: | |||||
Series GMTN, 0.25%, 10/06/2023 | $ 200,000 | $ 199,490 | |||
Series GMTN, 0.75%, 10/08/2030 | 200,000 | 187,262 | |||
386,752 | |||||
GERMANY — 0.3% | |||||
FMS Wertmanagement 2.75%, 1/30/2024 | 250,000 | 264,675 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
0.01%, 06/29/2037 | 100,000 | 73,686 | |||
0.25%, 04/25/2023 | 130,000 | 129,994 | |||
0.25%, 10/19/2023 | 300,000 | 299,238 | |||
0.25%, 03/08/2024 | 1,165,000 | 1,159,047 | |||
0.38%, 07/18/2025 | 250,000 | 246,607 | |||
0.63%, 01/22/2026 | 225,000 | 222,876 | |||
0.75%, 09/30/2030 (b) | 500,000 | 469,540 | |||
1.38%, 08/05/2024 | 500,000 | 512,835 | |||
1.63%, 02/15/2023 | 500,000 | 511,240 | |||
1.75%, 09/14/2029 (b) | 250,000 | 257,575 | |||
2.00%, 05/02/2025 | 100,000 | 104,906 | |||
2.13%, 01/17/2023 | 100,000 | 102,918 | |||
2.38%, 12/29/2022 | 250,000 | 258,045 | |||
2.50%, 11/20/2024 | 300,000 | 318,999 | |||
2.63%, 02/28/2024 | 250,000 | 264,422 | |||
2.88%, 04/03/2028 | 290,000 | 321,247 | |||
Landwirtschaftliche Rentenbank: | |||||
0.88%, 03/30/2026 | 240,000 | 239,880 | |||
0.88%, 09/03/2030 | 200,000 | 189,148 | |||
3.13%, 11/14/2023 | 100,000 | 106,410 | |||
Series 37, 2.50%, 11/15/2027 | 50,000 | 54,044 | |||
Series 40, 0.50%, 05/27/2025 | 90,000 | 89,193 | |||
6,196,525 | |||||
HUNGARY — 0.0% (a) | |||||
Hungary Government International Bond 5.38%, 3/25/2024 | 350,000 | 394,849 | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
1.85%, 03/12/2031 (b) | 500,000 | 489,410 | |||
2.95%, 01/11/2023 | 275,000 | 284,955 | |||
3.05%, 03/12/2051 (b) | 250,000 | 247,855 | |||
4.45%, 04/15/2070 (b) | 200,000 | 236,274 | |||
4.75%, 02/11/2029 | 150,000 | 176,291 | |||
5.35%, 02/11/2049 (b) | 100,000 | 129,903 | |||
1,564,688 |
Security Description | Principal Amount | Value | |||
ISRAEL — 0.1% | |||||
Israel Government International Bond: | |||||
2.75%, 07/03/2030 | $ 200,000 | $ 213,844 | |||
2.88%, 03/16/2026 (b) | 100,000 | 107,851 | |||
3.25%, 01/17/2028 | 100,000 | 110,169 | |||
3.88%, 07/03/2050 | 200,000 | 231,556 | |||
4.13%, 01/17/2048 | 100,000 | 120,592 | |||
State of Israel 3.38%, 1/15/2050 | 300,000 | 321,213 | |||
1,105,225 | |||||
ITALY — 0.1% | |||||
Republic of Italy Government International Bond: | |||||
0.88%, 05/06/2024 | 200,000 | 199,372 | |||
1.25%, 02/17/2026 | 250,000 | 246,680 | |||
2.38%, 10/17/2024 | 250,000 | 259,970 | |||
2.88%, 10/17/2029 | 500,000 | 520,545 | |||
3.88%, 05/06/2051 | 200,000 | 215,304 | |||
4.00%, 10/17/2049 | 200,000 | 219,946 | |||
5.38%, 06/15/2033 (b) | 50,000 | 62,972 | |||
1,724,789 | |||||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
0.38%, 09/15/2023 | 250,000 | 249,500 | |||
0.63%, 07/15/2025 | 450,000 | 444,910 | |||
1.25%, 01/21/2031 | 250,000 | 241,017 | |||
1.88%, 04/15/2031 | 200,000 | 203,628 | |||
2.75%, 11/16/2027 | 200,000 | 217,204 | |||
2.88%, 07/21/2027 | 100,000 | 109,111 | |||
3.25%, 07/20/2023 | 150,000 | 158,507 | |||
3.25%, 07/20/2028 | 250,000 | 280,500 | |||
3.38%, 10/31/2023 | 200,000 | 213,322 | |||
Series DTC, 1.75%, 10/17/2024 | 200,000 | 206,704 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 212,138 | |||
Series DTC, 2.50%, 05/23/2024 | 200,000 | 210,832 | |||
Japan International Cooperation Agency 1.75%, 4/28/2031 (b) | 200,000 | 201,222 | |||
2,948,595 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
2.66%, 05/24/2031 (b) | 200,000 | 195,560 | |||
3.25%, 04/16/2030 (b) | 350,000 | 361,767 | |||
3.75%, 01/11/2028 | 100,000 | 109,196 | |||
3.77%, 05/24/2061 | 200,000 | 186,362 | |||
3.90%, 04/27/2025 (b) | 500,000 | 554,320 | |||
4.13%, 01/21/2026 (b) | 125,000 | 140,962 | |||
4.15%, 03/28/2027 (b) | 200,000 | 226,230 |
Security Description | Principal Amount | Value | |||
4.28%, 08/14/2041 | $ 525,000 | $ 551,738 | |||
4.50%, 04/22/2029 | 250,000 | 282,895 | |||
4.50%, 01/31/2050 | 250,000 | 266,025 | |||
4.60%, 02/10/2048 | 200,000 | 214,932 | |||
4.75%, 04/27/2032 | 200,000 | 228,984 | |||
5.00%, 04/27/2051 | 200,000 | 227,660 | |||
5.55%, 01/21/2045 (b) | 450,000 | 544,014 | |||
6.05%, 01/11/2040 | 30,000 | 37,657 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 110,553 | |||
4,238,855 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
2.25%, 09/29/2032 | 200,000 | 191,964 | |||
3.16%, 01/23/2030 | 200,000 | 209,548 | |||
3.75%, 03/16/2025 | 150,000 | 163,261 | |||
3.87%, 07/23/2060 | 200,000 | 204,298 | |||
3.88%, 03/17/2028 | 200,000 | 219,914 | |||
4.50%, 05/15/2047 | 50,000 | 56,812 | |||
4.50%, 04/16/2050 | 700,000 | 796,649 | |||
6.70%, 01/26/2036 | 50,000 | 67,977 | |||
1,910,423 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond: | |||||
2.39%, 01/23/2026 | 250,000 | 258,037 | |||
2.78%, 01/23/2031 | 320,000 | 325,664 | |||
2.78%, 12/01/2060 | 150,000 | 133,652 | |||
2.84%, 06/20/2030 (b) | 55,000 | 56,658 | |||
3.23%, 07/28/2121 (b) | 150,000 | 132,039 | |||
3.30%, 03/11/2041 | 815,000 | 824,071 | |||
3.55%, 03/10/2051 (b) | 70,000 | 72,729 | |||
4.13%, 08/25/2027 | 150,000 | 167,916 | |||
5.63%, 11/18/2050 (b) | 150,000 | 206,746 | |||
6.55%, 03/14/2037 | 25,000 | 34,391 | |||
2,211,903 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
1.65%, 06/10/2031 (b) | 250,000 | 241,297 | |||
1.95%, 01/06/2032 (f) | 200,000 | 197,504 | |||
2.46%, 05/05/2030 | 200,000 | 208,256 | |||
2.65%, 12/10/2045 | 250,000 | 231,558 | |||
2.95%, 05/05/2045 | 250,000 | 241,552 | |||
3.70%, 03/01/2041 | 200,000 | 215,872 | |||
3.70%, 02/02/2042 | 100,000 | 107,928 | |||
3.95%, 01/20/2040 | 200,000 | 222,174 | |||
4.20%, 01/21/2024 (b) | 300,000 | 328,365 | |||
5.00%, 01/13/2037 | 150,000 | 188,903 | |||
7.75%, 01/14/2031 | 100,000 | 147,755 |
Security Description | Principal Amount | Value | |||
Republic of Philippines 3.20%, 7/6/2046 (f) | $ 200,000 | $ 200,810 | |||
2,531,974 | |||||
POLAND — 0.0% (a) | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | 50,000 | 52,245 | |||
3.25%, 04/06/2026 | 175,000 | 192,992 | |||
4.00%, 01/22/2024 | 150,000 | 163,294 | |||
408,531 | |||||
SOUTH KOREA — 0.2% | |||||
Export-Import Bank of Korea: | |||||
0.63%, 06/29/2024 | 500,000 | 501,375 | |||
0.63%, 02/09/2026 | 200,000 | 195,692 | |||
1.13%, 12/29/2026 | 200,000 | 199,280 | |||
2.38%, 04/21/2027 | 25,000 | 26,401 | |||
2.50%, 06/29/2041 | 250,000 | 249,082 | |||
3.00%, 11/01/2022 | 250,000 | 258,440 | |||
3.25%, 11/10/2025 | 150,000 | 163,915 | |||
Korea Development Bank: | |||||
0.40%, 06/19/2024 | 215,000 | 213,876 | |||
0.80%, 07/19/2026 (b) | 250,000 | 245,940 | |||
1.63%, 01/19/2031 (b) | 250,000 | 245,745 | |||
2.75%, 03/19/2023 | 200,000 | 207,650 | |||
3.00%, 01/13/2026 | 100,000 | 108,454 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 225,934 | |||
Korea International Bond 1.00%, 9/16/2030 | 200,000 | 189,588 | |||
3,031,372 | |||||
SUPRANATIONAL — 1.4% | |||||
African Development Bank: | |||||
0.75%, 04/03/2023 | 350,000 | 352,789 | |||
0.88%, 03/23/2026 | 150,000 | 149,862 | |||
3.00%, 09/20/2023 | 150,000 | 158,693 | |||
Series GMTN, 1.63%, 09/16/2022 | 210,000 | 213,570 | |||
Asian Development Bank: | |||||
0.63%, 04/29/2025 | 500,000 | 498,290 | |||
1.50%, 10/18/2024 | 200,000 | 205,946 | |||
1.63%, 01/24/2023 | 500,000 | 510,850 | |||
2.63%, 01/30/2024 | 200,000 | 211,262 | |||
Series GMTN, 0.25%, 07/14/2023 | 275,000 | 274,651 | |||
Series GMTN, 0.38%, 06/11/2024 | 725,000 | 722,470 | |||
Series GMTN, 0.38%, 09/03/2025 | 250,000 | 245,988 | |||
Series GMTN, 0.50%, 02/04/2026 | 250,000 | 245,995 | |||
Series GMTN, 1.00%, 04/14/2026 | 100,000 | 100,552 | |||
Series GMTN, 1.25%, 06/09/2028 | 100,000 | 99,917 |
Security Description | Principal Amount | Value | |||
Series GMTN, 1.50%, 03/04/2031 | $ 250,000 | $ 250,370 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 254,640 | |||
Series GMTN, 1.88%, 01/24/2030 | 500,000 | 518,100 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 105,158 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 53,674 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 108,098 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 54,256 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 88,601 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 56,273 | |||
Series MTN, 1.88%, 07/19/2022 | 400,000 | 407,148 | |||
Asian Infrastructure Investment Bank: | |||||
0.25%, 09/29/2023 | 165,000 | 164,662 | |||
0.50%, 05/28/2025 | 200,000 | 198,016 | |||
0.50%, 01/27/2026 | 500,000 | 491,645 | |||
Corp. Andina de Fomento: | |||||
2.38%, 05/12/2023 | 150,000 | 154,565 | |||
2.75%, 01/06/2023 (b) | 100,000 | 103,140 | |||
Council Of Europe Development Bank: | |||||
0.38%, 06/10/2024 | 250,000 | 249,015 | |||
1.75%, 09/26/2022 | 100,000 | 101,896 | |||
2.50%, 02/27/2024 | 30,000 | 31,616 | |||
2.63%, 02/13/2023 | 60,000 | 62,241 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 0.25%, 07/10/2023 | 100,000 | 99,864 | |||
Series GMTN, 0.50%, 11/25/2025 | 250,000 | 246,565 | |||
Series GMTN, 0.50%, 01/28/2026 (b) | 200,000 | 196,814 | |||
Series GMTN, 1.50%, 02/13/2025 | 250,000 | 257,405 | |||
European Investment Bank: | |||||
0.25%, 09/15/2023 | 365,000 | 364,259 | |||
0.38%, 12/15/2025 | 200,000 | 196,262 | |||
0.38%, 03/26/2026 | 750,000 | 733,147 | |||
0.63%, 07/25/2025 | 350,000 | 348,603 | |||
0.75%, 09/23/2030 | 200,000 | 187,708 | |||
1.25%, 02/14/2031 (b) | 390,000 | 381,537 | |||
1.38%, 05/15/2023 | 350,000 | 357,161 | |||
1.63%, 03/14/2025 | 485,000 | 502,019 | |||
1.63%, 05/13/2031 (b) | 100,000 | 101,122 | |||
1.88%, 02/10/2025 (b) | 100,000 | 104,391 | |||
2.00%, 12/15/2022 | 250,000 | 256,462 |
Security Description | Principal Amount | Value | |||
2.13%, 04/13/2026 (b) | $ 100,000 | $ 105,841 | |||
2.38%, 05/24/2027 | 100,000 | 107,285 | |||
2.50%, 03/15/2023 | 145,000 | 150,498 | |||
2.50%, 10/15/2024 | 25,000 | 26,570 | |||
2.63%, 03/15/2024 | 1,100,000 | 1,164,328 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 368,791 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 373,324 | |||
Inter-American Development Bank: | |||||
0.25%, 11/15/2023 | 150,000 | 149,540 | |||
0.50%, 05/24/2023 (b) | 500,000 | 502,140 | |||
0.63%, 07/15/2025 | 500,000 | 497,905 | |||
0.63%, 09/16/2027 (b) | 500,000 | 484,325 | |||
0.88%, 04/03/2025 | 500,000 | 503,115 | |||
2.00%, 07/23/2026 | 100,000 | 105,148 | |||
2.25%, 06/18/2029 | 250,000 | 266,007 | |||
2.38%, 07/07/2027 | 100,000 | 107,217 | |||
2.50%, 01/18/2023 | 100,000 | 103,501 | |||
2.63%, 01/16/2024 | 350,000 | 369,435 | |||
3.00%, 02/21/2024 | 100,000 | 106,684 | |||
3.13%, 09/18/2028 | 100,000 | 112,492 | |||
4.38%, 01/24/2044 | 75,000 | 102,671 | |||
Series GMTN, 0.88%, 04/20/2026 | 250,000 | 249,925 | |||
Series GMTN, 1.13%, 01/13/2031 | 250,000 | 241,593 | |||
Series GMTN, 1.75%, 09/14/2022 | 350,000 | 356,587 | |||
Series GMTN, 1.75%, 03/14/2025 | 250,000 | 259,732 | |||
Series GMTN, 3.00%, 09/26/2022 | 100,000 | 103,461 | |||
International Bank for Reconstruction & Development: | |||||
0.25%, 11/24/2023 | 75,000 | 74,773 | |||
0.38%, 07/28/2025 | 750,000 | 739,192 | |||
0.50%, 10/28/2025 | 250,000 | 246,965 | |||
0.63%, 04/22/2025 | 550,000 | 548,674 | |||
0.75%, 03/11/2025 | 500,000 | 501,320 | |||
0.75%, 11/24/2027 | 390,000 | 379,911 | |||
0.75%, 08/26/2030 | 170,000 | 159,579 | |||
0.88%, 07/15/2026 | 1,000,000 | 997,730 | |||
0.88%, 05/14/2030 | 250,000 | 238,388 | |||
1.25%, 02/10/2031 | 500,000 | 488,520 | |||
1.63%, 01/15/2025 | 350,000 | 362,036 | |||
2.13%, 07/01/2022 | 200,000 | 203,900 | |||
2.50%, 03/19/2024 | 350,000 | 369,264 | |||
3.00%, 09/27/2023 | 350,000 | 370,499 | |||
Series GDIF, 1.38%, 04/20/2028 | 250,000 | 252,188 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 257,155 |
Security Description | Principal Amount | Value | |||
Series GDIF, 1.88%, 06/19/2023 | $ 300,000 | $ 309,315 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 319,116 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 214,150 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 270,615 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 33,373 | |||
International Finance Corp.: | |||||
Series GMTN, 0.38%, 07/16/2025 | 250,000 | 246,455 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 105,754 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 157,908 | |||
Nordic Investment Bank: | |||||
0.38%, 09/11/2025 | 200,000 | 196,560 | |||
Series GMTN, 0.50%, 01/21/2026 | 200,000 | 196,898 | |||
26,935,621 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
0.50%, 08/26/2025 | 350,000 | 345,209 | |||
1.63%, 11/14/2022 (b) | 200,000 | 203,754 | |||
2.00%, 08/30/2022 | 200,000 | 204,100 | |||
Series USMT, 0.38%, 03/11/2024 (b) | 500,000 | 498,120 | |||
1,251,183 | |||||
URUGUAY — 0.0% (a) | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 258,763 | |||
4.38%, 01/23/2031 | 280,000 | 326,379 | |||
5.10%, 06/18/2050 | 175,000 | 229,210 | |||
814,352 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $71,193,877) | 72,403,823 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.7% | |||||
Federal Farm Credit Banks: | |||||
2.88%, 7/17/2023 | 100,000 | 105,157 | |||
3.50%, 12/20/2023 | 50,000 | 53,828 | |||
Federal Farm Credit Banks Funding Corp.: | |||||
0.13%, 11/23/2022 | 150,000 | 149,868 | |||
0.13%, 4/13/2023 | 500,000 | 498,950 | |||
0.13%, 5/10/2023 | 300,000 | 299,619 | |||
0.25%, 2/26/2024 | 105,000 | 104,508 | |||
0.30%, 11/12/2024 | 250,000 | 246,660 |
Security Description | Principal Amount | Value | |||
0.35%, 5/16/2024 | $ 250,000 | $ 248,508 | |||
0.47%, 8/19/2024 | 100,000 | 99,484 | |||
0.68%, 8/4/2025 | 100,000 | 99,232 | |||
0.68%, 1/13/2027 | 250,000 | 243,795 | |||
0.70%, 1/27/2027 | 100,000 | 97,877 | |||
0.79%, 6/21/2027 | 125,000 | 122,206 | |||
0.90%, 8/19/2027 | 100,000 | 98,105 | |||
1.00%, 8/3/2027 | 100,000 | 98,557 | |||
1.04%, 1/25/2029 | 150,000 | 145,589 | |||
1.10%, 8/10/2029 | 150,000 | 145,293 | |||
1.14%, 8/20/2029 | 150,000 | 145,731 | |||
1.15%, 8/12/2030 | 100,000 | 96,083 | |||
1.32%, 9/9/2030 | 100,000 | 97,259 | |||
1.38%, 1/14/2031 | 250,000 | 243,433 | |||
1.65%, 7/23/2035 | 100,000 | 95,150 | |||
1.69%, 8/20/2035 | 100,000 | 95,729 | |||
1.95%, 8/13/2040 | 100,000 | 93,149 | |||
1.99%, 3/17/2031 | 500,000 | 502,315 | |||
Federal Home Loan Bank: | |||||
0.13%, 8/12/2022 | 190,000 | 189,943 | |||
0.13%, 10/21/2022 | 165,000 | 164,889 | |||
0.13%, 3/17/2023 | 400,000 | 399,328 | |||
0.13%, 6/2/2023 | 325,000 | 324,207 | |||
0.50%, 4/14/2025 | 205,000 | 203,788 | |||
0.55%, 1/20/2026 | 150,000 | 148,109 | |||
0.65%, 1/28/2026 | 150,000 | 148,245 | |||
0.65%, 2/26/2026 | 100,000 | 98,544 | |||
0.70%, 1/28/2026 | 150,000 | 148,860 | |||
0.75%, 2/24/2026 | 100,000 | 99,427 | |||
0.83%, 2/10/2027 | 100,000 | 98,411 | |||
0.90%, 2/26/2027 | 150,000 | 148,013 | |||
1.00%, 8/16/2028 | 250,000 | 244,450 | |||
1.38%, 2/17/2023 | 750,000 | 764,107 | |||
1.50%, 8/15/2024 | 190,000 | 196,002 | |||
1.88%, 12/9/2022 | 250,000 | 256,125 | |||
2.50%, 2/13/2024 (b) | 220,000 | 232,258 | |||
2.88%, 9/13/2024 | 50,000 | 53,729 | |||
3.25%, 6/9/2028 | 500,000 | 563,375 | |||
3.25%, 11/16/2028 | 280,000 | 318,161 | |||
3.38%, 12/8/2023 | 50,000 | 53,627 | |||
5.50%, 7/15/2036 | 135,000 | 198,805 | |||
Federal Home Loan Mortgage Corp.: | |||||
0.13%, 10/16/2023 | 190,000 | 189,339 | |||
0.25%, 6/26/2023 | 500,000 | 499,900 | |||
0.25%, 8/24/2023 | 215,000 | 214,912 | |||
0.25%, 9/8/2023 | 750,000 | 749,257 | |||
0.25%, 11/6/2023 | 650,000 | 649,226 | |||
0.25%, 12/4/2023 | 875,000 | 873,302 | |||
0.32%, 10/20/2022 | 250,000 | 249,975 | |||
0.32%, 11/2/2023 | 150,000 | 149,903 | |||
0.35%, 11/24/2023 | 100,000 | 99,971 | |||
0.36%, 5/15/2024 | 250,000 | 249,075 | |||
0.38%, 4/20/2023 | 250,000 | 250,605 | |||
0.38%, 5/5/2023 | 350,000 | 350,871 |
Security Description | Principal Amount | Value | |||
0.38%, 9/23/2025 | $ 730,000 | $ 718,977 | |||
0.60%, 10/15/2025 | 110,000 | 108,986 | |||
0.60%, 10/20/2025 | 150,000 | 148,568 | |||
0.63%, 11/25/2025 | 175,000 | 173,378 | |||
0.68%, 8/6/2025 | 100,000 | 99,434 | |||
0.75%, 6/23/2026 | 150,000 | 148,638 | |||
1.50%, 2/12/2025 | 500,000 | 515,845 | |||
1.50%, 2/1/2051 | 2,448,466 | 2,403,011 | |||
2.00%, 10/1/2050 | 1,564,784 | 1,581,676 | |||
2.00%, 12/1/2050 | 1,175,924 | 1,188,619 | |||
2.00%, 1/1/2051 | 2,956,482 | 2,988,398 | |||
2.22%, 7/13/2040 | 150,000 | 147,726 | |||
2.50%, 10/1/2029 | 23,912 | 24,998 | |||
2.50%, 1/1/2031 | 48,995 | 51,272 | |||
2.50%, 5/1/2031 | 77,896 | 81,594 | |||
2.50%, 6/1/2031 | 144,596 | 151,461 | |||
2.50%, 10/1/2031 | 136,202 | 142,679 | |||
2.50%, 12/1/2031 | 180,370 | 189,236 | |||
2.50%, 12/1/2032 | 634,347 | 662,935 | |||
2.50%, 2/1/2033 | 715,978 | 748,245 | |||
2.50%, 9/1/2035 | 807,779 | 843,306 | |||
2.50%, 9/1/2046 | 917,543 | 953,480 | |||
2.50%, 7/1/2050 | 4,026,797 | 4,164,988 | |||
2.50%, 10/1/2050 | 2,573,763 | 2,662,088 | |||
2.50%, 2/1/2051 | 3,367,110 | 3,483,645 | |||
3.00%, 10/1/2030 | 340,158 | 360,424 | |||
3.00%, 12/1/2030 | 61,454 | 64,937 | |||
3.00%, 5/1/2031 | 45,962 | 48,626 | |||
3.00%, 12/1/2031 | 240,005 | 253,932 | |||
3.00%, 2/1/2032 | 339,892 | 359,616 | |||
3.00%, 5/1/2032 | 340,852 | 359,389 | |||
3.00%, 7/1/2032 | 101,795 | 107,331 | |||
3.00%, 1/1/2033 | 424,369 | 447,448 | |||
3.00%, 3/1/2035 | 1,834,112 | 1,931,784 | |||
3.00%, 5/1/2035 | 898,770 | 943,809 | |||
3.00%, 4/1/2036 | 220,626 | 232,938 | |||
3.00%, 6/1/2036 | 135,390 | 142,945 | |||
3.00%, 2/1/2038 | 465,292 | 489,931 | |||
3.00%, 1/1/2043 | 1,762,600 | 1,869,991 | |||
3.00%, 7/1/2043 | 1,870,654 | 1,986,639 | |||
3.00%, 6/1/2045 | 45,784 | 48,308 | |||
3.00% 8/1/2045 | 286,415 | 303,307 | |||
3.00%, 4/1/2046 | 177,326 | 186,585 | |||
3.00% 6/1/2046 | 2,277,519 | 2,417,697 | |||
3.00%, 7/1/2046 | 2,904,463 | 3,063,239 | |||
3.00%, 8/1/2046 | 335,475 | 352,991 | |||
3.00%, 9/1/2046 | 110,194 | 115,947 | |||
3.00%, 10/1/2046 | 187,717 | 197,518 | |||
3.00% 11/1/2046 | 666,775 | 701,588 | |||
3.00% 12/1/2046 | 591,228 | 622,097 | |||
3.00%, 1/1/2047 | 431,665 | 454,202 | |||
3.00% 2/1/2047 | 1,077,028 | 1,146,407 | |||
3.00%, 4/1/2047 | 2,885,734 | 3,043,486 | |||
3.00%, 9/1/2049 | 331,235 | 345,269 | |||
3.00%, 12/1/2049 | 314,629 | 327,959 |
Security Description | Principal Amount | Value | |||
3.00%, 2/1/2050 | $ 1,161,451 | $ 1,210,662 | |||
3.00%, 4/1/2050 | 1,897,673 | 1,977,779 | |||
3.00%, 5/1/2050 | 2,943,595 | 3,067,853 | |||
3.50%, 4/1/2032 | 192,719 | 206,244 | |||
3.50%, 6/1/2033 | 360,623 | 385,386 | |||
3.50%, 9/1/2033 | 255,304 | 272,835 | |||
3.50%, 11/1/2034 | 140,682 | 150,713 | |||
3.50%, 3/1/2037 | 178,136 | 188,839 | |||
3.50%, 4/1/2042 | 177,299 | 192,216 | |||
3.50%, 12/1/2042 | 117,359 | 125,992 | |||
3.50%, 8/1/2043 | 318,863 | 342,290 | |||
3.50%, 5/1/2044 | 1,310,912 | 1,422,583 | |||
3.50%, 11/1/2044 | 20,731 | 22,195 | |||
3.50%, 1/1/2045 | 28,459 | 30,469 | |||
3.50% 7/1/2045 | 174,037 | 186,155 | |||
3.50%, 10/1/2045 | 27,402 | 29,244 | |||
3.50% 12/1/2045 | 336,087 | 359,080 | |||
3.50%, 1/1/2046 | 41,050 | 43,809 | |||
3.50%, 3/1/2046 | 83,023 | 88,261 | |||
3.50%, 4/1/2046 | 124,719 | 132,589 | |||
3.50%, 6/1/2046 | 145,001 | 154,151 | |||
3.50%, 8/1/2046 | 1,583,212 | 1,689,612 | |||
3.50%, 12/1/2046 | 471,689 | 501,434 | |||
3.50%, 2/1/2047 | 306,853 | 326,204 | |||
3.50%, 3/1/2047 | 290,104 | 308,398 | |||
3.50%, 4/1/2047 | 168,240 | 177,917 | |||
3.50%, 6/1/2047 | 163,546 | 172,953 | |||
3.50% 10/1/2047 | 301,854 | 319,216 | |||
3.50%, 11/1/2047 | 102,095 | 107,967 | |||
3.50%, 12/1/2047 | 206,367 | 218,237 | |||
3.50%, 4/1/2049 | 278,240 | 292,785 | |||
3.50%, 7/1/2049 | 738,884 | 777,594 | |||
3.50%, 10/1/2049 | 79,524 | 83,690 | |||
3.50%, 3/1/2050 | 1,980,973 | 2,084,754 | |||
4.00%, 11/1/2033 | 286,848 | 304,796 | |||
4.00%, 4/1/2042 | 19,069 | 20,863 | |||
4.00%, 6/1/2042 | 49,543 | 54,197 | |||
4.00%, 7/1/2042 | 998,186 | 1,092,117 | |||
4.00%, 12/1/2044 | 20,620 | 22,392 | |||
4.00%, 4/1/2045 | 16,808 | 18,190 | |||
4.00%, 10/1/2045 | 39,268 | 42,497 | |||
4.00%, 12/1/2045 | 69,188 | 74,877 | |||
4.00%, 1/1/2046 | 277,735 | 300,574 | |||
4.00%, 2/1/2046 | 106,889 | 115,679 | |||
4.00%, 1/1/2047 | 330,300 | 356,375 | |||
4.00%, 2/1/2047 | 134,179 | 144,772 | |||
4.00%, 6/1/2047 | 245,483 | 262,683 | |||
4.00%, 9/1/2047 | 308,240 | 329,838 | |||
4.00%, 11/1/2047 | 232,974 | 249,298 | |||
4.00%, 1/1/2048 | 615,065 | 658,161 | |||
4.00%, 10/1/2048 | 1,254,713 | 1,335,661 | |||
4.00%, 4/1/2049 | 101,241 | 107,777 | |||
4.50%, 5/1/2042 | 468,624 | 519,730 | |||
4.50%, 5/1/2044 | 153,704 | 169,745 | |||
4.50%, 12/1/2045 | 299,656 | 330,942 |
Security Description | Principal Amount | Value | |||
4.50%, 9/1/2046 | $ 256,335 | $ 283,505 | |||
4.50%, 4/1/2047 | 133,126 | 144,523 | |||
4.50%, 10/1/2047 | 206,041 | 223,687 | |||
4.50%, 11/1/2047 | 172,029 | 186,763 | |||
4.50%, 12/1/2047 | 92,464 | 100,384 | |||
4.50%, 7/1/2048 | 514,061 | 553,019 | |||
4.50%, 9/1/2048 | 862,649 | 927,806 | |||
4.50%, 11/1/2048 | 306,002 | 329,181 | |||
4.50%, 6/1/2049 | 394,160 | 424,002 | |||
4.50%, 11/1/2049 | 836,427 | 899,754 | |||
5.00%, 7/1/2041 | 96,907 | 110,290 | |||
5.00%, 11/1/2048 | 341,222 | 372,831 | |||
5.50%, 8/1/2038 | 282,778 | 328,280 | |||
6.00%, 7/1/2040 | 112,237 | 132,506 | |||
6.25%, 7/15/2032 (b) | 460,000 | 675,993 | |||
2.75%, 6/19/2023 | 500,000 | 524,455 | |||
Series 0000, 0.64%, 11/24/2025 | 175,000 | 173,630 | |||
Series 0001, 0.60%, 11/12/2025 | 150,000 | 148,407 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 128,117 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 103,687 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 429,539 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 618,511 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 215,792 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 536,696 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 445,840 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (c) | 250,000 | 292,867 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (c) | 160,001 | 186,256 | |||
Series K087, Class A2, Class A2, 3.77%, 12/25/2028 | 1,607,000 | 1,861,894 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 186,323 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 395,499 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 110,723 | |||
Series K094, Class A2, 2.90%, 6/25/2029 | 352,767 | 389,147 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 107,069 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 108,343 | |||
Series K101, Class A2, 2.52%, 10/25/2029 | 200,000 | 215,692 | |||
Series K109, Class A2, 1.56%, 4/25/2030 | 100,000 | 100,530 |
Security Description | Principal Amount | Value | |||
Series K114, Class A2, 1.37%, 6/25/2030 | $ 85,000 | $ 83,984 | |||
Series K115, Class A2, 1.38%, 6/25/2030 | 400,000 | 395,829 | |||
Series K118, Class A2, 1.49%, 9/25/2030 | 750,000 | 748,108 | |||
Series K121, Class A2, 1.55%, 11/25/2053 | 320,000 | 320,426 | |||
Series K123, Class A2, 1.62%, 2/25/2054 | 233,333 | 235,040 | |||
Series K124, Class A2, 1.66%, 12/25/2030 | 500,000 | 505,055 | |||
Series K126, Class A2, 2.07%, 1/25/2031 | 500,000 | 522,758 | |||
Series K127, Class A2, 2.11%, 1/25/2031 | 450,000 | 471,816 | |||
Series K-1515, Class A2, 1.94%, 2/25/2035 | 293,000 | 294,962 | |||
Series K-1519, Class A2, 2.01%, 12/25/2035 | 250,000 | 253,101 | |||
Series K-1520, Class A2, 2.44%, 2/25/2036 | 520,000 | 550,672 | |||
Series K157, Class A2, 3.99%, 5/25/2033 (c) | 500,000 | 596,914 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 381,483 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 215,629 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 316,299 | |||
Series K743, Class A2, 1.77%, 5/25/2028 | 300,000 | 308,908 | |||
Series USD, 0.13%, 7/25/2022 | 150,000 | 150,038 | |||
Series USD, 0.38%, 7/21/2025 | 110,000 | 108,436 | |||
Federal National Mortgage Association: | |||||
0.25%, 5/22/2023 | 350,000 | 350,140 | |||
0.25%, 7/10/2023 | 725,000 | 724,898 | |||
0.25%, 11/27/2023 | 210,000 | 209,683 | |||
0.38%, 8/25/2025 | 665,000 | 655,471 | |||
0.50%, 6/17/2025 (b) | 1,000,000 | 992,440 | |||
0.50%, 11/7/2025 | 235,000 | 232,417 | |||
0.63%, 4/22/2025 (b) | 215,000 | 214,757 | |||
0.65%, 12/10/2025 | 100,000 | 99,080 | |||
0.65%, 12/17/2025 | 125,000 | 123,753 | |||
0.70%, 7/30/2025 | 100,000 | 99,477 | |||
0.75%, 10/8/2027 | 700,000 | 683,606 | |||
0.88%, 12/18/2026 | 125,000 | 123,453 | |||
0.88%, 8/5/2030 | 900,000 | 852,894 | |||
1.50%, 7/1/2036 | 4,478,705 | 4,534,382 | |||
1.50%, 3/1/2051 | 3,101,268 | 3,042,914 | |||
1.63%, 1/7/2025 | 215,000 | 222,628 | |||
2.00%, 10/5/2022 (b) | 250,000 | 255,775 | |||
2.00%, 11/1/2031 | 87,340 | 90,299 | |||
2.00%, 8/1/2035 | 1,135,857 | 1,171,887 |
Security Description | Principal Amount | Value | |||
2.00% 11/1/2035 | $ 2,665,790 | $ 2,750,352 | |||
2.00%, 12/1/2035 | 1,427,741 | 1,473,030 | |||
2.00%, 2/1/2036 | 3,037,413 | 3,133,764 | |||
2.00% 6/1/2036 | 4,355,788 | 4,496,258 | |||
2.00%, 7/1/2050 | 985,626 | 996,268 | |||
2.00%, 8/1/2050 | 1,713,370 | 1,731,870 | |||
2.00%, 10/1/2050 | 4,640,943 | 4,691,052 | |||
2.00%, 11/1/2050 | 4,733,371 | 4,784,478 | |||
2.00% 1/1/2051 | 5,912,859 | 5,976,702 | |||
2.00%, 2/1/2051 | 3,444,584 | 3,481,776 | |||
2.00% 3/1/2051 | 16,886,195 | 17,076,239 | |||
2.00%, 4/1/2051 | 5,466,104 | 5,525,121 | |||
2.00%, 5/1/2051 | 5,114,962 | 5,170,188 | |||
2.00%, 7/1/2051 | 8,900,801 | 8,996,902 | |||
2.13%, 4/24/2026 (b) | 200,000 | 211,966 | |||
2.50%, 2/5/2024 (b) | 250,000 | 263,507 | |||
2.50%, 3/1/2029 | 136,758 | 142,675 | |||
2.50%, 7/1/2030 | 764,813 | 798,459 | |||
2.50%, 2/1/2031 | 78,765 | 82,410 | |||
2.50%, 10/1/2031 | 133,778 | 140,094 | |||
2.50%, 12/1/2031 | 239,956 | 251,286 | |||
2.50%, 1/1/2032 | 85,668 | 89,712 | |||
2.50%, 4/1/2032 | 814,159 | 852,599 | |||
2.50%, 10/1/2032 | 297,787 | 311,141 | |||
2.50%, 12/1/2032 | 614,490 | 642,045 | |||
2.50%, 1/1/2033 | 335,795 | 350,853 | |||
2.50% 8/1/2035 | 1,970,937 | 2,056,149 | |||
2.50%, 9/1/2035 | 4,691,953 | 4,898,848 | |||
2.50%, 6/1/2040 | 417,305 | 433,212 | |||
2.50%, 8/1/2040 | 235,110 | 244,070 | |||
2.50%, 11/1/2049 | 2,170,247 | 2,243,786 | |||
2.50%, 12/1/2049 | 1,005,078 | 1,039,136 | |||
2.50%, 7/1/2050 | 1,761,399 | 1,821,836 | |||
2.50%, 8/1/2050 | 4,230,909 | 4,376,081 | |||
2.50%, 10/1/2050 | 2,623,783 | 2,713,811 | |||
2.50%, 11/1/2050 | 3,276,460 | 3,389,086 | |||
2.50%, 12/1/2050 | 1,850,252 | 1,913,995 | |||
2.50%, 4/1/2051 | 3,804,382 | 3,936,898 | |||
2.50%, 7/1/2051 | 8,696,725 | 8,999,134 | |||
2.63%, 9/6/2024 (b) | 250,000 | 266,947 | |||
2.88%, 9/12/2023 | 500,000 | 528,270 | |||
3.00%, 10/1/2028 | 44,738 | 47,167 | |||
3.00%, 8/1/2029 | 24,190 | 25,515 | |||
3.00%, 5/1/2030 | 138,334 | 145,446 | |||
3.00%, 6/1/2030 | 24,890 | 26,290 | |||
3.00%, 8/1/2030 | 423,585 | 447,795 | |||
3.00%, 9/1/2030 | 25,189 | 26,607 | |||
3.00%, 11/1/2030 | 53,057 | 56,043 | |||
3.00% 12/1/2030 | 315,677 | 333,687 | |||
3.00%, 4/1/2031 | 159,237 | 168,424 | |||
3.00%, 12/1/2031 | 244,575 | 258,685 | |||
3.00% 2/1/2032 | 852,156 | 901,405 | |||
3.00%, 5/1/2032 | 308,249 | 324,915 | |||
3.00%, 8/1/2032 | 102,292 | 107,823 | |||
3.00%, 10/1/2032 | 177,394 | 186,985 |
Security Description | Principal Amount | Value | |||
3.00%, 2/1/2034 | $ 802,932 | $ 846,344 | |||
3.00%, 7/1/2034 | 226,640 | 238,719 | |||
3.00%, 6/1/2036 | 39,231 | 41,397 | |||
3.00%, 8/1/2036 | 200,267 | 211,324 | |||
3.00%, 9/1/2036 | 366,837 | 387,091 | |||
3.00%, 10/1/2036 | 108,989 | 115,007 | |||
3.00%, 12/1/2036 | 196,782 | 207,648 | |||
3.00%, 11/1/2037 | 377,546 | 400,383 | |||
3.00%, 6/1/2042 | 736,191 | 780,723 | |||
3.00%, 6/1/2043 | 203,112 | 218,038 | |||
3.00%, 7/1/2043 | 45,590 | 48,398 | |||
3.00%, 2/1/2044 | 395,266 | 419,620 | |||
3.00%, 1/1/2045 | 691,723 | 734,343 | |||
3.00%, 5/1/2045 | 616,451 | 654,433 | |||
3.00%, 9/1/2045 | 40,005 | 42,189 | |||
3.00% 11/1/2045 | 277,252 | 292,391 | |||
3.00%, 12/1/2045 | 51,651 | 54,472 | |||
3.00%, 5/1/2046 | 376,759 | 396,266 | |||
3.00%, 7/1/2046 | 414,967 | 436,453 | |||
3.00%, 10/1/2046 | 262,431 | 276,019 | |||
3.00%, 11/1/2046 | 556,285 | 585,089 | |||
3.00% 12/1/2046 | 481,204 | 506,120 | |||
3.00% 1/1/2047 | 1,336,304 | 1,405,495 | |||
3.00%, 2/1/2047 | 423,807 | 445,751 | |||
3.00%, 5/1/2047 | 453,152 | 474,976 | |||
3.00%, 11/1/2047 | 270,501 | 283,529 | |||
3.00%, 9/1/2049 | 3,110,375 | 3,253,478 | |||
3.00%, 11/1/2049 | 979,040 | 1,020,470 | |||
3.00%, 12/1/2049 | 2,428,976 | 2,540,729 | |||
3.00%, 1/1/2050 | 1,830,239 | 1,907,688 | |||
3.00%, 3/1/2050 | 1,757,957 | 1,832,141 | |||
3.00%, 5/1/2050 | 1,926,530 | 2,007,828 | |||
3.00%, 7/1/2050 | 1,661,446 | 1,732,158 | |||
3.00%, 8/1/2050 | 707,140 | 737,451 | |||
3.00%, 10/1/2050 | 326,844 | 341,052 | |||
3.50%, 11/1/2025 | 18,404 | 19,642 | |||
3.50%, 1/1/2027 | 19,425 | 20,731 | |||
3.50%, 5/1/2029 | 27,395 | 29,328 | |||
3.50%, 10/1/2029 | 24,279 | 25,992 | |||
3.50%, 2/1/2031 | 213,309 | 227,699 | |||
3.50%, 3/1/2032 | 155,686 | 166,573 | |||
3.50%, 4/1/2032 | 222,052 | 237,580 | |||
3.50%, 2/1/2033 | 451,334 | 482,895 | |||
3.50%, 4/1/2033 | 135,933 | 145,242 | |||
3.50%, 11/1/2034 | 827,814 | 883,753 | |||
3.50%, 12/1/2035 | 25,996 | 27,804 | |||
3.50%, 1/1/2037 | 193,623 | 205,645 | |||
3.50%, 2/1/2037 | 274,393 | 291,430 | |||
3.50%, 7/1/2037 | 117,301 | 124,316 | |||
3.50%, 4/1/2038 | 269,726 | 284,683 | |||
3.50%, 2/1/2041 | 78,935 | 85,574 | |||
3.50%, 10/1/2044 | 19,245 | 20,594 | |||
3.50% 1/1/2045 | 53,140 | 56,866 | |||
3.50% 2/1/2045 | 2,217,592 | 2,379,643 | |||
3.50%, 5/1/2045 | 20,461 | 21,827 |
Security Description | Principal Amount | Value | |||
3.50% 8/1/2045 | $ 71,327 | $ 76,375 | |||
3.50%, 11/1/2045 | 24,605 | 26,248 | |||
3.50% 12/1/2045 | 369,554 | 394,228 | |||
3.50%, 1/1/2046 | 243,606 | 259,870 | |||
3.50% 2/1/2046 | 314,426 | 335,419 | |||
3.50% 4/1/2046 | 185,342 | 196,971 | |||
3.50% 5/1/2046 | 278,035 | 295,479 | |||
3.50%, 6/1/2046 | 74,012 | 78,655 | |||
3.50%, 7/1/2046 | 211,780 | 225,067 | |||
3.50%, 8/1/2046 | 1,943,505 | 2,085,485 | |||
3.50%, 1/1/2047 | 315,353 | 335,137 | |||
3.50% 2/1/2047 | 1,270,905 | 1,368,635 | |||
3.50%, 3/1/2047 | 304,277 | 323,366 | |||
3.50%, 4/1/2047 | 605,349 | 639,942 | |||
3.50% 5/1/2047 | 2,237,942 | 2,379,996 | |||
3.50%, 6/1/2047 | 253,188 | 267,657 | |||
3.50% 7/1/2047 | 2,894,369 | 3,105,874 | |||
3.50%, 9/1/2047 | 225,481 | 238,366 | |||
3.50%, 10/1/2047 | 269,632 | 285,040 | |||
3.50%, 11/1/2047 | 61,155 | 64,649 | |||
3.50%, 12/1/2047 | 419,264 | 443,223 | |||
3.50%, 1/1/2048 | 126,029 | 133,231 | |||
3.50%, 2/1/2048 | 181,654 | 194,352 | |||
3.50%, 6/1/2048 | 350,672 | 370,082 | |||
3.50% 11/1/2048 | 2,037,938 | 2,160,230 | |||
3.50%, 3/1/2049 | 2,337,703 | 2,471,294 | |||
3.50%, 5/1/2049 | 2,814,388 | 2,972,263 | |||
3.50%, 6/1/2049 | 5,932,645 | 6,271,672 | |||
3.50%, 7/1/2049 | 380,991 | 400,936 | |||
3.50%, 8/1/2049 | 1,050,935 | 1,105,952 | |||
3.50%, 6/1/2050 | 584,922 | 615,988 | |||
4.00%, 3/1/2031 | 628,546 | 670,023 | |||
4.00%, 10/1/2033 | 95,932 | 103,929 | |||
4.00%, 10/1/2037 | 725,117 | 785,714 | |||
4.00%, 1/1/2039 | 91,183 | 98,731 | |||
4.00%, 2/1/2039 | 77,687 | 84,118 | |||
4.00%, 12/1/2040 | 32,359 | 35,387 | |||
4.00%, 2/1/2043 | 200,791 | 219,579 | |||
4.00% 10/1/2043 | 453,217 | 495,645 | |||
4.00%, 11/1/2043 | 138,520 | 151,315 | |||
4.00%, 12/1/2043 | 162,476 | 177,483 | |||
4.00% 10/1/2044 | 27,107 | 29,428 | |||
4.00%, 1/1/2045 | 405,501 | 443,400 | |||
4.00%, 3/1/2045 | 24,979 | 27,014 | |||
4.00%, 5/1/2045 | 1,198,779 | 1,301,407 | |||
4.00%, 7/1/2045 | 24,836 | 26,859 | |||
4.00% 9/1/2045 | 109,629 | 118,654 | |||
4.00% 12/1/2045 | 41,023 | 44,365 | |||
4.00%, 2/1/2046 | 2,186,134 | 2,390,786 | |||
4.00%, 4/1/2046 | 94,880 | 102,310 | |||
4.00%, 7/1/2046 | 153,753 | 165,793 | |||
4.00%, 10/1/2046 | 2,234,702 | 2,444,080 | |||
4.00% 11/1/2046 | 1,154,218 | 1,256,700 | |||
4.00%, 12/1/2046 | 333,493 | 359,607 | |||
4.00% 4/1/2047 | 534,246 | 571,513 |
Security Description | Principal Amount | Value | |||
4.00%, 7/1/2047 | $ 263,371 | $ 281,743 | |||
4.00%, 8/1/2047 | 241,177 | 258,001 | |||
4.00%, 9/1/2047 | 248,000 | 265,299 | |||
4.00%, 12/1/2047 | 348,738 | 373,065 | |||
4.00%, 2/1/2048 | 760,631 | 813,690 | |||
4.00%, 6/1/2048 | 568,240 | 604,679 | |||
4.00%, 7/1/2048 | 218,682 | 233,175 | |||
4.00%, 9/1/2048 | 1,379,099 | 1,467,536 | |||
4.00%, 11/1/2048 | 2,755,878 | 2,940,587 | |||
4.00%, 7/1/2049 | 998,947 | 1,063,042 | |||
4.00%, 8/1/2049 | 1,416,246 | 1,510,107 | |||
4.00%, 9/1/2049 | 369,564 | 393,276 | |||
4.00%, 2/1/2050 | 1,157,807 | 1,232,094 | |||
4.00%, 7/1/2050 | 2,740,592 | 2,916,335 | |||
4.50%, 9/1/2039 | 261,737 | 290,124 | |||
4.50%, 12/1/2040 | 57,497 | 63,701 | |||
4.50%, 1/1/2042 | 41,655 | 46,164 | |||
4.50% 9/1/2043 | 78,509 | 87,034 | |||
4.50%, 11/1/2043 | 40,782 | 45,308 | |||
4.50%, 5/1/2044 | 108,184 | 119,404 | |||
4.50%, 6/1/2044 | 38,501 | 42,493 | |||
4.50%, 2/1/2046 | 148,280 | 164,278 | |||
4.50%, 3/1/2046 | 499,001 | 554,374 | |||
4.50%, 5/1/2046 | 378,165 | 420,693 | |||
4.50%, 7/1/2046 | 140,582 | 153,782 | |||
4.50%, 11/1/2047 | 456,149 | 494,939 | |||
4.50%, 4/1/2048 | 204,244 | 219,639 | |||
4.50%, 7/1/2048 | 1,133,033 | 1,218,437 | |||
4.50% 8/1/2048 | 745,197 | 802,458 | |||
4.50%, 12/1/2048 | 284,344 | 305,777 | |||
4.50%, 1/1/2049 | 95,589 | 102,794 | |||
4.50%, 4/1/2049 | 148,751 | 159,977 | |||
4.50%, 3/1/2050 | 1,102,286 | 1,185,470 | |||
5.00%, 1/1/2039 | 376,755 | 428,528 | |||
5.00%, 6/1/2040 | 148,621 | 169,026 | |||
5.00%, 7/1/2041 | 25,279 | 28,750 | |||
5.00%, 5/1/2042 | 32,179 | 36,596 | |||
5.00%, 11/1/2044 | 416,312 | 473,468 | |||
5.00%, 1/1/2045 | 28,985 | 32,410 | |||
5.00%, 6/1/2048 | 409,022 | 446,900 | |||
5.00%, 9/1/2048 | 385,512 | 421,213 | |||
5.00%, 3/1/2050 | 526,947 | 575,623 | |||
5.50%, 2/1/2037 | 19,165 | 22,249 | |||
5.50%, 4/1/2038 | 90,985 | 105,772 | |||
5.50%, 9/1/2040 | 28,544 | 33,193 | |||
5.50%, 9/1/2041 | 45,019 | 52,373 | |||
5.50% 5/1/2044 | 521,213 | 605,592 | |||
5.63%, 7/15/2037 | 80,000 | 121,218 | |||
6.63%, 11/15/2030 | 365,000 | 528,071 | |||
7.25%, 5/15/2030 | 75,000 | 111,143 | |||
Series 0000, 0.56%, 11/17/2025 | 350,000 | 345,989 | |||
Series 2013-M12, Class APT, 2.49%, 3/25/2023 (c) | 23,384 | 23,883 |
Security Description | Principal Amount | Value | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (c) | $ 106,103 | $ 107,707 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 661,500 | 699,962 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 250,000 | 265,302 | |||
Series 2017-M12, Class A2, 3.18%, 6/25/2027 (c) | 385,982 | 424,838 | |||
Series 2017-M13, Class A2, 3.02%, 9/25/2027 (c) | 292,245 | 319,798 | |||
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (c) | 250,000 | 274,796 | |||
Series 2020-M14, Class A2, 1.78%, 5/25/2030 | 500,000 | 509,405 | |||
Series 2020-M42, Class A2, 1.27%, 7/25/2030 | 200,000 | 195,943 | |||
Series 2020-M8, Class A2, 1.82%, 2/25/2030 | 144,700 | 147,757 | |||
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (c) | 725,000 | 715,840 | |||
TBA, 1.50%, 7/1/2036 | 6,125,000 | 6,196,601 | |||
TBA, 1.50%, 7/1/2051 | 12,850,000 | 12,600,697 | |||
TBA, 2.00%, 7/1/2036 | 6,525,000 | 6,729,363 | |||
TBA, 2.00%, 7/1/2051 | 35,925,000 | 36,289,639 | |||
TBA, 2.50%, 7/1/2036 | 2,800,000 | 2,919,560 | |||
TBA, 2.50%, 7/1/2051 | 25,100,000 | 25,955,910 | |||
TBA, 3.00%, 7/1/2051 | 10,340,000 | 10,778,830 | |||
TBA, 3.50%, 7/1/2051 | 3,000,000 | 3,157,500 | |||
Series 2020-M29, Class A2, VRN, 1.49%, 5/25/2030 (c) | 272,000 | 271,057 | |||
Series 2020-M52, Class A2, VRN, 1.36%, 10/25/2030 (c) | 350,000 | 342,426 | |||
Series 2020-M53, Class A2, VRN, 1.74%, 11/25/2032 (c) | 550,000 | 542,446 | |||
Series 2021-M1, Class A2, VRN, 1.44%, 11/25/2030 (c) | 61,250 | 60,239 | |||
Series 2021-M4, Class A2, VRN, 1.51%, 2/25/2031 (c) | 280,000 | 276,998 | |||
Government National Mortgage Association: | |||||
2.00%, 9/20/2050 | 945,396 | 963,560 | |||
2.00%, 1/20/2051 | 2,445,294 | 2,492,277 | |||
2.00%, 4/20/2051 | 4,965,913 | 5,061,471 | |||
2.00%, 5/20/2051 | 2,595,421 | 2,645,364 | |||
2.00%, 6/20/2051 | 4,450,000 | 4,535,630 | |||
2.50%, 12/20/2046 | 5,468,051 | 5,699,534 | |||
2.50%, 8/20/2050 | 2,786,241 | 2,882,744 |
Security Description | Principal Amount | Value | |||
2.50%, 9/20/2050 | $ 1,781,911 | $ 1,843,628 | |||
2.50%, 10/20/2050 | 3,284,373 | 3,398,128 | |||
2.50%, 4/20/2051 | 4,981,200 | 5,158,078 | |||
3.00%, 1/20/2043 | 334,924 | 357,270 | |||
3.00%, 5/20/2043 | 167,005 | 177,755 | |||
3.00%, 12/20/2044 | 27,880 | 29,536 | |||
3.00%, 3/20/2045 | 14,646 | 15,508 | |||
3.00%, 4/20/2045 | 44,704 | 47,335 | |||
3.00%, 6/20/2045 | 686,208 | 726,586 | |||
3.00%, 7/20/2045 | 44,782 | 47,417 | |||
3.00%, 8/20/2045 | 42,762 | 45,278 | |||
3.00%, 2/20/2046 | 1,184,558 | 1,260,806 | |||
3.00%, 3/20/2046 | 417,020 | 439,240 | |||
3.00%, 4/20/2046 | 2,339,176 | 2,463,819 | |||
3.00%, 5/20/2046 | 68,151 | 71,783 | |||
3.00%, 7/20/2046 | 44,369 | 46,733 | |||
3.00%, 8/20/2046 | 142,918 | 150,534 | |||
3.00%, 9/20/2046 | 103,467 | 108,980 | |||
3.00%, 10/20/2046 | 104,291 | 109,848 | |||
3.00%, 11/20/2046 | 187,728 | 197,731 | |||
3.00%, 12/20/2046 | 739,753 | 779,170 | |||
3.00%, 2/20/2047 | 371,138 | 390,914 | |||
3.00%, 4/20/2047 | 538,490 | 566,500 | |||
3.00%, 6/20/2047 | 168,296 | 177,050 | |||
3.00%, 7/20/2047 | 327,294 | 344,318 | |||
3.00%, 8/20/2047 | 161,683 | 170,093 | |||
3.00%, 10/20/2047 | 239,262 | 251,707 | |||
3.00%, 1/20/2048 | 885,630 | 931,696 | |||
3.00%, 2/20/2048 | 536,070 | 563,954 | |||
3.00%, 3/20/2048 | 946,630 | 995,869 | |||
3.00%, 11/20/2049 | 1,570,407 | 1,640,406 | |||
3.00%, 12/20/2049 | 951,461 | 993,871 | |||
3.00%, 2/20/2050 | 969,629 | 1,012,273 | |||
3.00%, 6/20/2050 | 2,508,362 | 2,619,825 | |||
3.00%, 7/20/2050 | 3,115,005 | 3,253,426 | |||
3.50%, 10/20/2042 | 266,669 | 288,796 | |||
3.50%, 1/20/2043 | 1,145,537 | 1,240,588 | |||
3.50%, 5/20/2043 | 40,852 | 44,108 | |||
3.50%, 9/20/2043 | 27,011 | 29,164 | |||
3.50%, 11/20/2043 | 200,356 | 216,325 | |||
3.50%, 6/20/2044 | 1,110,314 | 1,190,348 | |||
3.50%, 10/20/2044 | 24,650 | 26,427 | |||
3.50%, 12/20/2044 | 16,420 | 17,604 | |||
3.50%, 3/20/2045 | 14,675 | 15,649 | |||
3.50%, 4/20/2045 | 47,552 | 51,165 | |||
3.50%, 6/20/2045 | 661,451 | 705,345 | |||
3.50%, 10/20/2045 | 1,302,043 | 1,388,447 | |||
3.50% 1/20/2046 | 1,049,096 | 1,118,715 | |||
3.50%, 3/20/2046 | 106,067 | 112,884 | |||
3.50%, 4/20/2046 | 56,887 | 60,543 | |||
3.50%, 5/20/2046 | 58,477 | 62,235 | |||
3.50%, 6/20/2046 | 904,754 | 962,902 | |||
3.50%, 7/20/2046 | 143,071 | 152,266 | |||
3.50%, 10/20/2046 | 287,224 | 305,684 | |||
3.50%, 11/20/2046 | 183,931 | 195,752 |
Security Description | Principal Amount | Value | |||
3.50%, 12/20/2046 | $ 629,238 | $ 669,679 | |||
3.50%, 5/20/2047 | 436,943 | 462,540 | |||
3.50%, 6/20/2047 | 302,729 | 320,464 | |||
3.50%, 7/20/2047 | 236,554 | 250,412 | |||
3.50%, 8/20/2047 | 379,024 | 401,228 | |||
3.50%, 9/20/2047 | 155,842 | 164,971 | |||
3.50%, 10/20/2047 | 151,716 | 160,604 | |||
3.50%, 11/20/2047 | 1,923,903 | 2,036,610 | |||
3.50%, 12/20/2047 | 721,553 | 763,824 | |||
3.50%, 6/20/2048 | 225,407 | 237,930 | |||
3.50%, 8/20/2048 | 167,617 | 176,930 | |||
3.50%, 8/20/2049 | 651,800 | 690,620 | |||
3.50%, 9/20/2049 | 1,957,615 | 2,072,558 | |||
3.50%, 12/20/2049 | 418,838 | 442,725 | |||
3.50%, 2/20/2050 | 703,306 | 742,823 | |||
3.50%, 7/20/2050 | 850,848 | 894,319 | |||
3.50%, 10/20/2050 | 3,274,102 | 3,458,066 | |||
4.00%, 4/15/2040 | 29,450 | 32,514 | |||
4.00%, 2/20/2042 | 12,834 | 14,069 | |||
4.00%, 7/20/2042 | 9,234 | 10,112 | |||
4.00%, 7/15/2044 | 33,161 | 36,382 | |||
4.00%, 8/20/2044 | 17,275 | 18,789 | |||
4.00%, 10/20/2044 | 156,199 | 169,890 | |||
4.00%, 5/15/2045 | 16,669 | 18,206 | |||
4.00%, 6/15/2045 | 42,248 | 46,146 | |||
4.00%, 8/20/2045 | 16,202 | 17,600 | |||
4.00%, 11/20/2045 | 202,801 | 220,304 | |||
4.00%, 2/20/2046 | 155,467 | 168,885 | |||
4.00%, 5/20/2046 | 162,727 | 176,771 | |||
4.00%, 6/20/2046 | 112,894 | 121,024 | |||
4.00%, 1/20/2047 | 349,283 | 374,439 | |||
4.00%, 3/20/2047 | 147,785 | 158,429 | |||
4.00%, 4/20/2047 | 285,478 | 304,709 | |||
4.00%, 5/20/2047 | 190,932 | 203,793 | |||
4.00%, 7/20/2047 | 201,113 | 214,660 | |||
4.00%, 8/20/2047 | 83,958 | 89,614 | |||
4.00%, 1/20/2048 | 138,821 | 148,172 | |||
4.00%, 6/20/2048 | 3,738,327 | 3,973,263 | |||
4.00%, 8/20/2048 | 764,991 | 812,475 | |||
4.00%, 10/20/2048 | 320,309 | 339,942 | |||
4.00%, 11/20/2048 | 252,879 | 268,379 | |||
4.00%, 4/20/2049 | 244,554 | 258,628 | |||
4.00%, 6/20/2049 | 551,658 | 583,297 | |||
4.00%, 7/20/2049 | 301,552 | 318,817 | |||
4.00%, 1/20/2050 | 463,788 | 490,341 | |||
4.00%, 3/20/2050 | 857,959 | 907,080 | |||
4.50%, 1/20/2044 | 82,090 | 91,232 | |||
4.50%, 11/20/2044 | 24,198 | 26,563 | |||
4.50%, 12/20/2044 | 19,743 | 21,672 | |||
4.50%, 4/20/2046 | 108,088 | 118,648 | |||
4.50%, 6/20/2046 | 74,531 | 81,813 | |||
4.50%, 7/20/2046 | 101,996 | 111,962 | |||
4.50%, 4/20/2047 | 310,638 | 337,060 | |||
4.50%, 8/20/2047 | 90,610 | 98,317 | |||
4.50%, 11/20/2047 | 834,336 | 899,869 |
Security Description | Principal Amount | Value | |||
4.50%, 12/20/2047 | $ 49,777 | $ 53,686 | |||
4.50%, 11/20/2048 | 320,000 | 341,912 | |||
4.50%, 7/20/2049 | 355,070 | 377,168 | |||
5.00%, 6/15/2040 | 20,905 | 23,644 | |||
5.00%, 10/15/2041 | 72,943 | 83,688 | |||
5.00%, 3/20/2044 | 37,280 | 42,327 | |||
5.00%, 12/20/2045 | 132,179 | 150,158 | |||
5.00%, 1/20/2048 | 211,404 | 229,376 | |||
5.00%, 5/20/2048 | 172,780 | 188,540 | |||
5.00%, 9/20/2048 | 302,532 | 328,418 | |||
5.00%, 3/20/2050 | 391,707 | 425,007 | |||
5.50%, 10/20/2043 | 34,526 | 40,445 | |||
5.50%, 5/20/2045 | 392,155 | 458,124 | |||
TBA, 2.00%, 7/1/2051 | 7,700,000 | 7,840,756 | |||
TBA, 2.50%, 7/1/2051 | 6,975,000 | 7,214,521 | |||
TBA, 3.00%, 7/1/2051 | 5,550,000 | 5,789,316 | |||
TBA, 3.50%, 7/1/2051 | 1,500,000 | 1,574,595 | |||
Tennessee Valley Authority: | |||||
0.75%, 5/15/2025 (b) | 85,000 | 85,083 | |||
2.88%, 9/15/2024 | 100,000 | 107,357 | |||
3.50%, 12/15/2042 | 525,000 | 617,368 | |||
4.25%, 9/15/2065 (b) | 100,000 | 139,906 | |||
5.25%, 9/15/2039 | 150,000 | 213,801 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 164,091 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $558,603,672) | 561,310,049 | ||||
U.S. TREASURY OBLIGATIONS — 37.1% | |||||
Treasury Bonds: | |||||
1.13%, 5/15/2040 | 2,850,000 | 2,460,797 | |||
1.13%, 8/15/2040 | 6,500,000 | 5,592,031 | |||
1.25%, 5/15/2050 | 2,750,000 | 2,245,117 | |||
1.38%, 11/15/2040 | 6,750,000 | 6,063,398 | |||
1.38%, 8/15/2050 | 3,350,000 | 2,823,422 | |||
1.63%, 11/15/2050 | 3,500,000 | 3,142,344 | |||
1.88%, 2/15/2041 (b) | 8,000,000 | 7,833,750 | |||
1.88%, 2/15/2051 (b) | 4,500,000 | 4,293,984 | |||
2.00%, 2/15/2050 | 2,050,000 | 2,013,484 | |||
2.25%, 5/15/2041 | 3,500,000 | 3,642,187 | |||
2.25%, 8/15/2046 | 3,425,000 | 3,540,059 | |||
2.25%, 8/15/2049 | 2,000,000 | 2,071,250 | |||
2.38%, 11/15/2049 | 2,500,000 | 2,661,328 | |||
2.38%, 5/15/2051 | 4,500,000 | 4,804,453 | |||
2.50%, 2/15/2045 | 3,340,000 | 3,611,897 | |||
2.50%, 2/15/2046 | 2,400,000 | 2,599,125 | |||
2.50%, 5/15/2046 | 1,850,000 | 2,003,492 | |||
2.75%, 8/15/2042 | 900,000 | 1,013,484 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,688,203 | |||
2.75%, 8/15/2047 | 1,700,000 | 1,932,688 | |||
2.75%, 11/15/2047 | 1,650,000 | 1,877,391 | |||
2.88%, 5/15/2043 | 1,850,000 | 2,126,055 | |||
2.88%, 8/15/2045 (b) | 5,480,000 | 6,333,681 | |||
2.88%, 11/15/2046 | 2,500,000 | 2,900,000 |
Security Description | Principal Amount | Value | |||
2.88%, 5/15/2049 | $ 2,450,000 | $ 2,868,031 | |||
3.00%, 5/15/2042 | 325,000 | 380,199 | |||
3.00%, 11/15/2044 | 3,075,000 | 3,618,410 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,210,449 | |||
3.00%, 11/15/2045 (b) | 1,900,000 | 2,245,562 | |||
3.00%, 2/15/2047 | 2,200,000 | 2,612,500 | |||
3.00%, 5/15/2047 | 1,050,000 | 1,247,859 | |||
3.00%, 2/15/2048 (b) | 3,200,000 | 3,812,500 | |||
3.00%, 8/15/2048 | 2,950,000 | 3,520,641 | |||
3.00%, 2/15/2049 | 2,650,000 | 3,171,305 | |||
3.13%, 11/15/2041 | 350,000 | 416,883 | |||
3.13%, 2/15/2042 | 725,000 | 864,449 | |||
3.13%, 2/15/2043 (b) | 1,075,000 | 1,283,617 | |||
3.13%, 8/15/2044 | 2,500,000 | 2,998,828 | |||
3.13%, 5/15/2048 | 2,375,000 | 2,895,645 | |||
3.38%, 5/15/2044 | 1,900,000 | 2,367,875 | |||
3.38%, 11/15/2048 | 3,100,000 | 3,956,375 | |||
3.50%, 2/15/2039 | 1,000,000 | 1,249,375 | |||
3.63%, 8/15/2043 | 1,600,000 | 2,059,000 | |||
3.63%, 2/15/2044 | 1,475,000 | 1,905,285 | |||
3.75%, 8/15/2041 | 2,000,000 | 2,596,250 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,869,645 | |||
3.88%, 8/15/2040 | 750,000 | 985,313 | |||
4.25%, 5/15/2039 | 1,500,000 | 2,050,547 | |||
4.25%, 11/15/2040 | 1,500,000 | 2,067,422 | |||
4.38%, 2/15/2038 | 650,000 | 893,852 | |||
4.38%, 11/15/2039 | 1,250,000 | 1,737,109 | |||
4.38%, 5/15/2040 | 575,000 | 802,844 | |||
4.38%, 5/15/2041 | 300,000 | 421,125 | |||
4.50%, 2/15/2036 (b) | 1,500,000 | 2,057,813 | |||
4.50%, 5/15/2038 | 200,000 | 279,000 | |||
4.50%, 8/15/2039 | 650,000 | 915,281 | |||
4.63%, 2/15/2040 | 400,000 | 573,625 | |||
4.75%, 2/15/2037 | 350,000 | 496,563 | |||
4.75%, 2/15/2041 | 650,000 | 952,555 | |||
5.00%, 5/15/2037 | 300,000 | 436,969 | |||
5.25%, 11/15/2028 | 450,000 | 577,125 | |||
6.50%, 11/15/2026 (b) | 1,500,000 | 1,935,352 | |||
Treasury Notes: | |||||
0.13%, 7/31/2022 | 5,000,000 | 5,000,977 | |||
0.13%, 8/31/2022 | 6,000,000 | 6,000,469 | |||
0.13%, 9/30/2022 | 4,000,000 | 3,999,531 | |||
0.13%, 10/31/2022 | 3,000,000 | 2,999,062 | |||
0.13%, 11/30/2022 (b) | 6,500,000 | 6,496,953 | |||
0.13%, 12/31/2022 | 6,000,000 | 5,995,781 | |||
0.13%, 2/28/2023 | 7,750,000 | 7,741,221 | |||
0.13%, 3/31/2023 | 5,000,000 | 4,992,773 | |||
0.13%, 5/15/2023 | 2,000,000 | 1,996,250 | |||
0.13%, 6/30/2023 | 7,500,000 | 7,481,836 | |||
0.13%, 7/15/2023 | 4,500,000 | 4,488,398 | |||
0.13%, 9/15/2023 | 5,000,000 | 4,982,031 | |||
0.13%, 10/15/2023 | 3,000,000 | 2,987,109 | |||
0.13%, 12/15/2023 | 6,000,000 | 5,968,594 | |||
0.13%, 1/15/2024 | 4,000,000 | 3,976,250 | |||
0.13%, 2/15/2024 (b) | 7,500,000 | 7,451,953 |
Security Description | Principal Amount | Value | |||
0.25%, 4/15/2023 | $ 1,500,000 | $ 1,500,938 | |||
0.25%, 6/15/2023 | 3,000,000 | 3,000,586 | |||
0.25%, 11/15/2023 | 3,500,000 | 3,494,531 | |||
0.25%, 3/15/2024 (b) | 14,500,000 | 14,443,359 | |||
0.25%, 5/15/2024 | 2,500,000 | 2,486,719 | |||
0.25%, 6/15/2024 | 10,000,000 | 9,939,844 | |||
0.25%, 5/31/2025 | 7,500,000 | 7,375,195 | |||
0.25%, 6/30/2025 | 3,000,000 | 2,946,797 | |||
0.25%, 8/31/2025 | 5,000,000 | 4,900,000 | |||
0.25%, 9/30/2025 | 5,000,000 | 4,894,531 | |||
0.25%, 10/31/2025 | 7,750,000 | 7,577,441 | |||
0.38%, 4/15/2024 | 5,000,000 | 4,994,141 | |||
0.38%, 4/30/2025 (b) | 4,000,000 | 3,956,875 | |||
0.38%, 11/30/2025 | 3,000,000 | 2,946,094 | |||
0.38%, 12/31/2025 | 6,000,000 | 5,885,625 | |||
0.38%, 1/31/2026 | 7,000,000 | 6,860,547 | |||
0.38%, 7/31/2027 | 2,000,000 | 1,917,188 | |||
0.38%, 9/30/2027 | 6,000,000 | 5,733,281 | |||
0.50%, 3/31/2025 (b) | 2,150,000 | 2,139,418 | |||
0.50%, 2/28/2026 | 6,000,000 | 5,909,531 | |||
0.50%, 6/30/2027 | 4,500,000 | 4,353,398 | |||
0.50%, 8/31/2027 | 4,000,000 | 3,857,188 | |||
0.50%, 10/31/2027 | 2,250,000 | 2,163,516 | |||
0.63%, 11/30/2027 | 4,550,000 | 4,404,613 | |||
0.63%, 12/31/2027 | 6,000,000 | 5,800,312 | |||
0.63%, 5/15/2030 | 3,900,000 | 3,645,891 | |||
0.63%, 8/15/2030 (b) | 4,750,000 | 4,426,406 | |||
0.75%, 3/31/2026 | 5,000,000 | 4,978,125 | |||
0.75%, 4/30/2026 (b) | 3,500,000 | 3,482,500 | |||
0.75%, 1/31/2028 | 2,500,000 | 2,433,984 | |||
0.88%, 6/30/2026 | 5,000,000 | 4,998,437 | |||
0.88%, 11/15/2030 (b) | 2,000,000 | 1,902,188 | |||
1.13%, 2/28/2025 | 2,000,000 | 2,036,563 | |||
1.13%, 2/28/2027 | 1,250,000 | 1,258,887 | |||
1.13%, 2/29/2028 (b) | 4,500,000 | 4,487,344 | |||
1.13%, 2/15/2031 (b) | 8,500,000 | 8,254,297 | |||
1.25%, 7/31/2023 | 250,000 | 255,137 | |||
1.25%, 3/31/2028 | 11,000,000 | 11,044,687 | |||
1.25%, 4/30/2028 | 4,000,000 | 4,013,750 | |||
1.25%, 5/31/2028 | 13,000,000 | 13,034,531 | |||
1.25%, 6/30/2028 | 5,000,000 | 5,008,594 | |||
1.38%, 10/15/2022 | 2,500,000 | 2,539,844 | |||
1.38%, 2/15/2023 | 2,000,000 | 2,038,516 | |||
1.38%, 8/31/2023 (b) | 2,250,000 | 2,303,437 | |||
1.38%, 9/30/2023 | 550,000 | 563,320 | |||
1.38%, 1/31/2025 | 2,000,000 | 2,055,156 | |||
1.38%, 8/31/2026 (b) | 3,000,000 | 3,070,781 | |||
1.50%, 8/15/2022 (b) | 5,750,000 | 5,839,395 | |||
1.50%, 9/15/2022 | 3,000,000 | 3,049,687 | |||
1.50%, 1/15/2023 | 10,000,000 | 10,203,516 | |||
1.50%, 3/31/2023 (b) | 1,000,000 | 1,022,578 | |||
1.50%, 9/30/2024 | 5,000,000 | 5,159,375 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,547,930 | |||
1.50%, 11/30/2024 | 1,500,000 | 1,547,813 | |||
1.50%, 8/15/2026 | 1,650,000 | 1,699,113 |
Security Description | Principal Amount | Value | |||
1.50%, 1/31/2027 (b) | $ 2,000,000 | $ 2,055,781 | |||
1.50%, 2/15/2030 | 5,850,000 | 5,908,500 | |||
1.63%, 8/31/2022 | 1,150,000 | 1,170,125 | |||
1.63%, 11/15/2022 | 3,500,000 | 3,570,820 | |||
1.63%, 12/15/2022 (b) | 2,000,000 | 2,042,578 | |||
1.63%, 4/30/2023 (b) | 2,500,000 | 2,563,770 | |||
1.63%, 5/31/2023 (b) | 1,250,000 | 1,283,057 | |||
1.63%, 2/15/2026 | 1,925,000 | 1,995,383 | |||
1.63%, 5/15/2026 (b) | 2,750,000 | 2,850,547 | |||
1.63%, 9/30/2026 | 1,250,000 | 1,294,922 | |||
1.63%, 10/31/2026 | 1,250,000 | 1,294,629 | |||
1.63%, 8/15/2029 (b) | 2,250,000 | 2,301,328 | |||
1.63%, 5/15/2031 (b) | 3,000,000 | 3,046,875 | |||
1.75%, 9/30/2022 | 1,750,000 | 1,785,273 | |||
1.75%, 1/31/2023 | 2,925,000 | 2,997,325 | |||
1.75%, 5/15/2023 | 250,000 | 257,070 | |||
1.75%, 6/30/2024 (b) | 1,500,000 | 1,558,008 | |||
1.75%, 12/31/2024 (b) | 1,250,000 | 1,300,879 | |||
1.75%, 11/15/2029 (b) | 3,000,000 | 3,097,031 | |||
1.88%, 7/31/2022 (b) | 1,000,000 | 1,019,102 | |||
1.88%, 8/31/2022 | 150,000 | 153,059 | |||
1.88%, 9/30/2022 (b) | 500,000 | 510,859 | |||
1.88%, 8/31/2024 | 850,000 | 886,723 | |||
1.88%, 6/30/2026 | 1,250,000 | 1,310,840 | |||
1.88%, 7/31/2026 | 1,000,000 | 1,048,906 | |||
2.00%, 7/31/2022 | 100,000 | 102,043 | |||
2.00%, 10/31/2022 | 1,000,000 | 1,024,609 | |||
2.00%, 11/30/2022 | 2,000,000 | 2,052,031 | |||
2.00%, 2/15/2023 | 500,000 | 514,629 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,829,023 | |||
2.00%, 6/30/2024 (b) | 350,000 | 366,078 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,493,564 | |||
2.00%, 8/15/2025 (b) | 1,500,000 | 1,578,516 | |||
2.00%, 11/15/2026 (b) | 2,250,000 | 2,374,277 | |||
2.13%, 12/31/2022 (b) | 3,900,000 | 4,013,801 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,043,125 | |||
2.13%, 3/31/2024 | 5,975,000 | 6,256,012 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,626,172 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,577,813 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,316,602 | |||
2.13%, 5/15/2025 (b) | 2,350,000 | 2,481,086 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,651,562 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,832,715 | |||
2.25%, 1/31/2024 | 1,000,000 | 1,048,516 | |||
2.25%, 4/30/2024 | 1,000,000 | 1,051,484 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,320,801 | |||
2.25%, 11/15/2024 (b) | 3,000,000 | 3,171,562 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,322,852 | |||
2.25%, 11/15/2025 (b) | 1,975,000 | 2,101,369 | |||
2.25%, 3/31/2026 | 3,000,000 | 3,197,344 | |||
2.25%, 2/15/2027 | 3,000,000 | 3,206,719 | |||
2.25%, 8/15/2027 (b) | 2,000,000 | 2,138,906 | |||
2.25%, 11/15/2027 | 4,750,000 | 5,081,016 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,551,914 | |||
2.38%, 2/29/2024 | 5,000,000 | 5,263,672 |
Security Description | Principal Amount | Value | ||||
2.38%, 8/15/2024 | $ 1,950,000 | $ 2,064,562 | ||||
2.38%, 5/15/2027 (b) | 2,900,000 | 3,122,031 | ||||
2.38%, 5/15/2029 | 4,350,000 | 4,694,602 | ||||
2.50%, 3/31/2023 | 1,250,000 | 1,299,902 | ||||
2.50%, 8/15/2023 | 2,500,000 | 2,617,969 | ||||
2.50%, 1/31/2024 | 2,000,000 | 2,110,000 | ||||
2.50%, 5/15/2024 | 5,000,000 | 5,296,875 | ||||
2.50%, 1/31/2025 | 1,000,000 | 1,067,891 | ||||
2.50%, 2/28/2026 | 2,500,000 | 2,691,992 | ||||
2.63%, 2/28/2023 | 4,000,000 | 4,161,719 | ||||
2.63%, 6/30/2023 | 1,600,000 | 1,675,813 | ||||
2.63%, 12/31/2023 | 3,000,000 | 3,169,687 | ||||
2.63%, 3/31/2025 | 1,000,000 | 1,074,141 | ||||
2.63%, 12/31/2025 | 3,250,000 | 3,513,301 | ||||
2.63%, 1/31/2026 | 2,250,000 | 2,433,867 | ||||
2.63%, 2/15/2029 | 4,450,000 | 4,879,703 | ||||
2.75%, 4/30/2023 | 3,250,000 | 3,399,932 | ||||
2.75%, 5/31/2023 | 1,500,000 | 1,572,070 | ||||
2.75%, 7/31/2023 | 1,000,000 | 1,051,719 | ||||
2.75%, 8/31/2023 | 3,750,000 | 3,949,805 | ||||
2.75%, 11/15/2023 (b) | 1,500,000 | 1,586,016 | ||||
2.75%, 2/15/2024 | 7,100,000 | 7,540,977 | ||||
2.75%, 2/28/2025 | 1,000,000 | 1,077,578 | ||||
2.75%, 6/30/2025 | 2,750,000 | 2,974,082 | ||||
2.75%, 8/31/2025 | 2,500,000 | 2,707,422 | ||||
2.75%, 2/15/2028 | 2,750,000 | 3,030,156 | ||||
2.88%, 9/30/2023 | 2,000,000 | 2,115,625 | ||||
2.88%, 10/31/2023 | 2,000,000 | 2,118,906 | ||||
2.88%, 11/30/2023 | 3,000,000 | 3,183,750 | ||||
2.88%, 4/30/2025 | 1,250,000 | 1,355,664 | ||||
2.88%, 5/31/2025 | 3,900,000 | 4,233,937 | ||||
2.88%, 7/31/2025 (b) | 4,000,000 | 4,348,750 | ||||
2.88%, 11/30/2025 | 1,500,000 | 1,636,523 | ||||
2.88%, 5/15/2028 | 4,000,000 | 4,443,750 | ||||
2.88%, 8/15/2028 | 7,750,000 | 8,618,242 | ||||
3.00%, 9/30/2025 | 2,500,000 | 2,736,719 | ||||
3.00%, 10/31/2025 | 2,750,000 | 3,012,539 | ||||
3.13%, 11/15/2028 | 5,500,000 | 6,221,875 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $695,800,145) | 703,232,731 | |||||
MUNICIPAL BONDS & NOTES — 0.6% | ||||||
CALIFORNIA — 0.1% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | 25,000 | 43,635 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 52,738 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 281,748 | ||||
7.30%, 10/1/2039 | 125,000 | 200,051 | ||||
7.50%, 4/1/2034 | 100,000 | 157,581 | ||||
7.55%, 4/1/2039 | 100,000 | 170,500 |
Security Description | Principal Amount | Value | |||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | $ 100,000 | $ 116,747 | |||
City of San Francisco CA Public Utilities Commission Water Revenue Series E, 2.83%, 11/1/2041 | 100,000 | 101,462 | |||
Los Angeles Community College District: | |||||
1.61%, 8/1/2028 | 50,000 | 50,118 | |||
1.81%, 8/1/2030 | 50,000 | 50,135 | |||
2.11%, 8/1/2032 | 50,000 | 50,731 | |||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 144,188 | |||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 33,759 | |||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 78,053 | |||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 299,970 | |||
State of California 7.60%, 11/1/2040 | 250,000 | 436,610 | |||
University of California Series BG, 0.88%, 5/15/2025 | 15,000 | 15,049 | |||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 324,292 | |||
2,607,367 | |||||
FLORIDA — 0.0% (a) | |||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 139,185 | |||
State Board of Administration Finance Corp.: | |||||
Series A, 1.26%, 7/1/2025 | 50,000 | 50,481 | |||
Series A, 1.71%, 7/1/2027 | 50,000 | 50,809 | |||
Series A, 2.15%, 7/1/2030 | 50,000 | 50,976 | |||
291,451 | |||||
GEORGIA — 0.0% (a) | |||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 160,000 | 246,389 | |||
ILLINOIS — 0.1% | |||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | 50,000 | 66,597 | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | 50,000 | 64,153 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 300,922 |
Security Description | Principal Amount | Value | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | $ 50,000 | $ 58,792 | |||
6.63%, 2/1/2035 | 200,000 | 249,788 | |||
7.35%, 7/1/2035 | 100,000 | 129,184 | |||
869,436 | |||||
MASSACHUSETTS — 0.0% (a) | |||||
Commonwealth of Massachusetts Series C, 2.51%, 7/1/2041 | 15,000 | 15,130 | |||
Massachusetts School Building Authority: | |||||
Series B, 3.40%, 10/15/2040 | 20,000 | 21,485 | |||
Series C, 2.95%, 5/15/2043 | 100,000 | 102,958 | |||
139,573 | |||||
MICHIGAN — 0.1% | |||||
Michigan Strategic Fund 3.23%, 9/1/2047 (f) | 750,000 | 761,236 | |||
MISSOURI — 0.0% (a) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue: | |||||
3.23%, 5/15/2050 | 300,000 | 330,338 | |||
3.65%, 8/15/2057 | 100,000 | 119,325 | |||
449,663 | |||||
NEW JERSEY — 0.0% (a) | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 225,680 | |||
4.13%, 6/15/2042 | 160,000 | 182,163 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 160,003 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 39,966 | |||
607,812 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 36,839 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 103,390 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 113,493 | |||
Port Authority of New York & New Jersey: | |||||
4.46%, 10/1/2062 | 190,000 | 249,266 | |||
5.65%, 11/1/2040 | 100,000 | 140,904 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
3.18%, 7/15/2060 | 1,000,000 | 1,004,520 | |||
4.03%, 9/1/2048 | 125,000 | 151,329 |
Security Description | Principal Amount | Value | ||||
Series 192, 4.81%, 10/15/2065 | $ 25,000 | $ 34,193 | ||||
Series AAA, 1.09%, 7/1/2023 | 150,000 | 151,909 | ||||
1,985,843 | ||||||
OHIO — 0.0% (a) | ||||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | 150,000 | 248,238 | ||||
OREGON — 0.0% (a) | ||||||
Port of Morrow, OR, Oregon Transmission Facilities, Revenue 2.54%, 9/1/2040 | 750,000 | 745,352 | ||||
PENNSYLVANIA — 0.1% | ||||||
Commonwealth Financing Authority: | ||||||
Series A, 2.99%, 6/1/2042 | 750,000 | 770,160 | ||||
Series A, 4.14%, 6/1/2038 | 125,000 | 147,923 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 105,214 | ||||
1,023,297 | ||||||
TEXAS — 0.1% | ||||||
City of San Antonio TX Electric & Gas Systems Revenue 2.91%, 2/1/2048 | 75,000 | 74,310 | ||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 140,791 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 263,355 | ||||
Grand Parkway Transportation Corp. 3.24%, 10/1/2052 | 65,000 | 66,462 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 173,067 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 52,743 | ||||
Texas, StateTransportation Commission General Obligation: | ||||||
2.47%, 10/1/2044 | 150,000 | 148,197 | ||||
2.56%, 4/1/2042 | 40,000 | 40,544 | ||||
959,469 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 62,698 | ||||
University of Virginia, Revenue 2.26%, 9/1/2050 | 150,000 | 141,434 | ||||
204,132 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $10,413,074) | 11,139,258 |
Security Description | Principal Amount | Value | |||
MORTGAGE-BACKED SECURITIES — 1.1% | |||||
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | $ 100,000 | $ 109,083 | |||
BANK 2017-BNK8: | |||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 99,730 | |||
Series 2017-BNK8, Class B, 4.06%, 11/15/2050 (c) | 50,000 | 54,819 | |||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (c) | 143,329 | 166,075 | |||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (c) | 100,000 | 116,875 | |||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 112,276 | |||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 109,175 | |||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2062 | 50,000 | 54,017 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 215,324 | |||
BANK 2020-BNK28 Series 2020-BN28, Class A4, 1.84%, 3/15/2063 | 93,750 | 92,488 | |||
BANK 2020-BNK29 Series 2020-BN29, Class A4, 2.00%, 11/15/2053 | 500,000 | 499,039 | |||
BANK 2021-BNK31 Series 2021-BN31, Class A4, 2.04%, 2/15/2054 | 234,783 | 234,937 | |||
BANK 2021-BNK32 Series 2021-BN32, Class A5, 2.64%, 4/15/2054 | 300,000 | 315,565 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 167,709 | |||
BBCMS Mortgage Trust Series 2020-C8, Class A5, 2.04%, 10/15/2053 | 250,000 | 251,223 | |||
BBCMS Mortgage Trust 2021-C9 Series 2021-C9, Class A5, 2.30%, 2/15/2054 | 250,000 | 255,754 | |||
Benchmark Mortgage Trust: | |||||
Series 2021-B24, Class A5, 2.58%, 3/15/2054 | 425,000 | 444,554 |
Security Description | Principal Amount | Value | |||
Series 2021-B25, Class A5, 2.58%, 4/15/2054 | $ 500,000 | $ 523,066 | |||
BENCHMARK Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (c) | 130,000 | 147,014 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 113,790 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 115,648 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 129,647 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 217,813 | |||
Series 2020-B16, Class A5, 2.73%, 2/15/2053 | 750,000 | 793,714 | |||
Series 2020-B18, Class A5, 1.93%, 7/15/2053 | 79,167 | 78,751 | |||
CD Mortgage Trust: | |||||
Series 2017-CD3, Class A4, 3.63%, 2/10/2050 | 300,000 | 331,593 | |||
Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 213,331 | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 332,820 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 659,469 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 106,988 | |||
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 150,000 | 162,214 | |||
Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 750,000 | 792,246 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 77,961 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 274,961 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 107,974 |
Security Description | Principal Amount | Value | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | $ 400,000 | $ 434,374 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 107,987 | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 54,553 | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 266,303 | 282,841 | |||
COMM Mortgage Trust: | |||||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 426,421 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 114,787 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 160,498 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | 250,000 | 274,519 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (c) | 50,000 | 58,050 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 214,929 | |||
GS Mortgage Securities Trust Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 161,992 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.19%, 7/10/2046 (c) | 80,000 | 84,867 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 86,988 | 92,888 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 156,102 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 213,306 | |||
GS Mortgage Securities Trust 2017-GS8 Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 275,708 |
Security Description | Principal Amount | Value | |||
GS Mortgage Securities Trust 2020-GSA2 Series 2020-GSA2, Class A5, 2.01%, 12/12/2053 | $ 500,000 | $ 498,433 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 64,395 | |||
JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class A4, 3.61%, 5/15/2048 | 100,000 | 108,538 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 53,691 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 219,210 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 110,233 | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.89%, 3/15/2049 (c) | 300,000 | 337,544 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 550,078 | |||
JPMDB Commercial Mortgage Securities Trust Series 2020-COR7, Class A5, 2.18%, 5/13/2053 | 1,000,000 | 1,013,651 | |||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 213,866 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 308,635 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 Series 2017-C33, Class A5, 3.60%, 5/15/2050 | 420,000 | 464,524 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 236,090 |
Security Description | Principal Amount | Value | |||
Morgan Stanley Capital I Trust 2018-L1 Series 2018-L1, Class A3, 4.14%, 10/15/2051 | $ 150,000 | $ 170,889 | |||
Morgan Stanley Capital I Trust 2019-H7 Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 218,116 | |||
Morgan Stanley Capital I Trust 2021-L5 Series 2021-L5, Class A4, 2.73%, 5/15/2054 | 350,000 | 370,116 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 452,511 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 111,752 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 180,595 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 214,246 | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 100,000 | 108,061 | |||
Series 2021-C59, Class A5, 2.63%, 4/15/2054 | 350,000 | 368,876 | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 156,574 | 163,029 | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | 87,017 | 92,671 | |||
Wells Fargo Commercial Mortgage Trust 2015-SG1 Series 2015-SG1, Class A4, 3.79%, 9/15/2048 | 996,583 | 1,075,345 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 321,368 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 277,592 | |||
Wells Fargo Commercial Mortgage Trust 2018-C47 Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 175,395 |
Security Description | Principal Amount | Value | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | $ 210,000 | $ 225,263 | |||
WFRBS Commercial Mortgage Trust 2014-C19 Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 117,273 | |||
WFRBS Commercial Mortgage Trust 2014-C24 Series 2014-C24, Class A4, 3.34%, 11/15/2047 | 425,000 | 451,078 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 107,638 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $20,487,094) | 20,972,167 |
Shares | |||
SHORT-TERM INVESTMENTS — 12.8% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.05% (g) (h) | 121,643,431 | 121,679,924 | |
State Street Navigator Securities Lending Portfolio II (i) (j) | 121,143,460 | 121,143,460 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $242,812,722) | 242,823,384 | ||
TOTAL INVESTMENTS — 112.0% (Cost $2,086,654,731) | 2,120,027,970 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (12.0)% | (227,451,060) | ||
NET ASSETS — 100.0% | $ 1,892,576,910 |
(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 June 30, 2021. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 0.6% of net assets as of June 30, 2021, 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 June 30, 2021. Maturity date shown is the final maturity. |
(f) | When-issued security. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(i) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 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 |
ISDA | International Swaps and Derivatives Association |
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 | $ — | $ 502,757,160 | $— | $ 502,757,160 | ||||
Asset-Backed Securities | — | 5,389,398 | — | 5,389,398 | ||||
Foreign Government Obligations | — | 72,403,823 | — | 72,403,823 | ||||
U.S. Government Agency Obligations | — | 561,310,049 | — | 561,310,049 | ||||
U.S. Treasury Obligations | — | 703,232,731 | — | 703,232,731 | ||||
Municipal Bonds & Notes | — | 11,139,258 | — | 11,139,258 | ||||
Mortgage-Backed Securities | — | 20,972,167 | — | 20,972,167 | ||||
Short-Term Investments | 242,823,384 | — | — | 242,823,384 | ||||
TOTAL INVESTMENTS | $242,823,384 | $1,877,204,586 | $— | $2,120,027,970 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 48,860,303 | $ 48,870,075 | $477,580,219 | $404,784,192 | $3,282 | $10,540 | 121,643,431 | $121,679,924 | $ 52,804 | ||||||||
State Street Navigator Securities Lending Portfolio II | 60,700,873 | 60,700,873 | 506,374,493 | 445,931,906 | — | — | 121,143,460 | 121,143,460 | 82,960 | ||||||||
Total | $109,570,948 | $983,954,712 | $850,716,098 | $3,282 | $10,540 | $242,823,384 | $135,764 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 0.0% (a) | ||||||
INDIA — 0.0% (a) | ||||||
Britannia Industries, Ltd. 5.50%, 6/3/2024 (b) | INR | 376,391 | $ 5,121 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $5,172) | 5,121 |
Shares | |||
COMMON STOCKS — 95.5% | |||
ARGENTINA — 0.0% (a) | |||
Banco BBVA Argentina SA ADR (b) (c) | 12,500 | 40,625 | |
Banco Macro SA ADR (b) (c) | 4,800 | 72,144 | |
Despegar.com Corp. (b) (c) | 7,500 | 99,075 | |
Grupo Financiero Galicia SA ADR (c) | 13,600 | 117,232 | |
IRSA Propiedades Comerciales SA ADR | 13 | 138 | |
Loma Negra Cia Industrial Argentina SA ADR | 7,400 | 50,394 | |
Pampa Energia SA ADR (b) (c) | 5,700 | 86,469 | |
Transportadora de Gas del Sur SA Class B, ADR (b) | 9,000 | 41,670 | |
YPF SA ADR (b) | 23,000 | 107,640 | |
615,387 | |||
AUSTRALIA — 5.0% | |||
Abacus Property Group REIT | 62,204 | 147,104 | |
Accent Group, Ltd. | 61,268 | 128,332 | |
Adelaide Brighton, Ltd. | 35,372 | 92,148 | |
Afterpay, Ltd. (b) | 26,876 | 2,384,335 | |
AGL Energy, Ltd. | 70,641 | 434,877 | |
ALS, Ltd. | 59,790 | 585,331 | |
Altium, Ltd. | 14,638 | 403,204 | |
Alumina, Ltd. | 312,900 | 386,427 | |
AMP, Ltd. | 396,729 | 335,075 | |
Ampol, Ltd. | 28,489 | 603,359 | |
Ansell, Ltd. | 18,077 | 590,488 | |
APA Group Stapled Security | 153,653 | 1,026,660 | |
Appen, Ltd. | 12,910 | 131,814 | |
ARB Corp., Ltd. | 9,016 | 292,343 | |
Arena REIT | 41,932 | 113,330 | |
Aristocrat Leisure, Ltd. | 72,662 | 2,350,603 | |
ASX, Ltd. | 25,233 | 1,472,113 | |
Atlas Arteria, Ltd. Stapled Security | 110,711 | 529,451 | |
AUB Group, Ltd. | 6,834 | 114,875 | |
Aurizon Holdings, Ltd. | 221,031 | 617,293 | |
AusNet Services, Ltd. | 288,646 | 379,227 |
Security Description | Shares | Value | |||
Austal, Ltd. | 34,296 | $ 52,783 | |||
Australia & New Zealand Banking Group, Ltd. | 352,667 | 7,453,130 | |||
Australian Agricultural Co., Ltd. (b) | 66,789 | 68,694 | |||
Australian Ethical Investment, Ltd. | 10,308 | 65,315 | |||
Australian Pharmaceutical Industries, Ltd. | 85,600 | 71,655 | |||
Aventus Group REIT | 56,902 | 134,565 | |||
Bank of Queensland, Ltd. | 69,557 | 475,724 | |||
Bapcor, Ltd. | 41,995 | 267,986 | |||
Beach Energy, Ltd. | 211,449 | 196,844 | |||
Bega Cheese, Ltd. | 33,033 | 146,069 | |||
Bellevue Gold, Ltd. (b) (c) | 77,436 | 55,228 | |||
Bendigo & Adelaide Bank, Ltd. | 64,688 | 509,442 | |||
Betmakers Technology Group, Ltd. (b) | 71,137 | 57,145 | |||
BHP Group PLC | 262,448 | 7,722,503 | |||
BHP Group, Ltd. | 365,099 | 13,312,947 | |||
Bingo Industries, Ltd. | 47,497 | 122,308 | |||
Blackmores, Ltd. | 2,369 | 130,668 | |||
BlueScope Steel, Ltd. | 65,927 | 1,086,904 | |||
Boral, Ltd. (b) | 140,160 | 773,405 | |||
BrainChip Holdings, Ltd. (b) (c) | 161,401 | 59,374 | |||
Brambles, Ltd. | 189,726 | 1,629,477 | |||
Bravura Solutions, Ltd. | 27,889 | 73,491 | |||
Breville Group, Ltd. | 9,858 | 221,361 | |||
Brickworks, Ltd. | 10,320 | 194,236 | |||
BWP Trust REIT | 46,487 | 148,675 | |||
BWX, Ltd. | 22,386 | 91,426 | |||
carsales.com, Ltd. | 32,237 | 478,230 | |||
Cedar Woods Properties, Ltd. | 15,936 | 80,278 | |||
Centuria Capital Group | 43,479 | 90,744 | |||
Centuria Industrial REIT | 47,221 | 131,878 | |||
Centuria Office REIT (c) | 34,820 | 61,170 | |||
Chalice Mining, Ltd. (b) | 30,131 | 167,847 | |||
Challenger, Ltd. | 65,903 | 267,669 | |||
Champion Iron, Ltd. (b) | 51,740 | 247,824 | |||
Charter Hall Group REIT | 57,727 | 672,614 | |||
Charter Hall Long Wale REIT | 66,357 | 236,633 | |||
Charter Hall Retail REIT | 68,023 | 194,059 | |||
Charter Hall Social Infrastructure REIT | 32,402 | 84,654 | |||
CIMIC Group, Ltd. (c) | 10,985 | 163,126 | |||
City Chic Collective, Ltd. (b) | 24,622 | 101,483 | |||
Cleanaway Waste Management, Ltd. | 255,044 | 505,492 | |||
Clinuvel Pharmaceuticals, Ltd. | 6,455 | 148,775 | |||
Cochlear, Ltd. | 8,451 | 1,596,743 |
Security Description | Shares | Value | |||
Codan, Ltd. | 10,768 | $ 145,756 | |||
Coles Group, Ltd. | 168,940 | 2,167,554 | |||
Collins Foods, Ltd. | 10,417 | 89,702 | |||
Commonwealth Bank of Australia | 219,876 | 16,485,735 | |||
Computershare, Ltd. | 67,187 | 852,447 | |||
Cooper Energy, Ltd. (b) | 188,865 | 36,866 | |||
Coronado Global Resources, Inc. CDI (b) (d) | 78,147 | 49,282 | |||
Corporate Travel Management, Ltd. (b) (c) | 11,274 | 181,890 | |||
Costa Group Holdings, Ltd. | 49,359 | 122,656 | |||
Credit Corp. Group, Ltd. | 8,972 | 200,253 | |||
Cromwell Property Group REIT | 125,374 | 82,359 | |||
Crown Resorts, Ltd. (b) | 53,460 | 478,009 | |||
CSL, Ltd. | 56,393 | 12,074,105 | |||
CSR, Ltd. | 60,538 | 261,786 | |||
Data#3, Ltd. | 12,944 | 54,516 | |||
De Grey Mining, Ltd. (b) | 96,762 | 89,715 | |||
Deterra Royalties, Ltd. | 45,185 | 152,652 | |||
Dexus REIT | 142,448 | 1,141,080 | |||
Dicker Data, Ltd. (c) | 13,173 | 109,379 | |||
Domain Holdings Australia, Ltd. (b) | 51,929 | 201,166 | |||
Domino's Pizza Enterprises, Ltd. | 6,948 | 628,606 | |||
Downer EDI, Ltd. | 102,742 | 431,177 | |||
Eagers Automotive, Ltd. | 22,732 | 282,614 | |||
Elders, Ltd. | 16,674 | 144,583 | |||
Electro Optic Systems Holdings, Ltd. (b) (c) | 13,777 | 44,579 | |||
Emeco Holdings, Ltd. (b) | 91,638 | 72,581 | |||
EML Payments, Ltd. (b) | 43,295 | 113,113 | |||
Endeavour Group, Ltd. (b) | 156,825 | 740,562 | |||
EVENT Hospitality and Entertainment, Ltd. (b) | 11,828 | 112,242 | |||
Evolution Mining, Ltd. | 208,958 | 705,939 | |||
Flight Centre Travel Group, Ltd. (b) (c) | 19,076 | 212,671 | |||
Fortescue Metals Group, Ltd. | 209,289 | 3,667,268 | |||
G8 Education, Ltd. (b) | 123,292 | 93,024 | |||
Galaxy Resources, Ltd. (b) | 58,703 | 161,742 | |||
GDI Property Group REIT | 67,675 | 56,904 | |||
Genworth Mortgage Insurance Australia, Ltd. (b) | 30,544 | 50,448 | |||
Glencore PLC | 1,241,770 | 5,308,440 | |||
Gold Road Resources, Ltd. | 85,928 | 81,283 | |||
Goodman Group REIT | 207,807 | 3,302,756 |
Security Description | Shares | Value | |||
GPT Group REIT | 258,362 | $ 950,430 | |||
GrainCorp, Ltd. Class A | 34,811 | 134,853 | |||
Growthpoint Properties Australia, Ltd. REIT | 24,433 | 74,656 | |||
GUD Holdings, Ltd. | 8,091 | 72,831 | |||
GWA Group, Ltd. (c) | 32,768 | 68,144 | |||
Hansen Technologies, Ltd. | 29,249 | 136,363 | |||
Harvey Norman Holdings, Ltd. | 71,585 | 294,509 | |||
Healius, Ltd. | 80,610 | 280,198 | |||
Home Consortium, Ltd. REIT | 14,306 | 58,427 | |||
HT&E, Ltd. (b) (c) | 31,864 | 41,026 | |||
HUB24, Ltd. (c) | 4,938 | 105,692 | |||
IDP Education, Ltd. | 20,423 | 376,261 | |||
IGO, Ltd. | 77,016 | 441,165 | |||
Iluka Resources, Ltd. | 45,185 | 310,392 | |||
Imugene, Ltd. (b) | 525,714 | 140,111 | |||
Incitec Pivot, Ltd. | 222,888 | 398,253 | |||
Ingenia Communities Group REIT | 29,902 | 137,836 | |||
Inghams Group, Ltd. | 49,503 | 147,914 | |||
Insurance Australia Group, Ltd. | 317,559 | 1,230,183 | |||
Integral Diagnostics, Ltd. | 37,623 | 146,876 | |||
Integrated Research, Ltd. | 33,401 | 48,772 | |||
InvoCare, Ltd. (c) | 12,775 | 110,966 | |||
IOOF Holdings, Ltd. | 96,661 | 309,867 | |||
IPH, Ltd. | 26,936 | 157,733 | |||
IRESS, Ltd. | 22,953 | 222,465 | |||
Irongate Group REIT | 126,513 | 137,721 | |||
JB Hi-Fi, Ltd. | 13,184 | 500,635 | |||
Johns Lyng Group, Ltd. | 16,664 | 63,804 | |||
Jumbo Interactive, Ltd. | 3,849 | 51,349 | |||
Juno Minerals, Ltd. (b) | 16,913 | 2,476 | |||
Jupiter Mines, Ltd. | 276,114 | 60,115 | |||
Kogan.com, Ltd. (c) | 5,802 | 50,441 | |||
LendLease Corp., Ltd. Stapled Security | 85,310 | 733,973 | |||
Lifestyle Communities, Ltd. (c) | 8,230 | 96,449 | |||
Link Administration Holdings, Ltd. | 65,766 | 248,844 | |||
Lovisa Holdings, Ltd. | 8,077 | 92,473 | |||
Lynas Rare Earths, Ltd. (b) | 127,163 | 545,120 | |||
Macquarie Group, Ltd. | 42,083 | 4,942,221 | |||
Magellan Financial Group, Ltd. | 16,858 | 681,660 | |||
Mayne Pharma Group, Ltd. (b) | 178,522 | 42,888 | |||
McMillan Shakespeare, Ltd. | 6,570 | 63,875 | |||
Medibank Pvt, Ltd. | 367,946 | 872,904 | |||
Megaport, Ltd. (b) | 17,180 | 237,708 | |||
Mesoblast, Ltd. (b) (c) | 43,560 | 64,751 |
Security Description | Shares | Value | |||
Metcash, Ltd. (c) | 150,901 | $ 452,023 | |||
Mineral Resources, Ltd. | 18,826 | 759,400 | |||
Mirvac Group REIT | 530,706 | 1,163,409 | |||
Monadelphous Group, Ltd. | 8,112 | 63,641 | |||
Nanosonics, Ltd. (b) (c) | 34,472 | 151,915 | |||
National Australia Bank, Ltd. | 408,636 | 8,043,865 | |||
National Storage REIT | 150,472 | 223,674 | |||
nearmap, Ltd. (b) (c) | 42,091 | 58,776 | |||
Netwealth Group, Ltd. | 13,597 | 175,066 | |||
New Hope Corp., Ltd. (c) | 83,313 | 108,207 | |||
Newcrest Mining, Ltd. | 103,842 | 1,970,814 | |||
NEXTDC, Ltd. (b) | 52,631 | 468,621 | |||
nib holdings, Ltd. | 47,734 | 233,294 | |||
Nick Scali, Ltd. | 7,545 | 66,387 | |||
Nickel Mines, Ltd. | 109,119 | 81,102 | |||
Nine Entertainment Co. Holdings, Ltd. | 170,361 | 372,185 | |||
Northern Star Resources, Ltd. | 143,299 | 1,052,150 | |||
NRW Holdings, Ltd. | 47,497 | 52,240 | |||
Nufarm, Ltd. (b) | 39,475 | 135,732 | |||
OceanaGold Corp. (b) (c) | 84,900 | 161,120 | |||
Oil Search, Ltd. | 268,013 | 766,613 | |||
Omni Bridgeway, Ltd. | 22,796 | 64,178 | |||
oOh!media, Ltd. (b) | 54,746 | 71,926 | |||
Orica, Ltd. | 46,295 | 461,559 | |||
Origin Energy, Ltd. | 238,684 | 808,156 | |||
Orocobre, Ltd. (b) | 47,432 | 230,394 | |||
Orora, Ltd. | 103,568 | 258,920 | |||
OZ Minerals, Ltd. | 56,778 | 958,235 | |||
Pact Group Holdings, Ltd. | 44,824 | 124,511 | |||
Paladin Energy, Ltd. (b) | 276,815 | 107,027 | |||
Pendal Group, Ltd. | 36,137 | 218,667 | |||
Perenti Global, Ltd. | 51,384 | 25,846 | |||
Perpetual, Ltd. | 7,306 | 219,674 | |||
Perseus Mining, Ltd. (b) | 156,849 | 171,921 | |||
Pilbara Minerals, Ltd. (b) | 499,501 | 543,751 | |||
Pinnacle Investment Management Group, Ltd. | 9,944 | 89,362 | |||
Platinum Asset Management, Ltd. | 48,574 | 179,053 | |||
PointsBet Holdings, Ltd. (b) | 14,832 | 142,307 | |||
PolyNovo, Ltd. (b) (c) | 74,443 | 157,604 | |||
Premier Investments, Ltd. | 8,796 | 188,533 | |||
Pro Medicus, Ltd. | 6,177 | 272,307 | |||
Qantas Airways, Ltd. (b) | 138,100 | 483,142 | |||
QBE Insurance Group, Ltd. | 190,678 | 1,544,605 | |||
Qube Holdings, Ltd. | 226,469 | 538,969 | |||
Ramelius Resources, Ltd. | 75,907 | 96,593 |
Security Description | Shares | Value | |||
Ramsay Health Care, Ltd. | 21,967 | $ 1,038,154 | |||
REA Group, Ltd. | 6,550 | 831,190 | |||
Redbubble, Ltd. (b) | 20,611 | 55,860 | |||
Reece, Ltd. | 35,550 | 630,131 | |||
Regis Resources, Ltd. | 71,880 | 127,355 | |||
Resolute Mining, Ltd. (b) | 168,285 | 63,802 | |||
Rio Tinto PLC | 139,456 | 11,460,839 | |||
Rio Tinto, Ltd. | 45,649 | 4,340,079 | |||
Rural Funds Group REIT | 73,646 | 146,518 | |||
Sandfire Resources, Ltd. | 16,700 | 85,631 | |||
Santos, Ltd. | 242,505 | 1,290,810 | |||
Scentre Group REIT | 670,180 | 1,378,597 | |||
SeaLink Travel Group, Ltd. | 11,966 | 85,163 | |||
SEEK, Ltd. | 43,942 | 1,093,271 | |||
Select Harvests, Ltd. | 16,007 | 81,117 | |||
Seven Group Holdings, Ltd. (c) | 16,554 | 252,908 | |||
Shopping Centres Australasia Property Group REIT | 114,124 | 215,910 | |||
Sigma Healthcare, Ltd. | 183,261 | 81,862 | |||
Silver Lake Resources, Ltd. (b) | 111,938 | 139,502 | |||
SmartGroup Corp., Ltd. | 8,607 | 47,687 | |||
SolGold PLC (b) | 80,170 | 31,564 | |||
Sonic Healthcare, Ltd. | 58,976 | 1,700,208 | |||
South32, Ltd. (e) | 10,757 | 23,658 | |||
South32, Ltd. (e) | 566,672 | 1,246,507 | |||
Southern Cross Media Group, Ltd. (b) | 24,760 | 38,850 | |||
Spark Infrastructure Group Stapled Security | 189,980 | 320,912 | |||
St Barbara, Ltd. | 99,406 | 127,243 | |||
Star Entertainment Group, Ltd. (b) | 100,013 | 277,063 | |||
Steadfast Group, Ltd. | 129,613 | 428,151 | |||
Stockland REIT | 311,918 | 1,091,244 | |||
Suncorp Group, Ltd. | 166,823 | 1,391,443 | |||
Super Retail Group, Ltd. | 16,371 | 158,671 | |||
Sydney Airport Stapled Security (b) | 152,653 | 663,559 | |||
Tabcorp Holdings, Ltd. | 289,984 | 1,127,715 | |||
Tassal Group, Ltd. | 26,851 | 72,167 | |||
Technology One, Ltd. | 33,400 | 233,449 | |||
Telix Pharmaceuticals, Ltd. (b) | 22,367 | 102,263 | |||
Telstra Corp., Ltd. | 515,906 | 1,456,310 | |||
Temple & Webster Group, Ltd. (b) | 8,580 | 69,503 | |||
Transurban Group Stapled Security | 339,033 | 3,621,949 | |||
Treasury Wine Estates, Ltd. | 89,413 | 784,041 | |||
Tyro Payments, Ltd. (b) | 40,390 | 111,588 |
Security Description | Shares | Value | |||
United Malt Grp, Ltd. | 28,650 | $ 96,360 | |||
Uniti Group, Ltd. (b) (c) | 66,189 | 164,479 | |||
Vicinity Centres REIT | 444,052 | 515,060 | |||
Viva Energy Group, Ltd. (d) | 81,264 | 117,747 | |||
Washington H Soul Pattinson & Co., Ltd. (c) | 13,134 | 332,590 | |||
Waypoint REIT | 75,398 | 148,305 | |||
Webjet, Ltd. (b) | 34,421 | 126,882 | |||
Wesfarmers, Ltd. | 140,524 | 6,234,957 | |||
West African Resources, Ltd. (b) | 90,277 | 67,437 | |||
Western Areas, Ltd. | 34,077 | 61,144 | |||
Westgold Resources, Ltd. (b) | 42,610 | 60,140 | |||
Westpac Banking Corp. | 454,673 | 8,810,136 | |||
Whitehaven Coal, Ltd. (b) | 130,725 | 190,395 | |||
WiseTech Global, Ltd. | 17,429 | 417,798 | |||
Woodside Petroleum, Ltd. | 121,520 | 2,026,244 | |||
Woolworths Group, Ltd. | 156,825 | 4,489,289 | |||
Worley, Ltd. | 42,656 | 383,007 | |||
Zip Co., Ltd. (b) (c) | 54,762 | 311,222 | |||
208,136,843 | |||||
AUSTRIA — 0.2% | |||||
Agrana Beteiligungs AG | 607 | 14,649 | |||
ams AG (b) | 36,788 | 738,665 | |||
ANDRITZ AG | 7,538 | 423,545 | |||
AT&S Austria Technologie & Systemtechnik AG (b) | 4,273 | 184,958 | |||
BAWAG Group AG (d) | 8,381 | 446,064 | |||
CA Immobilien Anlagen AG | 8,392 | 349,816 | |||
DO & Co. AG (b) | 757 | 68,317 | |||
Erste Group Bank AG | 34,715 | 1,273,755 | |||
EVN AG | 5,757 | 135,725 | |||
FACC AG (b) (c) | 6,220 | 69,263 | |||
IMMOFINANZ AG (b) | 10,275 | 230,908 | |||
Lenzing AG (b) | 1,374 | 168,157 | |||
Oesterreichische Post AG | 4,115 | 218,867 | |||
OMV AG | 18,300 | 1,041,044 | |||
Palfinger AG | 2,748 | 115,201 | |||
Porr AG (b) | 3,398 | 64,475 | |||
Raiffeisen Bank International AG | 21,548 | 488,077 | |||
S IMMO AG | 4,849 | 116,159 | |||
S&T AG | 4,086 | 93,520 | |||
Schoeller-Bleckmann Oilfield Equipment AG (b) | 1,349 | 56,712 | |||
Semperit AG Holding | 1,065 | 42,815 | |||
Telekom Austria AG | 20,116 | 171,760 | |||
UNIQA Insurance Group AG | 23,821 | 207,350 |
Security Description | Shares | Value | |||
Verbund AG | 8,003 | $ 736,958 | |||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 5,462 | 149,952 | |||
Voestalpine AG | 13,639 | 555,432 | |||
Wienerberger AG | 14,313 | 551,648 | |||
Zumtobel Group AG | 2,928 | 29,515 | |||
8,743,307 | |||||
BELGIUM — 0.6% | |||||
Ackermans & van Haaren NV | 2,756 | 465,412 | |||
Aedifica SA REIT | 4,316 | 569,672 | |||
Ageas SA/NV | 21,577 | 1,197,527 | |||
AGFA-Gevaert NV (b) | 20,285 | 94,179 | |||
Anheuser-Busch InBev SA/NV | 94,682 | 6,827,956 | |||
Barco NV | 7,204 | 197,178 | |||
Befimmo SA REIT | 2,488 | 98,842 | |||
Bekaert SA | 3,753 | 167,257 | |||
bpost SA (b) | 10,354 | 123,893 | |||
Cie d'Entreprises CFE | 691 | 72,112 | |||
Cofinimmo SA REIT | 3,481 | 530,051 | |||
D'ieteren Group | 2,763 | 334,218 | |||
Econocom Group SA | 27,987 | 106,207 | |||
Elia Group SA (c) | 4,133 | 436,218 | |||
Etablissements Franz Colruyt NV | 6,535 | 365,483 | |||
Euronav NV | 23,225 | 215,934 | |||
Fagron | 6,352 | 141,843 | |||
Galapagos NV (b) | 5,280 | 366,176 | |||
Gimv NV | 1,974 | 126,412 | |||
Groupe Bruxelles Lambert SA | 14,441 | 1,615,628 | |||
Immobel SA (c) | 500 | 43,226 | |||
Intervest Offices & Warehouses NV REIT | 5,766 | 156,246 | |||
Ion Beam Applications | 4,121 | 81,419 | |||
KBC Ancora | 4,469 | 190,686 | |||
KBC Group NV | 30,809 | 2,349,291 | |||
Kinepolis Group NV (b) | 1,145 | 61,810 | |||
Melexis NV | 2,489 | 258,422 | |||
Mithra Pharmaceuticals SA (b) (c) | 1,371 | 38,614 | |||
Montea NV REIT | 1,625 | 191,167 | |||
Ontex Group NV (b) | 6,500 | 80,938 | |||
Orange Belgium SA | 3,420 | 76,735 | |||
Proximus SADP | 17,877 | 345,354 | |||
Recticel SA | 8,030 | 135,223 | |||
Retail Estates NV REIT | 1,506 | 122,339 | |||
Sofina SA | 1,948 | 840,427 | |||
Solvay SA | 9,133 | 1,161,065 | |||
Telenet Group Holding NV | 5,514 | 207,550 | |||
Tessenderlo Group SA (b) | 2,269 | 95,793 | |||
UCB SA | 15,196 | 1,588,727 |
Security Description | Shares | Value | |||
Umicore SA | 24,290 | $ 1,483,485 | |||
Van de Velde NV | 621 | 18,411 | |||
VGP NV | 800 | 157,867 | |||
Warehouses De Pauw CVA REIT | 17,108 | 653,286 | |||
X-Fab Silicon Foundries SE (b) (d) | 6,093 | 57,806 | |||
Xior Student Housing NV REIT | 2,160 | 130,126 | |||
24,578,211 | |||||
BRAZIL — 1.7% | |||||
3R PETROLEUM OLEO E GAS SA (b) | 14,600 | 131,922 | |||
Adecoagro SA (b) | 17,200 | 172,688 | |||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA (b) | 72,400 | 143,131 | |||
AES Brasil Energia SA | 22,400 | 62,050 | |||
Aliansce Sonae Shopping Centers SA | 14,000 | 81,023 | |||
Alpargatas SA Preference Shares (b) | 24,400 | 244,056 | |||
Alupar Investimento SA | 19,900 | 104,619 | |||
Ambev SA | 587,367 | 1,998,138 | |||
Ambipar Participacoes e Empreendimentos S/A | 11,000 | 99,744 | |||
Anima Holding SA (b) | 73,989 | 203,631 | |||
Arcos Dorados Holdings, Inc. Class A (b) | 13,353 | 79,717 | |||
Arezzo Industria e Comercio SA | 6,200 | 116,763 | |||
Atacadao SA | 79,800 | 333,968 | |||
Azul SA Preference Shares (b) | 33,500 | 293,017 | |||
B2W Cia Digital (b) | 26,294 | 347,209 | |||
B3 SA - Brasil Bolsa Balcao | 762,903 | 2,557,276 | |||
Banco ABC Brasil SA Preference Shares | 16,392 | 51,876 | |||
Banco Bradesco SA Preference Shares | 602,202 | 3,087,908 | |||
Banco Bradesco SA | 182,100 | 793,309 | |||
Banco BTG Pactual SA | 37,577 | 914,067 | |||
Banco do Brasil SA | 106,700 | 683,215 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 21,600 | 57,079 | |||
Banco Inter SA | 40,536 | 628,416 | |||
Banco Inter SA (b) | 5,049 | 25,809 | |||
Banco Inter SA, Preference Shares | 10,099 | 52,650 | |||
Banco Pan SA Preference Shares | 45,500 | 218,167 |
Security Description | Shares | Value | |||
Banco Santander Brasil SA | 49,000 | $ 395,488 | |||
BB Seguridade Participacoes SA | 82,400 | 379,334 | |||
BK Brasil Operacao e Assessoria a Restaurantes SA (b) | 31,656 | 75,199 | |||
Boa Vista Servicos SA | 62,800 | 137,543 | |||
BR Malls Participacoes SA (b) | 145,082 | 293,180 | |||
BR Properties SA | 23,500 | 42,946 | |||
Bradespar SA Preference Shares | 30,400 | 450,319 | |||
Braskem SA Class A, Preference Shares (b) | 30,800 | 365,523 | |||
BRF SA (b) | 77,900 | 424,287 | |||
C&A Modas Ltda (b) | 18,000 | 51,512 | |||
Camil Alimentos SA | 18,200 | 34,602 | |||
CCR SA | 164,600 | 441,199 | |||
Centrais Eletricas Brasileiras SA | 45,400 | 390,589 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 33,200 | 286,291 | |||
Cia Brasileira de Distribuicao | 18,500 | 142,533 | |||
Cia de Locacao das Americas | 49,500 | 270,394 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 46,600 | 339,713 | |||
Cia de Saneamento de Minas Gerais-COPASA | 25,800 | 79,644 | |||
Cia de Saneamento do Parana Preference Shares | 41,300 | 34,486 | |||
Cia de Saneamento do Parana | 20,500 | 84,854 | |||
Cia Energetica de Minas Gerais Preference Shares | 148,780 | 359,656 | |||
Cia Energetica de Sao Paulo Class B, Preference Shares | 31,300 | 149,331 | |||
Cia Energetica do Ceara Class A, Preference Shares | 1,500 | 18,235 | |||
Cia Ferro Ligas da Bahia - FERBASA Preference Shares | 4,400 | 38,880 | |||
Cia Hering | 15,100 | 102,947 | |||
Cia Paranaense de Energia Preference Shares | 123,000 | 145,359 | |||
Cia Siderurgica Nacional SA | 88,900 | 779,360 | |||
Cielo SA | 206,639 | 149,898 |
Security Description | Shares | Value | |||
Cogna Educacao (b) | 280,063 | $ 241,672 | |||
Construtora Tenda SA | 10,700 | 53,416 | |||
Cosan SA | 123,880 | 591,521 | |||
CPFL Energia SA | 27,000 | 144,797 | |||
Cruzeiro do Sul Educacional SA | 39,700 | 120,733 | |||
CVC Brasil Operadora e Agencia de Viagens SA (b) | 40,715 | 224,921 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 46,400 | 215,825 | |||
Duratex SA | 36,500 | 173,122 | |||
EcoRodovias Infraestrutura e Logistica SA (b) | 35,529 | 83,975 | |||
EDP - Energias do Brasil SA | 35,600 | 125,434 | |||
Embraer SA (b) | 88,300 | 332,059 | |||
Enauta Participacoes SA | 8,500 | 30,508 | |||
Energisa SA | 20,900 | 194,095 | |||
Eneva SA (b) | 80,400 | 272,067 | |||
Engie Brasil Energia SA | 24,466 | 190,887 | |||
Equatorial Energia SA | 119,300 | 589,623 | |||
Even Construtora e Incorporadora SA | 11,100 | 23,139 | |||
Ez Tec Empreendimentos e Participacoes SA | 13,200 | 81,838 | |||
Fleury SA | 24,200 | 125,007 | |||
Gerdau SA Preference Shares | 154,600 | 912,284 | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (b) | 26,857 | 122,887 | |||
Grendene SA | 42,700 | 85,352 | |||
Grupo De Mona Soma SA (b) | 32,800 | 104,194 | |||
Grupo Mateus SA (b) | 120,500 | 190,193 | |||
Grupo SBF SA (b) | 10,267 | 78,284 | |||
Guararapes Confeccoes SA | 16,300 | 67,664 | |||
Hapvida Participacoes e Investimentos SA (d) | 154,041 | 473,066 | |||
Hidrovias do Brasil SA (b) | 120,200 | 154,027 | |||
Hypera SA | 46,500 | 319,431 | |||
Iguatemi Empresa de Shopping Centers SA | 12,000 | 96,735 | |||
Instituto Hermes Pardini SA | 9,200 | 38,503 | |||
Intelbras SA Industria de Telecomunicacao Eletronica Brasileira (b) | 24,100 | 137,842 | |||
Iochpe Maxion SA (b) | 18,100 | 57,822 | |||
IRB Brasil Resseguros SA | 111,593 | 128,320 |
Security Description | Shares | Value | |||
Itau Unibanco Holding SA Preference Shares | 596,903 | $ 3,544,887 | |||
Itausa SA Preference Shares | 557,765 | 1,239,391 | |||
Jereissati Participacoes SA | 3,700 | 24,871 | |||
JHSF Participacoes SA | 32,024 | 46,397 | |||
Klabin SA (b) | 93,328 | 489,903 | |||
Light SA | 40,300 | 122,558 | |||
Localiza Rent a Car SA | 73,566 | 938,295 | |||
Locaweb Servicos de Internet SA (d) | 51,165 | 275,920 | |||
LOG Commercial Properties e Participacoes SA | 7,400 | 46,867 | |||
Lojas Americanas SA Preference Shares | 120,967 | 520,236 | |||
Lojas Quero Quero S/A | 30,200 | 137,884 | |||
Lojas Renner SA | 111,245 | 980,573 | |||
M Dias Branco SA | 11,500 | 74,759 | |||
Magazine Luiza SA | 365,152 | 1,539,098 | |||
Mahle-Metal Leve SA | 4,100 | 27,233 | |||
Marcopolo SA Preference Shares | 86,300 | 58,303 | |||
Marfrig Global Foods SA | 58,600 | 223,523 | |||
Meliuz SA | 15,000 | 147,344 | |||
Metalurgica Gerdau SA Preference Shares | 111,300 | 306,761 | |||
Minerva SA | 36,335 | 67,850 | |||
Movida Participacoes SA | 19,000 | 74,556 | |||
MPM Corporeos SA | 39,700 | 150,323 | |||
MRV Engenharia e Participacoes SA | 49,600 | 161,417 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 168,664 | |||
Natura & Co. Holding SA (b) | 118,137 | 1,335,850 | |||
Notre Dame Intermedica Participacoes SA | 65,577 | 1,109,928 | |||
Odontoprev SA | 34,600 | 89,847 | |||
Omega Geracao SA (b) | 20,740 | 157,063 | |||
Pet Center Comercio e Participacoes SA | 49,100 | 252,063 | |||
Petro Rio SA (b) | 71,610 | 278,143 | |||
Petrobras Distribuidora SA | 101,200 | 538,082 | |||
Petroleo Brasileiro SA Preference Shares | 588,200 | 3,449,829 | |||
Petroleo Brasileiro SA | 461,700 | 2,787,029 | |||
Qualicorp Consultoria e Corretora de Seguros SA | 32,700 | 188,399 | |||
Raia Drogasil SA | 135,700 | 668,244 | |||
Randon SA Implementos e Participacoes Preference Shares | 25,700 | 69,502 |
Security Description | Shares | Value | |||
Rede D'Or Sao Luiz SA (d) | 28,900 | $ 397,574 | |||
Rumo SA (b) | 168,171 | 641,804 | |||
Santos Brasil Participacoes SA (b) | 50,481 | 90,844 | |||
Sao Martinho SA (b) | 22,700 | 163,492 | |||
Sendas Distribuidora SA | 22,200 | 382,871 | |||
Sequoia Logistica e Transportes SA (b) | 24,000 | 134,592 | |||
SIMPAR SA | 16,600 | 184,002 | |||
SLC Agricola SA | 13,200 | 135,003 | |||
StoneCo, Ltd. BDR (b) | 211 | 14,171 | |||
Sul America SA | 45,059 | 312,315 | |||
Suzano SA (b) | 90,609 | 1,080,009 | |||
Telefonica Brasil SA | 66,485 | 556,487 | |||
TIM SA | 97,600 | 224,265 | |||
TOTVS SA | 68,100 | 510,969 | |||
Transmissora Alianca de Energia Eletrica SA | 25,200 | 185,314 | |||
Trisul SA | 13,700 | 26,620 | |||
Tupy SA (b) | 11,000 | 52,042 | |||
Ultrapar Participacoes SA | 86,600 | 317,382 | |||
Unipar Carbocloro SA Preference Shares | 7,700 | 150,843 | |||
Vale SA | 494,706 | 11,165,231 | |||
Vamos Locacao de Caminhoes Maquinas e Equipamentos SA (b) | 15,300 | 172,671 | |||
Via Varejo S/A (b) | 171,980 | 541,181 | |||
Vivara Participacoes SA | 13,600 | 89,170 | |||
WEG SA | 209,540 | 1,406,858 | |||
Wheaton Precious Metals Corp. | 57,103 | 2,519,670 | |||
Yara International ASA | 20,870 | 1,099,136 | |||
YDUQS Participacoes SA | 42,100 | 275,529 | |||
71,847,630 | |||||
CANADA — 6.5% | |||||
Absolute Software Corp. | 5,500 | 79,637 | |||
Advantage Energy, Ltd. (b) (c) | 20,000 | 81,725 | |||
Aecon Group, Inc. | 7,000 | 101,752 | |||
Ag Growth International, Inc. | 2,000 | 62,214 | |||
Agnico Eagle Mines, Ltd. | 31,319 | 1,895,883 | |||
Air Canada (b) | 22,100 | 455,100 | |||
AirBoss of America Corp. (c) | 4,300 | 123,274 | |||
Alamos Gold, Inc. Class A | 52,091 | 398,370 | |||
Algonquin Power & Utilities Corp. (c) | 75,599 | 1,127,605 | |||
Alimentation Couche-Tard, Inc. Class B | 106,300 | 3,910,171 |
Security Description | Shares | Value | |||
Allied Properties Real Estate Investment Trust | 7,300 | $ 265,578 | |||
AltaGas, Ltd. (c) | 36,200 | 760,659 | |||
Altius Minerals Corp. | 8,500 | 116,898 | |||
Altus Group, Ltd. | 4,700 | 218,053 | |||
Andlauer Healthcare Group, Inc. | 1,000 | 29,621 | |||
ARC Resources, Ltd. (c) | 89,585 | 763,241 | |||
Aritzia, Inc. (b) | 10,000 | 299,443 | |||
Artis Real Estate Investment Trust | 7,800 | 70,611 | |||
Atco, Ltd. Class I | 9,900 | 351,453 | |||
Atlas Corp. (c) | 12,100 | 172,425 | |||
ATS Automation Tooling Systems, Inc. (b) | 8,600 | 247,103 | |||
Aurinia Pharmaceuticals, Inc. (b) | 12,600 | 163,516 | |||
Aurora Cannabis, Inc. (b) (c) | 21,541 | 195,353 | |||
AutoCanada, Inc. (b) (c) | 3,000 | 120,988 | |||
B2Gold Corp. | 135,300 | 568,166 | |||
Badger Infrastructure Solutions, Ltd. | 4,100 | 124,559 | |||
Ballard Power Systems, Inc. (b) | 29,300 | 531,910 | |||
Bank of Montreal | 80,416 | 8,251,358 | |||
Bank of Nova Scotia | 151,400 | 9,856,956 | |||
Barrick Gold Corp. (e) | 172,917 | 3,580,386 | |||
Barrick Gold Corp. (e) | 45,552 | 940,943 | |||
BCE, Inc. | 19,479 | 961,602 | |||
Birchcliff Energy, Ltd. (c) | 43,800 | 183,930 | |||
BlackBerry, Ltd. (b) (c) | 66,400 | 812,372 | |||
Boardwalk Real Estate Investment Trust | 2,700 | 89,135 | |||
Bombardier, Inc. Class B (b) | 249,700 | 235,927 | |||
Boralex, Inc. Class A | 9,600 | 292,659 | |||
Boyd Group Services, Inc. | 2,800 | 510,074 | |||
Brookfield Asset Management Reinsurance Partners, Ltd. Class A (b) | 1,107 | 58,555 | |||
Brookfield Asset Management, Inc. Class A | 160,625 | 8,203,121 | |||
Brookfield Infrastructure Corp. Class A (c) | 4,500 | 339,526 | |||
CAE, Inc. (b) | 34,200 | 1,054,475 | |||
Calibre Mining Corp. (b) | 23,200 | 30,913 | |||
Cameco Corp. | 49,700 | 953,624 | |||
Canaccord Genuity Group, Inc. | 20,300 | 222,623 | |||
Canacol Energy, Ltd. | 16,900 | 46,266 | |||
Canada Goose Holdings, Inc. (b) (c) | 6,900 | 301,899 |
Security Description | Shares | Value | |||
Canadian Apartment Properties REIT | 9,800 | $ 459,966 | |||
Canadian Imperial Bank of Commerce | 56,200 | 6,404,249 | |||
Canadian National Railway Co. | 88,700 | 9,368,548 | |||
Canadian Natural Resources, Ltd. | 148,500 | 5,396,511 | |||
Canadian Pacific Railway, Ltd. | 83,600 | 6,435,235 | |||
Canadian Tire Corp., Ltd. Class A (c) | 7,700 | 1,219,763 | |||
Canadian Utilities, Ltd. Class A | 15,200 | 422,256 | |||
Canadian Western Bank (c) | 10,200 | 286,651 | |||
Canfor Corp. (b) | 11,300 | 258,797 | |||
Canopy Growth Corp. (b) (c) | 28,500 | 690,002 | |||
Capital Power Corp. | 14,400 | 476,201 | |||
Capstone Mining Corp. (b) (c) | 56,300 | 244,605 | |||
Cargojet, Inc. | 1,000 | 148,615 | |||
Cascades, Inc. | 10,200 | 125,698 | |||
CCL Industries, Inc. Class B | 18,400 | 1,014,429 | |||
Celestica, Inc. (b) | 15,400 | 120,882 | |||
Cenovus Energy, Inc. | 170,682 | 1,634,732 | |||
Centerra Gold, Inc. | 25,200 | 191,498 | |||
CGI, Inc. (b) | 28,900 | 2,623,008 | |||
Choice Properties Real Estate Investment Trust | 26,600 | 306,964 | |||
Chorus Aviation, Inc. (b) (c) | 7,200 | 27,619 | |||
CI Financial Corp. | 23,500 | 431,741 | |||
Cineplex, Inc. (b) (c) | 7,400 | 89,041 | |||
Cogeco Communications, Inc. | 1,900 | 185,980 | |||
Cogeco, Inc. | 500 | 38,819 | |||
Colliers International Group, Inc. (c) | 3,600 | 403,579 | |||
Cominar Real Estate Investment Trust | 9,500 | 83,853 | |||
Computer Modelling Group, Ltd. | 15,200 | 62,725 | |||
Constellation Software, Inc. | 2,500 | 3,790,297 | |||
Converge Technology Solutions Corp. (b) | 21,700 | 179,096 | |||
Corby Spirit and Wine, Ltd. | 1,300 | 18,918 | |||
Corus Entertainment, Inc. Class B (c) | 27,200 | 139,701 | |||
Crescent Point Energy Corp. (c) | 62,100 | 281,338 | |||
Crombie Real Estate Investment Trust | 10,200 | 146,126 |
Security Description | Shares | Value | |||
Cronos Group, Inc. (b) (c) | 23,000 | $ 198,369 | |||
CT Real Estate Investment Trust | 8,000 | 105,823 | |||
Denison Mines Corp. (b) | 93,500 | 114,015 | |||
Descartes Systems Group, Inc. (b) | 10,800 | 747,706 | |||
Docebo, Inc. (b) | 1,900 | 112,561 | |||
Dollarama, Inc. | 36,800 | 1,686,209 | |||
Dream Industrial Real Estate Investment Trust | 14,100 | 173,987 | |||
Dream Office Real Estate Investment Trust | 3,000 | 55,625 | |||
DREAM Unlimited Corp. Class A | 4,365 | 93,342 | |||
Dundee Precious Metals, Inc. | 20,800 | 126,147 | |||
Dye & Durham, Ltd. | 8,800 | 338,483 | |||
ECN Capital Corp. | 27,300 | 205,031 | |||
Element Fleet Management Corp. (c) | 56,900 | 664,438 | |||
Emera, Inc. | 31,200 | 1,417,014 | |||
Empire Co., Ltd. Class A | 21,700 | 685,189 | |||
Enbridge, Inc. | 253,000 | 10,140,023 | |||
Endeavour Silver Corp. (b) (c) | 40,100 | 245,788 | |||
Enerflex, Ltd. | 10,500 | 71,142 | |||
Enerplus Corp. | 29,500 | 212,263 | |||
Enghouse Systems, Ltd. | 4,800 | 213,932 | |||
Enthusiast Gaming Holdings, Inc. (b) | 23,800 | 141,458 | |||
Equinox Gold Corp. (b) (c) | 36,718 | 255,303 | |||
Equitable Group, Inc. | 1,300 | 139,658 | |||
ERO Copper Corp. (b) | 7,600 | 159,635 | |||
Evertz Technologies, Ltd. | 2,400 | 27,890 | |||
Exchange Income Corp. | 2,400 | 77,254 | |||
Extendicare, Inc. (c) | 10,000 | 68,723 | |||
Fairfax Financial Holdings, Ltd. | 3,300 | 1,448,664 | |||
Fiera Capital Corp. (c) | 8,400 | 73,804 | |||
Finning International, Inc. | 19,000 | 497,900 | |||
First Capital Real Estate Investment Trust | 12,600 | 179,084 | |||
First Majestic Silver Corp. (c) | 23,400 | 370,001 | |||
First National Financial Corp. | 2,400 | 95,376 | |||
FirstService Corp. (c) | 5,000 | 858,475 | |||
Fortis, Inc. | 57,961 | 2,568,295 | |||
Fortuna Silver Mines, Inc. (b) (c) | 21,600 | 120,533 | |||
Franco-Nevada Corp. | 23,863 | 3,466,620 | |||
Freehold Royalties, Ltd. (c) | 12,300 | 97,045 | |||
GDI Integrated Facility Services, Inc. (b) | 1,400 | 58,033 |
Security Description | Shares | Value | |||
George Weston, Ltd. | 9,727 | $ 928,083 | |||
GFL Environmental, Inc. (c) | 23,600 | 755,093 | |||
Gibson Energy, Inc. (c) | 17,200 | 329,888 | |||
Gildan Activewear, Inc. | 24,900 | 919,750 | |||
goeasy, Ltd. (c) | 2,100 | 269,016 | |||
Granite Real Estate Investment Trust | 3,300 | 219,805 | |||
Great Canadian Gaming Corp. (b) | 6,200 | 222,856 | |||
Great-West Lifeco, Inc. | 34,200 | 1,016,914 | |||
H&R Real Estate Investment Trust | 16,500 | 213,196 | |||
HEXO Corp. (b) (c) | 17,100 | 99,427 | |||
HLS Therapeutics, Inc. | 1,900 | 25,977 | |||
Home Capital Group, Inc. (b) (c) | 5,800 | 174,239 | |||
Hudbay Minerals, Inc. | 27,600 | 183,881 | |||
Hydro One, Ltd. (d) | 41,500 | 1,004,070 | |||
iA Financial Corp., Inc. | 13,700 | 746,679 | |||
IAMGOLD Corp. (b) | 55,600 | 163,886 | |||
IGM Financial, Inc. (c) | 9,600 | 339,252 | |||
Imperial Oil, Ltd. (c) | 32,200 | 982,408 | |||
Innergex Renewable Energy, Inc. | 14,000 | 243,640 | |||
Intact Financial Corp. | 19,500 | 2,652,019 | |||
Inter Pipeline, Ltd. | 54,800 | 891,723 | |||
Interfor Corp. (c) | 7,900 | 198,026 | |||
InterRent Real Estate Investment Trust | 7,112 | 96,833 | |||
Intertape Polymer Group, Inc. | 8,100 | 187,995 | |||
Ivanhoe Mines, Ltd. Class A (b) (c) | 70,700 | 510,995 | |||
Jamieson Wellness, Inc. (d) | 5,900 | 161,043 | |||
K92 Mining, Inc. (b) | 38,400 | 277,852 | |||
Keyera Corp. (c) | 28,400 | 763,954 | |||
Killam Apartment Real Estate Investment Trust | 9,200 | 150,597 | |||
Kinaxis, Inc. (b) | 3,200 | 421,404 | |||
Kinross Gold Corp. | 151,600 | 962,268 | |||
Kirkland Lake Gold, Ltd. | 34,940 | 1,347,883 | |||
Knight Therapeutics, Inc. (b) (c) | 11,900 | 50,452 | |||
Labrador Iron Ore Royalty Corp. (c) | 7,500 | 284,483 | |||
Largo Resources, Ltd. (b) | 3,640 | 56,733 | |||
Lassonde Industries, Inc. Class A | 400 | 55,883 | |||
Laurentian Bank of Canada | 5,100 | 179,939 | |||
LifeWorks, Inc. | 8,000 | 215,909 | |||
Lightspeed POS, Inc. (b) | 13,100 | 1,097,573 | |||
Linamar Corp. | 5,300 | 332,775 |
Security Description | Shares | Value | |||
Lithium Americas Corp. (b) (c) | 23,000 | $ 342,130 | |||
Loblaw Cos., Ltd. | 21,500 | 1,324,586 | |||
Lundin Gold, Inc. (b) | 7,200 | 60,528 | |||
MAG Silver Corp. (b) (c) | 9,700 | 203,040 | |||
Magna International, Inc. | 35,300 | 3,271,728 | |||
Manulife Financial Corp. | 244,400 | 4,815,764 | |||
Maple Leaf Foods, Inc. | 9,400 | 195,318 | |||
Martinrea International, Inc. | 9,400 | 99,215 | |||
Maverix Metals, Inc. | 11,300 | 61,140 | |||
MEG Energy Corp. (b) | 32,000 | 231,802 | |||
Methanex Corp. | 7,600 | 252,188 | |||
Metro, Inc. | 31,257 | 1,500,124 | |||
Mind Medicine MindMed, Inc. (b) (c) | 39,800 | 138,527 | |||
Minto Apartment Real Estate Investment Trust (d) | 1,600 | 30,933 | |||
Morguard Corp. | 1,200 | 136,784 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 69,192 | |||
MTY Food Group, Inc. (b) | 2,100 | 92,544 | |||
Mullen Group, Ltd. (c) | 9,800 | 105,732 | |||
National Bank of Canada | 41,900 | 3,139,032 | |||
New Gold, Inc. (b) | 75,400 | 135,785 | |||
New Pacific Metals Corp. (b) | 9,100 | 43,799 | |||
NexGen Energy, Ltd. (b) | 68,300 | 281,297 | |||
NFI Group, Inc. | 7,500 | 170,617 | |||
North West Co., Inc. (c) | 5,900 | 167,666 | |||
Northland Power, Inc. (c) | 27,500 | 939,171 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 10,300 | 105,886 | |||
Novagold Resources, Inc. (b) | 29,000 | 232,787 | |||
Nutrien, Ltd. (c) | 70,118 | 4,253,059 | |||
Nuvei Corp. (b) (d) | 7,000 | 573,544 | |||
Onex Corp. | 9,300 | 676,002 | |||
Open Text Corp. | 35,000 | 1,779,254 | |||
Organigram Holdings, Inc. (b) | 27,200 | 77,978 | |||
Orla Mining, Ltd. (b) (c) | 14,600 | 60,367 | |||
Osisko Gold Royalties, Ltd. | 14,698 | 201,663 | |||
Osisko Mining, Inc. (b) | 34,100 | 85,092 | |||
Pan American Silver Corp. | 26,700 | 763,288 | |||
Paramount Resources, Ltd. Class A (b) | 9,100 | 126,105 | |||
Parex Resources, Inc. (b) | 15,800 | 264,120 | |||
Park Lawn Corp. | 3,100 | 83,464 | |||
Parkland Corp. (c) | 18,900 | 611,430 | |||
Pason Systems, Inc. | 21,600 | 155,768 |
Security Description | Shares | Value | |||
Pembina Pipeline Corp. (c) | 69,748 | $ 2,218,666 | |||
Peyto Exploration & Development Corp. | 27,200 | 183,413 | |||
Power Corp. of Canada (c) | 71,253 | 2,254,456 | |||
PrairieSky Royalty, Ltd. (c) | 23,594 | 285,994 | |||
Premium Brands Holdings Corp. (c) | 5,700 | 579,666 | |||
Pretium Resources, Inc. (b) | 23,800 | 227,948 | |||
PyroGenesis Canada, Inc. (b) (c) | 24,900 | 130,301 | |||
Quebecor, Inc. Class B | 22,300 | 595,363 | |||
Real Matters, Inc. (b) | 11,000 | 158,831 | |||
Recipe Unlimited Corp. (b) (c) | 1,800 | 30,889 | |||
Restaurant Brands International, Inc. | 36,246 | 2,337,857 | |||
Richelieu Hardware, Ltd. (c) | 6,300 | 204,115 | |||
RioCan Real Estate Investment Trust | 17,800 | 317,390 | |||
Ritchie Bros Auctioneers, Inc. | 13,900 | 824,930 | |||
Rogers Communications, Inc. Class B | 44,800 | 2,384,172 | |||
Rogers Sugar, Inc. (c) | 17,400 | 81,218 | |||
Roxgold, Inc. (b) | 34,500 | 52,657 | |||
Royal Bank of Canada | 177,200 | 17,971,855 | |||
Russel Metals, Inc. (c) | 7,300 | 199,670 | |||
Sabina Gold & Silver Corp. (b) | 54,400 | 76,880 | |||
Sandstorm Gold, Ltd. (b) | 26,400 | 208,718 | |||
Saputo, Inc. | 31,100 | 928,504 | |||
Savaria Corp. (c) | 7,800 | 126,231 | |||
Score Media & Gaming, Inc. (b) (c) | 5,800 | 116,440 | |||
Seabridge Gold, Inc. (b) | 6,300 | 110,503 | |||
Shaw Communications, Inc. Class B | 61,608 | 1,786,597 | |||
Shopify, Inc. Class A (b) | 14,000 | 20,495,986 | |||
Sienna Senior Living, Inc. (c) | 7,100 | 94,262 | |||
Sierra Wireless, Inc. (b) (c) | 7,300 | 138,537 | |||
Silvercorp Metals, Inc. (c) | 20,600 | 113,123 | |||
SilverCrest Metals, Inc. (b) (c) | 15,900 | 139,444 | |||
Slate Grocery REIT | 2,100 | 21,792 | |||
Sleep Country Canada Holdings, Inc. (d) | 4,300 | 103,029 | |||
SmartCentres Real Estate Investment Trust | 8,500 | 201,603 | |||
SNC-Lavalin Group, Inc. (c) | 20,600 | 536,502 |
Security Description | Shares | Value | |||
Solaris Resources, Inc. (b) | 14,800 | $ 144,020 | |||
Spin Master Corp. (b) (d) | 3,200 | 124,610 | |||
Sprott, Inc. | 2,970 | 117,020 | |||
SSR Mining, Inc. | 25,704 | 401,865 | |||
Stantec, Inc. | 14,400 | 643,191 | |||
Stelco Holdings, Inc. | 4,200 | 123,460 | |||
Stella-Jones, Inc. | 7,000 | 252,289 | |||
Summit Industrial Income REIT | 8,800 | 126,283 | |||
Sun Life Financial, Inc. | 72,200 | 3,726,903 | |||
Suncor Energy, Inc. | 187,764 | 4,501,908 | |||
SunOpta, Inc. (b) | 7,900 | 96,780 | |||
Superior Plus Corp. (c) | 20,700 | 255,260 | |||
TC Energy Corp. (c) | 117,936 | 5,842,037 | |||
Teck Resources, Ltd. Class B | 61,600 | 1,420,237 | |||
TELUS Corp. | 56,504 | 1,268,522 | |||
TFI International, Inc. | 11,800 | 1,078,419 | |||
Thomson Reuters Corp. | 22,130 | 2,200,490 | |||
Timbercreek Financial Corp. | 17,500 | 134,822 | |||
TMX Group, Ltd. | 7,200 | 761,341 | |||
Topaz Energy Corp. (c) | 8,700 | 121,546 | |||
Torex Gold Resources, Inc. (b) | 10,000 | 115,319 | |||
Toromont Industries, Ltd. | 10,500 | 915,772 | |||
Toronto-Dominion Bank | 226,157 | 15,865,508 | |||
Tourmaline Oil Corp. | 33,400 | 955,634 | |||
TransAlta Corp. | 32,400 | 323,137 | |||
TransAlta Renewables, Inc. (c) | 12,500 | 210,268 | |||
Transcontinental, Inc. Class A | 8,600 | 161,680 | |||
Tricon Residential, Inc. (c) | 22,100 | 254,499 | |||
Trillium Therapeutics, Inc. (b) | 10,000 | 96,988 | |||
Trisura Group, Ltd. (b) | 900 | 120,497 | |||
Uranium Participation Corp. (b) (c) | 16,000 | 70,678 | |||
Vermilion Energy, Inc. (b) | 18,600 | 163,124 | |||
Victoria Gold Corp. (b) | 3,000 | 44,698 | |||
Village Farms International, Inc. (b) (c) | 16,400 | 176,012 | |||
Wallbridge Mining Co., Ltd. (b) (c) | 46,500 | 19,902 | |||
Well Health Technologies Corp. (b) (c) | 14,000 | 99,265 | |||
Wesdome Gold Mines, Ltd. (b) | 16,300 | 154,799 | |||
West Fraser Timber Co., Ltd. | 10,810 | 776,857 | |||
Westport Fuel Systems, Inc. (b) | 17,400 | 92,459 | |||
Westshore Terminals Investment Corp. (c) | 5,200 | 71,724 |
Security Description | Shares | Value | |||
Whitecap Resources, Inc. (c) | 66,200 | $ 329,316 | |||
Winpak, Ltd. | 3,800 | 118,668 | |||
WPT Industrial Real Estate Investment Trust | 5,700 | 103,341 | |||
WSP Global, Inc. | 14,200 | 1,659,323 | |||
Yamana Gold, Inc. | 114,200 | 481,405 | |||
272,732,199 | |||||
CAYMAN ISLANDS — 0.0% (a) | |||||
Beyondspring, Inc. (b) | 7,600 | 79,344 | |||
CHILE — 0.2% | |||||
AES Gener SA | 416,056 | 57,039 | |||
Aguas Andinas SA Class A | 331,152 | 68,676 | |||
Antofagasta PLC | 47,584 | 943,625 | |||
Banco de Chile | 5,332,419 | 530,891 | |||
Banco de Credito e Inversiones SA | 5,934 | 252,654 | |||
Banco Santander Chile | 7,736,993 | 385,835 | |||
CAP SA | 8,595 | 148,737 | |||
Cencosud SA | 162,697 | 326,484 | |||
Cencosud Shopping SA | 60,031 | 99,020 | |||
Cia Sud Americana de Vapores SA | 1,462,277 | 127,327 | |||
Colbun SA | 899,397 | 126,749 | |||
Embotelladora Andina SA Class B, Preference Shares (b) | 41,639 | 97,236 | |||
Empresa Nacional de Telecomunicaciones SA | 17,714 | 98,288 | |||
Empresas CMPC SA | 131,968 | 317,183 | |||
Empresas COPEC SA | 45,744 | 454,230 | |||
Enel Americas SA | 2,503,175 | 370,606 | |||
Enel Chile SA | 3,153,263 | 182,974 | |||
Engie Energia Chile SA | 71,134 | 53,834 | |||
Falabella SA | 88,290 | 396,384 | |||
Forus SA | 37,877 | 63,617 | |||
Grupo Security SA | 204,548 | 34,698 | |||
Inversiones Aguas Metropolitanas SA | 41,746 | 22,991 | |||
Inversiones La Construccion SA | 3,247 | 15,252 | |||
Itau CorpBanca (b) | 17,520,243 | 48,871 | |||
Lundin Mining Corp. | 82,200 | 742,143 | |||
Parque Arauco SA (b) | 67,993 | 96,184 | |||
Ripley Corp. SA (b) | 96,292 | 24,995 | |||
SMU SA | 287,875 | 34,457 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 15,915 | 756,286 | |||
SONDA SA | 96,773 | 55,304 |
Security Description | Shares | Value | |||
Vina Concha y Toro SA | 42,844 | $ 76,178 | |||
7,008,748 | |||||
CHINA — 10.2% | |||||
111, Inc. ADR (b) (c) | 4,800 | 43,608 | |||
17 Education & Technology Group, Inc. ADR (b) | 23,000 | 83,950 | |||
21Vianet Group, Inc. ADR (b) | 14,400 | 330,480 | |||
360 DigiTech, Inc. ADR (b) | 12,700 | 531,368 | |||
360 Security Technology, Inc. Class A (b) | 27,600 | 52,160 | |||
361 Degrees International, Ltd. (b) | 183,000 | 99,679 | |||
3SBio, Inc. (b) (c) (d) | 135,500 | 167,503 | |||
51job, Inc. ADR (b) | 3,900 | 303,303 | |||
AAC Technologies Holdings, Inc. (c) | 83,000 | 620,962 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 293,906 | |||
Agile Group Holdings, Ltd. | 166,000 | 215,039 | |||
Agora, Inc. ADR (b) (c) | 7,800 | 327,288 | |||
Agricultural Bank of China, Ltd. Class A | 512,900 | 240,539 | |||
Agricultural Bank of China, Ltd. Class H | 3,293,000 | 1,144,897 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 35,500 | 390,009 | |||
Air China, Ltd. Class A | 43,000 | 51,780 | |||
Air China, Ltd. Class H (b) (c) | 186,000 | 136,760 | |||
Airtac International Group | 16,000 | 617,317 | |||
AK Medical Holdings, Ltd. (d) | 34,000 | 59,981 | |||
Akeso, Inc. (b) (d) | 30,000 | 242,021 | |||
Alibaba Group Holding, Ltd. ADR (b) | 6,900 | 1,564,782 | |||
Alibaba Group Holding, Ltd. (b) | 1,822,900 | 51,641,224 | |||
Alibaba Health Information Technology, Ltd. (b) | 521,500 | 1,156,374 | |||
A-Living Smart City Services Co., Ltd. (c) (d) | 70,000 | 348,384 | |||
Alphamab Oncology (b) (d) | 45,000 | 143,996 | |||
Aluminum Corp. of China, Ltd. Class A (b) | 84,600 | 69,400 | |||
Aluminum Corp. of China, Ltd. Class H (b) | 462,000 | 275,444 | |||
Angel Yeast Co., Ltd. Class A | 12,900 | 108,577 | |||
Anhui Conch Cement Co., Ltd. Class A | 28,700 | 182,350 |
Security Description | Shares | Value | |||
Anhui Conch Cement Co., Ltd. Class H | 148,000 | $ 785,181 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 2,100 | 77,846 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 20,900 | 289,312 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 9,700 | 101,626 | |||
ANTA Sports Products, Ltd. | 135,000 | 3,177,759 | |||
Ascentage Pharma Group International (b) (d) | 16,900 | 102,281 | |||
Asia Cement China Holdings Corp. | 42,500 | 33,274 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 322,954 | |||
Autobio Diagnostics Co., Ltd. Class A | 3,640 | 42,688 | |||
Autohome, Inc. ADR | 8,400 | 537,264 | |||
Avary Holding Shenzhen Co., Ltd. Class A | 11,300 | 62,754 | |||
Avic Aviation High-Technology Co., Ltd. Class A | 10,300 | 49,070 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 59,600 | 92,894 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 7,100 | 86,837 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A | 19,460 | 181,623 | |||
AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A | 17,000 | 69,149 | |||
AviChina Industry & Technology Co., Ltd. Class H | 321,000 | 212,461 | |||
Baidu, Inc. ADR (b) | 32,700 | 6,667,530 | |||
Baidu, Inc. Class A (b) | 7,150 | 183,587 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 141,483 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 152,403 | |||
Bank of China, Ltd. Class A | 241,900 | 115,318 | |||
Bank of China, Ltd. Class H | 9,811,000 | 3,524,751 | |||
Bank of Communications Co., Ltd. Class A | 270,300 | 204,999 | |||
Bank of Communications Co., Ltd. Class H | 1,112,000 | 747,457 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 134,468 | |||
Bank of Jiangsu Co., Ltd. Class A | 156,780 | 172,290 | |||
Bank of Nanjing Co., Ltd. Class A | 46,000 | 74,900 |
Security Description | Shares | Value | |||
Bank of Ningbo Co., Ltd. Class A | 41,400 | $ 249,713 | |||
Bank of Shanghai Co., Ltd. Class A | 102,500 | 130,091 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 184,000 | 217,581 | |||
Baozun, Inc. ADR (b) | 9,900 | 350,856 | |||
BC Technology Group, Ltd. (b) | 21,000 | 49,919 | |||
BeiGene, Ltd. ADR (b) | 5,900 | 2,024,821 | |||
Beijing Capital International Airport Co., Ltd. Class H (b) (c) | 220,000 | 145,895 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A | 67,200 | 70,728 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 205,760 | |||
Beijing Enterprises Urban Resources Group, Ltd. (b) | 196,000 | 25,239 | |||
Beijing Enterprises Water Group, Ltd. | 662,000 | 250,620 | |||
Beijing Jingneng Clean Energy Co., Ltd. Class H | 138,000 | 33,230 | |||
Beijing New Building Materials PLC Class A | 10,400 | 63,181 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 10,900 | 71,161 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 12,600 | 66,795 | |||
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. | 30,000 | 49,525 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 296,500 | 242,768 | |||
BEST, Inc. ADR (b) (c) | 26,700 | 47,526 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 2,800 | 46,909 | |||
BGI Genomics Co., Ltd. Class A | 2,500 | 45,892 | |||
Bilibili, Inc. ADR (b) | 20,000 | 2,436,800 | |||
Bit Digital, Inc. (b) (c) | 15,200 | 103,968 | |||
BIT Mining, Ltd. ADR (b) | 13,400 | 105,726 | |||
BOC Hong Kong Holdings, Ltd. | 465,000 | 1,577,773 | |||
BOE Technology Group Co., Ltd. Class A | 220,700 | 213,156 | |||
Bosideng International Holdings, Ltd. | 324,000 | 231,552 | |||
Brilliance China Automotive Holdings, Ltd. (f) | 364,000 | 256,624 |
Security Description | Shares | Value | |||
Budweiser Brewing Co. APAC, Ltd. (c) (d) | 223,200 | $ 704,160 | |||
Burning Rock Biotech, Ltd. ADR (b) | 5,300 | 156,138 | |||
BYD Co., Ltd. Class A | 14,700 | 571,086 | |||
BYD Co., Ltd. Class H (c) | 99,500 | 2,975,064 | |||
BYD Electronic International Co., Ltd. (c) | 81,000 | 531,944 | |||
By-health Co., Ltd. Class A | 11,400 | 58,051 | |||
C&D International Investment Group, Ltd. (b) (c) | 30,000 | 53,928 | |||
C&S Paper Co., Ltd. Class A | 9,600 | 40,936 | |||
Caitong Securities Co., Ltd. Class A | 23,200 | 37,668 | |||
Canaan, Inc. ADR (b) (c) | 10,800 | 88,020 | |||
Cango, Inc. ADR | 18,100 | 101,179 | |||
CanSino Biologics, Inc. Class A (b) | 697 | 83,906 | |||
CanSino Biologics, Inc. Class H (b) (c) (d) | 9,600 | 510,048 | |||
Central China Management Co., Ltd. (b) (c) | 89,000 | 26,244 | |||
Central China Real Estate, Ltd. | 89,000 | 23,150 | |||
CGN New Energy Holdings Co., Ltd. | 158,000 | 65,309 | |||
CGN Power Co., Ltd. Class H (d) | 1,191,600 | 265,453 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 3,200 | 191,678 | |||
Changjiang Securities Co., Ltd. Class A | 35,800 | 40,561 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 160,708 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 163,486 | |||
China Aoyuan Group, Ltd. | 128,000 | 107,960 | |||
China Avionics Systems Co., Ltd. Class A | 35,100 | 89,912 | |||
China BlueChemical, Ltd. Class H | 204,000 | 59,630 | |||
China Bohai Bank Co., Ltd. Class H (d) | 260,000 | 90,061 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,059,592 | 201,935 | |||
China CITIC Bank Corp., Ltd. Class H | 1,025,000 | 485,716 |
Security Description | Shares | Value | |||
China Common Rich Renewable Energy Investment, Ltd. (b) (f) | 68,000 | $ — | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 124,906 | |||
China Conch Venture Holdings, Ltd. | 189,500 | 797,936 | |||
China Construction Bank Corp. Class A | 52,100 | 53,625 | |||
China Construction Bank Corp. Class H | 11,850,000 | 9,323,319 | |||
China CSSC Holdings, Ltd. Class A (b) | 32,600 | 83,306 | |||
China Datang Corp. Renewable Power Co., Ltd. Class H | 556,000 | 159,658 | |||
China Dongxiang Group Co., Ltd. (b) | 380,000 | 67,037 | |||
China East Education Holdings, Ltd. (b) (c) (d) | 63,000 | 98,972 | |||
China Eastern Airlines Corp., Ltd. Class A | 60,800 | 47,805 | |||
China Education Group Holdings, Ltd. | 86,000 | 191,804 | |||
China Everbright Bank Co., Ltd. Class A | 257,500 | 150,654 | |||
China Everbright Bank Co., Ltd. Class H | 364,300 | 148,706 | |||
China Everbright Environment Group, Ltd. | 441,518 | 250,157 | |||
China Everbright, Ltd. | 90,000 | 105,925 | |||
China Evergrande Group (c) | 249,000 | 324,482 | |||
China Feihe, Ltd. (d) | 432,000 | 932,328 | |||
China Foods, Ltd. | 362,000 | 131,452 | |||
China Fortune Land Development Co., Ltd. Class A | 21,320 | 17,291 | |||
China Galaxy Securities Co., Ltd. Class A | 27,500 | 45,884 | |||
China Galaxy Securities Co., Ltd. Class H | 366,800 | 218,686 | |||
China Gas Holdings, Ltd. | 372,200 | 1,135,889 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 75,928 | |||
China Harmony Auto Holding, Ltd. (c) | 85,500 | 37,543 | |||
China Hongqiao Group, Ltd. | 276,500 | 374,560 | |||
China Huarong Asset Management Co., Ltd. Class H (d) (f) | 1,024,000 | 67,248 | |||
China International Capital Corp., Ltd. Class A (b) | 6,300 | 59,969 |
Security Description | Shares | Value | |||
China International Capital Corp., Ltd. Class H (d) | 174,800 | $ 470,434 | |||
China Jinmao Holdings Group, Ltd. | 754,000 | 252,439 | |||
China Jushi Co., Ltd. Class A | 25,717 | 61,737 | |||
China Kepei Education Group, Ltd. | 64,000 | 46,151 | |||
China Lesso Group Holdings, Ltd. | 128,000 | 315,803 | |||
China Life Insurance Co., Ltd. Class A | 15,100 | 79,206 | |||
China Life Insurance Co., Ltd. Class H | 898,000 | 1,780,771 | |||
China Literature, Ltd. (b) (c) (d) | 47,800 | 531,498 | |||
China Logistics Property Holdings Co., Ltd. (b) (d) | 141,000 | 64,274 | |||
China Longyuan Power Group Corp., Ltd. Class H | 511,000 | 880,416 | |||
China Machinery Engineering Corp. Class H | 99,000 | 45,893 | |||
China Maple Leaf Educational Systems, Ltd. (b) (c) | 136,000 | 36,776 | |||
China Medical System Holdings, Ltd. | 164,000 | 431,865 | |||
China Meidong Auto Holdings, Ltd. | 70,000 | 381,735 | |||
China Mengniu Dairy Co., Ltd. | 389,000 | 2,351,777 | |||
China Merchants Bank Co., Ltd. Class A | 148,200 | 1,243,019 | |||
China Merchants Bank Co., Ltd. Class H | 482,500 | 4,116,179 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 61,200 | 43,763 | |||
China Merchants Port Holdings Co., Ltd. | 158,151 | 230,938 | |||
China Merchants Securities Co., Ltd. Class A | 40,300 | 118,639 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 32,300 | 54,743 | |||
China Minsheng Banking Corp., Ltd. Class A | 256,700 | 175,216 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 639,600 | 306,381 | |||
China Modern Dairy Holdings, Ltd. (c) | 214,000 | 47,397 | |||
China Molybdenum Co., Ltd. Class A (b) | 95,900 | 76,591 |
Security Description | Shares | Value | |||
China Molybdenum Co., Ltd. Class H | 354,000 | $ 210,143 | |||
China National Building Material Co., Ltd. Class H | 486,000 | 570,745 | |||
China National Nuclear Power Co., Ltd. Class A | 70,800 | 55,449 | |||
China National Software & Service Co., Ltd. Class A | 8,900 | 78,423 | |||
China New Higher Education Group, Ltd. (d) | 79,000 | 54,119 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 23,500 | 75,292 | |||
China Oilfield Services, Ltd. Class H | 186,000 | 166,699 | |||
China Online Education Group ADR (b) | 900 | 7,047 | |||
China Oriental Group Co., Ltd. | 192,000 | 62,056 | |||
China Overseas Grand Oceans Group, Ltd. | 201,000 | 116,989 | |||
China Overseas Land & Investment, Ltd. | 463,000 | 1,051,697 | |||
China Overseas Property Holdings, Ltd. | 280,000 | 299,259 | |||
China Pacific Insurance Group Co., Ltd. Class A | 66,000 | 295,939 | |||
China Pacific Insurance Group Co., Ltd. Class H | 330,000 | 1,038,972 | |||
China Petroleum & Chemical Corp. Class A | 184,500 | 124,507 | |||
China Petroleum & Chemical Corp. Class H | 2,964,000 | 1,499,967 | |||
China Power International Development, Ltd. | 606,000 | 132,658 | |||
China Railway Group, Ltd. Class A | 110,500 | 89,620 | |||
China Railway Group, Ltd. Class H | 423,000 | 220,600 | |||
China Renaissance Holdings, Ltd. (d) | 18,400 | 55,680 | |||
China Resources Beer Holdings Co., Ltd. | 190,721 | 1,712,986 | |||
China Resources Cement Holdings, Ltd. | 276,000 | 262,287 | |||
China Resources Gas Group, Ltd. | 116,000 | 696,073 | |||
China Resources Land, Ltd. | 387,333 | 1,568,614 | |||
China Resources Medical Holdings Co., Ltd. | 86,000 | 104,429 |
Security Description | Shares | Value | |||
China Resources Mixc Lifestyle Services, Ltd. (d) | 41,600 | $ 284,713 | |||
China Resources Pharmaceutical Group, Ltd. (d) | 177,000 | 110,314 | |||
China Resources Power Holdings Co., Ltd. | 222,055 | 303,094 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | 71,628 | |||
China SCE Group Holdings, Ltd. | 147,000 | 60,384 | |||
China Shenhua Energy Co., Ltd. Class A | 39,600 | 119,642 | |||
China Shenhua Energy Co., Ltd. Class H | 464,000 | 909,376 | |||
China Shipbuilding Industry Co., Ltd. Class A (b) | 124,200 | 79,201 | |||
China South City Holdings, Ltd. | 476,000 | 52,100 | |||
China South Publishing & Media Group Co., Ltd. Class A | 41,182 | 56,219 | |||
China Southern Airlines Co., Ltd. Class A (b) | 56,500 | 52,645 | |||
China Southern Airlines Co., Ltd. Class H (b) (c) | 192,000 | 119,168 | |||
China State Construction Engineering Corp., Ltd. Class A | 288,700 | 207,783 | |||
China State Construction International Holdings, Ltd. | 230,750 | 157,481 | |||
China Taiping Insurance Holdings Co., Ltd. | 190,000 | 316,102 | |||
China Tobacco International HK Co., Ltd. | 23,000 | 50,052 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 15,200 | 706,025 | |||
China Tower Corp., Ltd. Class H (d) | 5,350,000 | 737,138 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. (b) | 318,000 | 217,846 | |||
China TransInfo Technology Co., Ltd. Class A | 19,700 | 50,921 | |||
China Travel International Investment Hong Kong, Ltd. (b) | 266,000 | 44,186 | |||
China Vanke Co., Ltd. Class A | 70,100 | 258,338 |
Security Description | Shares | Value | |||
China Vanke Co., Ltd. Class H | 246,600 | $ 771,632 | |||
China Yangtze Power Co., Ltd. Class A | 180,300 | 575,991 | |||
China Yuchai International, Ltd. | 2,300 | 36,892 | |||
China Yuhua Education Corp., Ltd. (d) | 184,000 | 166,565 | |||
China Zheshang Bank Co., Ltd. Class A | 76,700 | 47,130 | |||
China Zhongwang Holdings, Ltd. (b) (c) | 231,200 | 53,886 | |||
Chinasoft International, Ltd. | 366,000 | 667,353 | |||
Chindata Group Holdings, Ltd. ADR (b) | 10,400 | 156,936 | |||
Chlitina Holding, Ltd. | 6,000 | 44,361 | |||
Chongqing Brewery Co., Ltd. Class A (b) | 7,200 | 220,596 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 25,000 | 101,689 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 257,000 | 101,597 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 10,200 | 294,798 | |||
Chow Tai Fook Jewellery Group, Ltd. (c) | 266,400 | 608,554 | |||
CIFI Holdings Group Co., Ltd. | 377,802 | 294,814 | |||
CIMC Enric Holdings, Ltd. | 78,000 | 81,155 | |||
CITIC Securities Co., Ltd. Class A | 68,200 | 263,264 | |||
CITIC Securities Co., Ltd. Class H (b) (c) | 291,000 | 729,950 | |||
CITIC Telecom International Holdings, Ltd. | 132,000 | 43,684 | |||
CITIC, Ltd. | 684,000 | 737,212 | |||
CMGE Technology Group, Ltd. | 118,000 | 57,892 | |||
COFCO Joycome Foods., Ltd. | 220,000 | 88,104 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 19,100 | 1,581,012 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (b) | 62,000 | 293,070 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (b) (c) | 393,000 | 989,857 | |||
COSCO SHIPPING Ports, Ltd. | 192,581 | 150,279 | |||
Country Garden Holdings Co., Ltd. | 927,115 | 1,038,637 |
Security Description | Shares | Value | |||
Country Garden Services Holdings Co., Ltd. | 191,000 | $ 2,063,509 | |||
CSC Financial Co., Ltd. Class A | 31,500 | 153,238 | |||
CSPC Pharmaceutical Group, Ltd. | 1,107,280 | 1,602,636 | |||
CStone Pharmaceuticals (b) (d) | 54,500 | 120,006 | |||
Dada Nexus, Ltd. ADR (b) | 7,200 | 208,872 | |||
Dali Foods Group Co., Ltd. (d) | 266,000 | 158,589 | |||
Daqo New Energy Corp. ADR (b) | 6,900 | 448,638 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 5,040 | 39,870 | |||
Differ Group Holding Co., Ltd. (c) | 304,000 | 63,025 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 91,857 | |||
Dongfeng Motor Group Co., Ltd. Class H | 326,000 | 293,011 | |||
Dongyue Group, Ltd. | 106,000 | 88,722 | |||
DouYu International Holdings, Ltd. ADR (b) | 11,300 | 77,292 | |||
East Money Information Co., Ltd. Class A | 76,404 | 387,764 | |||
Ebang International Holdings, Inc. Class A (b) (c) | 15,400 | 47,432 | |||
Ecovacs Robotics Co., Ltd. Class A | 3,400 | 120,026 | |||
Edvantage Group Holdings, Ltd. | 36,000 | 36,066 | |||
EHang Holdings, Ltd. ADR (b) (c) | 2,700 | 116,100 | |||
E-House China Enterprise Holdings, Ltd. | 45,000 | 38,476 | |||
ENN Energy Holdings, Ltd. | 96,600 | 1,838,495 | |||
ESR Cayman, Ltd. (b) (d) | 237,000 | 799,578 | |||
Eve Energy Co., Ltd. Class A | 13,306 | 214,042 | |||
Ever Sunshine Lifestyle Services Group, Ltd. | 80,000 | 198,613 | |||
Everbright Securities Co., Ltd. Class A | 35,500 | 98,299 | |||
Excellence Commercial Property & Facilities Management Group, Ltd. | 69,000 | 75,256 | |||
Fangda Carbon New Material Co., Ltd. Class A | 27,600 | 31,783 | |||
Fanhua, Inc. ADR | 4,800 | 72,480 | |||
Far East Horizon, Ltd. | 238,000 | 248,854 | |||
FIH Mobile, Ltd. (b) (c) | 297,000 | 48,953 |
Security Description | Shares | Value | |||
Financial Street Holdings Co., Ltd. Class A | 118,527 | $ 123,832 | |||
FinVolution Group ADR | 18,700 | 178,024 | |||
Flat Glass Group Co., Ltd. Class H (c) | 49,000 | 201,910 | |||
Focus Media Information Technology Co., Ltd. Class A | 101,100 | 147,249 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 25,162 | 502,200 | |||
Fosun International, Ltd. | 293,000 | 421,813 | |||
Founder Securities Co., Ltd. Class A (b) | 44,900 | 65,048 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 33,000 | 63,386 | |||
Fu Jian Anjoy Foods Co., Ltd. Class A (b) | 1,600 | 62,907 | |||
Fu Shou Yuan International Group, Ltd. | 141,000 | 137,626 | |||
Fufeng Group, Ltd. | 138,000 | 44,248 | |||
Futu Holdings, Ltd. ADR (b) | 6,400 | 1,146,176 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 12,300 | 106,326 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (d) | 73,600 | 518,413 | |||
Ganfeng Lithium Co., Ltd. Class A | 6,100 | 114,327 | |||
Ganfeng Lithium Co., Ltd. Class H (d) | 20,400 | 304,719 | |||
Gaotu Techedu, Inc. ADR (b) (c) | 14,900 | 220,073 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 131,252 | |||
GCL-Poly Energy Holdings, Ltd. (b) | 2,155,000 | 344,800 | |||
GDS Holdings, Ltd. ADR (b) | 11,300 | 886,937 | |||
Geely Automobile Holdings, Ltd. | 743,000 | 2,339,261 | |||
GEM Co., Ltd. Class A | 32,900 | 47,612 | |||
Gemdale Corp. Class A | 24,500 | 38,831 | |||
Gemdale Properties & Investment Corp., Ltd. | 808,000 | 103,005 | |||
Genertec Universal Medical Group Co., Ltd. (d) | 93,000 | 90,894 | |||
Genetron Holdings, Ltd. ADR (b) | 1,900 | 38,266 | |||
Genscript Biotech Corp. (b) (c) | 122,000 | 532,562 | |||
GF Securities Co., Ltd. Class A | 32,100 | 75,221 |
Security Description | Shares | Value | |||
GF Securities Co., Ltd. Class H | 178,200 | $ 230,843 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 54,140 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 3,528 | 102,604 | |||
GoerTek, Inc. Class A | 28,300 | 187,211 | |||
GOME Retail Holdings, Ltd. (b) | 1,427,000 | 183,753 | |||
Great Wall Motor Co., Ltd. Class A | 14,400 | 97,154 | |||
Great Wall Motor Co., Ltd. Class H | 411,000 | 1,328,393 | |||
Greatview Aseptic Packaging Co., Ltd. | 208,000 | 93,744 | |||
Greenland Holdings Corp., Ltd. Class A | 49,700 | 41,924 | |||
Greentown China Holdings, Ltd. | 90,000 | 138,607 | |||
Greentown Service Group Co., Ltd. | 174,000 | 270,214 | |||
GreenTree Hospitality Group, Ltd. ADR (b) | 2,500 | 27,550 | |||
Guangdong Haid Group Co., Ltd. Class A | 8,600 | 108,617 | |||
Guangdong Investment, Ltd. | 346,000 | 497,223 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 4,700 | 141,163 | |||
Guanghui Energy Co., Ltd. Class A (b) | 204,300 | 105,299 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 316,800 | 284,334 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 10,100 | 52,916 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 74,821 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 163,211 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 180,400 | 205,817 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 8,307 | 159,805 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 13,430 | 221,545 | |||
Guosen Securities Co., Ltd. Class A | 26,700 | 44,425 |
Security Description | Shares | Value | |||
Guotai Junan Securities Co., Ltd. Class A | 54,200 | $ 143,787 | |||
Guoxuan High-Tech Co., Ltd. Class A (b) | 8,500 | 57,308 | |||
Haidilao International Holding, Ltd. (c) (d) | 128,000 | 674,131 | |||
Haier Smart Home Co., Ltd. Class A | 40,800 | 163,621 | |||
Haier Smart Home Co., Ltd. Class H (b) | 243,800 | 850,774 | |||
Hainan Meilan International Airport Co., Ltd. Class H (b) | 25,000 | 104,464 | |||
Haitian International Holdings, Ltd. | 76,000 | 254,937 | |||
Haitong Securities Co., Ltd. Class A | 61,800 | 110,001 | |||
Haitong Securities Co., Ltd. Class H | 354,800 | 310,673 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 11,280 | 183,546 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 136,027 | |||
Hangzhou Silan Microelectronics Co., Ltd. Class A | 9,600 | 83,729 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 113,200 | 181,188 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 236,357 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (d) | 13,200 | 309,354 | |||
Hansoh Pharmaceutical Group Co., Ltd. (d) | 144,000 | 630,453 | |||
Health & Happiness H&H International Holdings, Ltd. | 22,500 | 94,307 | |||
Hebei Construction Group Corp., Ltd. Class H | 100,000 | 30,905 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 12,200 | 105,291 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 28,100 | 138,307 | |||
Hengan International Group Co., Ltd. | 83,000 | 555,767 | |||
Hengli Petrochemical Co., Ltd. Class A | 40,400 | 164,080 | |||
HengTen Networks Group, Ltd. (b) (c) | 455,200 | 364,003 | |||
Hengyi Petrochemical Co., Ltd. Class A | 49,790 | 92,092 |
Security Description | Shares | Value | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | $ 62,841 | |||
Hongfa Technology Co., Ltd. Class A | 5,100 | 49,493 | |||
Hope Education Group Co., Ltd. (c) (d) | 186,000 | 44,788 | |||
Hopson Development Holdings, Ltd. | 80,400 | 368,568 | |||
Hua Hong Semiconductor, Ltd. (b) (d) | 65,000 | 359,072 | |||
Hua Medicine (b) (d) | 84,000 | 50,622 | |||
Huadong Medicine Co., Ltd. Class A | 11,260 | 80,186 | |||
Huafon Chemical Co., Ltd. Class A | 33,800 | 74,287 | |||
Hualan Biological Engineering, Inc. Class A | 28,860 | 163,846 | |||
Huaneng Power International, Inc. Class H | 478,000 | 187,117 | |||
Huangshan Tourism Development Co., Ltd. Class B | 20,400 | 15,096 | |||
Huatai Securities Co., Ltd. Class A | 50,600 | 123,742 | |||
Huatai Securities Co., Ltd. Class H (d) | 181,200 | 265,995 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 75,569 | |||
Huaxia Bank Co., Ltd. Class A | 91,800 | 87,952 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 73,189 | |||
Huazhu Group, Ltd. ADR (b) | 23,500 | 1,241,035 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 70,600 | 39,557 | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 3,400 | 57,929 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 11,800 | 51,632 | |||
Hunan Valin Steel Co., Ltd. Class A | 44,000 | 44,948 | |||
Hundsun Technologies, Inc. Class A | 5,720 | 82,557 | |||
HUYA, Inc. ADR (b) (c) | 9,200 | 162,380 | |||
iClick Interactive Asia Group, Ltd. ADR (b) | 15,000 | 165,600 | |||
Iflytek Co., Ltd. Class A | 11,900 | 124,473 | |||
I-Mab ADR (b) | 3,900 | 327,405 |
Security Description | Shares | Value | |||
Industrial & Commercial Bank of China, Ltd. Class A | 458,300 | $ 366,734 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 7,433,000 | 4,364,555 | |||
Industrial Bank Co., Ltd. Class A | 149,300 | 474,878 | |||
Industrial Securities Co., Ltd. Class A | 42,900 | 64,142 | |||
INESA Intelligent Tech, Inc. Class B | 112,900 | 50,918 | |||
Ingenic Semiconductor Co., Ltd. Class A | 3,500 | 54,671 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (b) | 292,000 | 70,053 | |||
Inner Mongolia Eerduosi Resourses Co., Ltd. Class B | 87,500 | 131,512 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 219,500 | 172,927 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 49,900 | 284,454 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | 116,258 | |||
Innovent Biologics, Inc. (b) (d) | 140,500 | 1,638,233 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,900 | 34,396 | |||
Intco Medical Technology Co., Ltd. Class A | 5,000 | 96,582 | |||
iQIYI, Inc. ADR (b) | 36,500 | 568,670 | |||
JA Solar Technology Co., Ltd. Class A (b) | 7,300 | 55,364 | |||
Jafron Biomedical Co., Ltd. Class A | 9,500 | 126,983 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 4,100 | 49,041 | |||
JCET Group Co., Ltd. Class A (b) | 16,700 | 97,395 | |||
JD Health International, Inc. (b) (c) (d) | 33,200 | 475,822 | |||
JD.com, Inc. ADR (b) | 108,300 | 8,643,423 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 54,700 | 52,492 | |||
Jiangsu Eastern Shenghong Co., Ltd. Class A | 23,500 | 76,019 | |||
Jiangsu Expressway Co., Ltd. Class H | 158,000 | 178,837 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 13,468 | 179,105 |
Security Description | Shares | Value | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 43,924 | $ 462,093 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 7,700 | 64,548 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 11,900 | 381,634 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 2,100 | 36,329 | |||
Jiangxi Copper Co., Ltd. Class A | 32,700 | 113,271 | |||
Jiangxi Copper Co., Ltd. Class H | 142,000 | 290,734 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 25,800 | 47,720 | |||
Jiayuan International Group, Ltd. | 111,815 | 47,514 | |||
Jinchuan Group International Resources Co., Ltd. (c) | 832,000 | 136,062 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 37,191 | |||
JinkoSolar Holding Co., Ltd. ADR (b) (c) | 5,400 | 302,508 | |||
Jinxin Fertility Group, Ltd. (d) | 162,000 | 408,867 | |||
JiuGui Liquor Co., Ltd. Class A | 2,200 | 87,035 | |||
Jiumaojiu International Holdings, Ltd. (c) (d) | 88,000 | 359,780 | |||
Joinn Laboratories China Co., Ltd. Class A | 1,700 | 48,349 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 34,900 | 83,025 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A | 5,170 | 33,625 | |||
JOYY, Inc. ADR (c) | 7,500 | 494,775 | |||
Juewei Food Co., Ltd. Class A | 4,000 | 52,185 | |||
Kaisa Group Holdings, Ltd. (c) | 333,714 | 126,338 | |||
Kangji Medical Holdings, Ltd. | 38,000 | 63,220 | |||
KE Holdings, Inc. ADR (b) | 45,700 | 2,178,976 | |||
Kerry Logistics Network, Ltd. | 101,500 | 307,800 | |||
Kingboard Holdings, Ltd. | 88,000 | 488,395 | |||
Kingdee International Software Group Co., Ltd. (b) (c) | 316,000 | 1,072,207 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 16,800 | 54,242 |
Security Description | Shares | Value | |||
Kingsoft Cloud Holdings, Ltd. ADR (b) (c) | 6,700 | $ 227,331 | |||
Kingsoft Corp., Ltd. | 117,000 | 701,321 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,716 | |||
Koolearn Technology Holding, Ltd. (b) (d) | 21,500 | 26,938 | |||
Kuaishou Technology (b) (c) (d) | 32,800 | 822,761 | |||
Kuang-Chi Technologies Co., Ltd. Class A (b) | 14,300 | 46,059 | |||
Kunlun Energy Co., Ltd. | 466,000 | 429,645 | |||
Kweichow Moutai Co., Ltd. Class A | 9,400 | 2,992,328 | |||
KWG Group Holdings, Ltd. | 202,000 | 270,518 | |||
KWG Living Group Holdings, Ltd. | 104,000 | 133,384 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 118,720 | |||
Lenovo Group, Ltd. | 868,000 | 998,119 | |||
Lens Technology Co., Ltd. Class A | 26,800 | 121,994 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 9,700 | 48,223 | |||
LexinFintech Holdings, Ltd. ADR (b) | 11,600 | 142,100 | |||
Li Auto, Inc. ADR (b) (c) | 61,400 | 2,145,316 | |||
Li Ning Co., Ltd. | 271,500 | 3,314,280 | |||
Liaoning Cheng Da Co., Ltd. Class A | 26,500 | 85,355 | |||
Lifetech Scientific Corp. (b) | 516,000 | 342,190 | |||
Lingyi iTech Guangdong Co. Class A | 50,400 | 71,690 | |||
Logan Group Co., Ltd. | 158,000 | 236,415 | |||
Lomon Billions Group Co., Ltd. Class A | 11,000 | 58,875 | |||
Longfor Group Holdings, Ltd. (d) | 222,500 | 1,246,322 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 38,780 | 533,245 | |||
Lonking Holdings, Ltd. | 174,000 | 56,239 | |||
Lufax Holding, Ltd. ADR (b) | 24,300 | 274,590 | |||
Luxshare Precision Industry Co., Ltd. Class A (b) | 51,868 | 369,290 | |||
Luye Pharma Group, Ltd. (d) | 205,000 | 134,892 | |||
Luzhou Laojiao Co., Ltd. Class A | 10,100 | 368,836 | |||
Mango Excellent Media Co., Ltd. Class A | 9,700 | 102,993 | |||
Maoyan Entertainment (b) (c) (d) | 41,600 | 65,460 |
Security Description | Shares | Value | |||
Maxscend Microelectronics Co., Ltd. Class A | 2,500 | $ 207,983 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (b) | 24,000 | 33,841 | |||
Meitu, Inc. (b) (d) | 176,500 | 40,001 | |||
Meituan Class B (b) (d) | 448,200 | 18,491,637 | |||
Metallurgical Corp. of China, Ltd. Class A | 116,300 | 53,642 | |||
Microport Scientific Corp. | 97,233 | 872,059 | |||
Midea Group Co., Ltd. Class A | 33,900 | 374,477 | |||
Ming Yuan Cloud Group Holdings, Ltd. | 40,000 | 198,562 | |||
Minth Group, Ltd. | 88,000 | 418,138 | |||
MMG, Ltd. (b) | 284,000 | 125,071 | |||
Mobvista, Inc. (b) (c) (d) | 53,000 | 68,248 | |||
Momo, Inc. ADR | 21,000 | 321,510 | |||
Montage Technology Co., Ltd. Class A | 9,953 | 96,097 | |||
Muyuan Foods Co., Ltd. Class A | 37,823 | 356,051 | |||
NanJi E-Commerce Co., Ltd. Class A | 28,100 | 42,492 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 26,130 | 168,852 | |||
Nanjing Securities Co., Ltd. Class A | 23,900 | 38,916 | |||
NARI Technology Co., Ltd. Class A | 40,200 | 144,601 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 171,730 | |||
NetDragon Websoft Holdings, Ltd. | 19,000 | 50,645 | |||
NetEase, Inc. ADR | 50,700 | 5,843,175 | |||
New China Life Insurance Co., Ltd. Class A | 11,300 | 80,296 | |||
New China Life Insurance Co., Ltd. Class H | 129,800 | 442,926 | |||
New Hope Liuhe Co., Ltd. Class A (b) | 42,400 | 96,273 | |||
New Oriental Education & Technology Group, Inc. ADR (b) | 199,700 | 1,635,543 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 116,819 | |||
Ninestar Corp. Class A | 16,800 | 83,729 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 16,500 | 95,590 | |||
Ningxia Baofeng Energy Group Co., Ltd. Class A | 44,500 | 94,223 | |||
NIO, Inc. ADR (b) | 161,900 | 8,613,080 |
Security Description | Shares | Value | |||
Niu Technologies ADR (b) (c) | 3,400 | $ 111,010 | |||
Noah Holdings, Ltd. ADR (b) | 4,500 | 212,400 | |||
Nongfu Spring Co., Ltd. Class H (d) | 48,800 | 244,759 | |||
Ocumension Therapeutics (b) (d) | 19,000 | 66,792 | |||
Offcn Education Technology Co., Ltd. Class A | 10,500 | 33,950 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 64,357 | |||
OneConnect Financial Technology Co., Ltd. ADR (b) | 14,200 | 170,684 | |||
OneSmart International Education Group, Ltd. ADR (b) | 6,800 | 8,364 | |||
Oppein Home Group, Inc. Class A | 6,300 | 138,426 | |||
Orient Securities Co., Ltd. Class A | 32,600 | 50,407 | |||
Ovctek China, Inc. Class A | 4,620 | 74,046 | |||
Peijia Medical, Ltd. (b) (d) | 20,000 | 93,100 | |||
People's Insurance Co. Group of China, Ltd. Class H | 953,000 | 317,836 | |||
Perfect World Co., Ltd. Class A | 10,650 | 39,413 | |||
PetroChina Co., Ltd. Class A | 124,800 | 102,183 | |||
PetroChina Co., Ltd. Class H | 2,534,000 | 1,233,416 | |||
Pharmaron Beijing Co., Ltd. Class A | 4,800 | 161,210 | |||
Pharmaron Beijing Co., Ltd. Class H (d) | 16,300 | 434,479 | |||
PICC Property & Casualty Co., Ltd. Class H | 887,700 | 777,295 | |||
Pinduoduo, Inc. ADR (b) | 55,000 | 6,986,100 | |||
Ping An Bank Co., Ltd. Class A | 140,000 | 490,152 | |||
Ping An Healthcare & Technology Co., Ltd. (b) (c) (d) | 70,700 | 880,353 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 78,090 | 776,930 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 780,000 | 7,638,443 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 86,300 | 160,823 | |||
Poly Property Group Co., Ltd. | 182,000 | 47,341 |
Security Description | Shares | Value | |||
Poly Property Services Co., Ltd. Class H (c) | 15,000 | $ 101,792 | |||
Postal Savings Bank of China Co., Ltd. Class A | 225,400 | 175,133 | |||
Postal Savings Bank of China Co., Ltd. Class H (b) (c) (d) | 1,198,000 | 806,807 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 85,177 | |||
Powerlong Commercial Management Holdings, Ltd. | 16,000 | 56,246 | |||
Powerlong Real Estate Holdings, Ltd. | 175,000 | 150,305 | |||
Prosus NV (b) | 60,564 | 5,923,233 | |||
Proya Cosmetics Co., Ltd. Class A | 1,400 | 42,625 | |||
Q Technology Group Co., Ltd. | 47,000 | 96,350 | |||
Qudian, Inc. ADR (b) | 26,300 | 63,383 | |||
Qutoutiao, Inc. ADR (b) | 5,100 | 9,486 | |||
Radiance Holdings Group Co., Ltd. | 99,000 | 56,602 | |||
Raytron Technology Co., Ltd. Class A | 5,962 | 92,122 | |||
Redco Properties Group, Ltd. (d) | 108,000 | 35,046 | |||
Redsun Properties Group, Ltd. | 120,000 | 39,867 | |||
ReneSola, Ltd. ADR (b) | 13,300 | 121,030 | |||
RLX Technology, Inc. ADR (b) (c) | 25,200 | 219,996 | |||
Rongsheng Petrochemical Co., Ltd. Class A | 103,050 | 275,455 | |||
Ronshine China Holdings, Ltd. | 54,500 | 31,440 | |||
SAIC Motor Corp., Ltd. Class A | 43,800 | 148,941 | |||
Sanan Optoelectronics Co., Ltd. Class A | 42,500 | 210,828 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 100,405 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 128,000 | 129,717 | |||
Sany Heavy Industry Co., Ltd. Class A | 58,300 | 262,315 | |||
SDIC Capital Co., Ltd. Class A | 34,352 | 45,141 | |||
SDIC Power Holdings Co., Ltd. Class A | 41,600 | 61,877 | |||
Seazen Group, Ltd. | 230,000 | 217,980 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 89,499 | |||
SF Holding Co., Ltd. Class A | 31,600 | 331,121 |
Security Description | Shares | Value | |||
SG Micro Corp. Class A | 1,500 | $ 58,676 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 73,400 | 134,625 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 117,657 | |||
Shandong Gold Mining Co., Ltd. Class A | 16,800 | 49,977 | |||
Shandong Gold Mining Co., Ltd. Class H (c) (d) | 59,000 | 104,388 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 13,650 | 65,389 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 170,658 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 82,200 | 45,802 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 17,000 | 128,273 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 17,800 | 36,780 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 308,000 | 718,654 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 4,760 | 69,836 | |||
Shanghai Baosight Software Co., Ltd. Class A | 27,821 | 219,180 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 55,545 | |||
Shanghai Diesel Engine Co., Ltd. Class B | 32,500 | 15,405 | |||
Shanghai Electric Group Co., Ltd. Class A (b) | 55,900 | 36,685 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 10,900 | 121,689 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 66,000 | 532,871 | |||
Shanghai Fudan Microelectronics Group Co., Ltd. Class H (b) | 28,000 | 69,731 | |||
Shanghai Haixin Group Co. Class B | 42,000 | 14,154 | |||
Shanghai Haohai Biological Technology Co., Ltd. Class H (d) | 4,800 | 58,904 | |||
Shanghai Highly Group Co., Ltd. Class B | 24,100 | 12,652 |
Security Description | Shares | Value | |||
Shanghai Industrial Urban Development Group, Ltd. | 63,600 | $ 5,978 | |||
Shanghai International Airport Co., Ltd. Class A | 5,200 | 38,737 | |||
Shanghai International Port Group Co., Ltd. Class A | 63,800 | 47,103 | |||
Shanghai Jin Jiang Online Network Service Co., Ltd. Class B | 15,200 | 10,944 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 5,500 | 48,480 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 143,720 | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | 79,837 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 25,600 | 83,724 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 220,358 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 188,000 | 290,983 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 10,080 | 213,119 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 110,000 | 127,522 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 42,500 | 76,240 | |||
Shangri-La Asia, Ltd. (b) | 116,000 | 113,523 | |||
Shanxi Coking Coal Energy Group Co, Ltd. Class A | 129,480 | 166,538 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 125,762 | |||
Shanxi Meijin Energy Co., Ltd. Class A (b) | 34,400 | 40,252 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 42,100 | 48,806 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A (b) | 6,400 | 443,781 | |||
Shenergy Co., Ltd. Class A | 156,400 | 148,633 |
Security Description | Shares | Value | |||
Sheng Ye Capital, Ltd. | 92,500 | $ 91,597 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 114,861 | |||
Shennan Circuits Co., Ltd. Class A | 4,760 | 81,874 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 106,000 | 76,782 | |||
Shenzhen Energy Group Co., Ltd. Class A | 52,200 | 74,088 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 2,627 | 52,708 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 30,750 | 353,436 | |||
Shenzhen International Holdings, Ltd. | 128,782 | 178,103 | |||
Shenzhen Investment, Ltd. | 376,301 | 115,810 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 4,100 | 94,554 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 8,800 | 653,852 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 50,300 | 57,923 | |||
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A (b) | 7,200 | 36,664 | |||
Shenzhen SC New Energy Technology Corp. Class A | 2,200 | 39,503 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 5,900 | 28,199 | |||
Shenzhou International Group Holdings, Ltd. | 103,100 | 2,603,438 | |||
Shimao Group Holdings, Ltd. | 142,000 | 348,150 | |||
Shimao Services Holdings, Ltd. (d) | 71,000 | 245,479 | |||
Shoucheng Holdings, Ltd. (c) | 176,000 | 42,154 | |||
Shougang Fushan Resources Group, Ltd. | 244,000 | 71,951 | |||
Shui On Land, Ltd. (b) | 328,000 | 53,218 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 146,376 | |||
Sichuan Swellfun Co., Ltd. Class A | 3,400 | 66,491 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. (c) | 463,000 | 197,938 | |||
Silergy Corp. | 10,000 | 1,360,251 |
Security Description | Shares | Value | |||
Sinolink Securities Co., Ltd. Class A | 19,600 | $ 38,497 | |||
Sinoma Science & Technology Co., Ltd. Class A | 11,600 | 46,986 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 64,797 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 91,003 | |||
Sinopec Kantons Holdings, Ltd. (c) | 120,000 | 44,966 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 77,518 | |||
Sinopharm Group Co., Ltd. Class H | 206,400 | 613,950 | |||
Sinotruk Hong Kong, Ltd. | 87,000 | 186,416 | |||
SITC International Holdings Co., Ltd. | 154,000 | 643,497 | |||
Skshu Paint Co., Ltd. Class A | 2,520 | 68,647 | |||
Smoore International Holdings, Ltd. (d) | 143,000 | 792,721 | |||
SOHO China, Ltd. (b) | 353,000 | 189,549 | |||
Sohu.com, Ltd. ADR (b) | 8,000 | 148,800 | |||
Songcheng Performance Development Co., Ltd. Class A | 32,040 | 83,313 | |||
SOS, Ltd. ADR (b) (c) | 21,500 | 71,165 | |||
So-Young International, Inc. ADR (b) | 2,500 | 24,025 | |||
Spring Airlines Co., Ltd. Class A | 11,700 | 103,041 | |||
Sun Art Retail Group, Ltd. (b) | 251,500 | 187,187 | |||
Sunac China Holdings, Ltd. (b) | 325,000 | 1,115,300 | |||
Sunac Services Holdings, Ltd. (d) | 75,000 | 278,624 | |||
Suncity Group Holdings, Ltd. (b) | 400,000 | 20,088 | |||
Sungrow Power Supply Co., Ltd. Class A | 9,400 | 167,403 | |||
Suning.com Co., Ltd. Class A | 50,500 | 43,693 | |||
Sunny Optical Technology Group Co., Ltd. | 86,000 | 2,717,590 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 95,248 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 11,100 | 35,804 | |||
Suzhou Gold Mantis Construction Decoration Co., Ltd. Class A | 54,900 | 67,299 |
Security Description | Shares | Value | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 800 | $ 56,302 | |||
TAL Education Group ADR (b) | 54,000 | 1,362,420 | |||
TBEA Co., Ltd. Class A | 113,000 | 224,746 | |||
TCL Electronics Holdings, Ltd. | 73,000 | 43,523 | |||
TCL Technology Group Corp Class A | 139,900 | 165,649 | |||
Tencent Holdings, Ltd. | 713,700 | 53,670,983 | |||
Tencent Music Entertainment Group ADR (b) | 88,000 | 1,362,240 | |||
Thunder Software Technology Co., Ltd. Class A | 6,400 | 155,581 | |||
Tianfeng Securities Co., Ltd. Class A | 115,900 | 87,183 | |||
Tiangong International Co., Ltd. (c) | 104,000 | 44,327 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 15,600 | 93,201 | |||
Tianli Education International Holdings, Ltd. | 105,000 | 39,886 | |||
Tianma Microelectronics Co., Ltd. Class A (b) | 16,900 | 37,091 | |||
Tianneng Power International, Ltd. (c) | 62,000 | 108,418 | |||
Times Neighborhood Holdings, Ltd. (c) | 42,000 | 36,019 | |||
Tingyi Cayman Islands Holding Corp. | 262,000 | 522,931 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 46,824 | |||
Tongcheng-Elong Holdings, Ltd. (b) | 119,200 | 298,389 | |||
Tongdao Liepin Group (b) | 19,400 | 44,816 | |||
Tongkun Group Co., Ltd. Class A | 12,700 | 47,353 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | 146,044 | |||
Tongwei Co., Ltd. Class A | 37,800 | 253,156 | |||
Topchoice Medical Corp. Class A (b) | 2,000 | 127,228 | |||
Topsports International Holdings, Ltd. (d) | 188,000 | 307,933 | |||
Towngas China Co., Ltd. | 94,027 | 69,499 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 80,551 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 230,924 | |||
Trip.com Group, Ltd. ADR (b) | 64,900 | 2,301,354 |
Security Description | Shares | Value | |||
Tsingtao Brewery Co., Ltd. Class A (b) | 4,500 | $ 80,551 | |||
Tsingtao Brewery Co., Ltd. Class H (b) | 64,000 | 688,965 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 3,400 | 81,142 | |||
Uni-President China Holdings, Ltd. | 138,000 | 152,290 | |||
Unisplendour Corp., Ltd. Class A | 12,880 | 43,619 | |||
Up Fintech Holding, Ltd. ADR (b) | 9,600 | 278,208 | |||
Venus MedTech Hangzhou, Inc. Class H (b) (d) | 26,500 | 220,951 | |||
Vesync Co., Ltd. (c) | 57,000 | 84,995 | |||
Vipshop Holdings, Ltd. ADR (b) | 55,600 | 1,116,448 | |||
Viva Biotech Holdings (d) | 81,500 | 104,317 | |||
VSTECS Holdings, Ltd. | 136,000 | 109,804 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 209,141 | |||
Wanhua Chemical Group Co., Ltd. Class A | 25,400 | 427,812 | |||
Want Want China Holdings, Ltd. | 570,000 | 403,691 | |||
Weibo Corp. ADR (b) (c) | 7,610 | 400,438 | |||
Weichai Power Co., Ltd. Class A | 79,100 | 218,782 | |||
Weichai Power Co., Ltd. Class H | 223,000 | 495,629 | |||
Weifu High-Technology Group Co., Ltd. Class A | 52,900 | 170,551 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 119,905 | |||
Weimob, Inc. (b) (c) (d) | 245,000 | 540,108 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 34,560 | 76,867 | |||
West China Cement, Ltd. (c) | 262,000 | 40,148 | |||
Western Securities Co., Ltd. Class A | 30,800 | 39,329 | |||
Wharf Holdings, Ltd. | 247,000 | 941,455 | |||
Will Semiconductor Co., Ltd. Class A | 5,600 | 279,096 | |||
Wilmar International, Ltd. | 246,800 | 826,216 | |||
Wingtech Technology Co., Ltd. Class A | 8,000 | 119,984 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 214,021 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 33,320 | 142,236 |
Security Description | Shares | Value | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 11,500 | $ 42,754 | |||
Wuliangye Yibin Co., Ltd. Class A (b) | 30,200 | 1,392,429 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 12,400 | 29,691 | |||
WuXi AppTec Co., Ltd. Class A | 21,000 | 508,972 | |||
WuXi AppTec Co., Ltd. Class H (d) | 43,603 | 1,017,947 | |||
Wuxi Biologics Cayman, Inc. (b) (d) | 416,000 | 7,622,707 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 23,680 | 220,422 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 2,000 | 55,395 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 110,819 | |||
XD, Inc. (b) | 22,000 | 194,055 | |||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (d) | 40,500 | 42,451 | |||
Xiamen C & D, Inc. Class A | 72,000 | 90,267 | |||
Xiaomi Corp. Class B (b) (d) | 1,769,400 | 6,151,780 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 22,900 | 43,100 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H (c) | 115,200 | 180,087 | |||
Xinyi Solar Holdings, Ltd. (c) | 587,966 | 1,268,929 | |||
XPeng, Inc. ADR (b) (c) | 42,100 | 1,870,082 | |||
Xtep International Holdings, Ltd. (c) | 135,974 | 256,335 | |||
Yadea Group Holdings, Ltd. (d) | 146,000 | 313,964 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 370,300 | 388,427 | |||
Yanlord Land Group, Ltd. | 52,900 | 48,012 | |||
Yantai Eddie Precision Machinery Co., Ltd. Class A | 13,300 | 88,250 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | 80,948 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 255,426 | |||
Yealink Network Technology Corp., Ltd. Class A | 8,400 | 108,952 |
Security Description | Shares | Value | |||
YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H (c) (d) | 22,000 | $ 24,278 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 6,916 | 60,041 | |||
Yihai International Holding, Ltd. (c) | 58,000 | 389,487 | |||
Yihai Kerry Arawana Holdings Co., Ltd. Class A | 10,000 | 131,500 | |||
Yixin Group, Ltd. (b) (d) | 141,000 | 38,673 | |||
Yonghui Superstores Co., Ltd. Class A | 51,900 | 37,996 | |||
Yonyou Network Technology Co., Ltd. Class A | 20,930 | 107,746 | |||
Yuexiu Property Co., Ltd. | 142,800 | 150,415 | |||
Yuexiu Transport Infrastructure, Ltd. (c) | 84,000 | 48,675 | |||
Yum China Holdings, Inc. | 53,300 | 3,531,125 | |||
Yunda Holding Co., Ltd. Class A | 18,850 | 39,475 | |||
Yunnan Aluminium Co., Ltd. Class A (b) | 41,400 | 76,253 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 9,200 | 164,781 | |||
Yunnan Energy New Material Co., Ltd. Class A | 5,400 | 195,662 | |||
Yutong Bus Co., Ltd. Class A | 35,800 | 69,208 | |||
Yuzhou Group Holdings Co., Ltd. | 284,209 | 72,829 | |||
Zai Lab, Ltd. ADR (b) | 9,795 | 1,733,617 | |||
Zensun Enterprises, Ltd. | 1,200,000 | 100,440 | |||
Zepp Health Corp. ADR (b) (c) | 5,700 | 66,918 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 4,200 | 291,426 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 95,000 | 90,280 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (b) | 45,800 | 45,510 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 13,200 | 68,198 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 18,400 | 60,091 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 8,260 | 75,033 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 153,044 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 27,000 | 87,258 |
Security Description | Shares | Value | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 7,300 | $ 129,033 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 20,600 | 161,016 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 21,100 | 44,872 | |||
Zhejiang NHU Co., Ltd. Class A | 14,040 | 62,324 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 34,000 | 126,194 | |||
Zhejiang Satellite Petrochemical Co., Ltd. Class A | 12,600 | 76,429 | |||
Zhejiang Supor Co., Ltd. Class A | 3,800 | 37,519 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | 123,062 | |||
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H | 27,200 | 34,640 | |||
Zhenro Properties Group, Ltd. | 342,000 | 191,129 | |||
Zheshang Securities Co., Ltd. Class A (b) | 21,700 | 43,932 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (b) (c) (d) | 60,300 | 341,261 | |||
Zhongjin Gold Corp., Ltd. Class A | 37,500 | 50,032 | |||
Zhongsheng Group Holdings, Ltd. | 68,500 | 569,815 | |||
Zhou Hei Ya International Holdings Co., Ltd. (c) (d) | 102,000 | 122,282 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H (b) (c) | 61,000 | 360,540 | |||
Zhuzhou Kibing Group Co., Ltd. Class A | 19,700 | 56,592 | |||
Zijin Mining Group Co., Ltd. Class A | 135,100 | 202,623 | |||
Zijin Mining Group Co., Ltd. Class H | 684,000 | 919,534 | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A | 87,400 | 124,995 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 198,800 | 208,122 | |||
ZTE Corp. Class A | 25,000 | 128,582 | |||
ZTE Corp. Class H (c) | 90,800 | 283,536 |
Security Description | Shares | Value | |||
ZTO Express Cayman, Inc. ADR | 57,200 | $ 1,736,020 | |||
426,695,940 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA ADR | 500 | 14,400 | |||
Bancolombia SA | 29,524 | 208,740 | |||
Bancolombia SA Preference Shares | 45,715 | 328,355 | |||
Cementos Argos SA | 60,790 | 87,099 | |||
Corp. Financiera Colombiana SA (b) | 9,211 | 72,030 | |||
Ecopetrol SA ADR (c) | 700 | 10,234 | |||
Ecopetrol SA | 545,795 | 397,872 | |||
Grupo Argos SA | 29,927 | 80,147 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 122,816 | |||
Interconexion Electrica SA ESP | 50,157 | 297,530 | |||
Millicom International Cellular SA SDR (b) | 12,213 | 483,827 | |||
2,103,050 | |||||
CZECH REPUBLIC — 0.0% (a) | |||||
CEZ A/S | 15,240 | 452,059 | |||
Komercni banka A/S (b) | 6,779 | 238,589 | |||
Moneta Money Bank A/S (b) (d) | 69,836 | 265,271 | |||
955,919 | |||||
DENMARK — 1.5% | |||||
ALK-Abello A/S (b) | 756 | 360,726 | |||
Alm Brand A/S | 10,321 | 74,726 | |||
Ambu A/S Class B | 22,135 | 851,081 | |||
AP Moller - Maersk A/S Class A | 524 | 1,455,706 | |||
AP Moller - Maersk A/S Class B | 733 | 2,107,044 | |||
Atlantic Sapphire ASA (b) | 7,460 | 78,803 | |||
Bavarian Nordic A/S (b) | 9,501 | 392,128 | |||
Better Collective A/S (b) | 2,526 | 59,959 | |||
Carlsberg AS Class B | 12,315 | 2,295,849 | |||
Cementir Holding NV | 5,474 | 55,828 | |||
Chemometec A/S | 1,244 | 167,340 | |||
Chr. Hansen Holding A/S | 13,948 | 1,258,991 | |||
Coloplast A/S Class B | 14,203 | 2,330,719 | |||
D/S Norden A/S | 2,858 | 90,928 | |||
Danske Bank A/S | 82,460 | 1,451,142 | |||
Demant A/S (b) | 12,949 | 728,963 | |||
Dfds A/S (b) | 6,404 | 361,330 | |||
Drilling Co. of 1972 A/S (b) | 3,800 | 158,774 | |||
DSV Panalpina A/S | 25,549 | 5,958,873 | |||
FLSmidth & Co. A/S | 5,396 | 224,340 | |||
Genmab A/S (b) | 7,836 | 3,206,605 | |||
GN Store Nord A/S | 15,307 | 1,337,231 | |||
H Lundbeck A/S | 11,647 | 370,554 |
Security Description | Shares | Value | |||
ISS A/S (b) | 18,111 | $ 425,152 | |||
Jyske Bank A/S (b) | 6,675 | 322,969 | |||
Matas A/S | 12,409 | 224,807 | |||
Netcompany Group A/S (d) | 4,590 | 521,545 | |||
Nilfisk Holding A/S (b) | 3,415 | 119,542 | |||
NKT A/S (b) | 5,931 | 272,216 | |||
NNIT A/S (d) | 5,944 | 116,974 | |||
Novo Nordisk A/S Class B | 212,824 | 17,832,204 | |||
Novozymes A/S Class B | 24,882 | 1,875,708 | |||
Orsted A/S (d) | 23,518 | 3,300,482 | |||
Pandora A/S | 11,955 | 1,607,206 | |||
Per Aarsleff Holding A/S | 2,547 | 114,544 | |||
Ringkjoebing Landbobank A/S | 4,482 | 454,594 | |||
ROCKWOOL International A/S Class B | 1,235 | 601,296 | |||
Royal Unibrew A/S | 5,900 | 751,596 | |||
Scandinavian Tobacco Group A/S Class A (d) | 7,459 | 152,260 | |||
Schouw & Co. A/S | 1,823 | 200,018 | |||
SimCorp A/S | 5,781 | 725,742 | |||
Spar Nord Bank A/S | 10,370 | 116,756 | |||
Sydbank A/S | 6,778 | 208,727 | |||
Topdanmark A/S | 7,847 | 408,459 | |||
Tryg A/S | 44,194 | 1,085,019 | |||
Vestas Wind Systems A/S | 121,540 | 4,744,878 | |||
Zealand Pharma A/S (b) | 3,423 | 101,098 | |||
61,661,432 | |||||
EGYPT — 0.0% (a) | |||||
Centamin PLC | 118,072 | 165,068 | |||
Commercial International Bank Egypt SAE (b) | 137,796 | 458,032 | |||
Eastern Co SAE | 112,565 | 84,989 | |||
ElSewedy Electric Co. | 69,110 | 37,340 | |||
Energean PLC (b) | 10,480 | 103,370 | |||
848,799 | |||||
FAEROE ISLANDS — 0.0% (a) | |||||
Bakkafrost P/F | 5,785 | 477,982 | |||
FINLAND — 0.8% | |||||
Admicom Oyj | 920 | 93,828 | |||
Aktia Bank Oyj | 4,717 | 60,302 | |||
BasWare Oyj (b) | 895 | 42,190 | |||
Cargotec Oyj Class B | 4,285 | 221,557 | |||
Caverion Oyj | 10,069 | 82,332 | |||
Citycon Oyj (c) | 6,474 | 55,163 | |||
Elisa Oyj | 17,082 | 1,019,360 | |||
Finnair Oyj (b) (c) | 99,297 | 81,911 | |||
Fortum Oyj | 56,879 | 1,568,953 | |||
F-Secure Oyj | 14,547 | 69,437 | |||
Huhtamaki Oyj | 11,550 | 547,201 |
Security Description | Shares | Value | |||
Kemira Oyj | 15,042 | $ 236,893 | |||
Kesko Oyj Class B | 32,844 | 1,213,284 | |||
Kojamo Oyj | 17,592 | 402,018 | |||
Kone Oyj Class B | 42,383 | 3,458,027 | |||
Konecranes Oyj | 8,165 | 343,936 | |||
Metsa Board Oyj | 21,619 | 222,410 | |||
Metso Outotec Oyj | 75,275 | 874,476 | |||
Musti Group Oyj | 3,125 | 115,699 | |||
Neles Oyj | 10,362 | 149,426 | |||
Neste Oyj | 53,097 | 3,251,655 | |||
Nokia Oyj (b) (e) | 697,278 | 3,733,878 | |||
Nokia Oyj (b) (e) | 12,368 | 66,083 | |||
Nokian Renkaat Oyj | 16,301 | 658,233 | |||
Nordea Bank Abp (e) | 397,919 | 4,432,308 | |||
Nordea Bank Abp (e) | 4,394 | 48,972 | |||
Oriola Oyj Class B | 11,775 | 25,722 | |||
Orion Oyj Class B | 13,299 | 571,709 | |||
Outokumpu Oyj (b) | 43,225 | 258,968 | |||
QT Group Oyj (b) | 2,168 | 253,761 | |||
Remedy Entertainment Oyj | 975 | 54,633 | |||
Revenio Group Oyj | 3,977 | 301,373 | |||
Rovio Entertainment Oyj (d) | 4,628 | 37,732 | |||
Sampo Oyj Class A | 61,974 | 2,848,666 | |||
Sanoma Oyj | 6,693 | 110,963 | |||
Stora Enso Oyj Class R | 72,289 | 1,318,919 | |||
Talenom Oyj | 3,511 | 59,458 | |||
TietoEVRY Oyj | 12,811 | 404,730 | |||
Tokmanni Group Corp. | 6,629 | 183,326 | |||
UPM-Kymmene Oyj | 66,953 | 2,532,847 | |||
Uponor Oyj | 8,507 | 246,562 | |||
Valmet Oyj | 16,786 | 732,162 | |||
Wartsila OYJ Abp | 58,823 | 873,024 | |||
YIT Oyj | 22,823 | 139,795 | |||
34,003,882 | |||||
FRANCE — 5.7% | |||||
AB Science SA (b) | 2,718 | 31,491 | |||
ABC arbitrage | 11,541 | 97,174 | |||
Accor SA (b) | 22,237 | 830,419 | |||
Adevinta ASA (b) | 33,761 | 647,349 | |||
Aeroports de Paris (b) | 3,759 | 489,689 | |||
Air France-KLM (b) (c) | 31,743 | 153,211 | |||
Air Liquide SA | 58,860 | 10,306,979 | |||
Airbus SE (b) | 73,079 | 9,397,891 | |||
Akka Technologies (b) | 1,111 | 30,988 | |||
AKWEL | 1,074 | 31,332 | |||
Albioma SA | 2,408 | 98,577 | |||
ALD SA (d) | 10,890 | 163,239 | |||
Alstom SA (b) | 34,329 | 1,733,872 | |||
Altarea SCA REIT | 430 | 90,361 | |||
Alten SA | 3,331 | 441,636 | |||
Amundi SA (d) | 7,501 | 661,376 | |||
Arkema SA | 8,357 | 1,048,538 | |||
Atos SE | 11,588 | 704,976 | |||
Aubay | 681 | 35,938 |
Security Description | Shares | Value | |||
AXA SA | 240,409 | $ 6,096,889 | |||
Beneteau SA (b) | 8,515 | 134,707 | |||
BioMerieux | 4,754 | 552,502 | |||
BNP Paribas SA | 139,771 | 8,763,441 | |||
Boiron SA | 454 | 20,809 | |||
Bollore SA | 103,643 | 555,555 | |||
Bonduelle SCA | 1,324 | 33,208 | |||
Bouygues SA | 29,620 | 1,095,592 | |||
Bureau Veritas SA (b) | 35,509 | 1,123,499 | |||
Capgemini SE | 19,925 | 3,827,909 | |||
Carmila SA REIT | 4,668 | 63,994 | |||
Carrefour SA | 73,995 | 1,455,346 | |||
Casino Guichard Perrachon SA (b) | 4,904 | 155,569 | |||
Cellectis SA (b) | 6,927 | 110,077 | |||
CGG SA (b) | 58,359 | 51,948 | |||
Chargeurs SA | 4,947 | 137,280 | |||
Cie de Saint-Gobain | 62,900 | 4,142,903 | |||
Cie des Alpes (b) | 1,015 | 16,298 | |||
Cie Generale des Etablissements Michelin SCA | 21,053 | 3,358,030 | |||
Cie Plastic Omnium SA | 7,171 | 223,998 | |||
CNP Assurances | 19,699 | 335,231 | |||
Coface SA (b) | 17,138 | 207,711 | |||
Covivio REIT | 6,407 | 547,972 | |||
Credit Agricole SA | 149,109 | 2,089,051 | |||
Cromwell European Real Estate Investment Trust | 48,960 | 144,574 | |||
Danone SA | 80,433 | 5,663,040 | |||
Dassault Aviation SA | 302 | 355,277 | |||
Dassault Systemes SE | 16,425 | 3,983,336 | |||
Derichebourg SA (b) | 21,744 | 219,699 | |||
Devoteam SA (b) | 452 | 58,963 | |||
Edenred | 30,294 | 1,726,229 | |||
Eiffage SA | 10,234 | 1,041,312 | |||
Electricite de France SA | 80,706 | 1,102,571 | |||
Elior Group SA (b) (d) | 8,872 | 66,284 | |||
Elis SA (b) | 21,635 | 407,689 | |||
Engie SA | 226,557 | 3,104,260 | |||
Eramet SA (b) | 843 | 55,034 | |||
EssilorLuxottica SA | 35,458 | 6,544,610 | |||
Eurazeo SE | 5,311 | 462,926 | |||
Eutelsat Communications SA | 21,173 | 247,425 | |||
Faurecia SE (e) | 15,629 | 766,770 | |||
Faurecia SE (e) | 2,032 | 99,402 | |||
Fnac Darty SA (b) | 1,790 | 115,160 | |||
Gaztransport Et Technigaz SA | 2,303 | 185,990 | |||
Gecina SA REIT | 6,104 | 935,245 | |||
Getlink SE | 53,520 | 834,623 | |||
Hermes International | 3,935 | 5,732,818 | |||
ICADE REIT | 3,273 | 282,570 | |||
ID Logistics Group (b) | 230 | 64,371 | |||
Iliad SA | 2,214 | 323,997 |
Security Description | Shares | Value | |||
Imerys SA | 3,902 | $ 182,319 | |||
Interparfums SA | 1,552 | 100,860 | |||
Ipsen SA | 4,328 | 450,230 | |||
IPSOS | 5,617 | 236,806 | |||
JCDecaux SA (b) | 11,798 | 327,116 | |||
Kaufman & Broad SA | 1,893 | 90,021 | |||
Kering SA | 9,321 | 8,146,635 | |||
Klepierre SA REIT | 26,644 | 686,606 | |||
Korian SA | 10,241 | 378,189 | |||
La Francaise des Jeux SAEM (d) | 11,776 | 692,393 | |||
Lagardere SCA (b) | 5,606 | 138,548 | |||
Legrand SA | 33,233 | 3,517,829 | |||
LISI | 1,713 | 55,966 | |||
LNA Sante SA | 455 | 28,598 | |||
L'Oreal SA | 31,306 | 13,951,877 | |||
LVMH Moet Hennessy Louis Vuitton SE | 34,497 | 27,053,791 | |||
Maisons du Monde SA (b) (d) | 4,452 | 110,344 | |||
Manitou BF SA | 1,060 | 33,940 | |||
McPhy Energy SA (b) | 2,265 | 57,374 | |||
Mercialys SA REIT | 13,227 | 160,153 | |||
Mersen SA (b) | 1,410 | 54,929 | |||
Metropole Television SA | 2,287 | 48,114 | |||
Natixis SA | 108,652 | 515,402 | |||
Neoen SA (b) (d) | 4,060 | 182,383 | |||
Nexans SA | 3,423 | 311,960 | |||
Nexity SA | 5,241 | 262,162 | |||
Orange SA | 247,906 | 2,826,732 | |||
Orpea SA (b) | 6,079 | 773,175 | |||
Pernod Ricard SA | 26,033 | 5,779,341 | |||
PEUGEOT INVEST | 451 | 60,651 | |||
Pharmagest Interactive | 412 | 45,390 | |||
Publicis Groupe SA | 26,906 | 1,721,109 | |||
Quadient SA | 3,126 | 93,939 | |||
Remy Cointreau SA | 3,144 | 649,127 | |||
Renault SA (b) | 23,153 | 935,877 | |||
Rexel SA | 27,948 | 584,652 | |||
Rubis SCA | 11,246 | 499,991 | |||
Safran SA | 42,145 | 5,843,636 | |||
Sanofi | 140,797 | 14,753,579 | |||
Sartorius Stedim Biotech | 3,337 | 1,578,587 | |||
SCOR SE (b) | 21,592 | 686,752 | |||
SEB SA | 3,412 | 616,655 | |||
Societe BIC SA | 4,123 | 286,523 | |||
Societe Generale SA | 101,334 | 2,987,477 | |||
Sodexo SA (b) | 10,702 | 998,822 | |||
SOITEC (b) | 2,766 | 609,789 | |||
Solutions 30 SE (b) (c) | 8,587 | 59,369 | |||
Sopra Steria Group SACA | 2,111 | 406,057 | |||
SPIE SA | 14,272 | 328,348 | |||
Suez SA | 41,703 | 991,585 | |||
Tarkett SA (b) | 2,965 | 70,324 | |||
Technicolor SA (b) | 24,714 | 95,838 |
Security Description | Shares | Value | |||
Technip Energies NV (b) | 10,566 | $ 144,849 | |||
Teleperformance | 7,298 | 2,962,505 | |||
Television Francaise 1 | 4,354 | 44,018 | |||
Thales SA | 12,857 | 1,311,863 | |||
TotalEnergies SE | 310,447 | 14,047,117 | |||
Trigano SA | 999 | 206,377 | |||
Ubisoft Entertainment SA (b) | 12,260 | 858,391 | |||
Unibail-Rodamco-Westfield REIT (b) | 34,100 | 145,411 | |||
Unibail-Rodamco-Westfield REIT (b) | 14,778 | 1,279,167 | |||
Valeo SA | 27,564 | 829,299 | |||
Valneva SE (b) | 6,910 | 91,288 | |||
Veolia Environnement SA | 66,965 | 2,022,670 | |||
Verallia SASU (d) | 6,893 | 255,532 | |||
Vicat SA | 1,828 | 88,339 | |||
Vilmorin & Cie SA | 622 | 41,307 | |||
Vinci SA | 66,153 | 7,059,795 | |||
Virbac SA | 438 | 150,114 | |||
Vivendi SE | 100,137 | 3,364,259 | |||
Voltalia SA (b) | 2,962 | 79,034 | |||
Wendel SE | 3,842 | 516,676 | |||
Worldline SA (b) (d) | 29,643 | 2,775,029 | |||
236,949,640 | |||||
GERMANY — 5.2% | |||||
1&1 AG | 6,659 | 203,740 | |||
Aareal Bank AG | 7,346 | 169,615 | |||
Adesso SE | 303 | 50,665 | |||
adidas AG | 23,659 | 8,807,162 | |||
ADLER Group SA (d) | 8,987 | 236,388 | |||
ADVA Optical Networking SE (b) | 10,788 | 149,428 | |||
AIXTRON SE | 17,031 | 461,503 | |||
Allianz SE | 51,232 | 12,776,999 | |||
alstria office REIT-AG | 23,891 | 441,701 | |||
Amadeus Fire AG | 685 | 125,263 | |||
Aroundtown SA | 118,739 | 926,547 | |||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,824 | 117,544 | |||
Aurubis AG | 4,053 | 375,673 | |||
BASF SE | 114,131 | 8,992,523 | |||
Basler AG | 379 | 46,923 | |||
Bayer AG | 122,077 | 7,413,733 | |||
Bayerische Motoren Werke AG | 41,018 | 4,344,331 | |||
Bayerische Motoren Werke AG Preference Shares | 7,422 | 667,173 | |||
BayWa AG | 2,500 | 107,917 | |||
Bechtle AG | 3,501 | 650,385 | |||
Beiersdorf AG | 12,526 | 1,511,455 | |||
Bertrandt AG | 1,559 | 104,273 | |||
Bilfinger SE | 5,632 | 168,578 |
Security Description | Shares | Value | |||
Borussia Dortmund GmbH & Co. KGaA (b) | 6,662 | $ 49,101 | |||
Brenntag SE | 19,647 | 1,827,138 | |||
CANCOM SE | 3,937 | 238,113 | |||
Carl Zeiss Meditec AG | 4,761 | 920,028 | |||
CECONOMY AG (b) | 17,753 | 86,655 | |||
Cewe Stiftung & Co. KGaA | 785 | 121,580 | |||
Commerzbank AG (b) | 118,952 | 843,852 | |||
CompuGroup Medical SE & Co. KgaA | 2,805 | 219,712 | |||
Continental AG (b) | 13,669 | 2,009,725 | |||
Corestate Capital Holding SA (b) (c) | 2,251 | 29,364 | |||
Covestro AG (d) | 24,278 | 1,567,974 | |||
CropEnergies AG | 4,161 | 53,392 | |||
CTS Eventim AG & Co. KGaA (b) | 7,518 | 469,852 | |||
Daimler AG | 106,351 | 9,496,965 | |||
Datagroup SE (b) | 430 | 33,146 | |||
Dermapharm Holding SE | 2,022 | 161,258 | |||
Deutsche Bank AG (b) | 256,255 | 3,338,568 | |||
Deutsche Beteiligungs AG | 2,337 | 94,506 | |||
Deutsche Boerse AG | 23,549 | 4,110,821 | |||
Deutsche EuroShop AG | 5,377 | 127,532 | |||
Deutsche Lufthansa AG (b) (c) | 34,273 | 385,715 | |||
Deutsche Pfandbriefbank AG (d) | 14,871 | 147,045 | |||
Deutsche Post AG | 123,173 | 8,378,629 | |||
Deutsche Telekom AG | 414,165 | 8,748,516 | |||
Deutsche Wohnen SE | 43,023 | 2,631,663 | |||
Deutz AG (b) | 12,501 | 101,106 | |||
DIC Asset AG | 5,992 | 103,533 | |||
Draegerwerk AG & Co. KGaA | 314 | 29,194 | |||
Draegerwerk AG & Co. KGaA Preference Shares | 947 | 89,619 | |||
Duerr AG | 7,444 | 283,197 | |||
E.ON SE | 278,810 | 3,225,072 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 1,588 | 181,447 | |||
Elmos Semiconductor SE | 932 | 40,342 | |||
ElringKlinger AG (b) | 2,938 | 52,298 | |||
Encavis AG | 9,179 | 173,513 | |||
Evonik Industries AG | 25,651 | 860,265 | |||
Evotec SE (b) | 15,941 | 722,717 | |||
Exasol AG (b) | 1,208 | 25,113 | |||
Flatex DEGIRO AG (b) | 2,461 | 331,250 | |||
Fraport AG Frankfurt Airport Services Worldwide (b) | 4,505 | 306,979 | |||
Freenet AG | 15,392 | 363,607 |
Security Description | Shares | Value | |||
Fresenius Medical Care AG & Co. KGaA | 27,091 | $ 2,250,191 | |||
Fresenius SE & Co. KGaA | 51,960 | 2,710,945 | |||
Fuchs Petrolub SE Preference Shares | 7,686 | 373,890 | |||
GEA Group AG | 18,283 | 740,651 | |||
Gerresheimer AG | 3,436 | 379,971 | |||
Grand City Properties SA (b) | 14,407 | 389,203 | |||
GRENKE AG (c) | 2,516 | 110,398 | |||
Hamborner REIT AG | 13,775 | 146,679 | |||
Hamburger Hafen und Logistik AG | 2,218 | 55,763 | |||
Hannover Rueck SE | 7,203 | 1,205,282 | |||
HeidelbergCement AG | 18,492 | 1,586,393 | |||
HelloFresh SE (b) | 20,692 | 2,011,679 | |||
Henkel AG & Co. KGaA Preference Shares | 22,139 | 2,337,714 | |||
Henkel AG & Co. KGaA | 12,449 | 1,146,368 | |||
Hensoldt AG | 7,515 | 135,463 | |||
HOCHTIEF AG | 2,491 | 191,306 | |||
Home24 SE (b) | 2,725 | 50,897 | |||
Hornbach Baumarkt AG | 819 | 35,985 | |||
Hornbach Holding AG & Co. KGaA | 1,214 | 138,354 | |||
HUGO BOSS AG | 7,436 | 404,586 | |||
Hypoport SE (b) | 368 | 190,275 | |||
Indus Holding AG | 1,771 | 70,148 | |||
Infineon Technologies AG | 162,275 | 6,508,389 | |||
Instone Real Estate Group AG (d) | 7,035 | 211,907 | |||
Jenoptik AG | 5,308 | 145,157 | |||
JOST Werke AG (d) | 3,047 | 181,756 | |||
Jungheinrich AG Preference Shares | 4,946 | 241,775 | |||
Just Eat Takeaway (b) (c) (d) | 5,995 | 554,218 | |||
Just Eat Takeaway.com NV (b) (c) (d) | 9,121 | 842,289 | |||
Just Eat Takeaway.com NV ADR (b) (c) | 26,840 | 490,098 | |||
K+S AG (b) | 20,821 | 283,460 | |||
KION Group AG | 8,481 | 903,979 | |||
Kloeckner & Co. SE (b) | 12,637 | 172,941 | |||
Knorr-Bremse AG | 8,692 | 999,861 | |||
Koenig & Bauer AG (b) | 1,881 | 62,794 | |||
Krones AG | 2,176 | 194,442 | |||
KWS SAA t SE & Co. KGaA | 1,045 | 86,005 | |||
LANXESS AG | 9,763 | 669,437 | |||
LEG Immobilien SE | 9,234 | 1,329,951 | |||
LPKF Laser & Electronics AG | 2,502 | 72,873 | |||
MBB SE | 230 | 35,840 | |||
Medios AG (b) | 1,048 | 41,759 | |||
Merck KGaA | 16,167 | 3,100,186 |
Security Description | Shares | Value | |||
METRO AG | 18,554 | $ 229,713 | |||
MLP SE | 12,808 | 105,868 | |||
MorphoSys AG (b) | 3,637 | 282,164 | |||
MTU Aero Engines AG | 6,629 | 1,642,233 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 17,409 | 4,768,042 | |||
Nagarro SE (b) | 1,607 | 197,244 | |||
Nemetschek SE | 7,176 | 549,067 | |||
New Work SE | 256 | 80,452 | |||
Nordex SE (b) | 11,184 | 271,629 | |||
Norma Group SE | 3,466 | 177,484 | |||
Northern Data AG (b) | 970 | 93,866 | |||
OHB SE | 540 | 23,662 | |||
PATRIZIA AG | 4,758 | 124,135 | |||
Pfeiffer Vacuum Technology AG | 515 | 97,840 | |||
PNE AG | 3,945 | 34,760 | |||
Porsche Automobil Holding SE Preference Shares | 19,027 | 2,038,895 | |||
ProSiebenSat.1 Media SE | 29,028 | 577,468 | |||
Puma SE | 13,311 | 1,587,234 | |||
Rational AG | 716 | 648,716 | |||
Rheinmetall AG | 6,001 | 592,812 | |||
RWE AG | 79,910 | 2,896,028 | |||
SAF-Holland SE (b) | 7,955 | 110,659 | |||
Salzgitter AG (b) | 3,534 | 105,026 | |||
SAP SE | 129,757 | 18,286,969 | |||
Sartorius AG Preference Shares | 4,275 | 2,225,609 | |||
Scout24 AG (d) | 10,840 | 914,259 | |||
Secunet Security Networks AG | 245 | 108,955 | |||
SGL Carbon SE (b) | 6,303 | 60,471 | |||
Siemens AG | 95,060 | 15,063,211 | |||
Siemens Energy AG (b) | 48,037 | 1,448,104 | |||
Siemens Healthineers AG (d) | 34,061 | 2,087,508 | |||
Siltronic AG | 2,468 | 411,216 | |||
Sirius Real Estate, Ltd. | 129,886 | 198,451 | |||
Sixt SE (b) | 1,408 | 189,683 | |||
Sixt SE Preference Shares | 2,921 | 235,553 | |||
SMA Solar Technology AG | 2,210 | 126,796 | |||
Software AG | 5,291 | 238,058 | |||
Softwareone Holding AG | 10,037 | 237,257 | |||
Stabilus SA | 3,524 | 286,478 | |||
Steico SE | 1,042 | 136,669 | |||
STO SE & Co. KGaA Preference Shares | 608 | 132,669 | |||
STRATEC SE | 869 | 121,399 | |||
Stroeer SE & Co. KGaA | 2,915 | 233,514 | |||
Suedzucker AG | 6,464 | 103,487 | |||
Symrise AG | 15,987 | 2,227,682 |
Security Description | Shares | Value | |||
TAG Immobilien AG | 17,690 | $ 561,387 | |||
Takkt AG | 5,349 | 88,934 | |||
TeamViewer AG (b) (d) | 19,278 | 725,176 | |||
Telefonica Deutschland Holding AG | 125,136 | 330,188 | |||
Thyssenkrupp AG (b) | 48,637 | 506,995 | |||
TUI AG (b) (c) | 90,444 | 461,668 | |||
Uniper SE | 26,583 | 979,160 | |||
United Internet AG | 11,799 | 482,459 | |||
Varta AG | 2,186 | 337,009 | |||
VERBIO Vereinigte BioEnergie AG | 7,261 | 367,854 | |||
Volkswagen AG | 3,902 | 1,280,860 | |||
Volkswagen AG Preference Shares | 23,061 | 5,775,909 | |||
Vonovia SE | 68,358 | 4,419,707 | |||
Vossloh AG | 1,786 | 90,122 | |||
Wacker Chemie AG | 1,730 | 266,812 | |||
Wacker Neuson SE | 5,915 | 170,034 | |||
Washtec AG | 1,430 | 88,692 | |||
Westwing Group AG (b) | 1,239 | 67,795 | |||
Wuestenrot & Wuerttembergische AG | 2,120 | 48,573 | |||
Zalando SE (b) (d) | 24,121 | 2,916,291 | |||
Zeal Network SE | 1,460 | 72,546 | |||
zooplus AG (b) | 679 | 219,988 | |||
218,188,033 | |||||
GHANA — 0.0% (a) | |||||
Tullow Oil PLC (b) | 111,829 | 91,857 | |||
GREECE — 0.1% | |||||
Aegean Airlines SA (b) | 8,153 | 51,147 | |||
Alpha Services & Holdings SA (b) | 172,895 | 221,029 | |||
Athens Water Supply & Sewage Co. SA | 4,435 | 43,496 | |||
Eurobank Ergasias Services & Holdings SA Class A (b) | 305,141 | 307,587 | |||
FF Group (b) (f) | 122 | — | |||
GEK Terna Holding Real Estate Construction SA (b) | 9,885 | 109,607 | |||
Hellenic Petroleum SA | 7,184 | 52,310 | |||
Hellenic Telecommunications Organization SA | 27,628 | 463,611 | |||
Holding Co. ADMIE IPTO SA | 31,100 | 96,076 | |||
JUMBO SA | 12,792 | 215,263 | |||
LAMDA Development SA (b) | 12,062 | 107,569 | |||
Motor Oil Hellas Corinth Refineries SA (b) | 5,457 | 92,542 | |||
Mytilineos SA | 11,055 | 201,109 |
Security Description | Shares | Value | |||
National Bank of Greece SA (b) | 54,691 | $ 155,659 | |||
OPAP SA | 23,149 | 348,920 | |||
Piraeus Financial Holdings SA (b) | 77,686 | 137,271 | |||
Public Power Corp. SA (b) | 11,042 | 117,460 | |||
Sarantis SA | 3,274 | 34,555 | |||
Terna Energy SA | 8,992 | 126,897 | |||
2,882,108 | |||||
HONG KONG — 1.6% | |||||
AIA Group, Ltd. | 1,503,000 | 18,676,578 | |||
Alibaba Pictures Group, Ltd. (b) (c) | 1,680,000 | 233,638 | |||
Apollo Future Mobility Group, Ltd. (b) (c) | 1,040,000 | 56,246 | |||
ASM Pacific Technology, Ltd. | 35,200 | 476,836 | |||
Bank of East Asia, Ltd. | 150,940 | 280,273 | |||
Cafe de Coral Holdings, Ltd. | 40,000 | 82,206 | |||
Champion REIT | 237,000 | 133,365 | |||
China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A | 130,000 | 121,532 | |||
China High Speed Transmission Equipment Group Co., Ltd. (b) | 107,000 | 67,927 | |||
China Huishan Dairy Holdings Co., Ltd. (b) (f) | 66,000 | — | |||
China Water Affairs Group, Ltd. | 126,000 | 97,025 | |||
China Youzan, Ltd. (b) (c) | 1,724,000 | 328,556 | |||
Chinese Estates Holdings, Ltd. | 55,000 | 25,638 | |||
Chow Sang Sang Holdings International, Ltd. | 60,000 | 103,839 | |||
Citychamp Watch & Jewellery Group, Ltd. | 286,000 | 55,978 | |||
CK Asset Holdings, Ltd. | 216,181 | 1,492,084 | |||
CK Infrastructure Holdings, Ltd. | 88,000 | 524,656 | |||
CK Life Sciences Int'l Holdings, Inc. (c) | 310,000 | 35,527 | |||
CLP Holdings, Ltd. | 205,500 | 2,032,282 | |||
CMBC Capital Holdings, Ltd. (c) | 1,920,000 | 24,476 | |||
C-Mer Eye Care Holdings, Ltd. | 40,000 | 51,405 | |||
Comba Telecom Systems Holdings, Ltd. (c) | 134,000 | 35,028 | |||
Concord New Energy Group, Ltd. | 620,000 | 47,104 |
Security Description | Shares | Value | |||
Crystal International Group, Ltd. (d) | 65,500 | $ 33,653 | |||
Dah Sing Banking Group, Ltd. | 38,000 | 41,935 | |||
Dah Sing Financial Holdings, Ltd. | 13,200 | 45,128 | |||
Digital China Holdings, Ltd. (c) | 68,000 | 44,920 | |||
EC Healthcare | 54,000 | 97,210 | |||
Far East Consortium International, Ltd. | 109,605 | 41,353 | |||
Fortune Real Estate Investment Trust | 216,000 | 231,413 | |||
Fosun Tourism Group (d) | 50,600 | 80,795 | |||
Glory Sun Financial Group, Ltd. (b) (c) | 4,116,000 | 110,773 | |||
Guotai Junan International Holdings, Ltd. | 261,000 | 41,675 | |||
Haitong International Securities Group, Ltd. (c) | 379,000 | 104,439 | |||
Hang Lung Group, Ltd. | 95,000 | 242,214 | |||
Hang Lung Properties, Ltd. | 287,000 | 697,003 | |||
Hang Seng Bank, Ltd. | 95,800 | 1,913,323 | |||
Henderson Land Development Co., Ltd. | 186,466 | 883,606 | |||
Hi Sun Technology China, Ltd. (b) | 207,000 | 34,918 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 305,164 | 309,257 | |||
HKBN, Ltd. | 83,000 | 100,465 | |||
HKT Trust & HKT, Ltd. Stapled Security | 436,000 | 593,995 | |||
Hong Kong & China Gas Co., Ltd. | 1,398,101 | 2,171,185 | |||
Hong Kong Exchanges & Clearing, Ltd. | 149,661 | 8,918,935 | |||
Hong Kong Television Network, Ltd. (b) (c) | 127,000 | 159,448 | |||
Hongkong & Shanghai Hotels Ltd (b) | 37,473 | 39,423 | |||
Hongkong Land Holdings, Ltd. | 151,200 | 719,712 | |||
Huabao International Holdings, Ltd. (c) | 113,000 | 272,393 | |||
Hutchison Port Holdings Trust Stapled Security | 599,400 | 134,865 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 346,000 | 68,168 | |||
Hutchmed China, Ltd. ADR (b) | 8,500 | 333,795 |
Security Description | Shares | Value | |||
Hysan Development Co., Ltd. | 67,000 | $ 267,022 | |||
Jardine Matheson Holdings, Ltd. | 26,000 | 1,661,920 | |||
Johnson Electric Holdings, Ltd. | 52,500 | 135,545 | |||
K Wah International Holdings, Ltd. | 113,000 | 54,857 | |||
Kerry Properties, Ltd. | 75,500 | 248,885 | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | 255,720 | |||
Lifestyle International Holdings, Ltd. (b) | 41,000 | 31,466 | |||
Link REIT | 261,276 | 2,531,728 | |||
Luk Fook Holdings International, Ltd. | 35,000 | 120,785 | |||
Man Wah Holdings, Ltd. | 234,800 | 564,184 | |||
Melco International Development, Ltd. | 78,000 | 143,227 | |||
Melco Resorts & Entertainment, Ltd. ADR (b) | 26,330 | 436,288 | |||
MTR Corp., Ltd. | 206,381 | 1,149,388 | |||
New World Development Co., Ltd. | 205,581 | 1,068,163 | |||
Nine Dragons Paper Holdings, Ltd. | 191,000 | 244,965 | |||
Nissin Foods Co., Ltd. (c) | 76,000 | 58,131 | |||
NWS Holdings, Ltd. | 179,968 | 191,420 | |||
Pacific Basin Shipping, Ltd. (b) | 551,000 | 222,079 | |||
Pacific Textiles Holdings, Ltd. | 85,000 | 51,115 | |||
PAX Global Technology, Ltd. | 81,000 | 93,142 | |||
PCCW, Ltd. | 461,471 | 241,852 | |||
Perennial Energy Holdings, Ltd. (c) | 95,000 | 22,509 | |||
Perfect Medical Health Management, Ltd. | 80,000 | 96,628 | |||
Pou Sheng International Holdings, Ltd. (b) | 219,000 | 51,607 | |||
Power Assets Holdings, Ltd. | 186,500 | 1,144,334 | |||
Prosperity REIT | 191,000 | 73,047 | |||
Realord Group Holdings, Ltd. (b) | 46,000 | 67,408 | |||
Sa Sa International Holdings, Ltd. (b) | 124,000 | 35,447 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 78,212 | |||
Shun Tak Holdings, Ltd. (b) | 122,000 | 39,275 | |||
Sino Biopharmaceutical, Ltd. | 1,242,000 | 1,218,674 | |||
Sino Land Co., Ltd. | 429,184 | 676,450 | |||
Skyworth Group, Ltd. (b) | 160,000 | 44,915 |
Security Description | Shares | Value | |||
SmarTone Telecommunications Holdings, Ltd. | 38,500 | $ 22,805 | |||
SSY Group, Ltd. | 204,000 | 182,306 | |||
Stella International Holdings, Ltd. | 45,500 | 70,308 | |||
Sun Hung Kai & Co., Ltd. | 57,000 | 30,607 | |||
Sun Hung Kai Properties, Ltd. | 164,500 | 2,450,813 | |||
SUNeVision Holdings, Ltd. | 63,000 | 64,494 | |||
Sunlight Real Estate Investment Trust | 122,000 | 70,537 | |||
Swire Pacific, Ltd. Class A | 57,500 | 389,832 | |||
Swire Properties, Ltd. | 134,200 | 400,050 | |||
Techtronic Industries Co., Ltd. | 172,500 | 3,012,033 | |||
Television Broadcasts, Ltd. (b) | 29,700 | 28,301 | |||
Texhong Textile Group, Ltd. | 30,500 | 49,329 | |||
United Laboratories International Holdings, Ltd. | 166,000 | 136,163 | |||
Value Partners Group, Ltd. (c) | 187,000 | 119,436 | |||
Vinda International Holdings, Ltd. (c) | 38,000 | 116,948 | |||
Vitasoy International Holdings, Ltd. | 82,000 | 304,629 | |||
VTech Holdings, Ltd. | 18,900 | 198,958 | |||
WH Group, Ltd. (d) | 1,285,500 | 1,155,416 | |||
Wharf Real Estate Investment Co., Ltd. (c) | 205,000 | 1,191,853 | |||
Xinyi Glass Holdings, Ltd. | 218,000 | 888,467 | |||
Yue Yuen Industrial Holdings, Ltd. (b) | 84,000 | 207,462 | |||
Yuexiu Real Estate Investment Trust | 123,000 | 63,354 | |||
Zhuguang Holdings Group Co., Ltd. | 174,000 | 40,330 | |||
67,963,017 | |||||
HUNGARY — 0.1% | |||||
Magyar Telekom Telecommunications PLC | 59,891 | 86,396 | |||
MOL Hungarian Oil & Gas PLC (b) | 40,674 | 324,014 | |||
OTP Bank Nyrt (b) | 28,314 | 1,526,166 | |||
Richter Gedeon Nyrt | 13,084 | 348,756 | |||
2,285,332 | |||||
INDIA — 3.1% | |||||
3M India, Ltd. (b) | 304 | 99,513 | |||
Aarti Industries, Ltd. | 18,924 | 221,943 |
Security Description | Shares | Value | |||
Aavas Financiers, Ltd. (b) | 3,165 | $ 115,495 | |||
ACC, Ltd. | 8,159 | 221,159 | |||
Adani Enterprises, Ltd. | 33,342 | 676,237 | |||
Adani Green Energy, Ltd. (b) | 46,821 | 708,583 | |||
Adani Ports & Special Economic Zone, Ltd. | 58,638 | 555,140 | |||
Adani Power, Ltd. (b) | 82,554 | 126,002 | |||
Adani Total Gas, Ltd. | 33,625 | 461,354 | |||
Adani Transmission, Ltd. (b) | 33,625 | 479,268 | |||
Aditya Birla Capital, Ltd. (b) | 106,473 | 167,953 | |||
Aditya Birla Fashion & Retail, Ltd. (b) | 76,383 | 221,709 | |||
Aegis Logistics, Ltd. | 15,946 | 73,766 | |||
Affle India, Ltd. (b) | 1,066 | 61,716 | |||
AIA Engineering, Ltd. | 3,825 | 110,132 | |||
Ajanta Pharma, Ltd. | 5,671 | 163,935 | |||
Alembic Pharmaceuticals, Ltd. | 4,179 | 55,334 | |||
Alkyl Amines Chemicals | 1,560 | 75,479 | |||
Amara Raja Batteries, Ltd. | 8,200 | 82,193 | |||
Amber Enterprises India, Ltd. (b) | 3,821 | 150,424 | |||
Ambuja Cements, Ltd. | 97,798 | 448,202 | |||
APL Apollo Tubes, Ltd. (b) | 10,744 | 235,507 | |||
Apollo Hospitals Enterprise, Ltd. | 12,311 | 599,542 | |||
Apollo Tyres, Ltd. (b) | 31,067 | 94,041 | |||
Ashok Leyland, Ltd. | 189,516 | 312,588 | |||
Asian Paints, Ltd. | 46,921 | 1,889,149 | |||
Astral, Ltd. | 9,540 | 255,352 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 62,575 | |||
Atul, Ltd. (b) | 1,482 | 179,002 | |||
AU Small Finance Bank, Ltd. (b) (d) | 13,987 | 194,920 | |||
Aurobindo Pharma, Ltd. | 36,454 | 473,367 | |||
Avanti Feeds, Ltd. | 6,665 | 48,945 | |||
Avenue Supermarts, Ltd. (b) (d) | 19,888 | 894,759 | |||
Axis Bank, Ltd. (b) | 277,176 | 2,790,405 | |||
Bajaj Auto, Ltd. (b) | 7,793 | 433,406 | |||
Bajaj Electricals, Ltd. (b) | 14,427 | 199,315 | |||
Bajaj Finance, Ltd. (b) | 32,470 | 2,627,938 | |||
Bajaj Finserv, Ltd. (b) | 4,919 | 801,351 | |||
Balkrishna Industries, Ltd. | 10,417 | 313,813 | |||
Balrampur Chini Mills, Ltd. | 31,845 | 152,392 | |||
Bandhan Bank, Ltd. (b) (d) | 76,766 | 341,073 | |||
BASF India, Ltd. | 5,048 | 176,527 |
Security Description | Shares | Value | |||
Bata India, Ltd. | 10,694 | $ 229,728 | |||
Bayer CropScience, Ltd. | 1,002 | 78,029 | |||
Berger Paints India, Ltd. | 33,671 | 364,705 | |||
Bharat Electronics, Ltd. | 147,735 | 353,785 | |||
Bharat Forge, Ltd. (b) | 37,864 | 388,115 | |||
Bharat Heavy Electricals, Ltd. (b) | 104,240 | 91,927 | |||
Bharat Petroleum Corp., Ltd. | 103,992 | 654,899 | |||
Bharti Airtel, Ltd. | 312,778 | 2,211,917 | |||
Biocon, Ltd. (b) | 45,189 | 245,886 | |||
Birla Corp., Ltd. | 3,296 | 53,781 | |||
Birlasoft, Ltd. | 16,592 | 89,199 | |||
Blue Dart Express, Ltd. (b) | 2,241 | 174,780 | |||
Blue Star, Ltd. (b) | 6,804 | 74,699 | |||
Britannia Industries, Ltd. | 12,979 | 637,277 | |||
Can Fin Homes, Ltd. | 1,361 | 9,586 | |||
Canara Bank (b) | 39,938 | 81,590 | |||
Carborundum Universal, Ltd. | 16,876 | 137,644 | |||
Castrol India, Ltd. | 94,135 | 181,229 | |||
Ceat, Ltd. (b) | 2,422 | 44,303 | |||
Central Depository Services India, Ltd. | 6,262 | 82,439 | |||
CESC, Ltd. | 14,732 | 152,592 | |||
CG Power & Industrial Solutions, Ltd. (b) | 65,451 | 69,651 | |||
Chambal Fertilizers and Chemicals, Ltd. | 19,934 | 82,225 | |||
Cholamandalam Financial Holdings, Ltd. | 22,915 | 204,148 | |||
Cholamandalam Investment & Finance Co., Ltd. | 50,142 | 346,231 | |||
Cipla, Ltd. | 55,816 | 729,821 | |||
City Union Bank, Ltd. | 78,446 | 175,825 | |||
Coal India, Ltd. | 186,828 | 368,604 | |||
Coforge, Ltd. | 4,514 | 252,469 | |||
Colgate-Palmolive India, Ltd. | 13,194 | 299,239 | |||
Computer Age Management Services, Ltd. | 2,662 | 100,005 | |||
Container Corp. Of India, Ltd. | 42,000 | 394,601 | |||
Coromandel International, Ltd. | 12,289 | 148,946 | |||
CreditAccess Grameen, Ltd. (b) | 5,585 | 56,353 | |||
Crompton Greaves Consumer Electricals, Ltd. | 56,342 | 329,426 | |||
Cummins India, Ltd. | 13,447 | 162,728 | |||
Cyient, Ltd. | 18,747 | 216,802 | |||
Dabur India, Ltd. | 71,437 | 546,614 | |||
Dalmia Bharat, Ltd. (b) | 8,304 | 211,276 | |||
DCB Bank, Ltd. (b) | 34,567 | 48,132 |
Security Description | Shares | Value | |||
Deepak Nitrite, Ltd. (b) | 7,407 | $ 180,222 | |||
Dhani Services, Ltd. (b) | 21,764 | 52,104 | |||
Divi's Laboratories, Ltd. (b) | 15,894 | 942,617 | |||
Dixon Technologies India, Ltd. | 3,120 | 185,573 | |||
DLF, Ltd. | 88,211 | 333,595 | |||
Dr Lal PathLabs, Ltd. (d) | 4,040 | 177,865 | |||
Dr Reddy's Laboratories, Ltd. | 13,937 | 1,016,831 | |||
Edelweiss Financial Services, Ltd. | 58,647 | 57,085 | |||
Eicher Motors, Ltd. (b) | 16,360 | 587,919 | |||
EID Parry India, Ltd. (b) | 2,695 | 15,462 | |||
Emami, Ltd. | 26,541 | 200,084 | |||
Endurance Technologies, Ltd. (b) (d) | 7,581 | 165,761 | |||
EPL ,Ltd. | 15,437 | 58,130 | |||
Escorts, Ltd. | 5,547 | 91,052 | |||
Exide Industries, Ltd. | 45,727 | 112,180 | |||
FDC, Ltd. (b) | 15,213 | 72,442 | |||
Federal Bank, Ltd. | 146,800 | 172,020 | |||
Finolex Cables, Ltd. | 8,417 | 58,861 | |||
Finolex Industries, Ltd. (b) | 49,960 | 123,640 | |||
Firstsource Solutions, Ltd. | 34,036 | 85,605 | |||
Fortis Healthcare, Ltd. (b) | 45,663 | 149,527 | |||
GAIL India, Ltd. | 202,523 | 407,743 | |||
GAIL India, Ltd. GDR | 1,422 | 16,780 | |||
Galaxy Surfactants, Ltd. | 4,286 | 174,309 | |||
Gillette India, Ltd. | 1,677 | 127,995 | |||
Glenmark Pharmaceuticals, Ltd. | 13,064 | 114,690 | |||
GMM Pfaudler, Ltd. | 804 | 50,661 | |||
GMR Infrastructure, Ltd. (b) | 229,459 | 98,168 | |||
Godrej Consumer Products, Ltd. (b) | 54,164 | 634,148 | |||
Godrej Industries, Ltd. (b) | 10,074 | 77,436 | |||
Godrej Properties, Ltd. (b) | 11,879 | 223,389 | |||
Granules India, Ltd. | 7,280 | 32,575 | |||
Graphite India, Ltd. (b) | 7,019 | 60,185 | |||
Grasim Industries, Ltd. | 34,179 | 689,167 | |||
Great Eastern Shipping Co., Ltd. | 12,319 | 64,446 | |||
Gujarat Gas, Ltd. | 15,258 | 135,635 | |||
Gujarat State Petronet, Ltd. | 30,640 | 137,433 | |||
Gulf Oil Lubricants India, Ltd. | 3,534 | 32,644 | |||
Happiest Minds Technologies, Ltd. | 7,184 | 97,046 | |||
Havells India, Ltd. | 33,992 | 448,257 | |||
HCL Technologies, Ltd. | 132,745 | 1,756,420 |
Security Description | Shares | Value | |||
HDFC Asset Management Co., Ltd. (d) | 8,332 | $ 327,031 | |||
HDFC Life Insurance Co., Ltd. (d) | 96,545 | 891,414 | |||
HeidelbergCement India, Ltd. | 37,912 | 128,864 | |||
Hero MotoCorp, Ltd. | 14,353 | 560,487 | |||
Hindalco Industries, Ltd. | 187,855 | 940,286 | |||
Hindustan Petroleum Corp., Ltd. | 79,161 | 312,256 | |||
Hindustan Unilever, Ltd. | 100,567 | 3,343,619 | |||
Housing Development Finance Corp., Ltd. | 209,474 | 6,975,656 | |||
ICICI Bank, Ltd. ADR (b) | 61,022 | 1,043,476 | |||
ICICI Bank, Ltd. (b) | 498,229 | 4,228,880 | |||
ICICI Lombard General Insurance Co., Ltd. (d) | 27,038 | 570,006 | |||
ICICI Prudential Life Insurance Co., Ltd. (d) | 43,902 | 361,883 | |||
ICICI Securities, Ltd. (d) | 9,852 | 84,954 | |||
IDFC First Bank, Ltd. (b) | 271,694 | 198,114 | |||
IDFC, Ltd. (b) | 302,285 | 219,200 | |||
IIFL Finance, Ltd. | 39,096 | 133,809 | |||
IIFL Wealth Management, Ltd. | 4,034 | 63,191 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 91,404 | |||
IndiaMart InterMesh, Ltd. (d) | 1,265 | 118,997 | |||
Indian Energy Exchange, Ltd. (d) | 17,576 | 88,708 | |||
Indian Hotels Co., Ltd. | 82,374 | 156,758 | |||
Indian Oil Corp., Ltd. | 225,459 | 327,284 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 6,848 | 187,378 | |||
Indraprastha Gas, Ltd. | 34,214 | 256,732 | |||
Indus Towers, Ltd. | 80,676 | 259,025 | |||
Info Edge India, Ltd. | 9,439 | 624,240 | |||
Infosys, Ltd. ADR | 70,069 | 1,484,762 | |||
Infosys, Ltd. | 343,185 | 7,298,626 | |||
Inox Leisure, Ltd. (b) | 20,361 | 84,561 | |||
Intellect Design Arena, Ltd. (b) | 9,675 | 94,231 | |||
InterGlobe Aviation, Ltd. (b) (d) | 13,783 | 318,374 | |||
Ipca Laboratories, Ltd. | 7,490 | 204,194 | |||
ITC, Ltd. | 356,537 | 972,286 | |||
JB Chemicals & Pharmaceuticals, Ltd. | 4,324 | 96,870 | |||
Jindal Steel & Power, Ltd. (b) | 42,048 | 224,835 | |||
JK Cement, Ltd. (b) | 4,955 | 190,087 | |||
JK Lakshmi Cement, Ltd. (b) | 7,195 | 55,896 | |||
JM Financial, Ltd. | 51,311 | 61,093 | |||
JSW Energy, Ltd. | 30,125 | 67,987 | |||
JSW Steel, Ltd. | 110,971 | 1,021,029 |
Security Description | Shares | Value | |||
Jubilant Foodworks, Ltd. (b) | 8,600 | $ 356,380 | |||
Jubilant Pharmova, Ltd. | 6,773 | 66,723 | |||
Just Dial, Ltd. (b) | 4,074 | 52,669 | |||
Kajaria Ceramics, Ltd. | 12,979 | 171,112 | |||
Karur Vysya Bank, Ltd. (b) | 19,609 | 13,639 | |||
Kaveri Seed Co., Ltd. | 10,556 | 103,685 | |||
KEC International, Ltd. (b) | 26,603 | 162,059 | |||
KEI Industries, Ltd. | 9,323 | 86,977 | |||
Kotak Mahindra Bank, Ltd. (b) | 66,379 | 1,523,377 | |||
KPIT Technologies, Ltd. (b) | 20,116 | 70,283 | |||
L&T Finance Holdings, Ltd. (b) | 80,402 | 100,489 | |||
L&T Technology Services, Ltd. (d) | 6,585 | 257,190 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 127,252 | |||
Larsen & Toubro Infotech, Ltd. (d) | 6,272 | 343,538 | |||
Larsen & Toubro, Ltd. GDR | 2,055 | 41,306 | |||
Larsen & Toubro, Ltd. | 82,104 | 1,657,489 | |||
Laurus Labs, Ltd. (d) | 38,510 | 356,786 | |||
LIC Housing Finance, Ltd. | 36,258 | 229,265 | |||
Linde India, Ltd. | 2,553 | 56,501 | |||
Lupin, Ltd. | 27,739 | 428,829 | |||
Mahanagar Gas, Ltd. | 7,097 | 108,513 | |||
Mahindra & Mahindra Financial Services, Ltd. | 73,974 | 156,348 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 34,506 | |||
Mahindra & Mahindra, Ltd. | 103,122 | 1,078,945 | |||
Manappuram Finance, Ltd. | 62,089 | 140,960 | |||
Marico, Ltd. | 62,219 | 444,314 | |||
Maruti Suzuki India, Ltd. | 16,624 | 1,680,941 | |||
Max Financial Services, Ltd. (b) | 29,653 | 423,033 | |||
Max Healthcare Institute, Ltd. (b) | 35,140 | 120,317 | |||
Metropolis Healthcare, Ltd. (d) | 2,766 | 105,525 | |||
Minda Industries, Ltd. | 8,141 | 70,140 | |||
Mindspace Business Parks REIT (d) | 37,000 | 140,742 | |||
Mindtree, Ltd. | 9,323 | 326,173 | |||
Motherson Sumi Systems, Ltd. (b) | 154,477 | 503,147 | |||
Mphasis, Ltd. | 12,445 | 357,327 | |||
MRF, Ltd. | 206 | 221,934 |
Security Description | Shares | Value | |||
Multi Commodity Exchange of India, Ltd. | 5,986 | $ 122,535 | |||
Muthoot Finance, Ltd. | 13,072 | 260,569 | |||
Narayana Hrudayalaya, Ltd. (b) | 8,685 | 57,516 | |||
Natco Pharma, Ltd. | 7,601 | 115,488 | |||
National Aluminium Co., Ltd. | 208,978 | 220,280 | |||
Navin Fluorine International, Ltd. | 3,460 | 174,525 | |||
NBCC India, Ltd. | 75,439 | 54,755 | |||
NCC, Ltd. | 48,477 | 56,642 | |||
NESCO, Ltd. (b) | 5,149 | 41,975 | |||
Nestle India, Ltd. | 4,031 | 956,258 | |||
Nippon Life India Asset Management, Ltd. (d) | 14,668 | 72,265 | |||
NTPC, Ltd. | 587,924 | 920,683 | |||
Oberoi Realty, Ltd. (b) | 13,822 | 117,096 | |||
Oil & Natural Gas Corp., Ltd. | 331,234 | 524,502 | |||
Oil India, Ltd. | 33,154 | 70,117 | |||
Oracle Financial Services Software, Ltd. | 2,609 | 128,169 | |||
Orient Electric, Ltd. | 13,712 | 57,842 | |||
Page Industries, Ltd. | 644 | 255,781 | |||
Persistent Systems, Ltd. | 8,644 | 341,765 | |||
Petronet LNG, Ltd. | 80,619 | 244,905 | |||
Phoenix Mills, Ltd. (b) | 8,044 | 88,216 | |||
PI Industries, Ltd. | 8,978 | 351,535 | |||
Pidilite Industries, Ltd. (b) | 18,643 | 540,241 | |||
Piramal Enterprises, Ltd. | 12,124 | 391,180 | |||
PNB Housing Finance, Ltd. (b) (d) | 4,383 | 40,298 | |||
Polycab India, Ltd. (b) | 3,570 | 94,860 | |||
Power Grid Corp. of India, Ltd. | 285,480 | 892,581 | |||
Prestige Estates Projects, Ltd. (b) | 13,088 | 50,984 | |||
Procter & Gamble Health, Ltd. | 760 | 56,744 | |||
PVR, Ltd. (b) | 4,230 | 75,953 | |||
Quess Corp., Ltd. (d) | 7,670 | 84,403 | |||
Radico Khaitan, Ltd. | 7,995 | 81,649 | |||
Rajesh Exports, Ltd. | 10,314 | 78,344 | |||
Rallis India, Ltd. | 37,687 | 164,732 | |||
Ramco Cements Ltd | 13,546 | 186,934 | |||
Ratnamani Metals & Tubes, Ltd. (b) | 1,958 | 54,021 | |||
RBL Bank, Ltd. (b) (d) | 36,130 | 102,319 | |||
REC, Ltd. | 149,512 | 298,803 | |||
Redington India, Ltd. (b) | 45,228 | 162,706 | |||
Relaxo Footwears, Ltd. (b) | 11,196 | 173,513 | |||
Reliance Industries, Ltd. GDR (d) | 13,202 | 747,233 | |||
Reliance Industries, Ltd. | 322,467 | 9,156,666 |
Security Description | Shares | Value | |||
Route Mobile, Ltd. (b) | 2,470 | $ 57,262 | |||
Sanofi India, Ltd. | 1,103 | 113,850 | |||
SBI Cards & Payment Services, Ltd. (b) | 20,000 | 261,106 | |||
SBI Life Insurance Co., Ltd. (d) | 54,572 | 740,169 | |||
Schaeffler India, Ltd. | 936 | 70,951 | |||
Shree Cement, Ltd. (b) | 1,324 | 489,925 | |||
Shriram City Union Finance, Ltd. | 2,825 | 65,107 | |||
Shriram Transport Finance Co., Ltd. | 27,135 | 490,149 | |||
Siemens, Ltd. | 8,529 | 231,906 | |||
SKF India, Ltd. | 2,698 | 97,288 | |||
Sobha, Ltd. | 12,486 | 79,127 | |||
Sonata Software, Ltd. | 7,624 | 76,599 | |||
Spandana Sphoorty Financial, Ltd. (b) | 5,000 | 44,440 | |||
SpiceJet, Ltd. (b) | 6,570 | 7,160 | |||
SRF, Ltd. | 3,081 | 301,580 | |||
State Bank of India | 208,084 | 1,173,534 | |||
State Bank of India GDR | 1,020 | 57,018 | |||
Sterlite Technologies, Ltd. | 18,980 | 67,514 | |||
Strides Pharma Science, Ltd. | 5,713 | 58,360 | |||
Sumitomo Chemical India, Ltd. | 12,208 | 63,438 | |||
Sun Pharma Advanced Research Co., Ltd. (b) | 8,505 | 26,289 | |||
Sun Pharmaceutical Industries, Ltd. | 102,687 | 933,135 | |||
Sun TV Network, Ltd. | 9,639 | 68,697 | |||
Sundaram Finance, Ltd. | 6,637 | 238,822 | |||
Sundram Fasteners, Ltd. | 23,040 | 250,656 | |||
Sunteck Realty, Ltd. | 14,806 | 58,573 | |||
Supreme Industries, Ltd. | 6,899 | 200,886 | |||
Suven Pharmaceuticals, Ltd. | 10,286 | 66,417 | |||
Symphony, Ltd. | 3,877 | 53,656 | |||
Syngene International, Ltd. (b) (d) | 13,475 | 105,744 | |||
Tanla Platforms, Ltd. | 7,067 | 76,032 | |||
Tata Chemicals, Ltd. | 17,851 | 173,827 | |||
Tata Communications, Ltd. | 13,824 | 239,377 | |||
Tata Consultancy Services, Ltd. | 112,065 | 5,044,282 | |||
Tata Consumer Products, Ltd. | 71,728 | 727,991 | |||
Tata Elxsi, Ltd. | 3,720 | 215,418 | |||
Tata Motors, Ltd. ADR (b) | 7,545 | 171,875 | |||
Tata Motors, Ltd. (b) | 158,404 | 723,719 | |||
Tata Power Co., Ltd. | 172,181 | 282,837 | |||
Tata Steel, Ltd. | 79,635 | 1,249,861 | |||
Tata Steel, Ltd. GDR | 1,300 | 20,020 |
Security Description | Shares | Value | |||
TeamLease Services, Ltd. (b) | 1,645 | $ 80,056 | |||
Tech Mahindra, Ltd. | 76,941 | 1,133,930 | |||
Thermax, Ltd. (b) | 9,721 | 194,132 | |||
Timken India, Ltd. | 6,375 | 126,021 | |||
Titan Co., Ltd. | 42,422 | 988,781 | |||
Torrent Pharmaceuticals, Ltd. | 6,079 | 237,304 | |||
Torrent Power, Ltd. | 20,143 | 124,684 | |||
Trent, Ltd. | 19,692 | 225,148 | |||
TTK Prestige, Ltd. | 498 | 62,804 | |||
Tube Investments of India, Ltd. | 9,555 | 150,222 | |||
TV18 Broadcast, Ltd. (b) | 322,994 | 186,418 | |||
Ujjivan Financial Services, Ltd. | 1,086 | 3,014 | |||
UltraTech Cement, Ltd. | 13,879 | 1,265,224 | |||
United Spirits, Ltd. (b) | 34,804 | 309,809 | |||
UPL, Ltd. | 59,469 | 634,333 | |||
UTI Asset Management Co., Ltd. | 5,427 | 62,327 | |||
Vaibhav Global, Ltd. | 5,835 | 62,660 | |||
Varun Beverages, Ltd. | 24,745 | 242,894 | |||
Vedanta, Ltd. | 130,182 | 460,357 | |||
Vedanta, Ltd. ADR | 1,433 | 20,349 | |||
V-Guard Industries, Ltd. (b) | 20,544 | 73,285 | |||
Vinati Organics, Ltd. | 4,690 | 115,468 | |||
V-Mart Retail, Ltd. (b) | 2,562 | 96,522 | |||
Vodafone Idea, Ltd. (b) | 693,861 | 92,882 | |||
Voltas, Ltd. | 23,360 | 321,330 | |||
Wipro, Ltd. ADR | 19,054 | 148,812 | |||
Wipro, Ltd. | 146,676 | 1,076,736 | |||
Wockhardt, Ltd. (b) | 5,297 | 36,918 | |||
Yes Bank, Ltd. (b) | 1,088,539 | 198,435 | |||
Zee Entertainment Enterprises, Ltd. | 115,040 | 332,367 | |||
129,642,711 | |||||
INDONESIA — 0.3% | |||||
Ace Hardware Indonesia Tbk PT | 1,445,300 | 124,595 | |||
Adaro Energy Tbk PT | 1,258,000 | 104,544 | |||
AKR Corporindo Tbk PT | 605,200 | 131,474 | |||
Aneka Tambang Tbk | 2,322,500 | 368,397 | |||
Astra Agro Lestari Tbk PT | 154,200 | 80,822 | |||
Astra International Tbk PT | 2,124,900 | 723,931 | |||
Bank BTPN Syariah Tbk PT | 170,800 | 33,924 | |||
Bank Central Asia Tbk PT | 1,309,800 | 2,721,222 | |||
Bank Mandiri Persero Tbk PT | 1,876,600 | 763,582 | |||
Bank Negara Indonesia Persero Tbk PT | 1,007,600 | 321,737 |
Security Description | Shares | Value | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,453,500 | $ 1,753,572 | |||
Bank Tabungan Negara Persero Tbk PT (b) | 370,200 | 34,978 | |||
Barito Pacific Tbk PT | 2,421,300 | 142,773 | |||
Bukit Asam Tbk PT | 469,600 | 64,772 | |||
Bumi Serpong Damai Tbk PT (b) | 1,332,000 | 88,647 | |||
Charoen Pokphand Indonesia Tbk PT | 936,200 | 403,534 | |||
Ciputra Development Tbk PT | 929,100 | 59,591 | |||
First Pacific Co., Ltd. | 386,000 | 131,718 | |||
Gudang Garam Tbk PT (b) | 43,700 | 133,210 | |||
Indah Kiat Pulp & Paper Tbk PT | 403,700 | 207,418 | |||
Indocement Tunggal Prakarsa Tbk PT | 146,800 | 104,279 | |||
Indofood CBP Sukses Makmur Tbk PT | 220,400 | 123,880 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 174,391 | |||
Industri Jamu Dan Farmasi Sido Muncul Tbk PT | 2,066,100 | 101,168 | |||
Japfa Comfeed Indonesia Tbk PT | 1,478,400 | 176,388 | |||
Jasa Marga Persero Tbk PT (b) | 150,175 | 36,456 | |||
Kalbe Farma Tbk PT | 1,941,600 | 187,465 | |||
Lippo Karawaci Tbk PT (b) | 12,717,700 | 135,071 | |||
Media Nusantara Citra Tbk PT (b) | 419,700 | 26,919 | |||
Merdeka Copper Gold Tbk PT (b) | 890,100 | 180,475 | |||
Mitra Adiperkasa Tbk PT (b) | 2,793,900 | 120,427 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 71,652 | |||
Pacific Strategic Financial Tbk PT (b) | 1,897,100 | 108,593 | |||
Pakuwon Jati Tbk PT (b) | 1,357,000 | 41,178 | |||
Perusahaan Gas Negara Tbk PT (b) | 2,224,000 | 154,146 | |||
Sarana Menara Nusantara Tbk PT | 1,869,100 | 159,840 | |||
Semen Indonesia Persero Tbk PT | 425,300 | 278,645 | |||
Summarecon Agung Tbk PT (b) | 988,789 | 57,964 | |||
Surya Citra Media Tbk PT (b) | 511,200 | 63,812 | |||
Telkom Indonesia Persero Tbk PT | 5,471,700 | 1,188,680 | |||
Tower Bersama Infrastructure Tbk PT | 785,500 | 173,893 |
Security Description | Shares | Value | |||
Unilever Indonesia Tbk PT | 744,500 | $ 254,157 | |||
United Tractors Tbk PT | 219,300 | 306,264 | |||
Wijaya Karya Persero Tbk PT | 1,310,600 | 89,482 | |||
XL Axiata Tbk PT | 213,000 | 39,221 | |||
12,748,887 | |||||
IRELAND — 0.5% | |||||
AerCap Holdings NV (b) | 16,123 | 825,659 | |||
AIB Group PLC (b) | 95,701 | 246,618 | |||
Bank of Ireland Group PLC (b) | 134,075 | 718,201 | |||
C&C Group PLC (b) | 56,746 | 190,492 | |||
Cairn Homes PLC (b) | 98,009 | 123,900 | |||
COSMO Pharmaceuticals NV (b) (c) | 890 | 82,130 | |||
CRH PLC | 97,153 | 4,896,586 | |||
Dalata Hotel Group PLC (b) | 26,175 | 119,042 | |||
Flutter Entertainment PLC (b) (e) | 9,893 | 1,791,494 | |||
Flutter Entertainment PLC (b) (e) | 10,312 | 1,872,573 | |||
Glanbia PLC | 24,251 | 393,714 | |||
Glenveagh Properties PLC (b) (d) | 87,042 | 99,094 | |||
Greencore Group PLC (b) | 60,591 | 105,132 | |||
Hibernia REIT PLC | 81,189 | 119,390 | |||
Irish Residential Properties REIT PLC | 52,453 | 94,675 | |||
Kerry Group PLC Class A | 20,070 | 2,803,761 | |||
Keywords Studios PLC (b) | 8,075 | 277,765 | |||
Kingspan Group PLC | 18,141 | 1,713,329 | |||
Origin Enterprises PLC | 14,761 | 57,679 | |||
Smurfit Kappa Group PLC | 28,803 | 1,562,705 | |||
UDG Healthcare PLC | 30,775 | 454,476 | |||
Uniphar PLC (b) | 25,669 | 103,803 | |||
18,652,218 | |||||
ISRAEL — 0.5% | |||||
Africa Israel Properties, Ltd. (b) | 2,220 | 96,105 | |||
Airport City, Ltd. (b) | 6,576 | 110,310 | |||
Alony Hetz Properties & Investments, Ltd. | 22,632 | 315,327 | |||
Altshuler Shaham Provident Funds & Pension, Ltd. | 6,613 | 39,777 | |||
Amot Investments, Ltd. | 20,335 | 133,424 | |||
Ashtrom Group, Ltd. | 6,844 | 155,426 | |||
AudioCodes, Ltd. | 2,032 | 68,284 | |||
Azrieli Group, Ltd. | 4,581 | 322,645 | |||
Bank Hapoalim BM (b) | 137,436 | 1,103,368 |
Security Description | Shares | Value | |||
Bank Leumi Le-Israel BM (b) | 175,881 | $ 1,336,447 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. (b) | 278,833 | 303,777 | |||
Big Shopping Centers, Ltd. (b) | 1,641 | 210,004 | |||
Blue Square Real Estate, Ltd. | 992 | 76,078 | |||
Caesarstone, Ltd. | 2,900 | 42,804 | |||
Camtek, Ltd. (b) | 2,703 | 102,529 | |||
Check Point Software Technologies, Ltd. (b) | 13,910 | 1,615,368 | |||
Clal Insurance Enterprises Holdings, Ltd. (b) | 14,033 | 278,636 | |||
Cognyte Software, Ltd. (b) | 11,500 | 281,750 | |||
Compugen, Ltd. (b) (c) | 9,600 | 79,488 | |||
Danel Adir Yeoshua, Ltd. | 546 | 114,445 | |||
Delek Automotive Systems, Ltd. | 5,899 | 77,483 | |||
Elbit Systems, Ltd. | 2,863 | 370,780 | |||
Elco, Ltd. | 2,531 | 150,687 | |||
Electra Consumer Products 1970, Ltd. | 1,135 | 65,240 | |||
Electra, Ltd. | 174 | 98,734 | |||
Energix-Renewable Energies, Ltd. | 29,187 | 112,054 | |||
Enlight Renewable Energy, Ltd. (b) | 123,244 | 264,567 | |||
Equital, Ltd. (b) | 2,112 | 57,297 | |||
Fattal Holdings 1998, Ltd. (b) | 657 | 62,484 | |||
FIBI Holdings, Ltd. (b) | 1,612 | 60,305 | |||
First International Bank Of Israel, Ltd. (b) | 6,350 | 203,449 | |||
Fiverr International, Ltd. (b) | 3,700 | 897,213 | |||
Formula Systems 1985, Ltd. | 1,091 | 97,934 | |||
Fox Wizel, Ltd. | 805 | 92,247 | |||
Gav-Yam Lands Corp., Ltd. | 15,988 | 153,134 | |||
Gazit-Globe, Ltd. | 12,106 | 87,345 | |||
Gilat Satellite Networks, Ltd. | 8,589 | 86,826 | |||
Harel Insurance Investments & Financial Services, Ltd. | 14,865 | 147,350 | |||
Hilan, Ltd. | 1,722 | 83,075 | |||
ICL Group, Ltd. | 93,586 | 635,012 | |||
Isracard, Ltd. (b) | 49,413 | 202,596 | |||
Israel Canada T.R, Ltd. (b) | 13,300 | 54,082 | |||
Israel Corp., Ltd. (b) | 350 | 106,079 |
Security Description | Shares | Value | |||
Israel Discount Bank, Ltd. Class A (b) | 140,850 | $ 670,858 | |||
Ituran Location & Control, Ltd. | 2,300 | 62,652 | |||
Kornit Digital, Ltd. (b) | 5,700 | 708,681 | |||
Magic Software Enterprises, Ltd. | 2,818 | 45,481 | |||
Matrix IT, Ltd. | 4,080 | 110,336 | |||
Maytronics, Ltd. | 9,751 | 203,219 | |||
Mega Or Holdings, Ltd. | 2,173 | 70,021 | |||
Mehadrin, Ltd. (b) | 0 | 10 | |||
Melisron, Ltd. (b) | 2,227 | 152,408 | |||
Menora Mivtachim Holdings, Ltd. | 2,913 | 57,661 | |||
Migdal Insurance & Financial Holding, Ltd. (b) | 42,449 | 58,492 | |||
Mivne Real Estate KD, Ltd. | 61,556 | 178,519 | |||
Mizrahi Tefahot Bank, Ltd. (b) | 18,647 | 574,546 | |||
Nano Dimension, Ltd. ADR (b) | 41,300 | 340,312 | |||
Nano-X Imaging, Ltd. (b) (c) | 4,000 | 128,200 | |||
Naphtha Israel Petroleum Corp., Ltd. (b) | 12,597 | 58,684 | |||
NEOGAMES SA (b) | 1,900 | 116,793 | |||
Nice, Ltd. (b) | 7,619 | 1,861,669 | |||
Nova Measuring Instruments, Ltd. (b) | 3,233 | 332,081 | |||
Oil Refineries, Ltd. (b) | 162,289 | 41,836 | |||
One Software Technologies, Ltd. | 3,910 | 58,629 | |||
OPC Energy, Ltd. (b) | 13,656 | 133,354 | |||
Partner Communications Co., Ltd. (b) | 17,416 | 79,744 | |||
Paz Oil Co., Ltd. (b) | 926 | 113,729 | |||
Phoenix Holdings, Ltd. | 13,973 | 130,661 | |||
Plus500, Ltd. | 10,246 | 188,960 | |||
Property & Building Corp., Ltd. (b) | 682 | 83,092 | |||
Radware, Ltd. (b) | 5,000 | 153,900 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 97,380 | |||
Reit 1, Ltd. | 26,757 | 141,401 | |||
Sapiens International Corp. NV | 3,605 | 96,694 | |||
Shapir Engineering and Industry, Ltd. | 13,487 | 102,855 | |||
Shikun & Binui, Ltd. (b) | 26,981 | 174,546 | |||
Shufersal, Ltd. | 32,042 | 255,077 | |||
Strauss Group, Ltd. | 4,796 | 134,306 | |||
Summit Real Estate Holdings, Ltd. (b) | 5,965 | 89,937 | |||
Taptica International, Ltd. (b) (c) | 12,248 | 120,470 |
Security Description | Shares | Value | |||
Teva Pharmaceutical Industries, Ltd. ADR (b) (c) | 117,253 | $ 1,160,805 | |||
Teva Pharmaceutical Industries, Ltd. (b) | 19,463 | 193,824 | |||
Tower Semiconductor, Ltd. (b) | 11,726 | 346,256 | |||
Wix.com, Ltd. (b) | 6,900 | 2,002,932 | |||
22,582,976 | |||||
ITALY — 1.3% | |||||
A2A SpA | 231,550 | 473,402 | |||
ACEA SpA | 4,921 | 113,740 | |||
AMCO - Asset Management Co. SpA (b) (c) (f) | 403 | — | |||
Amplifon SpA | 14,633 | 722,591 | |||
Anima Holding SpA (d) | 29,819 | 148,204 | |||
Arnoldo Mondadori Editore SpA (b) | 41,346 | 78,844 | |||
Ascopiave SpA | 16,517 | 69,536 | |||
Assicurazioni Generali SpA | 138,698 | 2,780,569 | |||
Atlantia SpA (b) | 61,568 | 1,114,917 | |||
Autogrill SpA (b) (c) | 17,572 | 128,783 | |||
Azimut Holding SpA | 12,321 | 299,243 | |||
Banca Generali SpA (b) | 6,505 | 277,560 | |||
Banca Mediolanum SpA | 27,638 | 268,894 | |||
Banca Monte dei Paschi di Siena SpA (b) (c) | 25,614 | 35,054 | |||
Banca Popolare di Sondrio SCPA | 56,342 | 244,413 | |||
Banco BPM SpA | 169,167 | 544,269 | |||
BFF Bank SpA (d) | 19,085 | 191,248 | |||
Biesse SpA (b) | 4,132 | 138,086 | |||
BPER Banca (c) | 145,833 | 317,438 | |||
Brembo SpA | 17,541 | 222,164 | |||
Brunello Cucinelli SpA (b) (c) | 5,684 | 332,449 | |||
Buzzi Unicem SpA | 11,398 | 302,373 | |||
Carel Industries SpA (d) | 5,036 | 120,937 | |||
Cerved Group SpA (b) | 21,273 | 247,231 | |||
CIR SpA-Compagnie Industriali (b) | 81,273 | 48,769 | |||
Credito Emiliano SpA | 7,794 | 46,677 | |||
Danieli & C Officine Meccaniche SpA | 3,347 | 57,712 | |||
Davide Campari-Milano NV | 66,603 | 892,130 | |||
De' Longhi SpA | 9,994 | 435,438 | |||
DiaSorin SpA | 2,887 | 546,079 | |||
doValue SpA (d) | 6,479 | 71,302 | |||
El.En. SpA | 2,722 | 140,419 | |||
Enav SpA (b) (d) | 23,366 | 105,297 | |||
Enel SpA | 1,010,658 | 9,386,965 | |||
Eni SpA | 313,560 | 3,818,910 | |||
ERG SpA | 9,874 | 292,740 | |||
Esprinet SpA | 3,797 | 66,732 |
Security Description | Shares | Value | |||
Falck Renewables SpA | 16,956 | $ 111,801 | |||
Ferrari NV | 15,744 | 3,248,722 | |||
Fila SpA | 4,681 | 59,620 | |||
Fincantieri SpA (b) | 59,925 | 54,009 | |||
FinecoBank Banca Fineco SpA (b) | 80,327 | 1,400,320 | |||
Gruppo MutuiOnline SpA | 3,985 | 189,978 | |||
GVS SpA (d) | 12,903 | 211,316 | |||
Hera SpA | 93,946 | 388,155 | |||
Illimity Bank SpA (b) | 8,543 | 119,142 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT | 13,675 | 65,842 | |||
Infrastrutture Wireless Italiane SpA (d) | 43,441 | 490,027 | |||
Interpump Group SpA | 8,613 | 510,095 | |||
Intesa Sanpaolo SpA | 2,034,180 | 5,619,535 | |||
Iren SpA | 74,592 | 212,832 | |||
Italgas SpA | 55,672 | 363,910 | |||
Italmobiliare SpA | 2,891 | 104,396 | |||
Juventus Football Club SpA (b) (c) | 49,118 | 42,056 | |||
La Doria SpA | 7,554 | 170,566 | |||
Leonardo SpA (b) | 46,409 | 374,908 | |||
Maire Tecnimont SpA | 17,380 | 63,564 | |||
MARR SpA (b) | 3,554 | 84,715 | |||
Mediaset SpA (b) | 40,137 | 144,890 | |||
Mediobanca Banca di Credito Finanziario SpA (b) | 77,174 | 901,479 | |||
Moncler SpA | 24,837 | 1,680,657 | |||
Nexi SpA (b) (d) | 59,381 | 1,303,474 | |||
Piaggio & C SpA | 24,484 | 96,282 | |||
Pirelli & C SpA (d) | 44,955 | 261,016 | |||
Poste Italiane SpA (d) | 64,919 | 858,410 | |||
Prysmian SpA | 31,706 | 1,136,653 | |||
RAI Way SpA (d) | 11,872 | 71,521 | |||
Recordati Industria Chimica e Farmaceutica SpA | 12,993 | 742,685 | |||
Reply SpA | 2,360 | 387,903 | |||
Saipem SpA (b) (c) | 65,470 | 158,465 | |||
Salvatore Ferragamo SpA (b) | 6,814 | 145,817 | |||
Saras SpA (b) (c) | 44,370 | 37,096 | |||
Sesa SpA (b) | 1,926 | 322,050 | |||
Snam SpA | 259,114 | 1,498,007 | |||
Societa Cattolica Di Assicurazione SPA (b) | 13,369 | 111,059 | |||
Tamburi Investment Partners SpA | 9,384 | 92,033 | |||
Technogym SpA (d) | 13,852 | 176,756 | |||
Telecom Italia SpA (e) | 1,161,820 | 577,162 | |||
Telecom Italia SpA (e) | 844,429 | 447,429 | |||
Terna SPA | 184,520 | 1,375,080 | |||
Tinexta SpA | 5,449 | 212,082 | |||
Tod's SpA (b) | 3,016 | 204,944 |
Security Description | Shares | Value | |||
UniCredit SpA | 266,995 | $ 3,150,464 | |||
Unipol Gruppo SpA | 44,840 | 244,183 | |||
Webuild SpA | 26,213 | 69,570 | |||
Zignago Vetro SpA | 3,618 | 72,082 | |||
55,445,873 | |||||
JAPAN — 14.3% | |||||
77 Bank, Ltd. | 4,900 | 53,772 | |||
ABC-Mart, Inc. | 3,800 | 218,092 | |||
Acom Co., Ltd. | 46,900 | 204,519 | |||
Activia Properties, Inc. REIT | 75 | 355,437 | |||
Adastria Co., Ltd. | 2,800 | 51,212 | |||
ADEKA Corp. | 13,800 | 259,240 | |||
Advan Co., Ltd. | 7,300 | 61,497 | |||
Advance Residence Investment Corp. REIT | 163 | 543,382 | |||
Advantest Corp. | 24,800 | 2,236,670 | |||
Aeon Co., Ltd. | 82,100 | 2,208,023 | |||
Aeon Delight Co., Ltd. (b) | 2,000 | 62,798 | |||
AEON Financial Service Co., Ltd. (b) | 10,500 | 123,835 | |||
Aeon Mall Co., Ltd. | 11,800 | 181,906 | |||
AEON REIT Investment Corp. | 172 | 254,924 | |||
AGC, Inc. (c) | 25,200 | 1,058,041 | |||
Ai Holdings Corp. (c) | 4,100 | 80,899 | |||
AI inside, Inc. (b) | 100 | 12,082 | |||
Aica Kogyo Co., Ltd. | 5,900 | 207,582 | |||
Aichi Corp. | 11,000 | 80,872 | |||
Aida Engineering, Ltd. | 8,700 | 77,523 | |||
Aiful Corp. | 30,500 | 105,248 | |||
Ain Holdings, Inc. | 3,000 | 187,314 | |||
Air Water, Inc. | 20,000 | 307,775 | |||
Aisin Corp. | 18,600 | 796,018 | |||
Ajinomoto Co., Inc. | 58,000 | 1,507,091 | |||
Akatsuki, Inc. | 1,100 | 35,233 | |||
Alfresa Holdings Corp. | 21,600 | 322,862 | |||
Alpen Co., Ltd. (c) | 6,500 | 172,939 | |||
Alps Alpine Co., Ltd. | 23,600 | 249,417 | |||
Altech Corp. (c) | 1,300 | 22,723 | |||
Amada Co., Ltd. | 41,700 | 421,922 | |||
Amano Corp. | 4,900 | 123,659 | |||
Amuse, Inc. | 2,700 | 57,167 | |||
ANA Holdings, Inc. (b) | 18,700 | 440,079 | |||
Anest Iwata Corp. | 7,800 | 71,120 | |||
AnGes, Inc. (b) (c) | 16,700 | 134,515 | |||
Anicom Holdings, Inc. | 7,200 | 57,670 | |||
Anritsu Corp. (c) | 16,200 | 302,281 | |||
Aomori Bank, Ltd. | 2,800 | 51,792 | |||
Aozora Bank, Ltd. (c) | 15,400 | 344,797 | |||
Arata Corp. | 1,900 | 73,781 | |||
Arcland Sakamoto Co., Ltd. | 7,200 | 98,409 | |||
Arcland Service Holdings Co., Ltd. (c) | 4,100 | 81,121 | |||
Arcs Co., Ltd. | 3,700 | 80,541 |
Security Description | Shares | Value | |||
Argo Graphics, Inc. | 2,900 | $ 87,138 | |||
Ariake Japan Co., Ltd. | 2,000 | 124,155 | |||
ARTERIA Networks Corp. | 5,200 | 84,613 | |||
Aruhi Corp. | 3,000 | 38,706 | |||
As One Corp. | 1,800 | 235,318 | |||
Asahi Group Holdings, Ltd. (c) | 56,200 | 2,628,473 | |||
Asahi Holdings, Inc. | 9,300 | 189,871 | |||
Asahi Intecc Co., Ltd. | 25,900 | 619,789 | |||
Asahi Kasei Corp. | 160,100 | 1,760,537 | |||
Asics Corp. (c) | 18,600 | 471,242 | |||
ASKUL Corp. | 4,800 | 74,904 | |||
Astellas Pharma, Inc. | 229,500 | 4,000,070 | |||
Atom Corp. | 8,300 | 57,881 | |||
Autobacs Seven Co., Ltd. | 6,500 | 86,557 | |||
Avex, Inc. | 6,600 | 97,582 | |||
Awa Bank, Ltd. | 2,900 | 52,518 | |||
Axial Retailing, Inc. | 2,100 | 70,952 | |||
Azbil Corp. | 14,200 | 589,161 | |||
Bandai Namco Holdings, Inc. | 25,300 | 1,757,027 | |||
Bank of Kyoto, Ltd. (c) | 6,500 | 295,162 | |||
Bank of Nagoya, Ltd. | 3,700 | 82,507 | |||
Bank of Okinawa, Ltd. | 2,300 | 51,226 | |||
BASE, Inc. (b) | 8,000 | 121,741 | |||
BayCurrent Consulting, Inc. | 1,500 | 539,238 | |||
Belc Co., Ltd. | 1,500 | 72,439 | |||
Bell System24 Holdings, Inc. | 3,500 | 55,122 | |||
Belluna Co., Ltd. | 8,800 | 77,463 | |||
Benefit One, Inc. | 9,800 | 308,595 | |||
Benesse Holdings, Inc. | 11,900 | 296,240 | |||
BeNext-Yumeshin Group Co. (c) | 10,803 | 124,100 | |||
Bengo4.com, Inc. (b) | 1,400 | 122,606 | |||
Bic Camera, Inc. | 9,400 | 94,771 | |||
BML, Inc. | 3,000 | 102,442 | |||
Bridgestone Corp. (c) | 69,800 | 3,179,016 | |||
Broadleaf Co., Ltd. (c) | 12,400 | 57,760 | |||
Brother Industries, Ltd. | 28,900 | 577,271 | |||
Bunka Shutter Co., Ltd. | 10,500 | 104,820 | |||
Calbee, Inc. | 8,900 | 205,440 | |||
Canon Marketing Japan, Inc. (c) | 4,800 | 111,707 | |||
Canon, Inc. (c) | 123,300 | 2,791,719 | |||
Capcom Co., Ltd. | 21,200 | 620,777 | |||
Casio Computer Co., Ltd. | 24,400 | 408,242 | |||
Cawachi, Ltd. | 5,300 | 107,156 | |||
Central Glass Co., Ltd. | 3,300 | 63,271 | |||
Central Japan Railway Co. | 17,900 | 2,717,497 | |||
Central Security Patrols Co., Ltd. | 1,400 | 39,040 | |||
Change, Inc. (b) (c) | 2,400 | 64,546 | |||
Chiba Bank, Ltd. | 60,900 | 367,079 |
Security Description | Shares | Value | |||
Chiyoda Corp. (b) | 14,600 | $ 58,011 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 55,861 | |||
Chubu Electric Power Co., Inc. | 77,700 | 950,686 | |||
Chubu Shiryo Co., Ltd. | 6,500 | 65,943 | |||
Chudenko Corp. | 3,000 | 61,654 | |||
Chugai Pharmaceutical Co., Ltd. | 83,200 | 3,299,814 | |||
Chugoku Bank, Ltd. | 17,200 | 130,794 | |||
Chugoku Electric Power Co., Inc. | 35,700 | 326,154 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 64,936 | |||
CI Takiron Corp. | 12,200 | 64,193 | |||
Citizen Watch Co., Ltd. | 23,300 | 86,071 | |||
CKD Corp. | 5,700 | 120,173 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (c) | 14,200 | 222,103 | |||
cocokara fine, Inc. (c) | 2,200 | 164,519 | |||
COLOPL, Inc. | 4,900 | 36,510 | |||
Colowide Co., Ltd. | 5,200 | 92,812 | |||
Comforia Residential REIT, Inc. | 69 | 217,587 | |||
Computer Engineering & Consulting, Ltd. | 3,800 | 54,266 | |||
COMSYS Holdings Corp. | 13,300 | 368,479 | |||
Comture Corp. | 1,700 | 36,316 | |||
Concordia Financial Group, Ltd. | 128,100 | 469,742 | |||
CONEXIO Corp. | 5,500 | 74,331 | |||
Cosmo Energy Holdings Co., Ltd. | 6,300 | 144,572 | |||
Cosmos Pharmaceutical Corp. (c) | 2,300 | 337,778 | |||
CRE Logistics REIT, Inc. | 40 | 67,574 | |||
Create Restaurants Holdings, Inc. (b) (c) | 9,100 | 74,774 | |||
Create SD Holdings Co., Ltd. (c) | 2,400 | 71,358 | |||
Credit Saison Co., Ltd. | 17,000 | 207,388 | |||
Curves Holdings Co., Ltd. | 4,300 | 35,527 | |||
CyberAgent, Inc. | 53,500 | 1,149,631 | |||
CYBERDYNE, Inc. (b) (c) | 11,000 | 48,761 | |||
Cybozu, Inc. (c) | 7,400 | 157,281 | |||
Dai Nippon Printing Co., Ltd. | 27,900 | 590,478 | |||
Daibiru Corp. | 5,000 | 63,159 | |||
Daicel Corp. | 31,500 | 259,402 | |||
Dai-Dan Co., Ltd. | 1,100 | 25,292 | |||
Daido Steel Co., Ltd. | 4,200 | 207,748 | |||
Daifuku Co., Ltd. | 12,200 | 1,109,091 | |||
Daihen Corp. | 2,300 | 95,842 | |||
Daiho Corp. | 2,700 | 97,914 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 92,657 |
Security Description | Shares | Value | |||
Dai-ichi Life Holdings, Inc. | 130,200 | $ 2,386,042 | |||
Daiichi Sankyo Co., Ltd. | 211,400 | 4,560,747 | |||
Daiichikosho Co., Ltd. | 4,700 | 180,606 | |||
Daiken Corp. | 4,000 | 75,178 | |||
Daikin Industries, Ltd. | 30,700 | 5,722,885 | |||
Daikokutenbussan Co., Ltd. | 2,200 | 159,366 | |||
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 2,400 | 49,561 | |||
Daio Paper Corp. | 9,400 | 155,749 | |||
Daiseki Co., Ltd. | 4,300 | 193,324 | |||
Daishi Hokuetsu Financial Group, Inc. | 3,500 | 76,092 | |||
Daito Pharmaceutical Co., Ltd. | 1,300 | 39,472 | |||
Daito Trust Construction Co., Ltd. | 8,600 | 941,436 | |||
Daiwa House Industry Co., Ltd. | 70,400 | 2,115,362 | |||
Daiwa House REIT Investment Corp. | 246 | 725,876 | |||
Daiwa Industries, Ltd. | 6,600 | 61,546 | |||
Daiwa Office Investment Corp. REIT | 49 | 341,265 | |||
Daiwa Securities Group, Inc. | 176,700 | 971,301 | |||
Daiwa Securities Living Investments Corp. REIT | 188 | 204,617 | |||
Daiwabo Holdings Co., Ltd. | 8,500 | 146,045 | |||
DCM Holdings Co., Ltd. | 20,900 | 199,227 | |||
Demae-Can Co., Ltd. (b) | 2,700 | 37,657 | |||
DeNA Co., Ltd. | 10,300 | 219,104 | |||
Denka Co., Ltd. | 9,200 | 306,280 | |||
Denso Corp. | 53,600 | 3,660,099 | |||
Dentsu Group, Inc. (c) | 26,500 | 949,072 | |||
Denyo Co., Ltd. | 4,200 | 73,715 | |||
Descente, Ltd. (b) | 2,700 | 75,291 | |||
Dexerials Corp. | 9,400 | 198,519 | |||
DIC Corp. (c) | 8,100 | 204,708 | |||
Digital Arts, Inc. | 1,100 | 83,845 | |||
Digital Garage, Inc. | 3,600 | 162,015 | |||
Dip Corp. | 4,500 | 139,269 | |||
Disco Corp. | 3,500 | 1,070,592 | |||
DMG Mori Co., Ltd. | 11,600 | 208,401 | |||
Doshisha Co., Ltd. | 4,900 | 76,332 | |||
Doutor Nichires Holdings Co., Ltd. | 3,100 | 47,873 | |||
Dowa Holdings Co., Ltd. | 5,700 | 224,682 | |||
DTS Corp. | 3,400 | 81,025 | |||
Duskin Co., Ltd. | 3,800 | 86,757 | |||
DyDo Group Holdings, Inc. (c) | 1,000 | 44,959 |
Security Description | Shares | Value | |||
Earth Corp. | 1,200 | $ 69,736 | |||
East Japan Railway Co. | 37,300 | 2,663,998 | |||
Ebara Corp. (c) | 11,700 | 576,620 | |||
EDION Corp. | 7,600 | 74,295 | |||
eGuarantee, Inc. | 5,300 | 112,170 | |||
Eiken Chemical Co., Ltd. | 3,800 | 73,576 | |||
Eisai Co., Ltd. | 31,800 | 3,130,147 | |||
Eizo Corp. | 1,600 | 71,574 | |||
Elan Corp. | 4,000 | 46,166 | |||
Elecom Co., Ltd. | 3,600 | 67,530 | |||
Electric Power Development Co., Ltd. | 16,200 | 231,345 | |||
EM Systems Co., Ltd. (c) | 15,200 | 118,735 | |||
ENEOS HoldingS, Inc. | 375,300 | 1,572,006 | |||
Enigmo, Inc. | 2,600 | 33,241 | |||
en-japan, Inc. | 3,700 | 131,679 | |||
Enplas Corp. | 2,200 | 73,241 | |||
EPS Holdings, Inc. (b) | 3,400 | 55,079 | |||
eRex Co., Ltd. | 3,000 | 73,034 | |||
ES-Con Japan, Ltd. (c) | 8,700 | 59,965 | |||
ESPEC Corp. | 4,100 | 82,709 | |||
euglena Co., Ltd. (b) | 8,100 | 66,703 | |||
Exedy Corp. | 3,100 | 45,499 | |||
Ezaki Glico Co., Ltd. (c) | 5,100 | 190,233 | |||
Fancl Corp. | 9,300 | 301,649 | |||
FANUC Corp. | 23,800 | 5,745,752 | |||
Fast Retailing Co., Ltd. | 7,200 | 5,425,137 | |||
FCC Co., Ltd. | 3,600 | 52,480 | |||
Ferrotec Holdings Corp. | 3,800 | 116,920 | |||
Financial Products Group Co., Ltd. | 7,200 | 48,134 | |||
Food & Life Cos., Ltd. | 13,500 | 583,228 | |||
FP Corp. | 5,600 | 208,127 | |||
Freee KK (b) | 3,700 | 340,364 | |||
Frontier Real Estate Investment Corp. REIT (c) | 53 | 247,833 | |||
Fuji Co., Ltd. | 4,000 | 70,493 | |||
Fuji Corp. | 7,600 | 174,063 | |||
Fuji Electric Co., Ltd. | 14,900 | 696,738 | |||
Fuji Kyuko Co., Ltd. | 2,700 | 129,417 | |||
Fuji Media Holdings, Inc. | 5,100 | 56,702 | |||
Fuji Oil Holdings, Inc. | 9,500 | 226,223 | |||
Fuji Seal International, Inc. | 3,900 | 81,837 | |||
Fuji Soft, Inc. | 2,700 | 135,499 | |||
Fujibo Holdings, Inc. | 1,100 | 38,355 | |||
Fujicco Co., Ltd. (c) | 4,500 | 77,439 | |||
FUJIFILM Holdings Corp. | 45,100 | 3,347,859 | |||
Fujikura, Ltd. (b) | 39,500 | 183,638 | |||
Fujimi, Inc. | 2,900 | 132,210 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 98,766 | |||
Fujio Food Group, Inc. (c) | 4,800 | 53,929 | |||
Fujitec Co., Ltd. | 7,900 | 175,382 | |||
Fujitsu General, Ltd. | 6,400 | 169,932 | |||
Fujitsu, Ltd. | 24,300 | 4,553,924 |
Security Description | Shares | Value | |||
Fujiya Co., Ltd. | 3,600 | $ 69,347 | |||
Fukuda Corp. (c) | 1,800 | 78,169 | |||
Fukui Computer Holdings, Inc. | 3,000 | 113,524 | |||
Fukuoka Financial Group, Inc. (c) | 20,200 | 352,895 | |||
Fukuoka REIT Corp. | 76 | 128,048 | |||
Fukushima Galilei Co., Ltd. | 2,400 | 96,549 | |||
Fukuyama Transporting Co., Ltd. | 3,000 | 111,497 | |||
FULLCAST Holdings Co., Ltd. | 3,600 | 74,991 | |||
Funai Soken Holdings, Inc. | 3,000 | 65,087 | |||
Furukawa Co., Ltd. | 5,200 | 58,564 | |||
Furukawa Electric Co., Ltd. | 7,800 | 194,455 | |||
Fuso Chemical Co., Ltd. | 3,100 | 114,515 | |||
Future Corp. | �� | 2,500 | 45,319 | ||
Fuyo General Lease Co., Ltd. | 2,900 | 183,422 | |||
Gakken Holdings Co., Ltd. | 2,400 | 29,192 | |||
Genky DrugStores Co., Ltd. (c) | 3,300 | 115,362 | |||
Geo Holdings Corp. | 5,700 | 63,168 | |||
giftee, Inc. (b) | 2,100 | 66,979 | |||
Giken, Ltd. | 2,200 | 89,792 | |||
Global One Real Estate Investment Corp. REIT | 91 | 102,651 | |||
Glory, Ltd. | 4,000 | 82,998 | |||
GLP J-Reit | 511 | 882,130 | |||
GMO GlobalSign Holdings KK (c) | 500 | 21,196 | |||
GMO internet, Inc. | 6,900 | 188,368 | |||
GMO Payment Gateway, Inc. | 5,100 | 664,898 | |||
GNI Group, Ltd. (b) (c) | 3,600 | 68,049 | |||
Goldcrest Co., Ltd. | 3,600 | 53,908 | |||
Goldwin, Inc. | 2,900 | 170,619 | |||
Grace Technology, Inc. | 2,600 | 37,645 | |||
Gree, Inc. | 15,200 | 80,526 | |||
GS Yuasa Corp. | 7,600 | 194,126 | |||
GungHo Online Entertainment, Inc. | 5,900 | 117,532 | |||
Gunma Bank, Ltd. | 44,800 | 141,274 | |||
Gunze, Ltd. | 1,500 | 62,506 | |||
H.U. Group Holdings, Inc. | 5,900 | 152,244 | |||
H2O Retailing Corp. | 7,900 | 64,131 | |||
Hachijuni Bank, Ltd. | 42,000 | 135,472 | |||
Hakuhodo DY Holdings, Inc. | 26,800 | 416,283 | |||
Hamakyorex Co., Ltd. | 2,200 | 63,231 | |||
Hamamatsu Photonics KK | 18,300 | 1,104,694 |
Security Description | Shares | Value | |||
Hankyu Hanshin Holdings, Inc. | 28,000 | $ 864,042 | |||
Hankyu Hanshin REIT, Inc. | 94 | 136,270 | |||
Hanwa Co., Ltd. | 3,500 | 101,225 | |||
Harmonic Drive Systems, Inc. (c) | 5,500 | 303,271 | |||
Haseko Corp. | 31,300 | 429,215 | |||
Hazama Ando Corp. | 19,400 | 142,979 | |||
HEALIOS KK (b) | 3,200 | 52,531 | |||
Heiwa Corp. | 5,300 | 93,928 | |||
Heiwa Real Estate Co., Ltd. | 2,900 | 109,478 | |||
Heiwa Real Estate REIT, Inc. | 115 | 181,323 | |||
Heiwado Co., Ltd. | 3,000 | 59,951 | |||
Hennge KK (b) | 600 | 20,569 | |||
Hibiya Engineering, Ltd. | 4,100 | 67,084 | |||
Hiday Hidaka Corp. (c) | 3,500 | 56,825 | |||
Hikari Tsushin, Inc. | 2,500 | 439,454 | |||
Hino Motors, Ltd. | 34,700 | 305,450 | |||
Hioki EE Corp. | 2,100 | 114,848 | |||
Hirata Corp. | 1,100 | 65,610 | |||
Hirogin Holdings, Inc. | 29,200 | 153,906 | |||
Hirose Electric Co., Ltd. | 3,700 | 541,715 | |||
HIS Co., Ltd. (b) | 3,700 | 80,241 | |||
Hisamitsu Pharmaceutical Co., Inc. | 6,200 | 305,559 | |||
Hitachi Construction Machinery Co., Ltd. | 15,400 | 471,060 | |||
Hitachi Metals, Ltd. (b) | 25,200 | 482,249 | |||
Hitachi Transport System, Ltd. | 4,800 | 199,153 | |||
Hitachi Zosen Corp. | 16,500 | 106,591 | |||
Hitachi, Ltd. | 119,300 | 6,837,258 | |||
Hogy Medical Co., Ltd. | 2,100 | 64,614 | |||
Hokkaido Electric Power Co., Inc. | 31,100 | 140,943 | |||
Hokkoku Bank, Ltd. | 1,900 | 37,884 | |||
Hokuetsu Corp. | 13,800 | 71,742 | |||
Hokuhoku Financial Group, Inc. | 15,100 | 110,335 | |||
Hokuriku Electric Power Co. | 19,300 | 105,377 | |||
Hokuto Corp. | 6,300 | 108,926 | |||
Honda Motor Co., Ltd. | 202,600 | 6,480,133 | |||
Horiba, Ltd. (c) | 4,100 | 265,970 | |||
Hoshino Resorts REIT, Inc. | 28 | 170,286 | |||
Hoshizaki Corp. | 7,000 | 595,369 | |||
Hosiden Corp. | 7,100 | 63,650 | |||
Hosokawa Micron Corp. | 2,600 | 139,382 | |||
House Foods Group, Inc. | 6,600 | 201,883 | |||
Hoya Corp. | 46,000 | 6,104,874 | |||
Hulic Co., Ltd. (c) | 36,600 | 412,199 | |||
Hulic Reit, Inc. | 121 | 203,974 | |||
Hyakugo Bank, Ltd. | 22,900 | 63,135 |
Security Description | Shares | Value | |||
Hyakujushi Bank, Ltd. | 4,200 | $ 55,173 | |||
Ibiden Co., Ltd. | 13,100 | 706,992 | |||
IBJ Leasing Co., Ltd. | 2,800 | 94,477 | |||
Ichibanya Co., Ltd. | 1,500 | 68,790 | |||
Ichigo Office REIT Investment Corp. | 122 | 108,601 | |||
Ichigo, Inc. | 17,400 | 55,183 | |||
Idec Corp. | 3,800 | 71,933 | |||
Idemitsu Kosan Co., Ltd. | 25,477 | 615,864 | |||
IHI Corp. (b) | 14,400 | 341,998 | |||
Iida Group Holdings Co., Ltd. | 18,000 | 463,826 | |||
Inaba Denki Sangyo Co., Ltd. | 5,300 | 123,487 | |||
Inabata & Co., Ltd. | 5,700 | 87,870 | |||
Inageya Co., Ltd. (c) | 2,600 | 34,482 | |||
Industrial & Infrastructure Fund Investment Corp. REIT | 230 | 439,112 | |||
Infocom Corp. | 2,800 | 77,322 | |||
Infomart Corp. (c) | 20,800 | 170,725 | |||
Information Services International-Dentsu, Ltd. | 2,000 | 82,530 | |||
Inpex Corp. (c) | 126,100 | 941,859 | |||
Insource Co., Ltd. | 3,200 | 69,167 | |||
Internet Initiative Japan, Inc. (c) | 6,000 | 186,503 | |||
Invesco Office J-REIT, Inc. | 1,103 | 225,489 | |||
Invincible Investment Corp. REIT | 700 | 269,934 | |||
IR Japan Holdings, Ltd. | 1,100 | 138,652 | |||
Iriso Electronics Co., Ltd. | 1,500 | 72,439 | |||
Isetan Mitsukoshi Holdings, Ltd. | 36,600 | 255,234 | |||
Isuzu Motors, Ltd. | 67,400 | 890,853 | |||
Ito En, Ltd. | 6,300 | 374,061 | |||
Itochu Advance Logistics Investment Corp. REIT | 64 | 91,338 | |||
ITOCHU Corp. | 164,900 | 4,754,302 | |||
Itochu Enex Co., Ltd. | 5,600 | 49,900 | |||
Itochu Techno-Solutions Corp. | 11,000 | 340,932 | |||
Itoham Yonekyu Holdings, Inc. | 15,500 | 99,851 | |||
Iwatani Corp. | 6,000 | 360,032 | |||
Iyo Bank, Ltd. | 28,400 | 139,710 | |||
Izumi Co., Ltd. | 3,200 | 120,515 | |||
J Front Retailing Co., Ltd. | 26,500 | 235,179 | |||
JAC Recruitment Co., Ltd. | 3,700 | 59,372 | |||
Jaccs Co., Ltd. | 3,300 | 77,304 | |||
JAFCO Group Co., Ltd. | 3,600 | 224,128 | |||
Japan Airlines Co., Ltd. (b) | 17,600 | 380,733 |
Security Description | Shares | Value | |||
Japan Airport Terminal Co., Ltd. (b) | 9,500 | $ 427,111 | |||
Japan Aviation Electronics Industry, Ltd. | 5,700 | 100,812 | |||
Japan Elevator Service Holdings Co., Ltd. | 5,600 | 130,275 | |||
Japan Excellent, Inc. REIT | 140 | 200,306 | |||
Japan Exchange Group, Inc. | 65,800 | 1,464,330 | |||
Japan Hotel REIT Investment Corp. | 485 | 291,026 | |||
Japan Lifeline Co., Ltd. | 4,500 | 54,775 | |||
Japan Logistics Fund, Inc. REIT | 95 | 285,882 | |||
Japan Material Co., Ltd. | 5,700 | 69,382 | |||
Japan Metropolitan Fund Invest REIT | 843 | 914,472 | |||
Japan Petroleum Exploration Co., Ltd. | 2,300 | 41,383 | |||
Japan Post Bank Co., Ltd. | 46,600 | 391,727 | |||
Japan Post Holdings Co., Ltd. | 200,800 | 1,646,889 | |||
Japan Post Insurance Co., Ltd. | 25,800 | 477,459 | |||
Japan Prime Realty Investment Corp. REIT (c) | 100 | 391,927 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 63,609 | |||
Japan Real Estate Investment Corp. REIT | 172 | 1,058,438 | |||
Japan Securities Finance Co., Ltd. | 9,400 | 68,685 | |||
Japan Steel Works, Ltd. | 6,400 | 164,570 | |||
Japan Tobacco, Inc. (c) | 149,600 | 2,828,503 | |||
Japan Wool Textile Co., Ltd. | 5,100 | 44,434 | |||
JCR Pharmaceuticals Co., Ltd. | 8,000 | 269,574 | |||
JCU Corp. | 3,500 | 112,893 | |||
Jeol, Ltd. | 4,100 | 240,112 | |||
JFE Holdings, Inc. | 61,100 | 716,201 | |||
JGC Holdings Corp. | 25,300 | 235,927 | |||
JIG-SAW, Inc. (b) | 600 | 50,707 | |||
JINS Holdings, Inc. | 1,200 | 92,008 | |||
JM Holdings Co., Ltd. | 4,100 | 81,416 | |||
JMDC, Inc. (b) | 3,100 | 154,735 | |||
J-Oil Mills, Inc. | 3,600 | 60,946 | |||
Joshin Denki Co., Ltd. (c) | 3,500 | 84,827 | |||
Joyful Honda Co., Ltd. | 6,400 | 78,075 | |||
JSR Corp. | 25,300 | 765,907 | |||
JTEKT Corp. | 23,200 | 238,083 | |||
JTOWER, Inc. (b) | 900 | 45,653 | |||
Juroku Bank, Ltd. | 3,000 | 52,870 | |||
Justsystems Corp. | 4,000 | 235,697 |
Security Description | Shares | Value | |||
Kadokawa Corp. | 7,800 | $ 316,947 | |||
Kaga Electronics Co., Ltd. | 2,000 | 53,662 | |||
Kagome Co., Ltd. | 8,700 | 229,748 | |||
Kajima Corp. | 54,200 | 687,084 | |||
Kakaku.com, Inc. | 16,200 | 489,693 | |||
Kaken Pharmaceutical Co., Ltd. | 3,100 | 132,949 | |||
Kamakura Shinsho, Ltd. | 2,000 | 18,128 | |||
Kameda Seika Co., Ltd. | 1,600 | 63,862 | |||
Kamigumi Co., Ltd. | 10,700 | 217,201 | |||
Kanamoto Co., Ltd. | 3,000 | 69,141 | |||
Kandenko Co., Ltd. | 8,400 | 65,617 | |||
Kaneka Corp. | 5,200 | 209,659 | |||
Kanematsu Corp. | 6,200 | 82,507 | |||
Kanematsu Electronics, Ltd. | 1,000 | 32,345 | |||
Kansai Electric Power Co., Inc. | 86,800 | 828,585 | |||
Kansai Paint Co., Ltd. | 20,300 | 517,788 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 81,251 | |||
Kao Corp. | 59,400 | 3,657,978 | |||
Kappa Create Co., Ltd. (b) (c) | 7,600 | 99,494 | |||
Katakura Industries Co., Ltd. | 5,600 | 75,077 | |||
Katitas Co., Ltd. | 5,500 | 154,609 | |||
Kato Sangyo Co., Ltd. | 2,100 | 64,046 | |||
Kawasaki Heavy Industries, Ltd. (b) | 15,500 | 331,674 | |||
Kawasaki Kisen Kaisha, Ltd. (b) | 6,700 | 241,161 | |||
KDDI Corp. | 200,400 | 6,256,293 | |||
Keihan Holdings Co., Ltd. (c) | 11,000 | 333,003 | |||
Keihanshin Building Co., Ltd. | 6,200 | 76,083 | |||
Keikyu Corp. (c) | 24,800 | 303,436 | |||
Keio Corp. | 12,700 | 747,193 | |||
Keisei Electric Railway Co., Ltd. | 15,800 | 504,649 | |||
Keiyo Bank, Ltd. | 11,200 | 41,070 | |||
Keiyo Co., Ltd. | 15,400 | 108,920 | |||
Kenedix Office Investment Corp. REIT | 52 | 366,844 | |||
Kenedix Residential Next Investment Corp. REIT | 104 | 224,979 | |||
Kenedix Retail REIT Corp. | 49 | 132,665 | |||
Kewpie Corp. | 12,200 | 274,030 | |||
Key Coffee, Inc. | 8,000 | 150,356 | |||
Keyence Corp. | 24,200 | 12,225,372 | |||
KFC Holdings Japan, Ltd. (c) | 1,700 | 43,285 | |||
KH Neochem Co., Ltd. | 3,300 | 76,739 | |||
Kikkoman Corp. | 17,500 | 1,155,735 |
Security Description | Shares | Value | |||
Kinden Corp. | 14,500 | $ 236,985 | |||
Kintetsu Group Holdings Co., Ltd. (b) | 21,100 | 741,418 | |||
Kintetsu World Express, Inc. | 3,700 | 77,940 | |||
Kirin Holdings Co., Ltd. (c) | 102,200 | 1,994,461 | |||
Kisoji Co., Ltd. (c) | 6,300 | 132,823 | |||
Kissei Pharmaceutical Co., Ltd. | 3,200 | 62,074 | |||
Kitanotatsujin Corp. | 7,500 | 33,381 | |||
Kitz Corp. | 7,300 | 49,658 | |||
Kiyo Bank, Ltd. | 5,000 | 64,736 | |||
Koa Corp. | 3,000 | 46,842 | |||
Kobayashi Pharmaceutical Co., Ltd. (c) | 6,500 | 555,771 | |||
Kobe Bussan Co., Ltd. | 16,700 | 526,624 | |||
Kobe Steel, Ltd. | 35,800 | 229,979 | |||
Koei Tecmo Holdings Co., Ltd. | 6,760 | 330,113 | |||
Kohnan Shoji Co., Ltd. | 3,300 | 113,578 | |||
Koito Manufacturing Co., Ltd. | 12,300 | 765,772 | |||
Kokuyo Co., Ltd. | 8,000 | 125,056 | |||
Komatsu, Ltd. | 108,500 | 2,698,570 | |||
KOMEDA Holdings Co., Ltd. | 4,200 | 78,331 | |||
Komeri Co., Ltd. | 5,500 | 129,732 | |||
Konami Holdings Corp. | 11,700 | 703,117 | |||
Konica Minolta, Inc. | 49,200 | 272,176 | |||
Konishi Co., Ltd. | 5,200 | 75,618 | |||
Konoike Transport Co., Ltd. | 4,700 | 51,324 | |||
Kose Corp. | 3,900 | 614,217 | |||
Koshidaka Holdings Co., Ltd. (c) | 4,300 | 23,439 | |||
Kotobuki Spirits Co., Ltd. (c) | 2,100 | 135,850 | |||
K's Holdings Corp. | 21,600 | 248,520 | |||
Kubota Corp. (c) | 128,000 | 2,591,369 | |||
Kumagai Gumi Co., Ltd. | 3,200 | 80,728 | |||
Kumiai Chemical Industry Co., Ltd. | 7,900 | 60,501 | |||
Kura Sushi, Inc. | 2,200 | 92,170 | |||
Kuraray Co., Ltd. (c) | 39,900 | 383,578 | |||
Kureha Corp. | 1,900 | 110,073 | |||
Kurita Water Industries, Ltd. | 13,700 | 657,906 | |||
Kusuri no Aoki Holdings Co., Ltd. | 1,400 | 102,171 | |||
KYB Corp. | 1,600 | 54,203 | |||
Kyocera Corp. | 40,000 | 2,475,178 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 82,409 | |||
KYORIN Holdings, Inc. | 6,100 | 99,587 |
Security Description | Shares | Value | |||
Kyoritsu Maintenance Co., Ltd. | 3,100 | $ 101,108 | |||
Kyowa Exeo Corp. | 12,400 | 305,559 | |||
Kyowa Kirin Co., Ltd. (c) | 35,400 | 1,256,654 | |||
Kyudenko Corp. | 4,900 | 157,388 | |||
Kyushu Electric Power Co., Inc. | 45,800 | 352,816 | |||
Kyushu Financial Group, Inc. | 37,800 | 133,504 | |||
Kyushu Railway Co. | 18,000 | 406,415 | |||
LaSalle Logiport REIT | 226 | 381,995 | |||
Lasertec Corp. (c) | 9,300 | 1,809,055 | |||
Lawson, Inc. | 5,400 | 250,077 | |||
LEC, Inc. (c) | 7,500 | 76,358 | |||
Leopalace21 Corp. (b) | 27,000 | 33,814 | |||
Life Corp. | 1,600 | 50,815 | |||
Lifenet Insurance Co. (b) | 3,600 | 40,090 | |||
LIFULL Co., Ltd. | 11,100 | 35,403 | |||
Lintec Corp. | 3,800 | 82,512 | |||
Lion Corp. (c) | 25,700 | 435,782 | |||
LITALICO, Inc. | 1,200 | 61,952 | |||
Lixil Corp. | 31,300 | 810,207 | |||
M&A Capital Partners Co., Ltd. (b) | 1,300 | 63,483 | |||
M3, Inc. | 54,400 | 3,976,459 | |||
Mabuchi Motor Co., Ltd. (c) | 4,900 | 185,422 | |||
Macnica Fuji Electronics Holdings, Inc. | 5,800 | 139,578 | |||
Maeda Corp. (c) | 19,500 | 169,191 | |||
Maeda Kosen Co., Ltd. | 1,800 | 56,600 | |||
Maeda Road Construction Co., Ltd. (c) | 3,500 | 68,808 | |||
Makino Milling Machine Co., Ltd. | 2,000 | 80,728 | |||
Makita Corp. | 26,800 | 1,262,852 | |||
Mandom Corp. | 3,500 | 65,276 | |||
Mani, Inc. | 7,200 | 165,161 | |||
Marubeni Corp. | 211,500 | 1,840,978 | |||
Marudai Food Co., Ltd. (c) | 4,400 | 67,195 | |||
Maruha Nichiro Corp. | 6,800 | 144,651 | |||
Marui Group Co., Ltd. | 22,300 | 419,519 | |||
Maruichi Steel Tube, Ltd. | 5,100 | 119,884 | |||
Maruwa Co., Ltd. | 1,000 | 100,820 | |||
Maruwa Unyu Kikan Co., Ltd. | 5,400 | 76,823 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 78,241 | |||
Marvelous, Inc. | 9,200 | 65,483 | |||
Matsui Securities Co., Ltd. | 13,000 | 94,873 | |||
Matsumotokiyoshi Holdings Co., Ltd. | 10,000 | 441,932 | |||
Matsuya Co., Ltd. (b) (c) | 8,800 | 74,212 | |||
Matsuyafoods Holdings Co., Ltd. | 2,200 | 69,871 |
Security Description | Shares | Value | |||
Max Co., Ltd. | 4,200 | $ 68,947 | |||
Maxell Holdings, Ltd. (b) | 4,900 | 54,832 | |||
Mazda Motor Corp. (b) | 66,800 | 628,338 | |||
McDonald's Holdings Co. Japan, Ltd. (c) | 9,800 | 432,652 | |||
MCJ Co., Ltd. | 5,700 | 63,630 | |||
Mebuki Financial Group, Inc. | 110,800 | 233,599 | |||
Media Do Co., Ltd. | 800 | 32,832 | |||
Medical Data Vision Co., Ltd. (c) | 10,000 | 198,216 | |||
Medipal Holdings Corp. | 21,000 | 401,496 | |||
Medley, Inc. (b) | 4,300 | 185,963 | |||
MedPeer, Inc. (b) | 1,400 | 55,564 | |||
Megachips Corp. | 1,800 | 51,653 | |||
Megmilk Snow Brand Co., Ltd. | 3,800 | 72,378 | |||
Meidensha Corp. | 4,000 | 79,611 | |||
MEIJI Holdings Co., Ltd. | 15,100 | 904,721 | |||
Meiko Electronics Co., Ltd. | 3,800 | 111,614 | |||
Meitec Corp. | 2,300 | 124,543 | |||
Menicon Co., Ltd. | 3,000 | 210,830 | |||
Mercari, Inc. (b) (c) | 12,500 | 664,474 | |||
METAWATER Co., Ltd. | 4,200 | 79,807 | |||
Micronics Japan Co., Ltd. | 8,600 | 119,326 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 81,627 | |||
Milbon Co., Ltd. | 3,900 | 220,669 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 106,192 | |||
MINEBEA MITSUMI, Inc. | 43,800 | 1,159,818 | |||
Mirai Corp. REIT | 175 | 81,832 | |||
Mirait Holdings Corp. | 11,300 | 200,669 | |||
Miroku Jyoho Service Co., Ltd. | 2,500 | 35,927 | |||
MISUMI Group, Inc. | 37,100 | 1,256,834 | |||
Mitsubishi Chemical Holdings Corp. | 154,500 | 1,299,448 | |||
Mitsubishi Corp. | 164,000 | 4,474,205 | |||
Mitsubishi Electric Corp. | 225,800 | 3,280,498 | |||
Mitsubishi Estate Co., Ltd. | 147,000 | 2,379,363 | |||
Mitsubishi Estate Logistics REIT Investment Corp. | 37 | 163,848 | |||
Mitsubishi Gas Chemical Co., Inc. | 19,100 | 405,438 | |||
Mitsubishi HC Capital, Inc. | 93,330 | 500,328 | |||
Mitsubishi Heavy Industries, Ltd. | 38,700 | 1,139,835 | |||
Mitsubishi Logistics Corp. | 6,900 | 204,532 | |||
Mitsubishi Materials Corp. | 11,800 | 235,490 | |||
Mitsubishi Motors Corp. (b) | 83,100 | 233,599 |
Security Description | Shares | Value | |||
Mitsubishi Pencil Co., Ltd. | 5,800 | $ 75,146 | |||
Mitsubishi Shokuhin Co., Ltd. | 1,300 | 32,901 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,518,900 | 8,212,378 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 66,222 | |||
Mitsui & Co., Ltd. | 200,500 | 4,517,076 | |||
Mitsui Chemicals, Inc. | 22,800 | 787,801 | |||
Mitsui Fudosan Co., Ltd. | 114,400 | 2,652,052 | |||
Mitsui Fudosan Logistics Park, Inc. REIT | 59 | 314,695 | |||
Mitsui High-Tec, Inc. | 2,100 | 120,903 | |||
Mitsui Mining & Smelting Co., Ltd. | 6,000 | 166,501 | |||
Mitsui OSK Lines, Ltd. | 12,500 | 601,406 | |||
Mitsui-Soko Holdings Co., Ltd. | 2,000 | 45,518 | |||
Mitsuuroko Group Holdings Co., Ltd. (c) | 3,800 | 40,434 | |||
Miura Co., Ltd. | 10,100 | 438,161 | |||
Mixi, Inc. | 3,900 | 102,955 | |||
Mizuho Financial Group, Inc. | 296,420 | 4,239,722 | |||
Mizuno Corp. | 3,400 | 72,356 | |||
Mochida Pharmaceutical Co., Ltd. | 3,500 | 114,785 | |||
Modec, Inc. | 2,400 | 44,501 | |||
Monex Group, Inc. | 16,800 | 113,221 | |||
Money Forward, Inc. (b) | 4,400 | 281,070 | |||
Monogatari Corp | 1,400 | 94,225 | |||
MonotaRO Co., Ltd. | 29,400 | 696,657 | |||
Mori Hills REIT Investment Corp. | 215 | 322,723 | |||
Mori Trust Hotel Reit, Inc. | 98 | 124,233 | |||
Mori Trust Sogo Reit, Inc. | 90 | 127,390 | |||
Morinaga & Co., Ltd. | 3,400 | 108,749 | |||
Morinaga Milk Industry Co., Ltd. | 4,300 | 224,318 | |||
Morita Holdings Corp. | 4,400 | 63,389 | |||
MOS Food Services, Inc. | 3,100 | 84,769 | |||
MS&AD Insurance Group Holdings, Inc. | 57,000 | 1,647,500 | |||
MTI, Ltd. | 10,500 | 63,952 | |||
Murata Manufacturing Co., Ltd. | 71,400 | 5,456,481 | |||
Musashi Seimitsu Industry Co., Ltd. | 4,900 | 109,222 | |||
Musashino Bank, Ltd. | 2,300 | 34,607 | |||
Nabtesco Corp. (c) | 12,900 | 488,152 | |||
Nachi-Fujikoshi Corp. | 1,200 | 42,274 | |||
Nagaileben Co., Ltd. | 3,300 | 79,534 | |||
Nagase & Co., Ltd. | 11,700 | 174,778 | |||
Nagoya Railroad Co., Ltd. (b) | 23,000 | 428,129 | |||
Nakanishi, Inc. | 7,600 | 166,393 |
Security Description | Shares | Value | |||
Nankai Electric Railway Co., Ltd. | 10,900 | $ 233,045 | |||
Nanto Bank, Ltd. | 3,100 | 51,308 | |||
NEC Corp. | 31,300 | 1,613,082 | |||
NEC Networks & System Integration Corp. | 6,000 | 94,873 | |||
NET One Systems Co., Ltd. | 9,900 | 326,908 | |||
Nexon Co., Ltd. | 61,900 | 1,380,885 | |||
Nextage Co., Ltd. | 6,800 | 115,304 | |||
NGK Insulators, Ltd. | 30,300 | 508,867 | |||
NGK Spark Plug Co., Ltd. (c) | 17,600 | 261,011 | |||
NH Foods, Ltd. | 9,500 | 369,763 | |||
NHK Spring Co., Ltd. | 28,100 | 230,896 | |||
Nichias Corp. | 6,300 | 158,649 | |||
Nichicon Corp. (c) | 5,100 | 54,910 | |||
Nichiden Corp. (c) | 3,800 | 73,747 | |||
Nichiha Corp. | 2,600 | 66,130 | |||
Nichi-iko Pharmaceutical Co., Ltd. | 6,000 | 48,112 | |||
Nichirei Corp. | 13,200 | 347,156 | |||
Nidec Corp. | 55,100 | 6,391,679 | |||
Nifco, Inc. | 9,900 | 374,182 | |||
Nihon Chouzai Co., Ltd. | 4,000 | 56,329 | |||
Nihon Kohden Corp. | 8,800 | 251,338 | |||
Nihon M&A Center, Inc. | 36,600 | 950,037 | |||
Nihon Nohyaku Co., Ltd. | 15,600 | 70,839 | |||
Nihon Parkerizing Co., Ltd. | 12,300 | 122,900 | |||
Nihon Unisys, Ltd. | 7,900 | 237,733 | |||
Nikkiso Co., Ltd. (c) | 4,200 | 42,269 | |||
Nikkon Holdings Co., Ltd. | 7,200 | 156,857 | |||
Nikon Corp. | 33,200 | 354,464 | |||
Nintendo Co., Ltd. | 13,900 | 8,092,783 | |||
Nippn Corp. | 3,900 | 55,132 | |||
Nippo Corp. | 6,200 | 176,800 | |||
Nippon Accommodations Fund, Inc. REIT | 48 | 277,214 | |||
Nippon Building Fund, Inc. REIT (c) | 179 | 1,117,641 | |||
Nippon Carbon Co., Ltd. | 1,200 | 45,301 | |||
Nippon Ceramic Co., Ltd. (c) | 2,800 | 73,690 | |||
Nippon Densetsu Kogyo Co., Ltd. | 3,100 | 50,414 | |||
Nippon Electric Glass Co., Ltd. (c) | 12,700 | 298,649 | |||
Nippon Express Co., Ltd. | 9,400 | 716,497 | |||
Nippon Gas Co., Ltd. | 11,400 | 193,920 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 89,810 | |||
Nippon Kayaku Co., Ltd. | 13,800 | 130,552 | |||
Nippon Koei Co., Ltd. | 2,400 | 66,709 | |||
Nippon Light Metal Holdings Co., Ltd. | 14,500 | 244,301 | |||
Nippon Paint Holdings Co., Ltd. (c) | 88,500 | 1,202,433 |
Security Description | Shares | Value | |||
Nippon Paper Industries Co., Ltd. | 10,500 | $ 117,686 | |||
Nippon Parking Development Co., Ltd. | 44,800 | 68,215 | |||
Nippon Prologis REIT, Inc. | 256 | 815,353 | |||
NIPPON REIT Investment Corp. (c) | 52 | 213,875 | |||
Nippon Road Co., Ltd. | 1,200 | 83,359 | |||
Nippon Sanso Holdings Corp. | 18,300 | 375,431 | |||
Nippon Seiki Co., Ltd. | 4,600 | 49,113 | |||
Nippon Sheet Glass Co., Ltd. (b) | 10,400 | 59,501 | |||
Nippon Shinyaku Co., Ltd. | 6,000 | 476,259 | |||
Nippon Shokubai Co., Ltd. | 3,200 | 153,960 | |||
Nippon Signal Co., Ltd. | 6,300 | 51,994 | |||
Nippon Soda Co., Ltd. | 2,900 | 84,003 | |||
Nippon Steel Corp. | 104,600 | 1,765,637 | |||
Nippon Steel Trading Corp. | 1,600 | 62,997 | |||
Nippon Suisan Kaisha, Ltd. | 35,600 | 169,677 | |||
Nippon Telegraph & Telephone Corp. | 158,500 | 4,133,510 | |||
Nippon Television Holdings, Inc. | 5,700 | 66,095 | |||
Nippon Yusen KK | 19,800 | 1,004,361 | |||
Nipro Corp. | 16,000 | 189,278 | |||
Nishimatsu Construction Co., Ltd. | 6,200 | 193,279 | |||
Nishimatsuya Chain Co., Ltd. (c) | 9,000 | 122,200 | |||
Nishi-Nippon Financial Holdings, Inc. | 11,300 | 64,345 | |||
Nishi-Nippon Railroad Co., Ltd. | 7,200 | 174,632 | |||
Nishio Rent All Co., Ltd. | 2,900 | 80,998 | |||
Nissan Chemical Corp. | 15,200 | 745,004 | |||
Nissan Motor Co., Ltd. (b) | 297,400 | 1,477,220 | |||
Nissan Shatai Co., Ltd. | 6,700 | 43,282 | |||
Nissei ASB Machine Co., Ltd. | 1,400 | 62,249 | |||
Nissha Co., Ltd. (c) | 4,100 | 61,727 | |||
Nisshin Oillio Group, Ltd. | 2,200 | 60,852 | |||
Nisshin Seifun Group, Inc. | 23,900 | 349,919 | |||
Nisshinbo Holdings, Inc. (c) | 12,900 | 111,461 | |||
Nissin Electric Co., Ltd. | 5,200 | 65,732 | |||
Nissin Foods Holdings Co., Ltd. | 7,500 | 540,589 | |||
Nitori Holdings Co., Ltd. | 10,200 | 1,806,757 | |||
Nitta Corp. | 1,700 | 39,777 | |||
Nitto Boseki Co., Ltd. (c) | 2,300 | 71,078 |
Security Description | Shares | Value | |||
Nitto Denko Corp. | 20,300 | $ 1,516,236 | |||
Nitto Kogyo Corp. | 3,700 | 60,772 | |||
Nittoku Co., Ltd. | 2,600 | 92,531 | |||
Noevir Holdings Co., Ltd. | 1,400 | 71,142 | |||
NOF Corp. | 9,700 | 506,019 | |||
Nohmi Bosai, Ltd. | 1,800 | 33,992 | |||
Nojima Corp. | 5,400 | 133,601 | |||
NOK Corp. | 14,600 | 181,267 | |||
Nomura Co., Ltd. | 5,300 | 45,603 | |||
Nomura Holdings, Inc. | 379,400 | 1,940,925 | |||
Nomura Real Estate Holdings, Inc. | 13,300 | 337,683 | |||
Nomura Real Estate Master Fund, Inc. REIT | 517 | 829,604 | |||
Nomura Research Institute, Ltd. | 43,100 | 1,427,088 | |||
Noritsu Koki Co., Ltd. | 2,100 | 44,955 | |||
Noritz Corp. (c) | 6,800 | 113,834 | |||
North Pacific Bank, Ltd. | 27,700 | 58,899 | |||
NS Solutions Corp. | 3,800 | 122,570 | |||
NSD Co., Ltd. | 9,100 | 152,172 | |||
NSK, Ltd. | 47,200 | 399,322 | |||
NTN Corp. (b) | 36,100 | 94,324 | |||
NTT Data Corp. | 81,500 | 1,272,543 | |||
NTT UD REIT Investment Corp. | 142 | 209,949 | |||
Obara Group, Inc. | 1,300 | 44,626 | |||
Obayashi Corp. | 78,400 | 623,725 | |||
OBIC Business Consultants Co., Ltd. | 2,000 | 115,686 | |||
Obic Co., Ltd. | 8,900 | 1,660,681 | |||
Odakyu Electric Railway Co., Ltd. | 35,600 | 900,023 | |||
Ogaki Kyoritsu Bank, Ltd. | 3,000 | 50,113 | |||
Ohsho Food Service Corp. | 1,200 | 60,546 | |||
Oiles Corp. | 4,900 | 68,341 | |||
Oisix ra daichi, Inc. (b) | 2,400 | 88,224 | |||
Oji Holdings Corp. | 98,900 | 568,503 | |||
Okamoto Industries, Inc. (c) | 1,900 | 70,015 | |||
Okamura Corp. | 6,100 | 82,605 | |||
Okasan Securities Group, Inc. | 15,600 | 58,470 | |||
Oki Electric Industry Co., Ltd. | 10,000 | 91,720 | |||
Okinawa Cellular Telephone Co. | 1,500 | 69,331 | |||
Okinawa Electric Power Co., Inc. | 4,935 | 61,582 | |||
OKUMA Corp. | 2,300 | 112,524 | |||
Okumura Corp. | 2,700 | 71,058 | |||
Okuwa Co., Ltd. | 6,200 | 60,721 | |||
Olympus Corp. | 144,500 | 2,874,637 | |||
Omron Corp. | 23,000 | 1,825,660 | |||
One REIT, Inc. | 31 | 90,355 |
Security Description | Shares | Value | |||
Ono Pharmaceutical Co., Ltd. | 44,600 | $ 996,156 | |||
Open House Co., Ltd. | 9,200 | 432,688 | |||
Optex Group Co., Ltd. | 4,700 | 78,594 | |||
Optim Corp. (b) | 1,800 | 36,830 | |||
Optorun Co., Ltd. | 2,400 | 53,410 | |||
Oracle Corp. Japan | 4,600 | 352,284 | |||
Organo Corp. | 1,500 | 84,197 | |||
Orient Corp. | 55,000 | 72,349 | |||
Oriental Land Co., Ltd. | 24,700 | 3,522,849 | |||
ORIX Corp. | 163,800 | 2,766,403 | |||
Orix JREIT, Inc. | 301 | 579,816 | |||
Osaka Gas Co., Ltd. | 44,100 | 822,082 | |||
Osaka Organic Chemical Industry, Ltd. | 1,600 | 63,429 | |||
Osaka Soda Co., Ltd. | 2,700 | 59,089 | |||
OSG Corp. | 9,200 | 159,647 | |||
Otsuka Corp. | 13,900 | 730,129 | |||
Otsuka Holdings Co., Ltd. (c) | 49,400 | 2,050,507 | |||
Outsourcing, Inc. | 12,200 | 221,928 | |||
Pacific Industrial Co., Ltd. | 3,700 | 39,904 | |||
Pack Corp. (c) | 2,300 | 55,992 | |||
PAL GROUP Holdings Co., Ltd. | 4,400 | 68,424 | |||
PALTAC Corp. | 2,900 | 150,500 | |||
Pan Pacific International Holdings Corp. | 49,700 | 1,032,599 | |||
Panasonic Corp. | 273,500 | 3,167,711 | |||
Paramount Bed Holdings Co., Ltd. | 3,600 | 64,190 | |||
Park24 Co., Ltd. (b) | 12,800 | 232,727 | |||
Pasona Group, Inc. | 4,800 | 93,414 | |||
Penta-Ocean Construction Co., Ltd. | 27,600 | 192,223 | |||
PeptiDream, Inc. (b) | 12,400 | 608,884 | |||
Persol Holdings Co., Ltd. | 21,200 | 419,263 | |||
Pharma Foods International Co., Ltd. (c) | 2,400 | 60,178 | |||
Pigeon Corp. (c) | 13,300 | 375,070 | |||
Pilot Corp. | 2,400 | 81,305 | |||
Piolax, Inc. | 2,400 | 33,041 | |||
PKSHA Technology, Inc. (b) | 1,700 | 38,139 | |||
Plaid, Inc. (b) (c) | 1,800 | 44,891 | |||
Plenus Co., Ltd. | 4,100 | 75,173 | |||
Pola Orbis Holdings, Inc. (c) | 9,700 | 256,418 | |||
Premier Anti-Aging Co., Ltd. (b) | 400 | 51,969 | |||
Pressance Corp. | 1,700 | 22,883 | |||
Prestige International, Inc. | 8,800 | 55,738 | |||
Prima Meat Packers, Ltd. | 3,400 | 92,053 | |||
Proto Corp. | 3,000 | 35,517 | |||
Raito Kogyo Co., Ltd. | 9,300 | 151,327 |
Security Description | Shares | Value | |||
Raiznext Corp. | 6,900 | $ 71,742 | |||
Raksul, Inc. (b) | 2,100 | 102,739 | |||
Rakus Co., Ltd. | 9,600 | 262,510 | |||
Rakuten Group, Inc. | 111,400 | 1,258,632 | |||
Recruit Holdings Co., Ltd. | 168,600 | 8,309,235 | |||
Relia, Inc. | 5,700 | 69,690 | |||
Relo Group, Inc. | 13,200 | 302,081 | |||
Renesas Electronics Corp. (b) | 155,400 | 1,681,551 | |||
Rengo Co., Ltd. | 21,800 | 181,683 | |||
RENOVA, Inc. (b) | 3,700 | 145,846 | |||
Resona Holdings, Inc. | 261,602 | 1,006,905 | |||
Resorttrust, Inc. | 7,400 | 120,944 | |||
Restar Holdings Corp. | 4,300 | 73,068 | |||
Retail Partners Co., Ltd. (c) | 8,600 | 90,889 | |||
Ricoh Co., Ltd. | 82,000 | 921,290 | |||
Ricoh Leasing Co., Ltd. | 1,200 | 37,247 | |||
Riken Keiki Co., Ltd. | 3,700 | 88,508 | |||
Riken Vitamin Co., Ltd. | 4,400 | 61,685 | |||
Ringer Hut Co., Ltd. (b) | 4,000 | 85,810 | |||
Rinnai Corp. | 4,200 | 399,982 | |||
Riso Kagaku Corp. | 1,800 | 28,803 | |||
Riso Kyoiku Co., Ltd. | 12,100 | 36,303 | |||
Rock Field Co., Ltd. | 6,900 | 91,760 | |||
Rohm Co., Ltd. | 10,600 | 980,827 | |||
Rohto Pharmaceutical Co., Ltd. | 11,400 | 306,595 | |||
Roland Corp. | 1,500 | 76,088 | |||
Rorze Corp. | 1,000 | 88,116 | |||
Round One Corp. | 4,900 | 60,704 | |||
Royal Holdings Co., Ltd. (b) (c) | 2,800 | 54,870 | |||
RS Technologies Co., Ltd. | 800 | 47,139 | |||
Ryohin Keikaku Co., Ltd. | 31,200 | 654,978 | |||
Ryosan Co., Ltd. | 2,800 | 50,934 | |||
Ryoyo Electro Corp. (c) | 4,900 | 114,697 | |||
S Foods, Inc. | 1,500 | 44,463 | |||
Saibu Gas Holdings Co., Ltd. (c) | 2,400 | 52,632 | |||
Saizeriya Co., Ltd. | 2,700 | 64,830 | |||
Sakai Moving Service Co., Ltd. | 1,200 | 62,276 | |||
Sakata INX Corp. | 6,900 | 62,852 | |||
Sakata Seed Corp. | 2,600 | 85,503 | |||
SAMTY Co., Ltd. | 4,100 | 78,720 | |||
Samty Residential Investment Corp. REIT | 80 | 91,179 | |||
San-A Co., Ltd. | 1,500 | 57,032 | |||
San-Ai Oil Co., Ltd. | 7,300 | 84,582 | |||
SanBio Co., Ltd. (b) | 2,600 | 32,983 | |||
Sangetsu Corp. | 5,700 | 79,499 | |||
San-In Godo Bank, Ltd. | 12,800 | 62,161 | |||
Sanken Electric Co., Ltd. (b) | 3,300 | 164,420 |
Security Description | Shares | Value | |||
Sanki Engineering Co., Ltd. | 7,100 | $ 89,877 | |||
Sankyo Co., Ltd. | 3,800 | 97,131 | |||
Sankyu, Inc. | 6,100 | 264,632 | |||
Sanrio Co., Ltd. (b) (c) | 4,400 | 77,939 | |||
Sansan, Inc. (b) | 1,400 | 123,615 | |||
Sanshin Electronics Co., Ltd. (c) | 5,100 | 99,298 | |||
Santen Pharmaceutical Co., Ltd. | 42,200 | 581,728 | |||
Sanwa Holdings Corp. | 21,200 | 260,535 | |||
Sanyo Chemical Industries, Ltd. | 1,300 | 63,366 | |||
Sanyo Denki Co., Ltd. | 1,500 | 103,793 | |||
Sapporo Holdings, Ltd. (c) | 6,900 | 143,732 | |||
Sato Holdings Corp. | 2,600 | 63,811 | |||
Sawai Group Holdings Co., Ltd. | 4,200 | 187,314 | |||
SBI Holdings, Inc. | 28,500 | 674,818 | |||
SBS Holdings, Inc. | 4,500 | 135,012 | |||
SCREEN Holdings Co., Ltd. (c) | 4,500 | 445,175 | |||
SCSK Corp. | 6,000 | 357,870 | |||
Secom Co., Ltd. | 26,400 | 2,008,484 | |||
Sega Sammy Holdings, Inc. | 18,200 | 239,081 | |||
Seibu Holdings, Inc. (b) (c) | 27,700 | 324,943 | |||
Seiko Epson Corp. | 32,100 | 565,127 | |||
Seiko Holdings Corp. | 2,900 | 57,927 | |||
Seino Holdings Co., Ltd. | 21,700 | 278,411 | |||
Seiren Co., Ltd. | 6,100 | 120,582 | |||
Sekisui Chemical Co., Ltd. | 46,600 | 797,310 | |||
Sekisui House REIT, Inc. (c) | 478 | 396,216 | |||
Sekisui House, Ltd. | 79,100 | 1,623,834 | |||
Sekisui Jushi Corp. | 3,600 | 68,439 | |||
Senko Group Holdings Co., Ltd. | 8,900 | 86,923 | |||
Senshu Ikeda Holdings, Inc. | 18,200 | 26,073 | |||
Seria Co., Ltd. | 4,900 | 180,787 | |||
Seven & i Holdings Co., Ltd. | 93,000 | 4,438,427 | |||
Seven Bank, Ltd. | 72,000 | 153,095 | |||
SG Holdings Co., Ltd. | 42,300 | 1,110,189 | |||
Sharp Corp. (c) | 24,500 | 404,618 | |||
Shibaura Machine Co., Ltd. | 1,700 | 37,572 | |||
Shibuya Corp. | 1,200 | 33,571 | |||
SHIFT, Inc. (b) | 1,300 | 201,577 | |||
Shiga Bank, Ltd. | 4,200 | 73,488 | |||
Shikoku Chemicals Corp. | 6,600 | 77,899 | |||
Shikoku Electric Power Co., Inc. | 16,700 | 113,751 |
Security Description | Shares | Value | |||
Shima Seiki Manufacturing, Ltd. | 2,400 | $ 41,063 | |||
Shimadzu Corp. | 29,000 | 1,122,218 | |||
Shimamura Co., Ltd. | 2,300 | 220,903 | |||
Shimano, Inc. | 9,400 | 2,231,642 | |||
Shimizu Corp. | 66,600 | 511,246 | |||
Shin-Etsu Chemical Co., Ltd. | 44,000 | 7,365,709 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 93,365 | |||
Shinko Electric Industries Co., Ltd. | 7,800 | 285,674 | |||
Shinmaywa Industries, Ltd. | 5,600 | 48,386 | |||
Shinsei Bank, Ltd. (c) | 18,300 | 240,230 | |||
Shionogi & Co., Ltd. | 33,800 | 1,763,544 | |||
Ship Healthcare Holdings, Inc. | 9,200 | 214,935 | |||
Shiseido Co., Ltd. (c) | 49,400 | 3,636,791 | |||
Shizuoka Bank, Ltd. (c) | 54,600 | 422,573 | |||
Shizuoka Gas Co., Ltd. | 8,100 | 72,615 | |||
SHO-BOND Holdings Co., Ltd. | 4,400 | 183,350 | |||
Shochiku Co., Ltd. (b) | 900 | 103,874 | |||
Shoei Co., Ltd. | 3,200 | 120,948 | |||
Shoei Foods Corp. (c) | 2,300 | 77,813 | |||
Showa Denko KK | 18,800 | 558,969 | |||
Showa Sangyo Co., Ltd. | 2,400 | 64,611 | |||
Siix Corp. (c) | 3,200 | 40,969 | |||
Sinko Industries, Ltd. (c) | 3,500 | 59,127 | |||
SKY Perfect JSAT Holdings, Inc. | 14,300 | 52,180 | |||
Skylark Holdings Co., Ltd. (b) (c) | 27,700 | 385,090 | |||
SMC Corp. | 7,100 | 4,199,613 | |||
SMS Co., Ltd. | 7,400 | 221,687 | |||
Snow Peak, Inc. | 1,600 | 48,437 | |||
Sodick Co., Ltd. | 9,700 | 89,231 | |||
Softbank Corp. | 356,900 | 4,673,882 | |||
SoftBank Group Corp. | 191,600 | 13,421,840 | |||
Sohgo Security Services Co., Ltd. | 8,000 | 364,718 | |||
Sojitz Corp. | 147,100 | 443,990 | |||
Solasto Corp. | 6,300 | 79,807 | |||
Sompo Holdings, Inc. | 43,100 | 1,594,455 | |||
Sony Group Corp. | 156,700 | 15,269,038 | |||
Sosei Group Corp. (b) | 6,100 | 100,522 | |||
SOSiLA Logistics REIT, Inc. | 112 | 159,034 | |||
Sotetsu Holdings, Inc. | 8,500 | 167,641 | |||
S-Pool, Inc. | 7,200 | 64,936 | |||
Square Enix Holdings Co., Ltd. | 10,600 | 526,228 | |||
SRE Holdings Corp. (b) | 800 | 52,834 | |||
Stanley Electric Co., Ltd. | 15,000 | 434,499 | |||
Star Asia Investment Corp. REIT | 164 | 91,907 |
Security Description | Shares | Value | |||
Star Micronics Co., Ltd. | 4,800 | $ 73,131 | |||
Starts Corp., Inc. | 2,800 | 71,722 | |||
Starts Proceed Investment Corp. REIT | 62 | 135,183 | |||
Starzen Co., Ltd. | 3,400 | 64,422 | |||
Strike Co., Ltd. | 1,300 | 51,946 | |||
Subaru Corp. | 75,800 | 1,496,673 | |||
Sugi Holdings Co., Ltd. | 4,200 | 306,514 | |||
SUMCO Corp. (c) | 33,800 | 829,850 | |||
Sumitomo Bakelite Co., Ltd. | 3,700 | 163,681 | |||
Sumitomo Chemical Co., Ltd. | 185,100 | 982,286 | |||
Sumitomo Corp. | 149,800 | 2,008,311 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 24,100 | 505,494 | |||
Sumitomo Densetsu Co., Ltd. | 1,800 | 37,074 | |||
Sumitomo Electric Industries, Ltd. | 91,000 | 1,343,806 | |||
Sumitomo Forestry Co., Ltd. (c) | 14,000 | 256,690 | |||
Sumitomo Heavy Industries, Ltd. | 13,700 | 377,710 | |||
Sumitomo Metal Mining Co., Ltd. | 30,200 | 1,176,818 | |||
Sumitomo Mitsui Construction Co., Ltd. | 14,000 | 59,537 | |||
Sumitomo Mitsui Financial Group, Inc. | 162,200 | 5,597,135 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 40,800 | 1,296,895 | |||
Sumitomo Osaka Cement Co., Ltd. | 2,900 | 78,908 | |||
Sumitomo Realty & Development Co., Ltd. | 37,300 | 1,334,183 | |||
Sumitomo Rubber Industries, Ltd. (c) | 21,500 | 296,959 | |||
Sumitomo Seika Chemicals Co., Ltd. | 2,400 | 77,845 | |||
Sumitomo Warehouse Co., Ltd. | 5,100 | 73,382 | |||
Sun Corp. | 1,600 | 53,699 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 54,661 | |||
Sundrug Co., Ltd. | 8,900 | 283,062 | |||
Suntory Beverage & Food, Ltd. (c) | 16,000 | 602,577 | |||
Suruga Bank, Ltd. (c) | 13,500 | 40,382 | |||
Suzuken Co., Ltd. | 8,200 | 240,481 | |||
Suzuki Motor Corp. | 46,600 | 1,973,751 | |||
Sysmex Corp. | 20,800 | 2,473,736 | |||
Systena Corp. | 7,300 | 140,028 | |||
T Hasegawa Co., Ltd. | 4,000 | 88,657 | |||
T&D Holdings, Inc. | 65,400 | 846,152 | |||
Tadano, Ltd. | 8,800 | 91,972 | |||
Taihei Dengyo Kaisha, Ltd. | 3,100 | 73,010 |
Security Description | Shares | Value | |||
Taiheiyo Cement Corp. | 12,300 | $ 270,070 | |||
Taikisha, Ltd. | 3,300 | 98,563 | |||
Taisei Corp. | 22,400 | 734,625 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,800 | 203,712 | |||
Taiyo Holdings Co., Ltd. | 1,600 | 75,682 | |||
Taiyo Yuden Co., Ltd. | 14,500 | 717,227 | |||
Takamatsu Construction Group Co., Ltd. | 1,300 | 23,683 | |||
Takara Bio, Inc. | 5,600 | 149,599 | |||
Takara Holdings, Inc. | 17,700 | 220,871 | |||
Takara Leben Co., Ltd. | 21,500 | 65,087 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 95,193 | |||
Takara Standard Co., Ltd. | 3,300 | 45,193 | |||
Takasago International Corp. | 2,900 | 70,547 | |||
Takasago Thermal Engineering Co., Ltd. | 4,000 | 66,745 | |||
Takashimaya Co., Ltd. | 14,800 | 161,081 | |||
Takeda Pharmaceutical Co., Ltd. | 195,838 | 6,562,046 | |||
Takeuchi Manufacturing Co., Ltd. | 3,500 | 87,256 | |||
Takuma Co., Ltd. | 6,200 | 93,790 | |||
Tamron Co., Ltd. | 2,900 | 63,623 | |||
Tamura Corp. (c) | 13,300 | 99,819 | |||
Tatsuta Electric Wire and Cable Co., Ltd. | 19,100 | 94,820 | |||
TBS Holdings, Inc. | 5,200 | 79,928 | |||
TDK Corp. | 16,300 | 1,981,142 | |||
TechMatrix Corp. | 3,200 | 53,079 | |||
TechnoPro Holdings, Inc. (c) | 13,200 | 312,547 | |||
Teijin, Ltd. | 22,100 | 337,105 | |||
Teikoku Sen-I Co., Ltd. (c) | 4,100 | 77,279 | |||
Tenma Corp. | 3,800 | 87,853 | |||
Terumo Corp. | 79,600 | 3,228,752 | |||
T-Gaia Corp. | 1,700 | 29,914 | |||
THK Co., Ltd. (c) | 14,500 | 433,080 | |||
TIS, Inc. | 26,500 | 677,363 | |||
TKC Corp. | 3,000 | 90,954 | |||
Toagosei Co., Ltd. (c) | 9,600 | 97,652 | |||
Tobu Railway Co., Ltd. | 21,700 | 561,514 | |||
TOC Co., Ltd. | 8,700 | 53,459 | |||
Tocalo Co., Ltd. | 8,100 | 102,390 | |||
Toda Corp. | 27,100 | 186,787 | |||
Toei Animation Co., Ltd. | 700 | 83,062 | |||
Toei Co., Ltd. | 800 | 149,635 | |||
Toho Bank, Ltd. (c) | 30,200 | 55,508 | |||
Toho Co., Ltd. | 12,800 | 528,192 | |||
Toho Gas Co., Ltd. | 8,500 | 416,614 | |||
Toho Holdings Co., Ltd. | 3,900 | 62,792 | |||
Tohoku Electric Power Co., Inc. | 49,200 | 385,656 |
Security Description | Shares | Value | |||
Tokai Carbon Co., Ltd. (c) | 21,000 | $ 289,864 | |||
Tokai Corp. | 2,300 | 50,397 | |||
TOKAI Holdings Corp. | 8,800 | 71,754 | |||
Tokai Rika Co., Ltd. | 4,700 | 75,419 | |||
Tokai Tokyo Financial Holdings, Inc. | 20,900 | 74,192 | |||
Token Corp. | 1,100 | 100,595 | |||
Tokio Marine Holdings, Inc. | 77,800 | 3,580,524 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 77,304 | |||
Tokuyama Corp. | 7,000 | 142,661 | |||
Tokyo Century Corp. | 5,200 | 279,701 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 186,700 | 555,104 | |||
Tokyo Electron, Ltd. | 18,600 | 8,057,375 | |||
Tokyo Gas Co., Ltd. | 45,400 | 857,769 | |||
Tokyo Ohka Kogyo Co., Ltd. | 3,400 | 214,740 | |||
Tokyo Seimitsu Co., Ltd. | 4,000 | 181,278 | |||
Tokyo Steel Manufacturing Co., Ltd. (c) | 15,900 | 158,728 | |||
Tokyo Tatemono Co., Ltd. (c) | 22,600 | 322,537 | |||
Tokyotokeiba Co., Ltd. | 1,600 | 65,375 | |||
Tokyu Construction Co., Ltd. | 9,200 | 65,235 | |||
Tokyu Corp. | 61,600 | 838,612 | |||
Tokyu Fudosan Holdings Corp. | 73,800 | 444,170 | |||
Tokyu REIT, Inc. | 95 | 175,381 | |||
TOMONY Holdings, Inc. | 28,300 | 74,709 | |||
Tomy Co., Ltd. | 8,100 | 69,477 | |||
Tonami Holdings Co., Ltd. | 1,700 | 71,223 | |||
Topcon Corp. | 11,200 | 167,309 | |||
Toppan Forms Co., Ltd. | 4,000 | 38,994 | |||
TOPPAN, INC. | 31,600 | 508,208 | |||
Topre Corp. | 2,800 | 40,137 | |||
Toray Industries, Inc. | 167,300 | 1,114,077 | |||
Toridoll Holdings Corp. | 4,700 | 79,780 | |||
Tosei Corp. | 5,700 | 55,105 | |||
Toshiba Corp. (c) | 50,100 | 2,168,939 | |||
Toshiba TEC Corp. | 2,300 | 94,702 | |||
Tosoh Corp. | 29,900 | 516,158 | |||
Totetsu Kogyo Co., Ltd. | 2,900 | 58,737 | |||
TOTO, Ltd. | 16,800 | 870,349 | |||
Towa Pharmaceutical Co., Ltd. | 2,800 | 68,215 | |||
Toyo Construction Co., Ltd. | 16,800 | 85,824 | |||
Toyo Gosei Co., Ltd. | 500 | 55,726 | |||
Toyo Ink SC Holdings Co., Ltd. (c) | 4,100 | 72,698 |
Security Description | Shares | Value | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | $ 226,887 | |||
Toyo Suisan Kaisha, Ltd. | 10,700 | 412,132 | |||
Toyo Tire Corp. (c) | 13,400 | 283,478 | |||
Toyobo Co., Ltd. | 7,200 | 86,473 | |||
Toyoda Gosei Co., Ltd. | 7,100 | 174,957 | |||
Toyota Boshoku Corp. | 8,800 | 182,121 | |||
Toyota Industries Corp. | 18,700 | 1,619,128 | |||
Toyota Motor Corp. | 263,588 | 23,060,091 | |||
Toyota Tsusho Corp. | 25,600 | 1,210,920 | |||
Trancom Co., Ltd. | 1,300 | 93,351 | |||
Transcosmos, Inc. | 2,100 | 58,086 | |||
Trend Micro, Inc. | 16,600 | 870,457 | |||
Tri Chemical Laboratories, Inc. | 2,000 | 59,285 | |||
Trusco Nakayama Corp. | 4,700 | 119,924 | |||
TS Tech Co., Ltd. | 11,600 | 179,241 | |||
Tsubaki Nakashima Co., Ltd. | 4,800 | 73,866 | |||
Tsubakimoto Chain Co. | 2,700 | 77,115 | |||
Tsugami Corp. | 4,400 | 67,750 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 54,160 | |||
Tsumura & Co. | 6,000 | 188,936 | |||
Tsuruha Holdings, Inc. | 4,800 | 558,321 | |||
Tsurumi Manufacturing Co., Ltd. | 1,400 | 21,885 | |||
TV Asahi Holdings Corp. | 1,900 | 30,146 | |||
UACJ Corp. (b) | 3,400 | 85,253 | |||
Ube Industries, Ltd. | 10,800 | 218,841 | |||
Ulvac, Inc. (c) | 7,900 | 400,730 | |||
Unicharm Corp. | 50,900 | 2,049,941 | |||
Union Tool Co. | 2,400 | 86,170 | |||
Unipres Corp. | 3,300 | 27,146 | |||
United Arrows, Ltd. (b) | 2,300 | 44,574 | |||
United Super Markets Holdings, Inc. | 5,500 | 53,766 | |||
United Urban Investment Corp. REIT | 341 | 493,726 | |||
Universal Entertainment Corp. (b) (c) | 2,100 | 46,620 | |||
Ushio, Inc. | 13,700 | 250,572 | |||
USS Co., Ltd. | 25,200 | 440,018 | |||
UT Group Co., Ltd. | 3,200 | 93,414 | |||
Uzabase, Inc. (b) (c) | 2,500 | 60,118 | |||
V Technology Co., Ltd. | 900 | 43,301 | |||
Valor Holdings Co., Ltd. | 4,500 | 91,792 | |||
ValueCommerce Co., Ltd. | 1,500 | 43,788 | |||
V-Cube, Inc. (c) | 2,000 | 44,418 | |||
Vector, Inc. | 3,200 | 27,707 | |||
Vision, Inc. (b) | 2,300 | 24,701 | |||
VT Holdings Co., Ltd. | 20,000 | 83,071 | |||
Wacoal Holdings Corp. | 7,800 | 176,746 | |||
Wacom Co., Ltd. | 24,300 | 154,571 | |||
Wakita & Co., Ltd. | 7,000 | 64,582 | |||
WDB Holdings Co., Ltd. | 2,600 | 68,239 |
Security Description | Shares | Value | |||
WealthNavi, Inc. (b) | 2,800 | $ 101,793 | |||
Welcia Holdings Co., Ltd. | 10,300 | 336,868 | |||
West Holdings Corp. | 2,210 | 78,153 | |||
West Japan Railway Co. | 19,600 | 1,118,537 | |||
World Co., Ltd. (b) | 3,100 | 40,862 | |||
Xebio Holdings Co., Ltd. | 7,300 | 63,601 | |||
Yakult Honsha Co., Ltd. | 15,900 | 901,081 | |||
YAKUODO Holdings Co., Ltd. (c) | 3,100 | 66,195 | |||
YAMABIKO Corp. | 6,300 | 68,966 | |||
Yamada Holdings Co., Ltd. | 83,200 | 384,554 | |||
Yamaguchi Financial Group, Inc. | 23,900 | 136,522 | |||
Yamaha Corp. | 15,800 | 858,402 | |||
Yamaha Motor Co., Ltd. (c) | 38,400 | 1,044,851 | |||
YA-MAN, Ltd. (c) | 3,100 | 41,728 | |||
Yamashin-Filter Corp. (c) | 8,400 | 53,432 | |||
Yamato Holdings Co., Ltd. | 36,200 | 1,030,651 | |||
Yamato Kogyo Co., Ltd. | 7,700 | 254,955 | |||
Yamazaki Baking Co., Ltd. (c) | 13,900 | 196,120 | |||
Yamazen Corp. | 8,300 | 74,782 | |||
Yaoko Co., Ltd. | 1,700 | 97,567 | |||
Yaskawa Electric Corp. | 29,600 | 1,448,130 | |||
Yellow Hat, Ltd. | 4,700 | 83,337 | |||
Yodogawa Steel Works, Ltd. | 1,700 | 34,294 | |||
Yokogawa Bridge Holdings Corp. | 3,400 | 64,483 | |||
Yokogawa Electric Corp. | 28,100 | 420,272 | |||
Yokohama Reito Co., Ltd. | 11,000 | 87,413 | |||
Yokohama Rubber Co., Ltd. (c) | 13,600 | 291,507 | |||
Yokowo Co., Ltd. | 1,700 | 38,874 | |||
Yonex Co., Ltd. | 14,000 | 90,188 | |||
Yoshinoya Holdings Co., Ltd. (b) | 7,000 | 133,895 | |||
Yuasa Trading Co., Ltd. | 3,200 | 86,783 | |||
Z Holdings Corp. | 337,500 | 1,693,125 | |||
Zenkoku Hosho Co., Ltd. | 5,900 | 253,829 | |||
Zenrin Co., Ltd. (c) | 3,600 | 36,944 | |||
Zensho Holdings Co., Ltd. | 10,700 | 275,044 | |||
Zeon Corp. | 15,600 | 216,030 | |||
ZERIA Pharmaceutical Co., Ltd. | 2,600 | 49,076 | |||
ZIGExN Co., Ltd. | 13,400 | 50,466 | |||
Zojirushi Corp. (c) | 5,000 | 74,601 | |||
ZOZO, Inc. | 15,200 | 516,984 | |||
Zuken, Inc. | 1,600 | 44,833 | |||
597,044,619 |
Security Description | Shares | Value | |||
JORDAN — 0.0% (a) | |||||
Hikma Pharmaceuticals PLC | 20,922 | $ 706,960 | |||
KUWAIT — 0.1% | |||||
Agility Public Warehousing Co. KSC | 110,000 | 335,148 | |||
Boubyan Bank KSCP (b) | 105,000 | 255,095 | |||
Boubyan Petrochemicals Co. KSCP | 46,160 | 131,754 | |||
Gulf Bank KSCP | 163,000 | 136,870 | |||
Humansoft Holding Co. KSC | 9,000 | 112,164 | |||
Kuwait Finance House KSCP | 530,401 | 1,336,125 | |||
Mabanee Co. KPSC | 62,540 | 148,826 | |||
Mobile Telecommunications Co. KSCP | 231,000 | 451,573 | |||
National Bank of Kuwait SAKP | 829,879 | 2,338,424 | |||
Qurain Petrochemical Industries Co. | 69,572 | 90,053 | |||
5,336,032 | |||||
LIECHTENSTEIN — 0.0% (a) | |||||
Liechtensteinische Landesbank AG | 1,120 | 63,976 | |||
LUXEMBOURG — 0.1% | |||||
APERAM SA | 5,367 | 275,020 | |||
ArcelorMittal SA | 90,229 | 2,766,018 | |||
B&S Group Sarl (d) | 3,050 | 31,323 | |||
Eurofins Scientific SE (b) | 17,211 | 1,967,576 | |||
Global Fashion Group SA (b) | 11,973 | 181,318 | |||
Reinet Investments SCA | 17,664 | 346,668 | |||
SES SA | 44,005 | 336,179 | |||
5,904,102 | |||||
MACAU — 0.1% | |||||
Galaxy Entertainment Group, Ltd. (b) | 274,000 | 2,192,819 | |||
MECOM Power and Construction, Ltd. | 168,000 | 84,369 | |||
MGM China Holdings, Ltd. (b) | 141,200 | 213,822 | |||
Sands China, Ltd. (b) | 301,600 | 1,269,960 | |||
SJM Holdings, Ltd. (b) | 213,000 | 232,588 | |||
Wynn Macau, Ltd. (b) | 179,600 | 282,611 | |||
4,276,169 | |||||
MALAYSIA — 0.4% | |||||
AirAsia Group Bhd (b) | 140,400 | 30,099 | |||
Alliance Bank Malaysia Bhd | 140,600 | 81,620 | |||
AMMB Holdings Bhd | 222,900 | 158,390 | |||
Axiata Group Bhd | 293,811 | 264,688 |
Security Description | Shares | Value | |||
Axis Real Estate Investment Trust | 123,660 | $ 56,893 | |||
Berjaya Sports Toto Bhd | 115,544 | 55,107 | |||
Bermaz Auto Bhd | 173,300 | 63,868 | |||
BIMB Holdings Bhd | 59,500 | 55,609 | |||
British American Tobacco Malaysia Bhd | 23,500 | 80,833 | |||
Bursa Malaysia Bhd | 56,000 | 106,969 | |||
Carlsberg Brewery Malaysia Bhd Class B | 11,200 | 59,892 | |||
CIMB Group Holdings Bhd | 788,785 | 875,900 | |||
D&O Green Technologies Bhd | 50,200 | 56,712 | |||
Dialog Group Bhd | 421,900 | 293,699 | |||
DiGi.Com Bhd | 429,800 | 427,574 | |||
DRB-Hicom Bhd | 92,900 | 36,475 | |||
Fraser & Neave Holdings Bhd | 17,600 | 111,921 | |||
Frontken Corp. Bhd | 92,850 | 64,189 | |||
Gamuda Bhd (b) | 187,959 | 141,711 | |||
Genting Bhd | 260,800 | 309,706 | |||
Genting Malaysia Bhd | 363,100 | 242,271 | |||
Genting Plantations Bhd | 24,900 | 42,825 | |||
Globetronics Technology Bhd | 140,900 | 78,061 | |||
Greatech Technology Bhd (b) | 38,300 | 52,494 | |||
HAP Seng Consolidated Bhd | 66,200 | 124,379 | |||
Hartalega Holdings Bhd | 198,300 | 351,079 | |||
Heineken Malaysia Bhd | 18,500 | 105,167 | |||
Hong Leong Bank Bhd | 91,532 | 412,737 | |||
Hong Leong Financial Group Bhd | 20,700 | 88,753 | |||
IGB Real Estate Investment Trust | 237,700 | 97,908 | |||
IHH Healthcare Bhd | 234,400 | 308,844 | |||
IJM Corp. Bhd | 331,300 | 142,846 | |||
Inari Amertron Bhd | 324,400 | 247,705 | |||
IOI Corp. Bhd | 307,500 | 278,502 | |||
IOI Properties Group Bhd | 371,500 | 100,224 | |||
Kossan Rubber Industries | 136,600 | 105,950 | |||
KPJ Healthcare Bhd | 237,200 | 57,707 | |||
Kuala Lumpur Kepong Bhd | 43,969 | 215,635 | |||
Magnum Bhd | 110,393 | 52,650 | |||
Malayan Banking Bhd | 500,943 | 978,598 | |||
Malaysia Airports Holdings Bhd (b) | 115,224 | 166,529 | |||
Malaysian Pacific Industries Bhd | 23,900 | 223,370 | |||
Maxis Bhd | 258,800 | 273,668 | |||
Mega First Corp. BHD | 55,600 | 46,741 | |||
MISC Bhd | 163,800 | 267,509 | |||
My EG Services Bhd | 210,328 | 90,180 |
Security Description | Shares | Value | |||
Nestle Malaysia Bhd | 10,500 | $ 337,143 | |||
Pavilion Real Estate Investment Trust | 207,000 | 67,812 | |||
Pentamaster Corp. Bhd | 53,300 | 59,443 | |||
Petronas Chemicals Group Bhd | 293,500 | 569,821 | |||
Petronas Dagangan Bhd | 50,900 | 228,048 | |||
Petronas Gas Bhd | 108,200 | 403,974 | |||
PPB Group Bhd | 90,280 | 397,958 | |||
Press Metal Aluminium Holdings Bhd | 395,100 | 454,915 | |||
Public Bank Bhd | 1,780,300 | 1,762,503 | |||
QL Resources Bhd | 133,950 | 182,300 | |||
RHB Bank Bhd | 242,459 | 315,375 | |||
Scientex Bhd | 74,400 | 74,911 | |||
Serba Dinamik Holdings Bhd | 144,900 | 11,518 | |||
Sime Darby Bhd | 290,635 | 152,616 | |||
Sime Darby Plantation Bhd | 214,443 | 205,584 | |||
Sime Darby Property Bhd | 142,535 | 20,600 | |||
SKP Resources Bhd | 339,125 | 133,150 | |||
SP Setia Bhd Group (b) | 134,214 | 34,269 | |||
Sunway Bhd | 241,400 | 101,177 | |||
Sunway Real Estate Investment Trust | 264,700 | 91,177 | |||
Supermax Corp. Bhd | 387,360 | 307,910 | |||
Telekom Malaysia Bhd | 138,403 | 202,362 | |||
Tenaga Nasional Bhd | 289,200 | 681,987 | |||
TIME dotCom Bhd | 41,100 | 139,195 | |||
Top Glove Corp. Bhd | 652,100 | 655,006 | |||
UWC Bhd | 40,400 | 49,630 | |||
ViTrox Corp. Bhd | 35,300 | 124,483 | |||
VS Industry Bhd | 444,000 | 147,590 | |||
Westports Holdings Bhd | 92,500 | 93,803 | |||
Yinson Holdings Bhd | 43,900 | 52,978 | |||
YTL Corp. Bhd (b) | 471,800 | 74,438 | |||
16,617,863 | |||||
MALTA — 0.0% (a) | |||||
Kambi Group PLC (b) | 4,950 | 246,338 | |||
Kindred Group PLC SDR | 27,556 | 432,247 | |||
678,585 | |||||
MEXICO — 0.5% | |||||
Alpek SAB de CV | 82,700 | 101,804 | |||
Alsea SAB de CV (b) | 104,100 | 185,451 | |||
America Movil SAB de CV Series L | 4,234,300 | 3,190,000 | |||
Arca Continental SAB de CV | 60,900 | 353,645 | |||
Axtel SAB de CV (b) | 176,300 | 53,216 | |||
Banco del Bajio SA (d) | 139,700 | 250,906 | |||
Becle SAB de CV | 73,300 | 193,057 | |||
Bolsa Mexicana de Valores SAB de CV | 72,200 | 159,228 | |||
Cemex SAB de CV Series CPO (b) | 1,890,864 | 1,597,365 |
Security Description | Shares | Value | |||
Coca-Cola Femsa SAB de CV | 73,840 | $ 391,146 | |||
Concentradora Fibra Danhos SA de CV REIT | 88,800 | 98,610 | |||
Controladora Nemak SAB de CV (b) | 568,000 | 92,715 | |||
Controladora Vuela Cia de Aviacion SAB de CV Class A (b) | 91,600 | 175,650 | |||
Corp. Inmobiliaria Vesta SAB de CV | 92,700 | 180,553 | |||
Fibra Uno Administracion SA de CV REIT | 400,800 | 433,401 | |||
Fomento Economico Mexicano SAB de CV | 241,200 | 2,036,762 | |||
Genomma Lab Internacional SAB de CV Class B (b) | 135,200 | 139,678 | |||
Gentera SAB de CV (b) | 169,400 | 100,140 | |||
Gruma SAB de CV Class B | 29,710 | 332,472 | |||
Grupo Aeroportuario del Centro Norte SAB de CV (b) | 42,900 | 280,793 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 49,900 | 531,694 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B (b) | 26,795 | 495,096 | |||
Grupo Bimbo SAB de CV Class A | 210,500 | 464,019 | |||
Grupo Carso SAB de CV Series A1 | 72,300 | 226,191 | |||
Grupo Cementos de Chihuahua SAB de CV | 23,900 | 193,200 | |||
Grupo Comercial Chedraui SA de CV | 58,995 | 94,550 | |||
Grupo Financiero Banorte SAB de CV Series O | 321,700 | 2,080,414 | |||
Grupo Financiero Inbursa SAB de CV Series O (b) | 293,600 | 290,791 | |||
Grupo Herdez SAB de CV | 50,857 | 115,990 | |||
Grupo Mexico SAB de CV Class B | 385,800 | 1,816,760 | |||
Grupo Rotoplas SAB de CV | 35,677 | 59,615 | |||
Grupo Televisa SAB Series CPO | 307,700 | 881,196 | |||
Industrias Penoles SAB de CV (b) | 17,920 | 247,652 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 195,500 | 347,296 | |||
La Comer SAB de CV | 67,600 | 143,413 |
Security Description | Shares | Value | |||
Macquarie Mexico Real Estate Management SA de CV REIT (d) | 141,200 | $ 174,457 | |||
Megacable Holdings SAB de CV | 45,900 | 162,617 | |||
Nemak SAB de CV (b) (c) (d) | 177,600 | 62,350 | |||
Orbia Advance Corp. SAB de CV | 151,257 | 396,100 | |||
PLA Administradora Industrial S de RL de CV REIT | 130,200 | 197,878 | |||
Prologis Property Mexico SA de CV REIT | 65,714 | 146,508 | |||
Promotora y Operadora de Infraestructura SAB de CV | 28,660 | 229,548 | |||
Qualitas Controladora SAB de CV | 31,100 | 145,124 | |||
Regional SAB de CV | 39,500 | 232,570 | |||
Telesites SAB de CV (b) | 193,400 | 179,116 | |||
Wal-Mart de Mexico SAB de CV | 613,500 | 2,004,995 | |||
22,265,732 | |||||
MONGOLIA — 0.0% (a) | |||||
Turquoise Hill Resources, Ltd. (b) | 11,770 | 198,749 | |||
NETHERLANDS — 2.7% | |||||
Aalberts NV | 11,962 | 642,898 | |||
ABN AMRO Bank NV (b) (d) | 50,843 | 614,524 | |||
Accell Group NV (b) | 2,918 | 156,759 | |||
Adyen NV (b) (d) | 2,445 | 5,974,475 | |||
Aegon NV | 221,768 | 920,219 | |||
Akzo Nobel NV | 23,620 | 2,918,743 | |||
Alfen Beheer B.V. (b) (d) | 2,546 | 237,770 | |||
AMG Advanced Metallurgical Group NV | 3,429 | 117,114 | |||
Arcadis NV | 8,440 | 345,511 | |||
Argenx SE (b) | 5,766 | 1,744,349 | |||
ASM International NV | 5,830 | 1,915,123 | |||
ASML Holding NV | 52,127 | 35,817,025 | |||
ASR Nederland NV | 16,948 | 655,015 | |||
Basic-Fit NV (b) (d) | 6,100 | 260,858 | |||
BE Semiconductor Industries NV | 8,499 | 721,049 | |||
Boskalis Westminster | 9,394 | 301,458 | |||
Brack Capital Properties NV (b) | 593 | 63,295 | |||
Brunel International NV | 2,457 | 31,818 | |||
CM.com NV (b) | 1,086 | 42,436 | |||
Corbion NV | 6,818 | 389,720 | |||
Eurocommercial Properties NV REIT | 4,340 | 107,980 | |||
Euronext NV (d) | 10,143 | 1,103,022 | |||
EXOR NV | 14,072 | 1,127,441 |
Security Description | Shares | Value | |||
Fastned B.V. (b) | 521 | $ 33,364 | |||
Flow Traders (d) | 4,195 | 180,488 | |||
ForFarmers NV | 3,364 | 19,867 | |||
Fugro NV (b) | 12,716 | 121,891 | |||
Heineken Holding NV | 14,197 | 1,430,238 | |||
Heineken NV (c) | 31,940 | 3,871,097 | |||
IMCD NV | 7,063 | 1,123,224 | |||
ING Groep NV | 483,436 | 6,386,640 | |||
Intertrust NV (b) (d) | 10,856 | 195,429 | |||
JDE Peet's NV (b) (c) | 8,626 | 313,025 | |||
Koninklijke Ahold Delhaize NV | 132,303 | 3,933,438 | |||
Koninklijke BAM Groep NV (b) | 33,584 | 93,275 | |||
Koninklijke DSM NV | 21,239 | 3,964,488 | |||
Koninklijke KPN NV | 427,087 | 1,334,075 | |||
Koninklijke Philips NV | 114,206 | 5,659,911 | |||
Koninklijke Vopak NV | 8,312 | 377,531 | |||
Meltwater Holding B.V. (b) | 16,118 | 85,964 | |||
NN Group NV | 36,993 | 1,745,149 | |||
NSI NV REIT | 2,283 | 88,126 | |||
OCI NV (b) | 12,124 | 295,034 | |||
Pharming Group NV (b) (c) | 79,859 | 90,822 | |||
PostNL NV | 57,612 | 312,369 | |||
Randstad NV | 14,735 | 1,127,089 | |||
Royal Dutch Shell PLC Class A | 509,625 | 10,185,784 | |||
Royal Dutch Shell PLC Class B | 460,535 | 8,900,524 | |||
SBM Offshore NV | 18,253 | 277,397 | |||
Shop Apotheke Europe NV (b) (d) | 1,829 | 343,571 | |||
SIF Holding NV (c) | 5,076 | 88,729 | |||
Signify NV (d) | 15,907 | 1,006,212 | |||
Sligro Food Group NV (b) | 2,866 | 84,120 | |||
TKH Group NV | 4,681 | 236,148 | |||
TomTom NV (b) | 6,283 | 52,641 | |||
Van Lanschot Kempen NV ADR | 3,795 | 96,536 | |||
Vastned Retail NV REIT | 2,401 | 70,329 | |||
Wereldhave NV REIT (c) | 3,096 | 52,760 | |||
Wolters Kluwer NV | 32,965 | 3,311,977 | |||
113,697,864 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (b) | 92,036 | 414,157 | |||
Air New Zealand, Ltd. (b) | 39,625 | 42,916 | |||
Argosy Property, Ltd. | 76,943 | 83,872 | |||
Auckland International Airport, Ltd. (b) | 155,138 | 788,087 | |||
Chorus, Ltd. | 59,266 | 265,038 | |||
Contact Energy, Ltd. | 91,772 | 530,961 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 71,432 | 1,553,296 | |||
Fletcher Building, Ltd. | 97,048 | 509,948 |
Security Description | Shares | Value | |||
Genesis Energy, Ltd. | 64,668 | $ 153,635 | |||
Goodman Property Trust REIT | 137,939 | 222,167 | |||
Infratil, Ltd. | 90,787 | 488,468 | |||
Kiwi Property Group, Ltd. | 146,941 | 119,616 | |||
Mercury NZ, Ltd. | 84,420 | 393,453 | |||
Meridian Energy, Ltd. | 158,799 | 591,421 | |||
Oceania Healthcare, Ltd. (c) | 176,858 | 184,134 | |||
Precinct Properties New Zealand, Ltd. | 115,966 | 129,650 | |||
Pushpay Holdings, Ltd. (b) | 141,424 | 177,876 | |||
Restaurant Brands New Zealand, Ltd. (b) | 2,885 | 28,928 | |||
Ryman Healthcare, Ltd. | 49,434 | 453,537 | |||
SKYCITY Entertainment Group, Ltd. (b) | 116,799 | 286,463 | |||
Spark New Zealand, Ltd. | 225,761 | 757,202 | |||
Summerset Group Holdings, Ltd. | 23,655 | 221,653 | |||
Synlait Milk, Ltd. (b) (c) | 12,214 | 31,066 | |||
Xero, Ltd. (b) | 16,366 | 1,684,517 | |||
Z Energy, Ltd. | 93,478 | 178,971 | |||
10,291,032 | |||||
NORWAY — 0.5% | |||||
Aker ASA Class A | 4,585 | 338,339 | |||
Aker Carbon Capture ASA (b) | 31,389 | 72,206 | |||
Aker Solutions ASA (b) (c) | 30,324 | 56,453 | |||
Atea ASA | 13,837 | 269,176 | |||
Austevoll Seafood ASA | 20,148 | 250,059 | |||
Bonheur ASA | 2,172 | 61,461 | |||
Borregaard ASA | 15,205 | 332,187 | |||
BW Offshore, Ltd. | 10,003 | 35,780 | |||
Crayon Group Holding ASA (b) (d) | 3,516 | 51,441 | |||
DNB ASA | 114,627 | 2,498,957 | |||
DNO ASA (b) | 50,331 | 58,723 | |||
Elkem ASA (d) | 56,997 | 207,450 | |||
Entra ASA (d) | 19,912 | 455,385 | |||
Equinor ASA | 120,430 | 2,549,614 | |||
Europris ASA (d) | 25,386 | 159,304 | |||
Fjordkraft Holding ASA (d) | 25,293 | 150,344 | |||
Frontline, Ltd. | 14,558 | 131,484 | |||
Gjensidige Forsikring ASA | 23,016 | 507,651 | |||
Golden Ocean Group, Ltd. | 16,039 | 177,254 | |||
Grieg Seafood ASA (b) (c) | 5,761 | 59,383 | |||
Hexagon Composites ASA (b) | 10,297 | 44,633 | |||
Hexagon Purus ASA (b) | 1,169 | 5,261 | |||
Kahoot! ASA (b) | 30,254 | 207,431 |
Security Description | Shares | Value | |||
Kongsberg Gruppen ASA | 9,862 | $ 253,965 | |||
Leroy Seafood Group ASA | 48,893 | 428,862 | |||
LINK Mobility Group Holding ASA (b) | 20,121 | 73,514 | |||
Mowi ASA | 52,633 | 1,339,496 | |||
NEL ASA (b) (c) | 161,271 | 376,321 | |||
Nordic Semiconductor ASA (b) | 21,380 | 542,128 | |||
Norsk Hydro ASA | 179,598 | 1,146,646 | |||
Norway Royal Salmon ASA | 1,213 | 24,302 | |||
Norwegian Finans Holding ASA | 13,593 | 153,145 | |||
Ocean Yield ASA | 29,146 | 100,798 | |||
Orkla ASA | 101,937 | 1,038,892 | |||
Pexip Holding ASA (b) | 7,600 | 67,917 | |||
Protector Forsikring ASA | 9,425 | 90,579 | |||
Quantafuel ASA (b) | 14,531 | 64,810 | |||
Salmar ASA | 6,519 | 432,721 | |||
Sbanken ASA (d) | 8,291 | 103,286 | |||
Scatec ASA (d) | 13,666 | 362,089 | |||
Schibsted ASA Class A | 11,760 | 567,965 | |||
Schibsted ASA Class B | 12,003 | 500,195 | |||
Selvaag Bolig ASA | 6,732 | 46,548 | |||
SpareBank 1 Nord Norge | 9,611 | 95,270 | |||
SpareBank 1 Oestlandet | 3,686 | 50,973 | |||
SpareBank 1 SMN | 20,154 | 279,175 | |||
SpareBank 1 SR-Bank ASA | 19,475 | 257,322 | |||
Stolt-Nielsen, Ltd. | 2,737 | 40,012 | |||
Storebrand ASA | 73,126 | 662,835 | |||
Telenor ASA | 83,789 | 1,412,841 | |||
TGS ASA | 12,760 | 162,740 | |||
Tomra Systems ASA | 14,592 | 805,466 | |||
Vaccibody A/S (b) | 15,838 | 138,959 | |||
Veidekke ASA | 12,424 | 166,323 | |||
Wallenius Wilhelmsen ASA (b) | 67,834 | 236,330 | |||
XXL ASA (b) (d) | 14,987 | 31,785 | |||
20,734,186 | |||||
PAKISTAN — 0.0% (a) | |||||
Bank Alfalah, Ltd. | 325,000 | 66,361 | |||
Habib Bank, Ltd. | 53,000 | 41,152 | |||
MCB Bank, Ltd. | 39,200 | 39,755 | |||
Millat Tractors, Ltd. | 6,581 | 45,082 | |||
Pakistan Oilfields, Ltd. | 24,150 | 60,354 | |||
Pakistan State Oil Co., Ltd. | 58,500 | 83,240 | |||
335,944 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR (b) | 25,300 | 228,965 | |||
Credicorp, Ltd. (b) | 8,500 | 1,029,435 | |||
Hochschild Mining PLC | 31,281 | 66,289 |
Security Description | Shares | Value | |||
Intercorp Financial Services, Inc. | 5,900 | $ 148,208 | |||
Southern Copper Corp. | 10,800 | 694,656 | |||
2,167,553 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 155,613 | |||
Alliance Global Group, Inc. | 450,900 | 93,847 | |||
Ayala Corp. | 38,170 | 625,545 | |||
Ayala Land, Inc. | 1,138,900 | 841,080 | |||
Bank of the Philippine Islands | 280,727 | 510,099 | |||
BDO Unibank, Inc. | 193,893 | 449,630 | |||
Globe Telecom, Inc. | 2,995 | 112,892 | |||
GT Capital Holdings, Inc. | 6,657 | 82,778 | |||
International Container Terminal Services, Inc. | 76,460 | 256,407 | |||
JG Summit Holdings, Inc. | 414,050 | 527,158 | |||
Jollibee Foods Corp. | 33,510 | 146,630 | |||
Manila Electric Co. | 24,040 | 136,513 | |||
Megaworld Corp. | 1,020,000 | 67,492 | |||
Metro Pacific Investments Corp. | 974,000 | 77,617 | |||
Metropolitan Bank & Trust Co. | 134,886 | 134,568 | |||
PLDT, Inc. | 6,380 | 168,992 | |||
Puregold Price Club, Inc. | 185,180 | 153,637 | |||
Robinsons Land Corp. | 196,244 | 69,468 | |||
Security Bank Corp. | 5,920 | 14,310 | |||
SM Investments Corp. | 23,315 | 477,381 | |||
SM Prime Holdings, Inc. | 1,286,200 | 961,719 | |||
Universal Robina Corp. | 80,890 | 239,447 | |||
6,302,823 | |||||
POLAND — 0.2% | |||||
Alior Bank SA (b) | 13,668 | 119,662 | |||
Allegro.eu SA (b) (d) | 39,386 | 678,884 | |||
Asseco Poland SA | 9,061 | 183,624 | |||
Bank Handlowy w Warszawie SA (b) | 3,382 | 40,598 | |||
Bank Millennium SA (b) | 64,815 | 79,338 | |||
Bank Polska Kasa Opieki SA (b) | 21,210 | 518,132 | |||
Budimex SA | 1,486 | 109,293 | |||
CCC SA (b) | 4,227 | 124,745 | |||
CD Projekt SA (c) | 7,767 | 377,476 | |||
Ciech SA | 2,728 | 34,754 | |||
Cyfrowy Polsat SA | 29,396 | 231,184 | |||
Dino Polska SA (b) (d) | 5,659 | 416,064 | |||
Enea SA (b) | 20,497 | 45,791 | |||
Eurocash SA | 11,605 | 43,317 | |||
Grupa Azoty SA (b) | 4,145 | 35,930 | |||
Grupa Lotos SA (b) | 9,571 | 135,005 | |||
InPost SA (b) | 24,645 | 494,688 | |||
Jastrzebska Spolka Weglowa SA (b) | 9,529 | 88,156 |
Security Description | Shares | Value | |||
KGHM Polska Miedz SA | 23,461 | $ 1,156,411 | |||
KRUK SA | 1,586 | 104,650 | |||
LPP SA (b) | 134 | 453,002 | |||
mBank SA (b) | 1,535 | 131,042 | |||
Mercator Medical SA (b) | 428 | 29,433 | |||
Neuca SA | 233 | 48,289 | |||
Orange Polska SA (b) | 67,940 | 119,836 | |||
PGE Polska Grupa Energetyczna SA (b) | 87,117 | 215,333 | |||
Polski Koncern Naftowy ORLEN SA | 34,563 | 697,070 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 177,063 | 310,314 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (b) | 101,012 | 1,003,752 | |||
Powszechny Zaklad Ubezpieczen SA (b) | 69,781 | 672,698 | |||
Santander Bank Polska SA (b) | 3,603 | 240,768 | |||
Tauron Polska Energia SA (b) | 97,650 | 85,671 | |||
TEN Square Games SA | 370 | 47,914 | |||
Warsaw Stock Exchange | 2,825 | 35,351 | |||
9,108,175 | |||||
PORTUGAL — 0.1% | |||||
Altri SGPS SA | 8,438 | 52,435 | |||
Banco Comercial Portugues SA Class R (b) (c) | 944,985 | 151,289 | |||
Corticeira Amorim SGPS SA | 4,689 | 58,943 | |||
CTT-Correios de Portugal SA | 13,428 | 76,755 | |||
EDP - Energias de Portugal SA | 344,946 | 1,828,550 | |||
Galp Energia SGPS SA | 62,287 | 676,023 | |||
Jeronimo Martins SGPS SA | 29,583 | 539,569 | |||
Navigator Co. SA (c) | 27,308 | 93,332 | |||
NOS SGPS SA | 43,721 | 153,265 | |||
REN - Redes Energeticas Nacionais SGPS SA | 43,185 | 119,839 | |||
Sonae SGPS SA | 99,350 | 94,256 | |||
3,844,256 | |||||
QATAR — 0.2% | |||||
Al Meera Consumer Goods Co. QSC | 25,614 | 135,703 | |||
Barwa Real Estate Co. | 230,600 | 188,736 | |||
Commercial Bank PQSC | 254,403 | 368,224 | |||
Doha Bank QPSC | 321,420 | 249,297 | |||
Gulf International Services QSC (b) | 149,047 | 61,035 | |||
Industries Qatar QSC | 215,487 | 784,181 | |||
Masraf Al Rayan QSC | 422,020 | 516,833 |
Security Description | Shares | Value | |||
Mesaieed Petrochemical Holding Co. | 504,113 | $ 260,571 | |||
Ooredoo QSC | 134,267 | 269,013 | |||
Qatar Aluminium Manufacturing Co. | 379,745 | 159,574 | |||
Qatar Electricity & Water Co. QSC | 64,414 | 294,737 | |||
Qatar Fuel QSC | 55,946 | 272,124 | |||
Qatar Gas Transport Co., Ltd. | 386,091 | 318,120 | |||
Qatar Insurance Co. SAQ (b) | 269,557 | 183,604 | |||
Qatar International Islamic Bank QSC | 85,174 | 217,789 | |||
Qatar Islamic Bank SAQ | 132,961 | 631,391 | |||
Qatar National Bank QPSC | 545,676 | 2,690,163 | |||
Qatar Navigation QSC | 108,821 | 219,973 | |||
United Development Co. QSC | 199,242 | 79,347 | |||
Vodafone Qatar QSC | 240,260 | 106,570 | |||
8,006,985 | |||||
ROMANIA — 0.0% (a) | |||||
NEPI Rockcastle PLC | 63,684 | 451,447 | |||
RUSSIA — 0.9% | |||||
Alrosa PJSC (b) | 223,022 | 409,601 | |||
Coca-Cola HBC AG (b) | 26,610 | 960,917 | |||
Evraz PLC | 58,516 | 478,555 | |||
Gazprom PJSC ADR (e) | 67,115 | 511,551 | |||
Gazprom PJSC ADR (c) (e) | 56,669 | 432,951 | |||
Gazprom PJSC | 1,169,820 | 4,499,693 | |||
Inter Rao Use PJSC | 5,356,000 | 344,584 | |||
LSR Group PJSC GDR | 26,652 | 55,703 | |||
LUKOIL PJSC ADR | 4,389 | 406,509 | |||
LUKOIL PJSC | 46,022 | 4,267,762 | |||
Magnit PJSC GDR | 43,871 | 636,349 | |||
Mail.Ru Group, Ltd. GDR (b) | 17,475 | 395,983 | |||
MMC Norilsk Nickel PJSC | 6,945 | 2,355,760 | |||
Mobile TeleSystems PJSC ADR | 38,700 | 358,362 | |||
Mobile TeleSystems PJSC | 31,200 | 146,233 | |||
Moscow Exchange MICEX (b) | 132,585 | 309,422 | |||
Novatek PJSC GDR | 10,482 | 2,298,703 | |||
Novolipetskiy Steel PJSC (b) | 181,690 | 571,728 | |||
Ozon Holdings PLC ADR (b) (c) | 6,439 | 377,454 | |||
Petropavlovsk PLC (b) (c) | 278,657 | 91,079 | |||
PhosAgro PJSC GDR | 11,644 | 235,675 | |||
Polymetal International PLC | 42,911 | 921,498 |
Security Description | Shares | Value | |||
Polyus PJSC (b) | 3,332 | $ 644,062 | |||
Polyus PJSC GDR | 1,062 | 102,749 | |||
Rosneft Oil Co. PJSC | 139,600 | 1,090,850 | |||
Rostelecom PJSC (b) | 100,000 | 139,705 | |||
Sberbank of Russia PJSC ADR | 26,760 | 444,350 | |||
Sberbank of Russia PJSC | 1,185,420 | 4,944,108 | |||
Severstal PAO | 25,396 | 545,230 | |||
Sistema PJSC FC GDR | 40,100 | 344,860 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 508,025 | |||
Surgutneftegas PJSC | 888,900 | 446,617 | |||
Tatneft PJSC ADR | 3,048 | 131,719 | |||
Tatneft PJSC | 151,038 | 1,098,872 | |||
TCS Group Holding PLC GDR | 14,501 | 1,268,837 | |||
VTB Bank PJSC (b) | 437,390,000 | 290,427 | |||
X5 Retail Group NV GDR | 17,591 | 616,740 | |||
Yandex NV Class A (b) (c) | 36,914 | 2,611,665 | |||
36,294,888 | |||||
SAUDI ARABIA — 0.9% | |||||
Abdullah Al Othaim Markets Co. | 1,991 | 65,829 | |||
Advanced Petrochemical Co. | 8,106 | 156,267 | |||
Al Hammadi Co. for Development & Investment | 20,250 | 213,817 | |||
Al Rajhi Bank | 146,201 | 4,327,088 | |||
Al Rajhi Co. for Co-operative Insurance (b) | 4,209 | 103,586 | |||
Aldrees Petroleum & Transport Services Co. | 6,835 | 124,475 | |||
Alinma Bank | 135,098 | 757,909 | |||
Almarai Co. JSC | 20,087 | 339,568 | |||
Alujain Holding (b) | 7,396 | 111,027 | |||
Arab National Bank | 86,792 | 525,325 | |||
Arabian Cement Co. | 9,227 | 111,696 | |||
Arriyadh Development Co. | 18,294 | 119,410 | |||
Aseer Trading Tourism & Manufacturing Co. (b) | 26,480 | 190,283 | |||
Bank AlBilad (b) | 53,198 | 520,576 | |||
Bank Al-Jazira (b) | 22,911 | 113,016 | |||
Banque Saudi Fransi | 80,478 | 824,007 | |||
Bupa Arabia for Cooperative Insurance Co. | 9,718 | 321,826 | |||
City Cement Co. | 6,348 | 51,032 | |||
Co. for Cooperative Insurance | 5,049 | 111,470 | |||
Dallah Healthcare Co. | 7,407 | 156,814 | |||
Dar Al Arkan Real Estate Development Co. (b) | 39,088 | 110,060 |
Security Description | Shares | Value | |||
Delivery Hero SE (b) (d) | 19,573 | $ 2,585,776 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 6,029 | 262,676 | |||
Dur Hospitality Co. (b) | 12,960 | 121,293 | |||
Eastern Province Cement Co. | 9,470 | 123,349 | |||
Emaar Economic City (b) | 34,732 | 118,539 | |||
Etihad Etisalat Co. | 32,700 | 289,037 | |||
Fawaz Abdulaziz Al Hokair & Co. (b) | 11,570 | 77,588 | |||
Herfy Food Services Co. | 2,033 | 34,584 | |||
Jarir Marketing Co. | 8,648 | 487,003 | |||
Leejam Sports Co. JSC (b) | 3,769 | 78,186 | |||
Maharah Human Resources Co. | 2,209 | 46,413 | |||
Middle East Healthcare Co. (b) | 11,802 | 123,200 | |||
Mobile Telecommunications Co. (b) | 51,843 | 200,991 | |||
Mouwasat Medical Services Co. | 4,245 | 203,965 | |||
Najran Cement Co. | 15,550 | 100,173 | |||
National Agriculture Development Co (b) | 20,791 | 223,133 | |||
National Gas & Industrialization Co. | 2,926 | 33,470 | |||
National Industrialization Co. (b) | 71,502 | 368,339 | |||
National Medical Care Co. | 5,781 | 104,818 | |||
National Petrochemical Co. | 3,000 | 35,196 | |||
Northern Region Cement Co. | 17,439 | 87,418 | |||
Qassim Cement Co. | 1,837 | 42,124 | |||
Rabigh Refining & Petrochemical Co. (b) | 13,507 | 84,635 | |||
Riyad Bank | 157,995 | 1,116,379 | |||
SABIC Agri-Nutrients Co. | 25,578 | 814,317 | |||
Sahara International Petrochemical Co. | 26,583 | 217,248 | |||
Saudi Airlines Catering Co. (b) | 4,009 | 84,127 | |||
Saudi Arabian Mining Co. (b) | 57,836 | 974,625 | |||
Saudi Arabian Oil Co. (d) | 278,435 | 2,605,874 | |||
Saudi Basic Industries Corp. | 109,284 | 3,549,166 | |||
Saudi British Bank (b) | 94,385 | 792,749 | |||
Saudi Cement Co. | 5,941 | 100,749 | |||
Saudi Ceramic Co. (b) | 2,497 | 38,150 | |||
Saudi Chemical Co. Holding | 16,716 | 182,519 | |||
Saudi Co. For Hardware CJSC | 5,311 | 105,359 |
Security Description | Shares | Value | |||
Saudi Electricity Co. | 89,964 | $ 579,066 | |||
Saudi Industrial Investment Group | 16,632 | 155,215 | |||
Saudi Kayan Petrochemical Co. (b) | 124,148 | 597,833 | |||
Saudi National Bank | 261,406 | 4,014,768 | |||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 156,266 | |||
Saudi Public Transport Co. (b) | 5,953 | 45,397 | |||
Saudi Real Estate Co. (b) | 15,161 | 107,935 | |||
Saudi Research & Marketing Group (b) | 4,483 | 211,575 | |||
Saudi Telecom Co. | 70,699 | 2,480,799 | |||
Saudia Dairy & Foodstuff Co. | 534 | 25,686 | |||
Savola Group | 18,971 | 218,270 | |||
Seera Group Holding (b) | 14,011 | 81,068 | |||
Southern Province Cement Co. | 6,007 | 139,988 | |||
United Electronics Co. | 5,677 | 201,323 | |||
United International Transportation Co. | 1,592 | 19,144 | |||
Yamama Cement Co. (b) | 14,880 | 136,088 | |||
Yanbu Cement Co. | 10,069 | 119,473 | |||
Yanbu National Petrochemical Co. | 35,336 | 684,032 | |||
35,742,175 | |||||
SINGAPORE — 0.7% | |||||
Accordia Golf Trust | 66,300 | 1,070 | |||
AEM Holdings, Ltd. (c) | 28,400 | 80,920 | |||
AIMS APAC REIT | 50,300 | 55,007 | |||
ARA LOGOS Logistics Trust REIT | 143,456 | 89,113 | |||
Ascendas India Trust | 200,300 | 207,125 | |||
Ascendas Real Estate Investment Trust | 412,874 | 906,099 | |||
Ascott Residence Trust | 213,617 | 158,918 | |||
BOC Aviation, Ltd. (d) | 21,300 | 179,652 | |||
BW LPG, Ltd. (d) | 11,460 | 74,045 | |||
CapitaLand China Trust REIT | 114,800 | 117,003 | |||
CapitaLand Integrated Commercial Trust REIT | 581,288 | 903,803 | |||
CapitaLand, Ltd. | 357,800 | 987,530 | |||
CDL Hospitality Trusts Stapled Security | 95,800 | 87,661 | |||
China Aviation Oil Singapore Corp., Ltd. | 29,800 | 22,834 | |||
City Developments, Ltd. | 59,600 | 323,229 | |||
ComfortDelGro Corp., Ltd. | 297,600 | 363,089 | |||
COSCO Shipping International Singapore Co., Ltd. (b) | 128,400 | 28,179 |
Security Description | Shares | Value | |||
DBS Group Holdings, Ltd. | 224,368 | $ 4,975,755 | |||
Eagle Hospitality Trust Unit (b) (f) | 112,600 | — | |||
ESR-REIT | 438,108 | 133,629 | |||
Far East Hospitality Trust Stapled Security | 140,900 | 60,796 | |||
First Resources, Ltd. | 50,200 | 50,043 | |||
Frasers Centrepoint Trust REIT | 148,092 | 267,716 | |||
Frasers Hospitality Trust Stapled Security | 135,000 | 51,722 | |||
Frasers Logistics & Commercial Trust REIT | 352,339 | 377,450 | |||
Genting Singapore, Ltd. | 773,000 | 480,178 | |||
Golden Agri-Resources, Ltd. | 774,500 | 132,521 | |||
Haw Par Corp., Ltd. | 18,800 | 191,608 | |||
iFAST Corp., Ltd. | 23,300 | 141,270 | |||
IGG, Inc. | 92,000 | 121,548 | |||
Japfa, Ltd. | 47,400 | 29,092 | |||
Kenon Holdings, Ltd. | 1,959 | 67,575 | |||
Keppel Corp., Ltd. | 188,600 | 767,477 | |||
Keppel DC REIT | 180,800 | 334,914 | |||
Keppel Infrastructure Trust | 573,500 | 236,790 | |||
Keppel Pacific Oak US REIT | 76,700 | 60,209 | |||
Keppel REIT | 255,700 | 224,465 | |||
Lendlease Global Commercial REIT | 83,600 | 50,998 | |||
Manulife US Real Estate Investment Trust | 204,200 | 161,318 | |||
Mapletree Commercial Trust REIT | 272,368 | 437,669 | |||
Mapletree Industrial Trust REIT | 256,135 | 539,252 | |||
Mapletree Logistics Trust REIT | 394,549 | 601,715 | |||
Mapletree North Asia Commercial Trust REIT | 285,500 | 220,890 | |||
Nanofilm Technologies International, Ltd. (b) | 42,200 | 172,354 | |||
NetLink NBN Trust | 426,700 | 301,566 | |||
Olam International, Ltd. | 109,500 | 130,338 | |||
OUE Commercial Real Estate Investment Trust | 402,200 | 121,181 | |||
OUE, Ltd. | 121,100 | 119,821 | |||
Oversea-Chinese Banking Corp., Ltd. | 421,611 | 3,748,141 | |||
Parkway Life Real Estate Investment Trust | 51,200 | 174,831 | |||
Prime US REIT | 43,900 | 37,973 | |||
Raffles Medical Group, Ltd. | 112,476 | 98,737 |
Security Description | Shares | Value | |||
Riverstone Holdings, Ltd. | 100,800 | $ 92,236 | |||
Sasseur Real Estate Investment Trust | 189,800 | 133,433 | |||
SATS, Ltd. (b) (c) | 81,900 | 239,449 | |||
Sembcorp Industries, Ltd. | 112,700 | 179,421 | |||
Sembcorp Marine, Ltd. (b) (c) | 1,457,331 | 130,099 | |||
Sheng Siong Group, Ltd. | 81,600 | 95,914 | |||
SIA Engineering Co., Ltd. | 26,100 | 41,746 | |||
Singapore Airlines, Ltd. (b) | 160,200 | 578,017 | |||
Singapore Exchange, Ltd. | 97,000 | 806,770 | |||
Singapore Post, Ltd. | 169,600 | 90,213 | |||
Singapore Press Holdings, Ltd. (c) | 228,200 | 290,301 | |||
Singapore Technologies Engineering, Ltd. | 188,400 | 542,410 | |||
Singapore Telecommunications, Ltd. | 1,035,400 | 1,763,924 | |||
SPH REIT | 110,900 | 71,777 | |||
Starhill Global REIT | 183,300 | 76,364 | |||
StarHub, Ltd. | 54,800 | 49,737 | |||
Suntec Real Estate Investment Trust | 238,200 | 258,720 | |||
United Overseas Bank, Ltd. | 146,693 | 2,817,745 | |||
UOL Group, Ltd. | 55,433 | 301,042 | |||
Venture Corp., Ltd. | 33,000 | 471,604 | |||
29,237,741 | |||||
SOUTH AFRICA — 1.2% | |||||
Absa Group, Ltd. (b) | 89,360 | 849,370 | |||
AECI, Ltd. | 9,970 | 68,644 | |||
African Rainbow Minerals, Ltd. | 12,579 | 224,953 | |||
Anglo American Platinum, Ltd. | 6,612 | 763,785 | |||
Anglo American PLC | 160,913 | 6,385,375 | |||
Aspen Pharmacare Holdings, Ltd. (b) | 46,634 | 529,381 | |||
Astral Foods, Ltd. | 3,513 | 38,907 | |||
AVI, Ltd. | 32,809 | 163,255 | |||
Barloworld, Ltd. (c) | 19,472 | 145,289 | |||
Bid Corp., Ltd. (b) | 40,067 | 868,784 | |||
Bidvest Group, Ltd. (c) | 39,038 | 520,716 | |||
Capitec Bank Holdings, Ltd. | 9,793 | 1,156,663 | |||
Clicks Group, Ltd. | 29,888 | 514,274 | |||
Coronation Fund Managers, Ltd. | 19,084 | 64,822 | |||
DataTec, Ltd. (b) | 38,866 | 75,017 | |||
Dis-Chem Pharmacies, Ltd. (d) | 31,283 | 70,437 | |||
Discovery, Ltd. (b) | 52,393 | 463,322 |
Security Description | Shares | Value | |||
Distell Group Holdings, Ltd. (b) | 25,476 | $ 297,960 | |||
DRDGOLD, Ltd. | 44,155 | 46,169 | |||
Equites Property Fund, Ltd. REIT | 80,348 | 106,240 | |||
Exxaro Resources, Ltd. | 35,745 | 421,618 | |||
FirstRand, Ltd. | 638,769 | 2,397,383 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 109,817 | |||
Foschini Group, Ltd. (b) | 39,788 | 443,168 | |||
Gold Fields, Ltd. | 106,173 | 954,748 | |||
Growthpoint Properties, Ltd. REIT | 387,693 | 404,561 | |||
Harmony Gold Mining Co., Ltd. | 65,321 | 241,361 | |||
Hyprop Investments, Ltd. REIT | 36,000 | 66,813 | |||
Impala Platinum Holdings, Ltd. | 101,518 | 1,674,269 | |||
Imperial Logistics, Ltd. | 47,957 | 159,266 | |||
Investec PLC | 104,608 | 416,624 | |||
Investec Property Fund, Ltd. REIT | 58,715 | 43,423 | |||
Investec, Ltd. | 34,578 | 132,028 | |||
JSE, Ltd. | 20,858 | 155,280 | |||
KAP Industrial Holdings, Ltd. (b) | 705,488 | 204,056 | |||
Kumba Iron Ore, Ltd. | 7,387 | 331,404 | |||
Liberty Holdings, Ltd. (b) | 15,761 | 68,171 | |||
Life Healthcare Group Holdings, Ltd. (b) | 159,853 | 254,354 | |||
Massmart Holdings, Ltd. (b) | 12,565 | 55,439 | |||
Momentum Metropolitan Holdings | 111,619 | 152,434 | |||
Motus Holdings, Ltd. | 19,611 | 128,197 | |||
Mr. Price Group, Ltd. | 36,746 | 541,768 | |||
MTN Group, Ltd. (b) (c) | 203,834 | 1,473,643 | |||
MultiChoice Group, Ltd. | 50,745 | 417,013 | |||
Naspers, Ltd. Class N | 53,794 | 11,295,431 | |||
Nedbank Group, Ltd. (b) | 43,179 | 516,712 | |||
Netcare, Ltd. (b) | 112,609 | 112,303 | |||
Ninety One, Ltd. | 17,289 | 51,763 | |||
Northam Platinum, Ltd. (b) | 42,629 | 647,641 | |||
Oceana Group, Ltd. | 11,307 | 51,836 | |||
Old Mutual, Ltd. (e) | 224,364 | 212,127 | |||
Old Mutual, Ltd. (c) (e) | 315,585 | 295,584 | |||
Pick n Pay Stores, Ltd. | 39,610 | 146,331 | |||
PSG Group, Ltd. | 17,508 | 97,590 | |||
Rand Merchant Investment Holdings, Ltd. | 87,829 | 192,773 | |||
Redefine Properties, Ltd. REIT (b) | 565,715 | 169,571 | |||
Remgro, Ltd. | 63,610 | 510,528 | |||
Resilient REIT, Ltd. | 34,728 | 126,836 |
Security Description | Shares | Value | |||
Reunert, Ltd. | 15,137 | $ 53,769 | |||
Royal Bafokeng Platinum, Ltd. | 14,538 | 103,923 | |||
Sanlam, Ltd. | 228,951 | 984,030 | |||
Santam, Ltd. (b) | 4,350 | 79,084 | |||
Sappi, Ltd. (b) | 57,092 | 165,453 | |||
Sasol, Ltd. (b) | 69,231 | 1,057,029 | |||
Shoprite Holdings, Ltd. | 68,459 | 745,252 | |||
Sibanye Stillwater, Ltd. | 352,596 | 1,473,230 | |||
SPAR Group, Ltd. (c) | 29,191 | 369,806 | |||
Standard Bank Group, Ltd. | 167,091 | 1,493,302 | |||
Steinhoff International Holdings NV (b) (c) | 418,971 | 55,457 | |||
Stor-Age Property REIT, Ltd. | 43,685 | 41,302 | |||
Super Group, Ltd. (b) | 99,955 | 217,428 | |||
Telkom SA SOC, Ltd. | 39,144 | 127,120 | |||
Thungela Resources, Ltd. (b) (c) | 15,835 | 43,532 | |||
Tiger Brands, Ltd. | 25,782 | 377,375 | |||
Transaction Capital, Ltd. | 95,406 | 252,701 | |||
Truworths International, Ltd. | 45,425 | 183,497 | |||
Vodacom Group, Ltd. | 86,903 | 783,717 | |||
Vukile Property Fund, Ltd. REIT | 94,716 | 76,350 | |||
Wilson Bayly Holmes-Ovcon, Ltd. (b) | 5,617 | 44,452 | |||
Woolworths Holdings, Ltd. (b) | 119,867 | 452,563 | |||
48,207,599 | |||||
SOUTH KOREA — 4.0% | |||||
ABLBio, Inc. (b) | 2,537 | 49,337 | |||
Ace Technologies Corp. (b) | 3,286 | 54,565 | |||
AfreecaTV Co., Ltd. | 1,389 | 146,775 | |||
Ahnlab, Inc. | 2,297 | 146,450 | |||
Alteogen, Inc. (b) | 2,946 | 218,959 | |||
Amicogen, Inc. (b) | 3,467 | 135,306 | |||
Amorepacific Corp. | 3,822 | 855,254 | |||
AMOREPACIFIC Group | 3,321 | 188,735 | |||
Ananti, Inc. (b) | 6,092 | 53,230 | |||
Anterogen Co., Ltd. (b) | 721 | 43,024 | |||
AptaBio Therapeutics, Inc. (b) | 943 | 48,818 | |||
APTC Co., Ltd. | 3,347 | 75,788 | |||
Asiana Airlines, Inc. (b) | 10,835 | 165,486 | |||
BGF retail Co., Ltd. | 795 | 126,717 | |||
BH Co., Ltd. | 730 | 13,386 | |||
Binex Co., Ltd. (b) | 5,433 | 103,242 | |||
Bioneer Corp. (b) | 5,103 | 97,651 | |||
BNK Financial Group, Inc. | 39,600 | 271,818 | |||
Boditech Med, Inc. | 1,505 | 30,403 |
Security Description | Shares | Value | |||
Boryung Pharmaceutical Co., Ltd. | 2,543 | $ 53,292 | |||
Bukwang Pharmaceutical Co., Ltd. | 3,983 | 71,621 | |||
Cafe24 Corp. (b) | 1,515 | 40,426 | |||
Cellid Co., Ltd. (b) | 765 | 91,095 | |||
Cellivery Therapeutics, Inc. (b) | 1,476 | 132,115 | |||
Celltrion Healthcare Co., Ltd. (b) | 10,072 | 1,034,791 | |||
Celltrion Pharm, Inc. (b) | 1,774 | 247,634 | |||
Celltrion, Inc. (b) | 11,788 | 2,810,530 | |||
Chabiotech Co., Ltd. (b) | 3,560 | 90,885 | |||
Cheil Worldwide, Inc. | 7,506 | 167,629 | |||
Chong Kun Dang Pharmaceutical Corp. | 637 | 77,493 | |||
Chunbo Co., Ltd. | 931 | 151,288 | |||
CJ CGV Co., Ltd. (b) | 2,246 | 60,829 | |||
CJ CheilJedang Corp. | 942 | 385,616 | |||
CJ Corp. | 1,847 | 175,491 | |||
CJ ENM Co., Ltd. | 1,582 | 256,654 | |||
CJ Logistics Corp. (b) | 1,096 | 172,261 | |||
CMG Pharmaceutical Co., Ltd. (b) | 11,128 | 52,075 | |||
Com2uSCorp | 2,104 | 231,110 | |||
Cosmax, Inc. (b) | 752 | 87,477 | |||
CosmoAM&T Co., Ltd. (b) | 2,483 | 60,082 | |||
Coway Co., Ltd. | 6,720 | 469,621 | |||
Creative & Innovative System (b) | 5,577 | 55,961 | |||
CrystalGenomics, Inc. (b) | 11,812 | 82,442 | |||
CS Wind Corp. | 3,456 | 237,837 | |||
Daea TI Co., Ltd. | 14,680 | 82,254 | |||
Daeduck Electronics Co., Ltd. | 8,563 | 123,561 | |||
Daejoo Electronic Materials Co., Ltd. | 1,149 | 49,178 | |||
Daesang Corp. | 4,987 | 122,887 | |||
Daewoo Engineering & Construction Co., Ltd. (b) | 24,328 | 171,742 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b) | 3,568 | 113,426 | |||
Daewoong Co., Ltd. | 2,154 | 89,419 | |||
Daewoong Pharmaceutical Co., Ltd. | 429 | 65,522 | |||
Daishin Securities Co., Ltd. | 3,580 | 62,785 | |||
Daou Technology, Inc. | 6,450 | 163,233 | |||
Dawonsys Co., Ltd. | 2,898 | 50,438 | |||
DB HiTek Co., Ltd. | 4,076 | 225,851 | |||
DB Insurance Co., Ltd. | 5,525 | 268,854 | |||
Dentium Co., Ltd. | 795 | 45,816 | |||
Devsisters Co., Ltd. (b) | 551 | 44,818 |
Security Description | Shares | Value | |||
DGB Financial Group, Inc. | 20,410 | $ 168,550 | |||
Digital Power Communications Co., Ltd. | 3,795 | 49,032 | |||
DIO Corp. (b) | 4,286 | 157,754 | |||
DL E&C Co., Ltd. (b) | 1,869 | 235,668 | |||
DL Holdings Co., Ltd. | 1,200 | 85,246 | |||
Dong-A Socio Holdings Co., Ltd. | 363 | 39,164 | |||
Dong-A ST Co., Ltd. | 542 | 41,391 | |||
Dongjin Semichem Co., Ltd. | 5,592 | 142,264 | |||
DongKook Pharmaceutical Co., Ltd. | 4,240 | 106,174 | |||
Dongkuk Steel Mill Co., Ltd. | 14,784 | 291,440 | |||
Dongsuh Cos., Inc. | 2,706 | 73,288 | |||
Doosan Bobcat, Inc. (b) | 5,752 | 245,168 | |||
Doosan Co., Ltd. | 801 | 68,069 | |||
Doosan Fuel Cell Co., Ltd. (b) | 5,162 | 229,188 | |||
Doosan Heavy Industries & Construction Co., Ltd. (b) (c) | 25,616 | 542,505 | |||
Doosan Infracore Co., Ltd. (b) | 18,351 | 235,468 | |||
DoubleUGames Co., Ltd. | 843 | 44,615 | |||
Douzone Bizon Co., Ltd. | 2,524 | 186,025 | |||
Duk San Neolux Co., Ltd. (b) | 1,243 | 62,914 | |||
Echo Marketing, Inc. | 1,570 | 34,226 | |||
Ecopro BM Co., Ltd. | 1,459 | 274,789 | |||
Ecopro Co., Ltd. | 2,905 | 116,726 | |||
Ecopro HN Co., Ltd. (b) | 594 | 83,286 | |||
E-MART, Inc. | 2,133 | 303,050 | |||
ENF Technology Co., Ltd. | 1,064 | 33,635 | |||
Enzychem Lifesciences Corp. (b) | 1,168 | 101,227 | |||
Eo Technics Co., Ltd. | 1,483 | 156,708 | |||
Eoflow Co., Ltd. (b) | 899 | 43,747 | |||
ESR Kendall Square REIT Co., Ltd. (b) | 8,686 | 58,156 | |||
Eubiologics Co., Ltd. (b) | 2,973 | 109,031 | |||
Eugene Technology Co., Ltd. | 1,603 | 64,482 | |||
F&F Co., Ltd. (b) | 422 | 209,848 | |||
Fila Holdings Corp. | 5,207 | 269,100 | |||
Fine Semitech Corp. | 3,085 | 73,827 | |||
Foosung Co., Ltd. (b) | 13,563 | 130,674 | |||
GemVax & Kael Co., Ltd. (b) | 2,866 | 54,208 | |||
Geneonelifescience, Inc. (b) | 4,103 | 172,332 | |||
Genexine, Inc. (b) | 2,807 | 224,331 |
Security Description | Shares | Value | |||
Grand Korea Leisure Co., Ltd. (b) | 3,328 | $ 49,204 | |||
Green Cross Corp. | 671 | 195,732 | |||
Green Cross Holdings Corp. | 5,248 | 158,910 | |||
Green Cross LabCell Corp. | 1,225 | 107,907 | |||
GS Engineering & Construction Corp. | 6,894 | 262,623 | |||
GS Holdings Corp. | 5,913 | 242,842 | |||
GS Home Shopping, Inc. | 344 | 49,866 | |||
GS Retail Co., Ltd. | 3,570 | 122,524 | |||
HAESUNG DS Co., Ltd. | 2,588 | 94,796 | |||
Hana Financial Group, Inc. | 37,784 | 1,545,046 | |||
Hana Materials, Inc. | 2,047 | 83,978 | |||
Hana Tour Service, Inc. (b) | 978 | 68,781 | |||
Hanall Biopharma Co., Ltd. (b) | 2,599 | 50,081 | |||
Handsome Co., Ltd. | 1,555 | 59,306 | |||
Hanjin Transportation Co., Ltd. | 992 | 37,702 | |||
Hankook & Co. Co., Ltd | 2,676 | 48,356 | |||
Hankook Tire & Technology Co., Ltd. | 8,351 | 383,383 | |||
Hanmi Pharm Co., Ltd. | 762 | 226,337 | |||
Hanmi Semiconductor Co., Ltd. | 2,660 | 79,955 | |||
Hanon Systems | 25,518 | 375,015 | |||
Hansae Co., Ltd. | 2,164 | 46,983 | |||
Hansol Chemical Co., Ltd. | 1,234 | 269,011 | |||
Hanssem Co., Ltd. | 2,499 | 227,454 | |||
Hanwha Aerospace Co., Ltd. | 4,757 | 198,534 | |||
Hanwha Corp. | 6,452 | 181,904 | |||
Hanwha Investment & Securities Co., Ltd. (b) | 13,008 | 55,213 | |||
Hanwha Life Insurance Co., Ltd. | 31,079 | 103,629 | |||
Hanwha Solutions Corp. (b) | 15,319 | 606,013 | |||
Hanwha Systems Co., Ltd. | 11,501 | 174,126 | |||
HDC Holdings Co., Ltd. | 4,125 | 47,435 | |||
HDC Hyundai Development Co-Engineering & Construction Class E | 6,351 | 177,646 | |||
Helixmith Co., Ltd. (b) | 3,206 | 90,246 | |||
Hite Jinro Co., Ltd. | 2,855 | 95,577 | |||
HLB Life Science Co., Ltd. (b) | 9,320 | 82,760 | |||
HLB, Inc. (b) (c) | 15,532 | 460,657 | |||
HMM Co., Ltd. (b) (c) | 32,104 | 1,251,490 | |||
Hotel Shilla Co., Ltd. | 3,574 | 307,844 |
Security Description | Shares | Value | |||
Huchems Fine Chemical Corp. | 1,984 | $ 41,049 | |||
Hugel, Inc. (b) | 1,296 | 275,737 | |||
Huons Co., Ltd. | 1,455 | 80,363 | |||
HYBE Co., Ltd. (b) | 1,000 | 259,734 | |||
Hyosung Advanced Materials Corp. (b) | 308 | 120,476 | |||
Hyosung Chemical Corp. (b) | 809 | 251,432 | |||
Hyosung Corp. | 858 | 78,474 | |||
Hyosung Heavy Industries Corp. (b) | 563 | 36,495 | |||
Hyosung TNC Corp. | 279 | 222,972 | |||
Hyundai Autoever Corp. | 571 | 68,704 | |||
Hyundai Bioscience Co., Ltd. (b) | 4,204 | 135,324 | |||
Hyundai Construction Equipment Co., Ltd. (b) | 1,360 | 66,783 | |||
Hyundai Department Store Co., Ltd. | 1,309 | 101,591 | |||
Hyundai Electric & Energy System Co., Ltd. (b) | 2,175 | 39,786 | |||
Hyundai Elevator Co., Ltd. | 2,938 | 138,532 | |||
Hyundai Engineering & Construction Co., Ltd. | 9,334 | 483,215 | |||
Hyundai Glovis Co., Ltd. | 2,254 | 418,316 | |||
Hyundai Greenfood Co., Ltd. | 5,265 | 50,259 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 5,796 | 364,389 | |||
Hyundai Home Shopping Network Corp. | 629 | 50,492 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,551 | 170,981 | |||
Hyundai Mipo Dockyard Co., Ltd. (b) | 2,892 | 224,447 | |||
Hyundai Mobis Co., Ltd. | 8,325 | 2,158,593 | |||
Hyundai Motor Co. | 17,867 | 3,799,802 | |||
Hyundai Motor Co. Preference Shares (e) | 4,369 | 446,153 | |||
Hyundai Motor Co. Preference Shares (e) | 2,761 | 283,173 | |||
Hyundai Rotem Co., Ltd. (b) | 7,810 | 168,177 | |||
Hyundai Steel Co. | 11,444 | 545,702 | |||
Hyundai Wia Corp. | 1,507 | 135,826 | |||
Iljin Materials Co., Ltd. | 2,771 | 179,624 | |||
Ilyang Pharmaceutical Co., Ltd. | 1,234 | 41,530 | |||
Industrial Bank of Korea | 28,125 | 262,232 | |||
Innocean Worldwide, Inc. | 814 | 47,706 | |||
Innox Advanced Materials Co., Ltd. (b) | 1,503 | 87,419 | |||
iNtRON Biotechnology, Inc. (b) | 5,323 | 116,750 | |||
IS Dongseo Co., Ltd. | 3,285 | 177,355 |
Security Description | Shares | Value | |||
JB Financial Group Co., Ltd. | 11,582 | $ 77,443 | |||
Jeju Air Co., Ltd. (b) | 1,883 | 42,387 | |||
JETEMA Co., Ltd. (b) | 1,386 | 45,168 | |||
Jin Air Co., Ltd. (b) | 2,164 | 40,546 | |||
Jusung Engineering Co., Ltd. (b) | 4,388 | 60,395 | |||
JW Pharmaceutical Corp. | 1,488 | 39,573 | |||
JYP Entertainment Corp. | 4,449 | 160,000 | |||
Kakao Corp. | 37,956 | 5,493,787 | |||
Kangwon Land, Inc. (b) | 11,437 | 273,192 | |||
KB Financial Group, Inc. | 49,238 | 2,439,711 | |||
KCC Corp. | 576 | 175,692 | |||
KCC Glass Corp. | 1,162 | 64,696 | |||
KEPCO Engineering & Construction Co., Inc. | 1,622 | 72,735 | |||
KEPCO Plant Service & Engineering Co., Ltd. | 2,035 | 77,432 | |||
KG Dongbu Steel Co., Ltd. (c) | 4,738 | 75,100 | |||
KH FEELUX Co., Ltd. (b) | 10,681 | 33,291 | |||
Kia Corp. | 32,223 | 2,563,762 | |||
KIWOOM Securities Co., Ltd. | 2,328 | 270,806 | |||
KMW Co., Ltd. (b) | 2,663 | 127,930 | |||
Koentec Co., Ltd. | 12,880 | 112,542 | |||
Koh Young Technology, Inc. | 5,395 | 114,018 | |||
Kolmar BNH Co., Ltd. | 790 | 35,145 | |||
Kolmar Korea Co., Ltd. | 1,275 | 65,666 | |||
Kolon Industries, Inc. | 1,620 | 116,233 | |||
KoMiCo, Ltd. | 1,382 | 86,026 | |||
Komipharm International Co., Ltd. (b) | 4,676 | 45,467 | |||
KONA I Co., Ltd. (b) | 1,321 | 51,730 | |||
Korea Aerospace Industries, Ltd. | 7,786 | 227,465 | |||
Korea Electric Power Corp. | 30,559 | 674,325 | |||
Korea Electric Terminal Co., Ltd. | 599 | 53,722 | |||
Korea Investment Holdings Co., Ltd. | 5,577 | 510,084 | |||
Korea Line Corp. (b) | 17,625 | 55,247 | |||
Korea Petrochemical Ind Co., Ltd. | 507 | 107,149 | |||
Korea Real Estate Investment & Trust Co., Ltd. | 40,468 | 84,806 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (b) | 5,025 | 597,922 | |||
Korea United Pharm, Inc. | 955 | 47,065 | |||
Korea Zinc Co., Ltd. | 998 | 382,398 | |||
Korean Air Lines Co., Ltd. (b) | 18,693 | 522,870 | |||
Korean Reinsurance Co. | 8,166 | 71,425 | |||
KT&G Corp. | 14,027 | 1,051,262 |
Security Description | Shares | Value | |||
Kuk-il Paper Manufacturing Co., Ltd. (b) | 9,131 | $ 46,298 | |||
Kumho Petrochemical Co., Ltd. | 2,104 | 409,160 | |||
Kumho Tire Co., Inc. (b) | 10,539 | 75,055 | |||
Kwang Dong Pharmaceutical Co., Ltd. | 12,503 | 100,144 | |||
Kyung Dong Navien Co., Ltd. | 1,463 | 91,068 | |||
L&C Bio Co., Ltd. | 1,326 | 39,386 | |||
L&F Co., Ltd. | 3,082 | 250,961 | |||
LB Semicon, Inc. | 6,795 | 81,457 | |||
LEENO Industrial, Inc. | 1,191 | 185,606 | |||
LegoChem Biosciences, Inc. (b) | 2,417 | 114,181 | |||
LG Chem, Ltd. | 5,611 | 4,235,093 | |||
LG Chem, Ltd. Preference Shares | 885 | 301,379 | |||
LG Corp. | 11,509 | 1,047,527 | |||
LG Display Co., Ltd. (b) (c) | 27,955 | 608,176 | |||
LG Electronics, Inc. | 12,835 | 1,863,448 | |||
LG Hausys, Ltd. | 1,772 | 154,675 | |||
LG Household & Health Care, Ltd. | 1,131 | 1,769,588 | |||
LG Household & Health Care, Ltd. Preference Shares | 252 | 171,185 | |||
LG Innotek Co., Ltd. | 1,707 | 338,020 | |||
LG International Corp. | 14,247 | 394,713 | |||
LG Uplus Corp. | 23,441 | 319,513 | |||
LIG Nex1 Co., Ltd. | 1,266 | 47,722 | |||
Lock&Lock Co., Ltd. (b) | 10,907 | 132,687 | |||
Lotte Chemical Corp. | 2,014 | 469,453 | |||
Lotte Chilsung Beverage Co., Ltd. | 412 | 53,048 | |||
LOTTE Fine Chemical Co., Ltd. | 1,634 | 95,763 | |||
LOTTE Himart Co., Ltd. | 1,139 | 36,209 | |||
LOTTE Reit Co., Ltd. | 12,988 | 68,737 | |||
Lotte Shopping Co., Ltd. | 1,360 | 139,484 | |||
Lotte Tour Development Co., Ltd. (b) | 3,330 | 59,583 | |||
LS Corp. | 1,645 | 103,420 | |||
LS Electric Co., Ltd. | 1,393 | 69,146 | |||
LX Holdings Corp. (b) | 5,008 | 50,029 | |||
Mando Corp. (b) | 5,035 | 297,321 | |||
Mcnex Co., Ltd. | 1,909 | 80,350 | |||
Medipost Co., Ltd. (b) | 1,600 | 44,541 | |||
MedPacto, Inc. (b) | 1,028 | 63,990 | |||
Medy-Tox, Inc. | 541 | 113,854 | |||
MegaStudyEdu Co., Ltd. | 453 | 27,756 | |||
Meritz Financial Group, Inc. | 4,627 | 87,104 |
Security Description | Shares | Value | |||
Meritz Fire & Marine Insurance Co., Ltd. | 4,627 | $ 83,817 | |||
Meritz Securities Co., Ltd. | 69,541 | 292,391 | |||
Mezzion Pharma Co., Ltd. (b) | 617 | 74,896 | |||
Mirae Asset Maps Asia Pacific Real Estate 1 Investment | 27,768 | 120,822 | |||
Mirae Asset Securities Co., Ltd. | 47,797 | 400,236 | |||
Naturecell Co., Ltd. (b) | 12,479 | 335,204 | |||
NAVER Corp. | 15,066 | 5,585,450 | |||
NCSoft Corp. | 1,987 | 1,446,823 | |||
NEPES Corp. (b) | 1,564 | 58,885 | |||
Netmarble Corp. (d) | 2,574 | 306,279 | |||
NH Investment & Securities Co., Ltd. | 14,985 | 171,653 | |||
NHN Corp. (b) | 885 | 65,541 | |||
NHN KCP Corp. (b) | 1,369 | 70,629 | |||
NICE Holdings Co., Ltd. | 2,514 | 42,527 | |||
NICE Information Service Co., Ltd. | 10,100 | 225,112 | |||
NKMax Co., Ltd. (b) | 9,231 | 118,856 | |||
NongShim Co., Ltd. | 521 | 145,037 | |||
OCI Co., Ltd. (b) | 2,871 | 299,554 | |||
OliX Pharmaceuticals, Inc. (b) | 2,275 | 89,291 | |||
OptoElectronics Solutions Co., Ltd. | 961 | 38,230 | |||
Orion Corp/Republic of Korea | 2,730 | 287,266 | |||
Orion Holdings Corp. | 5,222 | 79,061 | |||
Oscotec, Inc. (b) | 4,726 | 163,877 | |||
Osstem Implant Co., Ltd. | 1,153 | 116,411 | |||
Ottogi Corp. | 114 | 55,069 | |||
Pan Ocean Co., Ltd. | 32,127 | 243,631 | |||
Paradise Co., Ltd. (b) | 4,113 | 66,106 | |||
Park Systems Corp. | 526 | 61,000 | |||
Partron Co., Ltd. | 11,769 | 108,687 | |||
Pearl Abyss Corp. (b) | 3,025 | 203,341 | |||
PharmaResearch Co., Ltd. | 654 | 52,267 | |||
Pharmicell Co., Ltd. (b) | 11,563 | 186,359 | |||
PI Advanced Materials Co., Ltd. | 1,584 | 77,361 | |||
Poongsan Corp. | 1,946 | 65,924 | |||
POSCO | 9,063 | 2,800,625 | |||
POSCO Chemtech Co., Ltd. | 3,757 | 480,405 | |||
Posco ICT Co., Ltd. | 6,124 | 46,549 | |||
Posco International Corp. | 6,646 | 137,505 | |||
PSK, Inc. | 1,165 | 45,725 | |||
RFHIC Corp. | 1,181 | 41,634 | |||
S&S Tech Corp. | 1,616 | 46,780 | |||
S&T Motiv Co., Ltd. | 938 | 59,138 | |||
S-1 Corp. | 1,546 | 112,434 |
Security Description | Shares | Value | |||
Sam Chun Dang Pharm Co., Ltd. (b) | 2,749 | $ 132,794 | |||
SAM KANG M&T Co., Ltd. (b) | 5,577 | 86,912 | |||
Samsung Biologics Co., Ltd. (b) (d) | 2,023 | 1,510,761 | |||
Samsung C&T Corp. | 10,633 | 1,288,820 | |||
Samsung Electro-Mechanics Co., Ltd. | 6,708 | 1,054,314 | |||
Samsung Electronics Co., Ltd. Preference Shares | 100,633 | 6,585,847 | |||
Samsung Electronics Co., Ltd. | 591,805 | 42,408,794 | |||
Samsung Engineering Co., Ltd. (b) | 21,503 | 456,353 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,633 | 711,341 | |||
Samsung Heavy Industries Co., Ltd. (b) | 51,399 | 306,253 | |||
Samsung Life Insurance Co., Ltd. | 8,580 | 607,987 | |||
Samsung SDI Co., Ltd. | 6,728 | 4,170,087 | |||
Samsung SDS Co., Ltd. | 4,063 | 667,456 | |||
Samsung Securities Co., Ltd. | 7,238 | 288,903 | |||
Samwha Capacitor Co., Ltd. | 848 | 45,406 | |||
Samyang Holdings Corp. | 808 | 79,283 | |||
Sang-A Frontec Co., Ltd. | 993 | 41,355 | |||
Sangsangin Co., Ltd. (b) | 7,698 | 53,592 | |||
Seah Besteel Corp. | 1,754 | 49,373 | |||
Sebang Global Battery Co., Ltd. | 1,623 | 139,796 | |||
Seegene, Inc. (b) | 4,144 | 304,319 | |||
Seojin System Co., Ltd. (b) | 2,971 | 113,970 | |||
Seoul Semiconductor Co., Ltd. | 9,084 | 153,262 | |||
SFA Engineering Corp. | 1,624 | 62,442 | |||
SFA Semicon Co., Ltd. (b) (c) | 9,437 | 62,849 | |||
Shin Poong Pharmaceutical Co., Ltd. (c) | 3,440 | 262,700 | |||
Shinhan Financial Group Co., Ltd. | 53,700 | 1,935,994 | |||
Shinsegae International, Inc. | 226 | 40,939 | |||
Shinsegae, Inc. | 786 | 199,266 | |||
Shinsung E&G Co., Ltd. (b) | 13,547 | 34,705 | |||
Silicon Works Co., Ltd. | 1,216 | 131,302 | |||
SillaJen, Inc. (b) (f) | 6,523 | 52,565 | |||
SIMMTECH Co., Ltd. | 2,199 | 47,352 | |||
SK Biopharmaceuticals Co., Ltd. (b) | 3,221 | 351,803 |
Security Description | Shares | Value | |||
SK Chemicals Co., Ltd. | 823 | $ 190,010 | |||
SK Discovery Co., Ltd. | 2,244 | 105,410 | |||
SK Holdings Co., Ltd. | 4,229 | 1,060,864 | |||
SK Hynix, Inc. | 66,772 | 7,559,766 | |||
SK Innovation Co., Ltd. (b) | 6,509 | 1,707,951 | |||
SK Materials Co., Ltd. | 571 | 178,528 | |||
SK Networks Co., Ltd. | 13,470 | 72,006 | |||
SK Telecom Co., Ltd. | 4,804 | 1,365,076 | |||
SKC Co., Ltd. | 2,369 | 333,425 | |||
SL Corp. | 1,756 | 55,667 | |||
SM Entertainment Co., Ltd. (b) | 1,656 | 86,465 | |||
S-Oil Corp. (b) | 5,413 | 492,681 | |||
Solid, Inc. (b) | 5,510 | 36,843 | |||
SOLUM Co., Ltd. (b) | 3,572 | 89,288 | |||
Solus Advanced Materials Co, Ltd. | 1,317 | 60,345 | |||
Soulbrain Co., Ltd. | 458 | 133,681 | |||
Soulbrain Holdings Co., Ltd. (b) | 567 | 18,629 | |||
ST Pharm Co., Ltd. (b) | 2,098 | 209,772 | |||
Suheung Co., Ltd. | 2,578 | 126,594 | |||
Taeyoung Engineering & Construction Co., Ltd. | 1,805 | 20,035 | |||
Taihan Electric Wire Co., Ltd. (b) (c) | 36,396 | 99,219 | |||
Telcon RF Pharmaceutical, Inc. (b) | 8,430 | 34,284 | |||
TES Co., Ltd. | 1,592 | 44,530 | |||
Tesna, Inc. | 1,124 | 45,962 | |||
Tokai Carbon Korea Co., Ltd. | 499 | 89,329 | |||
TY Holdings Co., Ltd. (b) | 1,741 | 45,142 | |||
Unid Co., Ltd. | 1,167 | 80,415 | |||
Unison Co., Ltd. (b) | 11,442 | 40,844 | |||
UniTest, Inc. (b) | 4,511 | 90,729 | |||
Value Added Technology Co., Ltd. | 3,331 | 110,772 | |||
Vaxcell-Bio Therapeutics Co., Ltd. (b) | 1,108 | 89,041 | |||
Vieworks Co., Ltd. | 3,440 | 114,091 | |||
Webzen, Inc. (b) | 4,173 | 114,687 | |||
Wemade Co., Ltd. | 1,111 | 55,839 | |||
WONIK IPS Co., Ltd. | 5,486 | 241,625 | |||
Wonik QnC Corp. (b) | 1,915 | 51,270 | |||
Woori Financial Group, Inc. | 65,986 | 670,905 | |||
Woori Technology Investment Co., Ltd. (b) | 6,621 | 46,153 | |||
YG Entertainment, Inc. (b) | 2,609 | 118,617 | |||
Youngone Corp. | 2,057 | 81,100 | |||
Yuanta Securities Korea Co., Ltd. | 18,956 | 81,133 |
Security Description | Shares | Value | |||
Yuhan Corp. | 5,675 | $ 317,979 | |||
Yungjin Pharmaceutical Co., Ltd. (b) | 22,295 | 116,014 | |||
Zinus, Inc. | 865 | 79,115 | |||
166,558,905 | |||||
SPAIN — 1.4% | |||||
Acciona SA | 3,128 | 472,219 | |||
Acerinox SA | 17,523 | 211,650 | |||
ACS Actividades de Construccion y Servicios SA | 31,039 | 831,519 | |||
Aena SME SA (b) (d) | 9,320 | 1,528,574 | |||
Almirall SA (c) | 10,864 | 189,518 | |||
Amadeus IT Group SA (b) | 55,897 | 3,932,221 | |||
AmRest Holdings SE (b) | 7,136 | 48,473 | |||
Applus Services SA (b) | 16,808 | 164,245 | |||
Atresmedia Corp. de Medios de Comunicacion SA (b) (c) | 10,812 | 47,339 | |||
Banco Bilbao Vizcaya Argentaria SA | 826,076 | 5,121,579 | |||
Banco de Sabadell SA (b) | 699,213 | 476,125 | |||
Banco Santander SA (b) | 2,154,767 | 8,226,915 | |||
Bankinter SA | 79,229 | 398,287 | |||
Befesa SA (d) | 3,480 | 267,425 | |||
CaixaBank SA | 547,737 | 1,684,963 | |||
Cellnex Telecom SA (d) | 63,314 | 4,033,518 | |||
Cia de Distribucion Integral Logista Holdings SA | 7,948 | 163,439 | |||
CIE Automotive SA | 7,659 | 226,707 | |||
Construcciones y Auxiliar de Ferrocarriles SA | 1,714 | 72,260 | |||
Corp. Financiera Alba SA | 1,589 | 86,682 | |||
Distribuidora Internacional de Alimentacion SA (b) (c) | 401,966 | 32,367 | |||
Ebro Foods SA | 7,072 | 148,612 | |||
EDP Renovaveis SA | 34,928 | 809,369 | |||
eDreams ODIGEO SA (b) (c) | 11,015 | 88,696 | |||
Enagas SA | 30,927 | 714,639 | |||
Ence Energia y Celulosa SA (b) | 12,316 | 50,039 | |||
Endesa SA (c) | 38,034 | 922,839 | |||
Euskaltel SA (d) | 8,122 | 105,758 | |||
Faes Farma SA | 35,119 | 140,186 | |||
Ferrovial SA | 60,372 | 1,771,981 | |||
Fluidra SA | 10,095 | 400,452 | |||
Gestamp Automocion SA (b) (d) | 33,976 | 179,945 | |||
Global Dominion Access SA (d) | 10,388 | 53,835 | |||
Grifols SA (c) | 39,001 | 1,056,380 |
Security Description | Shares | Value | |||
Grupo Catalana Occidente SA | 4,936 | $ 190,535 | |||
Iberdrola SA | 747,094 | 9,107,866 | |||
Indra Sistemas SA (b) | 12,047 | 109,935 | |||
Industria de Diseno Textil SA | 134,972 | 4,755,483 | |||
Inmobiliaria Colonial Socimi SA REIT | 30,167 | 304,625 | |||
Laboratorios Farmaceuticos Rovi SA | 2,439 | 168,917 | |||
Lar Espana Real Estate Socimi SA REIT | 11,653 | 67,784 | |||
Liberbank SA | 179,722 | 65,986 | |||
Linea Directa Aseguradora SA Cia de Seguros y Reaseguros (b) | 79,229 | 166,023 | |||
Mapfre SA | 127,893 | 270,349 | |||
Mediaset Espana Comunicacion SA (b) | 14,887 | 93,392 | |||
Melia Hotels International SA (b) (c) | 10,443 | 77,278 | |||
Merlin Properties Socimi SA REIT (c) | 44,167 | 457,571 | |||
Metrovacesa SA (c) (d) | 5,449 | 43,037 | |||
Naturgy Energy Group SA | 35,641 | 916,342 | |||
Neinor Homes SA (d) | 7,187 | 96,822 | |||
Pharma Mar SA (c) | 1,592 | 143,220 | |||
Prosegur Cash SA (d) | 40,918 | 41,586 | |||
Prosegur Cia de Seguridad SA | 36,398 | 119,134 | |||
Red Electrica Corp. SA (c) | 56,912 | 1,056,587 | |||
Repsol SA (c) | 185,086 | 2,316,535 | |||
Sacyr SA (c) | 40,645 | 103,246 | |||
Sacyr SA (b) | 1,016 | 2,581 | |||
Siemens Gamesa Renewable Energy SA (b) | 28,547 | 953,326 | |||
Solaria Energia y Medio Ambiente SA (b) | 9,631 | 174,062 | |||
Solarpack Corp. Tecnologica SA (b) | 1,792 | 55,572 | |||
Talgo SA (b) (d) | 12,764 | 72,203 | |||
Tecnicas Reunidas SA (b) (c) | 2,480 | 31,381 | |||
Telefonica SA | 664,851 | 3,107,268 | |||
Unicaja Banco SA (d) | 73,212 | 75,101 | |||
Viscofan SA | 4,733 | 330,037 | |||
Zardoya Otis SA | 20,430 | 140,764 | |||
60,273,304 | |||||
SWEDEN — 2.4% | |||||
AAK AB | 20,531 | 460,451 | |||
AcadeMedia AB (d) | 15,147 | 143,108 | |||
Adapteo Oyj | 6,042 | 115,864 |
Security Description | Shares | Value | |||
AddTech AB Class B | 31,123 | $ 516,767 | |||
AFRY AB | 11,796 | 388,412 | |||
Alfa Laval AB | 37,671 | 1,331,588 | |||
Alimak Group AB (d) | 6,075 | 99,165 | |||
Ambea AB (d) | 7,348 | 54,731 | |||
Arjo AB Class B | 22,985 | 237,049 | |||
Assa Abloy AB Class B | 124,744 | 3,760,341 | |||
Atlas Copco AB Class A | 83,039 | 5,087,894 | |||
Atlas Copco AB Class B | 48,957 | 2,576,036 | |||
Atrium Ljungberg AB Class B | 4,091 | 93,232 | |||
Attendo AB (b) (d) | 18,258 | 83,603 | |||
Avanza Bank Holding AB | 15,667 | 488,944 | |||
Axfood AB | 12,565 | 347,765 | |||
Bactiguard Holding AB (b) (c) | 1,927 | 39,657 | |||
Beijer Alma AB | 5,000 | 99,624 | |||
Beijer Ref AB | 30,603 | 545,706 | |||
Betsson AB Class B | 15,247 | 124,441 | |||
BHG Group AB (b) | 11,584 | 224,172 | |||
Bilia AB Class A | 10,517 | 222,954 | |||
BillerudKorsnas AB | 21,357 | 424,161 | |||
BioArctic AB (b) (d) | 3,632 | 58,522 | |||
BioGaia AB Class B | 1,663 | 92,560 | |||
Biotage AB | 10,569 | 250,379 | |||
Boliden AB | 32,752 | 1,259,965 | |||
Bonava AB Class B | 9,858 | 108,526 | |||
BoneSupport Holding AB (b) (d) | 5,159 | 45,364 | |||
Boozt AB (b) (d) | 10,974 | 241,239 | |||
Bravida Holding AB (d) | 30,013 | 434,465 | |||
Bufab AB | 6,983 | 193,515 | |||
Bure Equity AB | 6,853 | 296,328 | |||
Calliditas Therapeutics AB Class B (b) | 2,965 | 43,337 | |||
Camurus AB (b) | 6,510 | 162,899 | |||
Castellum AB | 28,821 | 733,992 | |||
Catena AB | 4,150 | 222,345 | |||
Cellavision AB | 1,868 | 80,511 | |||
CELLINK AB Class B (b) | 3,396 | 168,447 | |||
Cibus Nordic Real Estate AB | 6,949 | 166,084 | |||
Cint Group AB (b) | 10,000 | 112,486 | |||
Clas Ohlson AB Class B (b) | 7,371 | 76,062 | |||
Cloetta AB Class B | 28,896 | 86,295 | |||
Collector AB (b) | 28,130 | 119,991 | |||
Coor Service Management Holding AB (d) | 8,780 | 69,606 | |||
Corem Property Group AB Class B | 67,456 | 152,862 | |||
Creades AB Class A | 4,820 | 60,193 | |||
Desenio Group AB (b) | 6,848 | 71,265 | |||
Dios Fastigheter AB | 9,118 | 94,516 | |||
Dometic Group AB (d) | 36,454 | 621,267 | |||
Duni AB (b) | 3,551 | 46,006 |
Security Description | Shares | Value | |||
Dustin Group AB (c) (d) | 10,657 | $ 140,812 | |||
Electrolux AB Class B | 26,964 | 748,181 | |||
Electrolux Professional AB Class B (b) | 24,031 | 170,423 | |||
Elekta AB Class B | 44,136 | 639,940 | |||
Embracer Group AB (b) | 31,363 | 848,972 | |||
Enad Global 7 AB (b) (c) | 5,181 | 43,134 | |||
Epiroc AB Class A | 81,208 | 1,851,647 | |||
Epiroc AB Class B | 47,057 | 924,121 | |||
EQT AB | 28,748 | 1,044,080 | |||
Essity AB Class B | 76,496 | 2,538,492 | |||
Evolution AB (d) | 20,773 | 3,284,952 | |||
Fabege AB | 30,368 | 487,541 | |||
Fagerhult AB | 9,751 | 78,216 | |||
Fastighets AB Balder Class B (b) | 13,645 | 856,786 | |||
Fingerprint Cards AB Class B (b) | 31,312 | 119,578 | |||
Fortnox AB | 5,233 | 257,485 | |||
GARO AB | 3,015 | 41,600 | |||
Getinge AB Class B | 27,601 | 1,041,797 | |||
Granges AB | 14,369 | 199,771 | |||
H & M Hennes & Mauritz AB Class B (b) | 100,981 | 2,396,958 | |||
Hansa Biopharma AB (b) | 5,880 | 103,132 | |||
Hexagon AB Class B | 245,406 | 3,638,556 | |||
Hexatronic Group AB | 3,454 | 51,777 | |||
Hexpol AB | 31,802 | 393,056 | |||
HMS Networks AB | 2,574 | 108,954 | |||
Holmen AB Class B | 11,234 | 507,439 | |||
Hufvudstaden AB Class A | 11,937 | 203,087 | |||
Husqvarna AB Class B | 50,075 | 665,742 | |||
ICA Gruppen AB | 12,393 | 577,180 | |||
Industrivarden AB Class A | 12,794 | 497,868 | |||
Industrivarden AB Class C | 19,084 | 698,901 | |||
Indutrade AB | 32,907 | 842,669 | |||
Instalco AB | 4,857 | 201,614 | |||
Intrum AB | 7,683 | 251,634 | |||
Investment AB Latour Class B | 18,244 | 599,021 | |||
Investment AB Oresund | 2,989 | 51,936 | |||
Investor AB Class B | 225,568 | 5,202,585 | |||
INVISIO Communications AB | 4,200 | 92,622 | |||
Inwido AB | 4,681 | 81,007 | |||
JM AB | 6,004 | 207,735 | |||
Karo Pharma AB (b) | 17,994 | 115,301 | |||
K-fast Holding AB (b) (c) | 6,228 | 45,515 | |||
Kinnevik AB Class B (b) | 28,921 | 1,158,578 | |||
KNOW IT AB | 2,060 | 67,565 | |||
Kungsleden AB | 20,343 | 246,433 | |||
L E Lundbergforetagen AB Class B | 9,305 | 600,810 | |||
LeoVegas AB (d) | 19,551 | 86,872 |
Security Description | Shares | Value | |||
Lifco AB Class B | 28,508 | $ 666,686 | |||
Lime Technologies AB | 946 | 36,016 | |||
Lindab International AB | 8,991 | 209,948 | |||
Loomis AB | 9,084 | 284,348 | |||
Lundin Energy AB (c) | 24,477 | 866,640 | |||
Mekonomen AB (b) | 8,779 | 145,151 | |||
MIPS AB | 4,306 | 370,575 | |||
Modern Times Group MTG AB Class B (b) | 12,619 | 171,015 | |||
Munters Group AB (d) | 17,152 | 153,427 | |||
Mycronic AB (c) | 7,989 | 241,198 | |||
NCC AB Class B | 8,969 | 153,221 | |||
New Wave Group AB Class B (b) | 4,848 | 61,563 | |||
Nibe Industrier AB Class B | 175,665 | 1,849,051 | |||
Nobia AB | 16,815 | 143,531 | |||
Nobina AB (d) | 12,721 | 115,576 | |||
Nolato AB Class B | 21,620 | 212,859 | |||
Nordic Entertainment Group AB Class B (b) | 8,794 | 387,661 | |||
Nordnet AB publ | 12,300 | 207,753 | |||
Nyfosa AB | 21,599 | 292,208 | |||
Oncopeptides AB (b) (d) | 5,199 | 56,749 | |||
Pandox AB (b) | 10,139 | 168,822 | |||
Paradox Interactive AB | 5,166 | 108,731 | |||
Peab AB Class B | 20,077 | 248,141 | |||
Platzer Fastigheter Holding AB Class B | 6,400 | 97,136 | |||
PowerCell Sweden AB (b) (c) | 4,167 | 110,069 | |||
Ratos AB Class B | 39,105 | 237,315 | |||
Re:NewCell AB (b) (c) | 2,448 | 50,837 | |||
Resurs Holding AB (d) | 13,518 | 66,830 | |||
Saab AB Class B | 8,711 | 231,318 | |||
Sagax AB Class B | 18,019 | 535,588 | |||
Sagax AB Class D | 13,000 | 50,543 | |||
Samhallsbyggnadsbolaget i Norden AB (c) | 99,213 | 416,010 | |||
Samhallsbyggnadsbolaget i Norden AB Class D | 13,235 | 45,096 | |||
Sandvik AB | 140,507 | 3,591,475 | |||
SAS AB (b) (c) | 395,212 | 97,045 | |||
Scandi Standard AB | 10,379 | 69,540 | |||
Scandic Hotels Group AB (b) (c) (d) | 16,583 | 64,822 | |||
Sdiptech AB Class B (b) | 2,220 | 113,308 | |||
Securitas AB Class B | 37,434 | 591,352 | |||
Sedana Medical AB (b) | 5,912 | 49,358 | |||
Sinch AB (b) (d) | 61,850 | 1,041,422 | |||
Skandinaviska Enskilda Banken AB Class A | 204,291 | 2,640,783 | |||
Skanska AB Class B | 40,735 | 1,081,230 | |||
SKF AB Class B | 45,613 | 1,162,172 | |||
SkiStar AB (b) | 6,323 | 105,431 | |||
SSAB AB Class A (b) | 51,377 | 251,594 | |||
SSAB AB Class B (b) | 67,591 | 295,824 |
Security Description | Shares | Value | |||
Stillfront Group AB (b) | 37,153 | $ 357,318 | |||
Storytel AB (b) | 6,381 | 165,640 | |||
Svenska Cellulosa AB SCA Class B | 72,432 | 1,187,840 | |||
Svenska Handelsbanken AB Class A | 186,000 | 2,100,075 | |||
Svolder AB Class B | 2,235 | 63,139 | |||
Sweco AB Class B | 22,859 | 416,170 | |||
Swedbank AB Class A | 111,594 | 2,077,867 | |||
SwedenCare AB | 7,000 | 94,128 | |||
Swedish Match AB | 199,873 | 1,705,622 | |||
Swedish Orphan Biovitrum AB (b) | 22,376 | 408,292 | |||
Tele2 AB Class B (c) | 60,435 | 823,971 | |||
Telefonaktiebolaget LM Ericsson Class B | 361,094 | 4,541,463 | |||
Telia Co. AB | 327,568 | 1,454,726 | |||
Thule Group AB (d) | 12,521 | 555,471 | |||
Tobii AB (b) | 20,023 | 155,110 | |||
Trelleborg AB Class B | 29,000 | 673,784 | |||
Troax Group AB | 7,112 | 232,433 | |||
Vitrolife AB | 7,799 | 324,284 | |||
Volvo AB Class A | 24,675 | 612,248 | |||
Volvo AB Class B (c) | 176,576 | 4,251,212 | |||
Wallenstam AB Class B | 18,651 | 295,288 | |||
Wihlborgs Fastigheter AB | 17,047 | 370,156 | |||
Xvivo Perfusion AB (b) | 4,152 | 169,922 | |||
101,729,894 | |||||
SWITZERLAND — 5.4% | |||||
ABB, Ltd. | 224,420 | 7,621,078 | |||
Adecco Group AG | 19,206 | 1,306,095 | |||
Alcon, Inc. | 61,931 | 4,340,228 | |||
Allreal Holding AG | 1,651 | 325,431 | |||
ALSO Holding AG | 874 | 251,984 | |||
APG SGA SA (b) | 139 | 34,135 | |||
Arbonia AG | 6,222 | 119,008 | |||
Aryzta AG (b) | 102,583 | 140,055 | |||
Ascom Holding AG (b) | 3,750 | 61,990 | |||
Autoneum Holding AG (b) | 289 | 53,995 | |||
Bachem Holding AG Class B | 593 | 351,559 | |||
Baloise Holding AG | 5,597 | 873,746 | |||
Banque Cantonale Vaudoise | 3,466 | 311,597 | |||
Barry Callebaut AG | 440 | 1,023,422 | |||
Basilea Pharmaceutica AG (c) | 1,356 | 66,307 | |||
Belimo Holding AG | 1,140 | 521,686 | |||
Bell Food Group AG | 199 | 61,034 | |||
BKW AG | 2,430 | 253,161 | |||
Bobst Group SA (b) | 1,422 | 113,840 | |||
Bossard Holding AG Class A | 975 | 297,980 | |||
Bucher Industries AG | 786 | 411,388 |
Security Description | Shares | Value | |||
Burckhardt Compression Holding AG (c) | 438 | $ 177,456 | |||
Burkhalter Holding AG | 433 | 31,385 | |||
Bystronic AG | 173 | 233,948 | |||
Cembra Money Bank AG | 3,472 | 389,513 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 128 | 1,274,669 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 13 | 1,362,796 | |||
Cie Financiere Richemont SA | 64,695 | 7,835,349 | |||
Clariant AG | 26,741 | 532,303 | |||
Coltene Holding AG | 945 | 128,201 | |||
Comet Holding AG | 901 | 248,071 | |||
Credit Suisse Group AG | 301,108 | 3,157,179 | |||
Daetwyler Holding AG | 907 | 306,634 | |||
DKSH Holding AG | 3,979 | 304,769 | |||
dormakaba Holding AG | 543 | 370,381 | |||
Dufry AG (b) | 6,992 | 414,520 | |||
EFG International AG | 8,065 | 66,223 | |||
Emmi AG | 283 | 290,547 | |||
EMS-Chemie Holding AG | 993 | 976,510 | |||
Flughafen Zurich AG (b) | 2,631 | 435,488 | |||
Forbo Holding AG | 145 | 274,831 | |||
Galenica AG (d) | 6,197 | 437,782 | |||
GAM Holding AG (b) | 19,107 | 41,548 | |||
Geberit AG | 4,642 | 3,485,204 | |||
Georg Fischer AG | 577 | 857,057 | |||
Givaudan SA | 1,135 | 5,283,610 | |||
Gurit Holding AG | 85 | 185,752 | |||
Helvetia Holding AG | 4,633 | 498,711 | |||
Holcim, Ltd. (e) | 56,748 | 3,407,274 | |||
Holcim, Ltd. (e) | 8,321 | 498,328 | |||
Huber + Suhner AG | 1,498 | 126,569 | |||
Idorsia, Ltd. (b) (c) | 13,857 | 381,373 | |||
Implenia AG (b) | 1,966 | 51,216 | |||
Inficon Holding AG | 220 | 254,665 | |||
Interroll Holding AG | 79 | 313,658 | |||
Intershop Holding AG | 132 | 86,824 | |||
IWG PLC (b) | 86,804 | 360,466 | |||
Julius Baer Group, Ltd. | 28,702 | 1,874,860 | |||
Kardex Holding AG | 794 | 183,822 | |||
Komax Holding AG (b) | 565 | 142,786 | |||
Kuehne + Nagel International AG | 6,898 | 2,362,641 | |||
Landis+Gyr Group AG | 2,261 | 158,014 | |||
LEM Holding SA | 58 | 121,729 | |||
Leonteq AG | 942 | 56,356 | |||
Logitech International SA | 21,454 | 2,601,821 | |||
Lonza Group AG | 9,229 | 6,547,713 | |||
Medacta Group SA (b) (d) | 1,306 | 171,524 | |||
Medartis Holding AG (b) (d) | 425 | 39,219 | |||
Mediclinic International PLC (b) | 45,822 | 188,130 | |||
Metall Zug AG Class B | 20 | 45,005 |
Security Description | Shares | Value | |||
Meyer Burger Technology AG (b) | 231,890 | $ 142,869 | |||
Mobilezone Holding AG | 8,564 | 100,802 | |||
Mobimo Holding AG | 878 | 288,756 | |||
Molecular Partners AG (b) (c) | 1,967 | 40,091 | |||
Nestle SA | 357,062 | 44,507,690 | |||
Novartis AG | 275,183 | 25,102,429 | |||
OC Oerlikon Corp. AG | 26,781 | 297,261 | |||
Orior AG | 1,109 | 100,300 | |||
Partners Group Holding AG | 2,813 | 4,265,072 | |||
Peach Property Group AG | 938 | 55,812 | |||
PSP Swiss Property AG | 6,151 | 781,893 | |||
Relief Therapeutics Holding, Inc. (b) (c) | 195,898 | 42,386 | |||
Rieter Holding AG (b) | 687 | 134,375 | |||
Roche Holding AG Bearer Shares | 4,186 | 1,701,843 | |||
Roche Holding AG | 87,073 | 32,833,120 | |||
Schindler Holding AG (e) | 5,046 | 1,544,889 | |||
Schindler Holding AG (e) | 2,812 | 822,594 | |||
Schweiter Technologies AG | 124 | 181,905 | |||
Sensirion Holding AG (b) (d) | 883 | 70,881 | |||
SFS Group AG | 2,234 | 321,681 | |||
SGS SA | 769 | 2,374,345 | |||
Siegfried Holding AG (b) | 451 | 423,262 | |||
SIG Combibloc Group AG | 43,328 | 1,178,413 | |||
Sika AG | 17,572 | 5,750,560 | |||
Sonova Holding AG | 7,015 | 2,641,013 | |||
St Galler Kantonalbank AG | 309 | 137,393 | |||
Stadler Rail AG (c) | 5,519 | 242,887 | |||
STMicroelectronics NV | 84,209 | 3,056,323 | |||
Straumann Holding AG | 1,333 | 2,127,089 | |||
Sulzer AG | 2,169 | 299,884 | |||
Swatch Group AG (e) | 3,502 | 1,202,504 | |||
Swatch Group AG (e) | 6,411 | 423,424 | |||
Swiss Life Holding AG | 3,892 | 1,893,053 | |||
Swiss Prime Site AG | 9,245 | 918,149 | |||
Swiss Steel Holding AG (b) | 113,731 | 55,368 | |||
Swisscom AG | 3,330 | 1,902,857 | |||
Swissquote Group Holding SA | 1,366 | 206,596 | |||
Tecan Group AG | 1,488 | 737,923 | |||
Temenos AG | 8,804 | 1,415,345 | |||
TX Group AG (b) | 274 | 25,463 | |||
u-blox Holding AG | 976 | 71,800 | |||
UBS Group AG | 454,365 | 6,960,360 | |||
Valiant Holding AG | 1,670 | 165,672 | |||
Valora Holding AG (b) | 403 | 84,842 | |||
VAT Group AG (d) | 3,293 | 1,095,826 |
Security Description | Shares | Value | |||
Vetropack Holding AG | 2,150 | $ 129,789 | |||
Vifor Pharma AG | 6,042 | 782,744 | |||
Vontobel Holding AG | 3,766 | 293,751 | |||
VZ Holding AG | 1,500 | 127,225 | |||
V-ZUG Holding AG (b) | 233 | 35,895 | |||
Ypsomed Holding AG (c) | 343 | 53,509 | |||
Zehnder Group AG | 1,784 | 170,226 | |||
Zur Rose Group AG (b) | 1,188 | 455,613 | |||
Zurich Insurance Group AG | 18,553 | 7,450,504 | |||
226,340,405 | |||||
TAIWAN — 4.3% | |||||
AcBel Polytech, Inc. | 136,000 | 126,909 | |||
Accton Technology Corp. | 61,000 | 723,571 | |||
Acer, Inc. | 349,000 | 367,006 | |||
ADATA Technology Co., Ltd. | 43,000 | 172,077 | |||
Adimmune Corp. (b) | 32,000 | 61,559 | |||
Advanced Ceramic X Corp. | 8,000 | 144,998 | |||
Advanced Wireless Semiconductor Co. | 14,000 | 78,134 | |||
Advantech Co., Ltd. | 45,514 | 563,565 | |||
Alchip Technologies, Ltd. | 8,000 | 175,433 | |||
AmTRAN Technology Co., Ltd. (b) | 189,000 | 118,030 | |||
Andes Technology Corp. | 4,000 | 72,355 | |||
AP Memory Technology Corp. | 4,000 | 91,018 | |||
Apex International Co., Ltd. | 15,000 | 32,571 | |||
Arcadyan Technology Corp. | 25,487 | 97,420 | |||
Ardentec Corp. | 43,000 | 69,757 | |||
ASE Technology Holding Co., Ltd. | 405,325 | 1,629,301 | |||
Asia Cement Corp. | 263,000 | 478,568 | |||
Asia Optical Co., Inc. (b) | 27,000 | 89,152 | |||
Asia Pacific Telecom Co., Ltd. (b) | 276,000 | 86,279 | |||
Asia Polymer Corp. | 43,000 | 54,015 | |||
Asia Vital Components Co., Ltd. (b) | 29,000 | 83,995 | |||
ASMedia Technology, Inc. | 4,000 | 193,091 | |||
ASPEED Technology, Inc. | 3,000 | 216,420 | |||
Asustek Computer, Inc. (b) | 85,000 | 1,133,333 | |||
AU Optronics Corp. | 1,003,000 | 815,359 | |||
AURAS Technology Co., Ltd. | 7,000 | 47,232 | |||
BES Engineering Corp. | 141,000 | 45,241 | |||
Bizlink Holding, Inc. | 14,000 | 130,139 | |||
Brighton-Best International Taiwan, Inc. (b) | 68,000 | 100,063 |
Security Description | Shares | Value | |||
Capital Securities Corp. | 222,000 | $ 135,052 | |||
Career Technology MFG. Co., Ltd. (b) | 61,200 | 68,531 | |||
Catcher Technology Co., Ltd. | 86,000 | 561,759 | |||
Cathay Financial Holding Co., Ltd. | 966,523 | 1,869,739 | |||
Cathay Real Estate Development Co., Ltd. | 63,000 | 44,770 | |||
Center Laboratories, Inc. | 29,000 | 72,650 | |||
Century Iron & Steel Industrial Co., Ltd. | 13,000 | 62,521 | |||
Chailease Holding Co., Ltd. | 149,079 | 1,083,481 | |||
Chang Hwa Commercial Bank, Ltd. | 626,649 | 363,226 | |||
Chang Wah Electromaterials, Inc. | 39,000 | 46,191 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 165,111 | |||
Charoen Pokphand Enterprise | 17,000 | 49,177 | |||
Cheng Loong Corp. | 121,000 | 210,624 | |||
Cheng Shin Rubber Industry Co., Ltd. | 207,000 | 347,322 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 89,466 | |||
Chicony Electronics Co., Ltd. | 62,491 | 180,324 | |||
Chicony Power Technology Co., Ltd. | 16,000 | 41,576 | |||
Chilisin Electronics Corp. | 24,000 | 86,999 | |||
China Airlines, Ltd. (b) | 434,000 | 296,732 | |||
China Bills Finance Corp. | 81,000 | 47,096 | |||
China Development Financial Holding Corp. | 1,636,000 | 772,127 | |||
China General Plastics Corp. | 137,550 | 186,856 | |||
China Life Insurance Co., Ltd. | 236,670 | 223,823 | |||
China Man-Made Fiber Corp. (b) | 267,000 | 106,369 | |||
China Motor Corp. (b) | 26,000 | 71,666 | |||
China Petrochemical Development Corp. | 396,000 | 198,267 | |||
China Steel Chemical Corp. (b) | 20,000 | 82,189 | |||
China Steel Corp. | 1,443,000 | 2,050,886 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 106,473 | |||
Chipbond Technology Corp. (b) | 67,000 | 173,136 | |||
ChipMOS Techinologies, Inc. | 67,000 | 114,462 | |||
Chong Hong Construction Co., Ltd. | 18,000 | 51,166 | |||
Chroma ATE, Inc. | 38,000 | 261,175 |
Security Description | Shares | Value | |||
Chung Hung Steel Corp. (b) | 220,000 | $ 483,230 | |||
Chung Hwa Pulp Corp. (b) | 235,000 | 242,907 | |||
Chung-Hsin Electric & Machinery Manufacturing Corp. | 34,000 | 61,990 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 70,094 | |||
Chunghwa Telecom Co., Ltd. | 472,000 | 1,931,198 | |||
Cleanaway Co., Ltd. | 14,000 | 83,410 | |||
Clevo Co. | 43,000 | 46,762 | |||
CMC Magnetics Corp. (b) | 128,000 | 46,629 | |||
Compal Electronics, Inc. | 503,000 | 403,483 | |||
Compeq Manufacturing Co., Ltd. | 109,000 | 164,307 | |||
Coretronic Corp. (b) | 42,000 | 92,404 | |||
Co-Tech Development Corp. | 25,000 | 73,127 | |||
CSBC Corp. Taiwan (b) | 62,000 | 61,972 | |||
CTBC Financial Holding Co., Ltd. | 2,246,009 | 1,829,858 | |||
CTCI Corp. (b) | 72,000 | 101,297 | |||
Cub Elecparts, Inc. | 6,000 | 44,468 | |||
Darfon Electronics Corp. | 24,000 | 39,537 | |||
Delta Electronics, Inc. | 241,630 | 2,627,686 | |||
Dynapack International Technology Corp. | 16,000 | 64,029 | |||
E Ink Holdings, Inc. | 99,000 | 265,066 | |||
E.Sun Financial Holding Co., Ltd. | 1,405,909 | 1,327,067 | |||
Eclat Textile Co., Ltd. | 22,182 | 522,257 | |||
Egis Technology, Inc. | 8,000 | 47,088 | |||
EirGenix, Inc. (b) | 18,000 | 95,289 | |||
Elan Microelectronics Corp. | 44,000 | 307,151 | |||
Elite Material Co., Ltd. | 30,000 | 234,724 | |||
Elite Semiconductor Microelectronics Technology, Inc. | 103,000 | 602,566 | |||
eMemory Technology, Inc. | 7,000 | 335,397 | |||
Ennoconn Corp. | 6,000 | 47,160 | |||
ENNOSTAR, Inc. (b) | 74,000 | 208,488 | |||
Episil Holdings, Inc. (b) | 28,000 | 78,686 | |||
Eternal Materials Co., Ltd. | 79,000 | 114,832 | |||
Eva Airways Corp. | 323,121 | 233,679 | |||
Ever Supreme Bio Technology Co., Ltd. (b) | 3,000 | 44,738 | |||
Evergreen International Storage & Transport Corp. | 59,000 | 105,030 | |||
Evergreen Marine Corp. Taiwan, Ltd. (b) | 369,683 | 2,613,820 |
Security Description | Shares | Value | |||
Everlight Electronics Co., Ltd. | 90,000 | $ 170,229 | |||
Far Eastern Department Stores, Ltd. | 83,000 | 67,770 | |||
Far Eastern International Bank | 187,005 | 71,144 | |||
Far Eastern New Century Corp. | 341,620 | 392,350 | |||
Far EasTone Telecommunications Co., Ltd. | 183,000 | 424,291 | |||
Faraday Technology Corp. | 37,000 | 101,057 | |||
Farglory Land Development Co., Ltd. | 25,000 | 47,824 | |||
Feng Hsin Steel Co., Ltd. | 39,000 | 113,798 | |||
Feng TAY Enterprise Co., Ltd. | 53,560 | 470,002 | |||
Firich Enterprises Co., Ltd. (b) | 62,328 | 80,867 | |||
First Financial Holding Co., Ltd. | 1,234,563 | 1,005,817 | |||
Fitipower Integrated Technology, Inc. | 11,000 | 121,400 | |||
FLEXium Interconnect, Inc. | 34,000 | 164,738 | |||
FocalTech Systems Co., Ltd. | 19,000 | 154,114 | |||
Formosa Chemicals & Fibre Corp. | 437,000 | 1,328,449 | |||
Formosa Petrochemical Corp. | 147,000 | 561,884 | |||
Formosa Plastics Corp. | 475,000 | 1,755,944 | |||
Formosa Sumco Technology Corp. | 8,000 | 54,266 | |||
Formosa Taffeta Co., Ltd. | 76,000 | 88,922 | |||
Foxconn Technology Co., Ltd. | 131,180 | 309,324 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 162,638 | |||
Fubon Financial Holding Co., Ltd. | 813,000 | 2,156,328 | |||
Fulgent Sun International Holding Co., Ltd. | 12,000 | 48,668 | |||
Fusheng Precision Co., Ltd. | 9,000 | 67,672 | |||
General Interface Solution Holding, Ltd. | 29,000 | 128,542 | |||
Genius Electronic Optical Co., Ltd. | 8,396 | 169,954 | |||
Getac Technology Corp. | 34,000 | 67,115 | |||
Giant Manufacturing Co., Ltd. | 37,000 | 422,952 | |||
Gigabyte Technology Co., Ltd. | 58,000 | 223,777 | |||
Global Mixed Mode Technology, Inc. | 7,000 | 59,040 | |||
Global Unichip Corp. | 8,000 | 118,582 |
Security Description | Shares | Value | |||
Globalwafers Co., Ltd. | 27,000 | $ 890,552 | |||
Gold Circuit Electronics, Ltd. (b) | 36,000 | 86,439 | |||
Goldsun Building Materials Co., Ltd. | 90,715 | 82,535 | |||
Gourmet Master Co., Ltd. | 10,000 | 61,193 | |||
Grand Pacific Petrochemical (b) | 88,000 | 94,593 | |||
Grape King Bio, Ltd. | 19,000 | 117,631 | |||
Great Wall Enterprise Co., Ltd. | 52,000 | 112,165 | |||
Greatek Electronics, Inc. | 29,000 | 82,017 | |||
Gudeng Precision Industrial Co., Ltd. | 5,375 | 52,086 | |||
Hannstar Board Corp. | 33,000 | 56,377 | |||
HannStar Display Corp. (b) | 325,000 | 257,784 | |||
Highwealth Construction Corp. | 80,190 | 125,627 | |||
Hiwin Technologies Corp. | 33,805 | 479,245 | |||
Holtek Semiconductor, Inc. (b) | 33,000 | 118,439 | |||
Holy Stone Enterprise Co., Ltd. | 18,000 | 93,674 | |||
Hon Hai Precision Industry Co., Ltd. | 1,550,320 | 6,231,883 | |||
Hota Industrial Manufacturing Co., Ltd. (b) | 26,841 | 103,559 | |||
Hotai Finance Co., Ltd. | 18,000 | 56,011 | |||
Hotai Motor Co., Ltd. | 36,000 | 793,324 | |||
Hsin Kuang Steel Co., Ltd. (b) | 28,000 | 80,194 | |||
HTC Corp. (b) | 120,000 | 169,260 | |||
Hua Nan Financial Holdings Co., Ltd. | 1,019,476 | 675,077 | |||
Huaku Development Co., Ltd. | 35,000 | 106,774 | |||
Hung Sheng Construction, Ltd. | 78,080 | 54,505 | |||
IBF Financial Holdings Co., Ltd. | 395,636 | 234,293 | |||
IEI Integration Corp. | 41,000 | 73,428 | |||
Innodisk Corp. | 7,000 | 47,860 | |||
Innolux Corp. | 1,060,000 | 789,412 | |||
International CSRC Investment Holdings Co. | 70,000 | 67,456 | |||
International Games System Co., Ltd. | 9,000 | 271,332 | |||
Inventec Corp. | 291,000 | 274,159 | |||
ITE Technology, Inc. (b) | 18,000 | 78,493 | |||
ITEQ Corp. | 25,188 | 128,822 | |||
Jentech Precision Industrial Co., Ltd. | 6,000 | 65,034 | |||
Jih Sun Financial Holdings Co., Ltd. | 137,000 | 63,675 |
Security Description | Shares | Value | |||
Kenda Rubber Industrial Co., Ltd. | 56,000 | $ 81,400 | |||
Kerry TJ Logistics Co., Ltd. | 23,000 | 57,123 | |||
Kindom Development Co., Ltd. | 33,000 | 46,310 | |||
King Slide Works Co., Ltd. | 5,000 | 70,435 | |||
King Yuan Electronics Co., Ltd. (b) | 119,000 | 191,767 | |||
King's Town Bank Co., Ltd. | 72,000 | 102,977 | |||
Kinpo Electronics | 141,000 | 65,534 | |||
Kinsus Interconnect Technology Corp. | 28,000 | 135,666 | |||
KMC Kuei Meng International, Inc. | 6,000 | 50,283 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 102,629 | |||
Land Mark Optoelectronics Corp. | 8,000 | 76,088 | |||
Largan Precision Co., Ltd. | 13,000 | 1,446,389 | |||
Lien Hwa Industrial Holdings Corp. | 69,600 | 124,899 | |||
Lite-On Technology Corp. | 248,419 | 513,555 | |||
Longchen Paper & Packaging Co., Ltd. | 75,000 | 78,331 | |||
Lotes Co., Ltd. | 8,000 | 167,681 | |||
Machvision, Inc. | 4,000 | 37,183 | |||
Macronix International Co., Ltd. | 215,000 | 352,642 | |||
Makalot Industrial Co., Ltd. | 44,077 | 433,454 | |||
MediaTek, Inc. | 188,000 | 6,491,018 | |||
Medigen Vaccine Biologics Corp. (b) | 15,000 | 132,974 | |||
Medtecs International Corp., Ltd. | 45,200 | 28,750 | |||
Mega Financial Holding Co., Ltd. | 1,330,601 | 1,568,784 | |||
Mercuries Life Insurance Co., Ltd. (b) | 134,000 | 44,919 | |||
Merida Industry Co., Ltd. | 22,000 | 247,142 | |||
Merry Electronics Co., Ltd. | 23,000 | 87,088 | |||
Microbio Co., Ltd. (b) | 32,000 | 70,633 | |||
Micro-Star International Co., Ltd. | 81,000 | 457,874 | |||
Mitac Holdings Corp. | 76,160 | 75,442 | |||
momo.com, Inc. | 5,000 | 338,268 | |||
Motech Industries, Inc. (b) | 37,000 | 46,279 | |||
Namchow Holdings Co., Ltd. | 43,000 | 78,862 | |||
Nan Kang Rubber Tire Co., Ltd. | 67,000 | 92,339 | |||
Nan Ya Plastics Corp. | 641,000 | 1,914,085 |
Security Description | Shares | Value | |||
Nan Ya Printed Circuit Board Corp. | 30,000 | $ 419,381 | |||
Nantex Industry Co., Ltd. | 69,000 | 355,370 | |||
Nanya Technology Corp. | 145,000 | 414,769 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 252,293 | |||
Novatek Microelectronics Corp. | 72,000 | 1,289,475 | |||
Nuvoton Technology Corp. | 18,000 | 51,876 | |||
OBI Pharma, Inc. (b) | 13,000 | 52,956 | |||
Oneness Biotech Co., Ltd. (b) | 25,000 | 208,165 | |||
Oriental Union Chemical Corp. | 62,000 | 48,955 | |||
Pan Jit International, Inc. | 62,000 | 191,813 | |||
Pan-International Industrial Corp. | 108,000 | 154,272 | |||
PChome Online, Inc. | 17,000 | 66,810 | |||
Pegatron Corp. | 230,000 | 567,932 | |||
Pegavision Corp. | 3,000 | 65,034 | |||
PharmaEssentia Corp. (b) | 20,386 | 63,508 | |||
Phison Electronics Corp. | 22,000 | 379,004 | |||
Pixart Imaging, Inc. | 12,000 | 84,630 | |||
Pou Chen Corp. | 277,000 | 390,708 | |||
Powertech Technology, Inc. | 87,000 | 335,666 | |||
Poya International Co., Ltd. (b) | 5,000 | 97,443 | |||
President Chain Store Corp. | 70,000 | 660,745 | |||
President Securities Corp. | 83,000 | 79,686 | |||
Primax Electronics, Ltd. | 35,000 | 71,602 | |||
Prince Housing & Development Corp. | 113,000 | 48,262 | |||
Qisda Corp. | 171,000 | 189,028 | |||
Quanta Computer, Inc. | 348,000 | 1,092,867 | |||
Radiant Opto-Electronics Corp. | 45,000 | 196,232 | |||
Radium Life Tech Co., Ltd. | 184,000 | 72,312 | |||
Realtek Semiconductor Corp. | 59,000 | 1,069,358 | |||
Rexon Industrial Corp., Ltd. | 15,000 | 42,476 | |||
RichWave Technology Corp. | 9,000 | 156,501 | |||
Ruentex Development Co., Ltd. | 116,041 | 235,726 | |||
Ruentex Industries, Ltd. | 47,400 | 149,536 | |||
Run Long Construction Co., Ltd. | 20,000 | 40,915 | |||
Sanyang Motor Co., Ltd. | 55,000 | 59,614 | |||
SDI Corp. | 35,000 | 157,649 | |||
Sea, Ltd. ADR (b) | 1,900 | 521,740 |
Security Description | Shares | Value | |||
Sensortek Technology Corp. | 2,000 | $ 50,247 | |||
Sercomm Corp. | 27,000 | 66,670 | |||
Shanghai Commercial & Savings Bank, Ltd. | 423,649 | 688,026 | |||
Shin Kong Financial Holding Co., Ltd. | 1,329,988 | 454,905 | |||
Shin Zu Shing Co., Ltd. (b) | 18,742 | 78,701 | |||
Shining Building Business Co., Ltd. (b) | 188,000 | 80,632 | |||
Shinkong Synthetic Fibers Corp. | 122,000 | 99,614 | |||
Sigurd Microelectronics Corp. (b) | 67,078 | 134,818 | |||
Simplo Technology Co., Ltd. | 21,000 | 270,579 | |||
Sinbon Electronics Co., Ltd. | 27,000 | 265,518 | |||
Sino-American Silicon Products, Inc. | 59,000 | 408,686 | |||
SinoPac Financial Holdings Co., Ltd. (b) | 1,182,281 | 583,450 | |||
Sitronix Technology Corp. | 12,000 | 134,805 | |||
Soft-World International Corp. | 32,000 | 120,018 | |||
Solar Applied Materials Technology Co. | 42,205 | 70,361 | |||
Sonix Technology Co., Ltd. | 17,000 | 57,353 | |||
Sporton International, Inc. | 11,000 | 94,751 | |||
St Shine Optical Co., Ltd. | 6,000 | 73,432 | |||
Standard Foods Corp. | 51,417 | 99,835 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 60,296 | |||
Sunonwealth Electric Machine Industry Co., Ltd. | 23,000 | 37,312 | |||
Sunplus Technology Co., Ltd. | 58,000 | 66,092 | |||
Supreme Electronics Co., Ltd. | 134,893 | 194,866 | |||
Swancor Holding Co., Ltd. | 8,000 | 35,173 | |||
Syncmold Enterprise Corp. | 28,000 | 83,812 | |||
Synnex Technology International Corp. | 154,550 | 282,336 | |||
Systex Corp. | 16,000 | 51,912 | |||
TA Chen Stainless Pipe | 208,420 | 445,078 | |||
Taichung Commercial Bank Co., Ltd. | 240,356 | 100,067 | |||
TaiDoc Technology Corp. (b) | 5,000 | 40,915 |
Security Description | Shares | Value | |||
Taigen Biopharmaceuticals Holdings, Ltd. (b) | 126,000 | $ 85,696 | |||
TaiMed Biologics, Inc. (b) | 15,000 | 35,693 | |||
Tainan Spinning Co., Ltd. | 115,000 | 121,965 | |||
Taishin Financial Holding Co., Ltd. | 1,185,330 | 648,767 | |||
Taiwan Business Bank | 713,232 | 241,904 | |||
Taiwan Cement Corp. | 588,504 | 1,077,208 | |||
Taiwan Cogeneration Corp. | 134,000 | 186,121 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,160,182 | 884,840 | |||
Taiwan Fertilizer Co., Ltd. | 111,000 | 234,649 | |||
Taiwan Glass Industry Corp. (b) | 109,000 | 146,311 | |||
Taiwan High Speed Rail Corp. | 226,000 | 242,527 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 278,758 | |||
Taiwan Mask Corp. | 23,000 | 69,010 | |||
Taiwan Mobile Co., Ltd. | 200,000 | 732,167 | |||
Taiwan Paiho, Ltd. | 32,000 | 117,147 | |||
Taiwan Secom Co., Ltd. (b) | 24,000 | 81,055 | |||
Taiwan Semiconductor Co., Ltd. | 23,000 | 55,390 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,061,000 | 65,367,250 | |||
Taiwan Shin Kong Security Co., Ltd. | 33,000 | 46,073 | |||
Taiwan Styrene Monomer | 154,000 | 119,386 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 130,283 | |||
Taiwan TEA Corp. (b) | 161,000 | 127,124 | |||
Taiwan Union Technology Corp. | 21,000 | 87,806 | |||
Tanvex BioPharma, Inc. (b) | 15,000 | 31,171 | |||
TCI Co., Ltd. | 7,000 | 64,567 | |||
Teco Electric and Machinery Co., Ltd. | 191,000 | 227,589 | |||
Test Research, Inc. | 44,000 | 94,119 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 185,698 | |||
Ton Yi Industrial Corp. (b) | 184,000 | 103,681 | |||
Tong Hsing Electronic Industries, Ltd. | 13,599 | 103,716 | |||
Tong Yang Industry Co., Ltd. | 58,000 | 75,148 | |||
Topco Scientific Co., Ltd. | 22,000 | 98,699 | |||
Topkey Corp. | 8,000 | 45,079 | |||
TPK Holding Co., Ltd. (b) | 33,000 | 55,192 | |||
Transcend Information, Inc. | 21,000 | 55,699 | |||
Tripod Technology Corp. | 44,000 | 213,190 |
Security Description | Shares | Value | |||
TSEC Corp. (b) | 40,000 | $ 50,103 | |||
TSRC Corp. | 58,000 | 74,835 | |||
TTY Biopharm Co., Ltd. | 22,000 | 68,852 | |||
Tung Ho Steel Enterprise Corp. | 68,000 | 128,129 | |||
Tung Thih Electronic Co., Ltd. (b) | 8,000 | 73,504 | |||
TXC Corp. | 39,000 | 176,366 | |||
U-Ming Marine Transport Corp. | 67,000 | 214,256 | |||
Unimicron Technology Corp. | 145,000 | 671,332 | |||
Union Bank Of Taiwan | 158,000 | 66,347 | |||
Uni-President Enterprises Corp. | 590,880 | 1,552,352 | |||
Unitech Printed Circuit Board Corp. | 61,000 | 48,275 | |||
United Integrated Services Co., Ltd. | 18,000 | 137,281 | |||
United Microelectronics Corp. | 1,443,000 | 2,750,051 | |||
United Renewable Energy Co., Ltd. (b) | 273,450 | 128,567 | |||
Universal Vision Biotechnology Co., Ltd. | 5,000 | 61,911 | |||
UPC Technology Corp. | 80,000 | 78,098 | |||
USI Corp. | 244,000 | 324,895 | |||
Vanguard International Semiconductor Corp. | 105,000 | 444,684 | |||
Via Technologies, Inc. (b) | 23,000 | 46,722 | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | 96,187 | |||
Voltronic Power Technology Corp. | 7,200 | 347,564 | |||
Wafer Works Corp. | 50,000 | 109,646 | |||
Wah Lee Industrial Corp. | 18,000 | 53,168 | |||
Walsin Lihwa Corp. | 328,000 | 344,922 | |||
Walsin Technology Corp. | 34,000 | 277,613 | |||
Wan Hai Lines, Ltd. | 68,000 | 783,419 | |||
Win Semiconductors Corp. | 39,000 | 524,899 | |||
Winbond Electronics Corp. | 403,000 | 504,066 | |||
Wisdom Marine Lines Co., Ltd. | 48,000 | 190,363 | |||
Wistron Corp. | 341,842 | 380,336 | |||
Wistron NeWeb Corp. | 36,000 | 98,197 | |||
Wiwynn Corp. | 9,000 | 322,046 | |||
WPG Holdings, Ltd. | 191,480 | 351,176 | |||
WT Microelectronics Co., Ltd. | 37,000 | 71,311 | |||
XinTec, Inc. (b) | 17,000 | 103,114 | |||
Xxentria Technology Materials Corp. | 32,000 | 84,070 | |||
Yageo Corp. | 43,962 | 875,690 | |||
Yang Ming Marine Transport Corp. (b) | 192,000 | 1,257,604 |
Security Description | Shares | Value | |||
YC INOX Co., Ltd. | 86,531 | $ 133,543 | |||
YFY, Inc. | 119,000 | 195,184 | |||
Yieh Phui Enterprise Co., Ltd. (b) | 104,000 | 124,109 | |||
Yuanta Financial Holding Co., Ltd. (b) | 1,187,142 | 1,144,002 | |||
Yulon Finance Corp. | 22,000 | 112,517 | |||
Yulon Motor Co., Ltd. (b) | 71,205 | 108,868 | |||
Zhen Ding Technology Holding, Ltd. | 82,000 | 309,018 | |||
177,896,567 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.0% (a) | |||||
AngloGold Ashanti, Ltd. | 50,106 | 931,639 | |||
THAILAND — 0.5% | |||||
Advanced Info Service PCL | 143,000 | 762,964 | |||
AEON Thana Sinsap Thailand PCL | 10,400 | 61,654 | |||
Airports of Thailand PCL | 509,100 | 984,842 | |||
Amata Corp. PCL | 98,300 | 56,128 | |||
AP Thailand PCL | 621,274 | 161,861 | |||
Asia Aviation PCL NVDR (b) (c) | 705,600 | 62,084 | |||
Asset World Corp. PCL (b) | 914,400 | 123,822 | |||
B Grimm Power PCL | 246,100 | 322,502 | |||
Bangchak Corp. PCL | 98,500 | 75,911 | |||
Bangkok Bank PCL | 75,496 | 266,179 | |||
Bangkok Chain Hospital PCL | 162,000 | 117,267 | |||
Bangkok Commercial Asset Management PCL | 166,700 | 96,743 | |||
Bangkok Dusit Medical Services PCL Class F | 1,078,800 | 774,178 | |||
Bangkok Expressway & Metro PCL | 782,100 | 198,880 | |||
Bangkok Land PCL | 1,469,600 | 50,439 | |||
Bangkok Life Assurance PCL NVDR | 60,300 | 55,032 | |||
Banpu PCL (c) | 751,400 | 365,736 | |||
Banpu Power PCL | 91,700 | 50,929 | |||
Berli Jucker PCL | 104,700 | 113,520 | |||
BTS Group Holdings PCL | 909,400 | 265,301 | |||
Bumrungrad Hospital PCL | 69,400 | 278,250 | |||
Central Pattana PCL | 281,500 | 461,115 | |||
Central Plaza Hotel PCL (b) | 56,800 | 58,484 | |||
Central Retail Corp. PCL | 184,325 | 192,664 | |||
CH Karnchang PCL | 146,300 | 85,817 | |||
Charoen Pokphand Foods PCL | 521,300 | 431,028 |
Security Description | Shares | Value | |||
Chularat Hospital PCL Class F | 887,900 | $ 110,260 | |||
Com7 PCL Class F | 84,500 | 183,896 | |||
CP ALL PCL | 695,900 | 1,302,777 | |||
Delta Electronics Thailand PCL | 33,600 | 605,953 | |||
Dohome PCL | 84,600 | 66,651 | |||
Eastern Polymer Group PCL Class F | 280,400 | 96,237 | |||
Electricity Generating PCL | 29,200 | 159,438 | |||
Energy Absolute PCL | 170,713 | 324,914 | |||
GFPT PCL | 131,000 | 47,005 | |||
Global Power Synergy PCL Class F | 74,500 | 169,688 | |||
Gulf Energy Development PCL | 352,620 | 376,825 | |||
Gunkul Engineering PCL | 705,600 | 103,914 | |||
Hana Microelectronics PCL | 82,100 | 182,516 | |||
Home Product Center PCL | 711,300 | 319,586 | |||
Indorama Ventures PCL | 175,900 | 223,648 | |||
Intouch Holdings PCL Class F | 294,500 | 597,270 | |||
IRPC PCL | 971,500 | 116,398 | |||
Jasmine International PCL | 363,100 | 32,855 | |||
Jay Mart PCL | 49,300 | 52,300 | |||
JMT Network Services PCL Class F | 46,900 | 63,655 | |||
KCE Electronics PCL | 77,000 | 184,992 | |||
Kiatnakin Phatra Bank PCL | 25,400 | 44,183 | |||
Krung Thai Bank PCL | 364,900 | 121,823 | |||
Krungthai Card PCL | 93,000 | 194,415 | |||
Land & Houses PCL | 855,300 | 212,157 | |||
Major Cineplex Group PCL (b) | 75,245 | 55,876 | |||
MBK PCL (b) | 118,664 | 49,613 | |||
Minor International PCL (b) | 367,650 | 344,134 | |||
MK Restaurants Group PCL | 80,900 | 131,888 | |||
Muangthai Capital PCL | 89,200 | 160,031 | |||
Origin Property PCL Class F | 286,100 | 79,447 | |||
Osotspa PCL | 84,700 | 99,764 | |||
Plan B Media PCL Class F | 267,000 | 51,651 | |||
PTG Energy PCL | 109,300 | 63,090 | |||
PTT Exploration & Production PCL | 167,000 | 609,641 | |||
PTT Global Chemical PCL | 293,100 | 539,560 | |||
PTT Oil & Retail Business PCL | 348,900 | 332,026 | |||
PTT PCL | 1,373,300 | 1,681,810 |
Security Description | Shares | Value | |||
Quality Houses PCL | 981,000 | $ 69,787 | |||
Ratch Group PCL | 95,900 | 136,893 | |||
Ratchthani Leasing PCL | 447,000 | 68,340 | |||
Sansiri PCL | 1,966,900 | 81,622 | |||
SCG Packaging PCL | 115,700 | 223,819 | |||
Siam Cement PCL | 93,465 | 1,259,809 | |||
Siam Commercial Bank PCL | 191,100 | 584,331 | |||
Siamgas & Petrochemicals PCL (c) | 242,200 | 86,905 | |||
Singha Estate PCL (b) | 705,600 | 45,792 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 44,343 | |||
SPCG PCL | 112,855 | 66,199 | |||
Sri Trang Agro-Industry PCL | 86,400 | 109,179 | |||
Sri Trang Gloves Thailand PCL | 169,000 | 220,148 | |||
Srisawad Corp. PCL | 84,900 | 182,118 | |||
Star Petroleum Refining PCL (b) | 208,500 | 63,103 | |||
Supalai PCL | 161,300 | 103,675 | |||
Super Energy Corp. PCL | 3,551,400 | 103,052 | |||
Thai Oil PCL | 117,200 | 199,295 | |||
Thai Union Group PCL Class F | 372,800 | 230,310 | |||
Thai Vegetable Oil PCL | 83,600 | 85,426 | |||
Thonburi Healthcare Group PCL | 111,000 | 96,108 | |||
Tipco Asphalt PCL | 85,400 | 51,160 | |||
Tisco Financial Group PCL | 54,200 | 149,663 | |||
TQM Corp. PCL | 18,600 | 70,512 | |||
True Corp. PCL (c) | 1,001,312 | 99,350 | |||
TTW PCL | 175,800 | 64,177 | |||
VGI PCL | 744,300 | 140,500 | |||
Vinythai PCL | 85,300 | 99,805 | |||
WHA Corp. PCL | 1,082,500 | 108,081 | |||
21,408,719 | |||||
TURKEY — 0.1% | |||||
Akbank T.A.S. | 288,939 | 175,608 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | 58,984 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 88,368 | 149,730 | |||
BIM Birlesik Magazalar A/S | 61,724 | 441,571 | |||
Coca-Cola Icecek A/S | 7,067 | 63,247 | |||
Eldorado Gold Corp. (b) | 21,500 | 213,733 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 158,361 | 34,088 | |||
Eregli Demir ve Celik Fabrikalari TAS | 122,270 | 253,336 | |||
Ford Otomotiv Sanayi A/S | 6,094 | 119,390 |
Security Description | Shares | Value | |||
Haci Omer Sabanci Holding A/S | 140,790 | $ 144,072 | |||
KOC Holding A/S | 71,562 | 150,991 | |||
Koza Altin Isletmeleri A/S (b) | 8,941 | 120,517 | |||
Migros Ticaret A/S (b) | 17,677 | 66,130 | |||
Petkim Petrokimya Holding A/S (b) | 532,531 | 320,591 | |||
TAV Havalimanlari Holding A/S (b) | 12,185 | 33,269 | |||
Tekfen Holding A/S | 45,605 | 77,273 | |||
Turk Hava Yollari AO (b) | 85,741 | 131,955 | |||
Turkcell Iletisim Hizmetleri A/S | 100,945 | 187,075 | |||
Turkiye Garanti Bankasi A/S | 329,673 | 314,968 | |||
Turkiye Is Bankasi A/S Class C | 164,039 | 96,299 | |||
Turkiye Petrol Rafinerileri AS (b) | 12,883 | 140,508 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 117,520 | 103,350 | |||
Ulker Biskuvi Sanayi A/S | 14,252 | 34,024 | |||
Yapi ve Kredi Bankasi A/S | 273,794 | 68,074 | |||
3,498,783 | |||||
UKRAINE — 0.0% | |||||
Ferrexpo PLC | 48,387 | 285,960 | |||
UNITED ARAB EMIRATES — 0.2% | |||||
Abu Dhabi Commercial Bank PJSC | 319,582 | 597,724 | |||
Abu Dhabi Islamic Bank PJSC | 166,833 | 248,899 | |||
Abu Dhabi National Oil Co. for Distribution PJSC | 237,788 | 280,310 | |||
Air Arabia PJSC (b) | 303,107 | 109,751 | |||
Aldar Properties PJSC | 442,425 | 460,113 | |||
Amanat Holdings PJSC (b) | 296,164 | 77,404 | |||
Dana Gas PJSC | 290,758 | 66,097 | |||
Dubai Investments PJSC | 239,259 | 110,733 | |||
Dubai Islamic Bank PJSC | 207,874 | 272,777 | |||
Emaar Development PJSC (b) | 40,037 | 40,330 | |||
Emaar Properties PJSC | 402,874 | 456,272 | |||
Emirates NBD Bank PJSC | 290,148 | 1,046,639 | |||
Emirates Telecommunications Group Co. PJSC | 198,593 | 1,189,455 | |||
First Abu Dhabi Bank PJSC | 514,263 | 2,338,100 | |||
National Central Cooling Co. PJSC | 150,191 | 115,307 |
Security Description | Shares | Value | |||
Network International Holdings PLC (b) (d) | 53,799 | $ 271,791 | |||
7,681,702 | |||||
UNITED KINGDOM — 7.6% | |||||
3i Group PLC | 123,304 | 1,998,069 | |||
888 Holdings PLC | 47,272 | 250,636 | |||
A.G. Barr PLC (b) | 16,160 | 115,640 | |||
AB Dynamics PLC (c) | 2,636 | 74,651 | |||
Abcam PLC (b) | 25,971 | 495,470 | |||
Admiral Group PLC | 23,271 | 1,010,725 | |||
Advanced Medical Solutions Group PLC | 26,844 | 105,318 | |||
Aggreko PLC | 28,324 | 337,285 | |||
Airtel Africa PLC (d) | 81,639 | 86,897 | |||
AJ Bell PLC | 33,041 | 198,006 | |||
Alliance Pharma PLC | 64,517 | 88,414 | |||
Alpha FX Group PLC | 2,831 | 60,032 | |||
AO World PLC (b) | 26,609 | 93,000 | |||
Argo Blockchain PLC (b) | 44,352 | 74,137 | |||
Arrow Global Group PLC (b) | 19,524 | 82,398 | |||
Ascential PLC (b) | 41,671 | 239,476 | |||
Ashmore Group PLC | 56,656 | 301,330 | |||
Ashtead Group PLC | 55,367 | 4,102,749 | |||
ASOS PLC (b) | 9,035 | 619,078 | |||
Associated British Foods PLC | 43,900 | 1,343,908 | |||
Assura PLC REIT | 355,578 | 363,743 | |||
Aston Martin Lagonda Global Holdings PLC (b) (d) | 7,558 | 196,030 | |||
AstraZeneca PLC | 163,117 | 19,566,099 | |||
Auction Technology Group PLC (b) | 6,115 | 97,316 | |||
Auto Trader Group PLC (b) (d) | 127,495 | 1,115,595 | |||
Avacta Group PLC (b) | 27,428 | 66,914 | |||
AVEVA Group PLC | 13,975 | 715,858 | |||
Aviva PLC | 490,394 | 2,749,789 | |||
Avon Rubber PLC | 3,300 | 119,258 | |||
B&M European Value Retail SA | 110,144 | 872,172 | |||
Babcock International Group PLC (b) | 22,867 | 91,610 | |||
BAE Systems PLC | 401,286 | 2,893,741 | |||
Balfour Beatty PLC | 75,884 | 321,409 | |||
Bank of Georgia Group PLC (b) | 5,714 | 106,090 | |||
Barclays PLC | 2,157,274 | 5,099,661 | |||
Barratt Developments PLC | 122,877 | 1,180,091 | |||
Beazley PLC (b) | 65,010 | 298,522 | |||
Bellway PLC | 15,328 | 686,066 | |||
Berkeley Group Holdings PLC | 16,479 | 1,046,048 | |||
Biffa PLC (b) (d) | 34,869 | 156,552 |
Security Description | Shares | Value | |||
Big Yellow Group PLC REIT | 20,589 | $ 371,746 | |||
Blue Prism Group PLC (b) (c) | 8,409 | 94,095 | |||
BMO Commercial Property Trust REIT | 74,028 | 92,653 | |||
Bodycote PLC | 21,971 | 256,928 | |||
boohoo Group PLC (b) | 126,459 | 542,259 | |||
BP PLC | 2,528,368 | 11,002,365 | |||
Breedon Group PLC (b) | 164,941 | 245,631 | |||
Brewin Dolphin Holdings PLC | 34,485 | 165,547 | |||
British American Tobacco PLC | 281,613 | 10,892,961 | |||
British Land Co. PLC REIT | 108,042 | 738,661 | |||
Britvic PLC | 30,709 | 397,503 | |||
BT Group PLC (b) | 1,099,862 | 2,947,645 | |||
Bunzl PLC | 40,664 | 1,342,028 | |||
Burberry Group PLC (b) | 50,301 | 1,435,629 | |||
Bytes Technology Group PLC (b) | 26,358 | 168,589 | |||
Cairn Energy PLC | 47,612 | 95,832 | |||
Capita PLC (b) | 140,018 | 72,168 | |||
Capital & Counties Properties PLC REIT (b) | 83,250 | 185,504 | |||
Central Asia Metals PLC | 16,997 | 55,884 | |||
Centrica PLC (b) | 670,057 | 476,340 | |||
Ceres Power Holdings PLC (b) | 9,864 | 144,033 | |||
Chemring Group PLC | 34,596 | 137,404 | |||
Civitas Social Housing PLC REIT | 94,438 | 150,552 | |||
CK Hutchison Holdings, Ltd. | 339,524 | 2,645,068 | |||
Clinigen Healthcare, Ltd. | 15,294 | 130,782 | |||
Clipper Logistics PLC | 7,177 | 79,813 | |||
Close Brothers Group PLC | 17,414 | 364,457 | |||
CLS Holdings PLC | 22,420 | 74,488 | |||
CMC Markets PLC (d) | 21,347 | 135,653 | |||
CNH Industrial NV | 130,633 | 2,157,230 | |||
Coats Group PLC | 149,632 | 140,769 | |||
Coca-Cola Europacific Partners PLC (e) | 11,838 | 695,477 | |||
Coca-Cola European Partners PLC (e) | 13,700 | 812,684 | |||
Compass Group PLC (b) | 221,667 | 4,660,698 | |||
Computacenter PLC | 7,930 | 281,760 | |||
ContourGlobal PLC (d) | 21,412 | 57,089 | |||
ConvaTec Group PLC (d) | 189,146 | 628,678 | |||
Countryside Properties PLC (b) (d) | 72,392 | 472,628 | |||
Craneware PLC | 1,700 | 50,022 | |||
Cranswick PLC | 6,537 | 358,512 |
Security Description | Shares | Value | |||
Crest Nicholson Holdings PLC (b) | 28,002 | $ 162,238 | |||
Croda International PLC | 17,813 | 1,813,101 | |||
Custodian Reit PLC | 48,411 | 65,072 | |||
CVS Group PLC (b) | 8,348 | 278,506 | |||
DCC PLC | 11,893 | 972,303 | |||
Dechra Pharmaceuticals PLC | 13,327 | 804,543 | |||
Derwent London PLC REIT | 12,205 | 559,772 | |||
Diageo PLC | 290,735 | 13,900,619 | |||
Dialog Semiconductor PLC (b) | 9,052 | 703,772 | |||
Diploma PLC | 14,295 | 573,477 | |||
Direct Line Insurance Group PLC | 169,561 | 667,584 | |||
Dixons Carphone PLC (b) | 135,517 | 243,747 | |||
Domino's Pizza Group PLC | 46,932 | 251,946 | |||
dotdigital group PLC | 32,796 | 104,657 | |||
Dr. Martens PLC (b) | 54,543 | 335,301 | |||
Draper Esprit PLC (b) | 14,260 | 178,083 | |||
Drax Group PLC | 42,422 | 248,598 | |||
DS Smith PLC | 180,596 | 1,042,595 | |||
Dunelm Group PLC | 14,863 | 291,356 | |||
easyJet PLC (b) | 23,226 | 287,102 | |||
Electrocomponents PLC | 59,739 | 849,197 | |||
Elementis PLC (b) | 57,380 | 119,456 | |||
EMIS Group PLC | 9,755 | 154,975 | |||
Empiric Student Property PLC REIT (b) | 78,997 | 93,961 | |||
Endeavour Mining PLC | 22,574 | 485,278 | |||
Entain PLC (b) | 75,399 | 1,818,112 | |||
Equiniti Group PLC (b) (d) | 29,179 | 72,396 | |||
Ergomed PLC (b) | 3,965 | 64,360 | |||
Essentra PLC | 32,340 | 138,049 | |||
Eurasia Mining PLC (b) | 194,764 | 53,515 | |||
Euromoney Institutional Investor PLC | 11,681 | 164,272 | |||
Experian PLC | 113,118 | 4,353,595 | |||
Fevertree Drinks PLC | 12,008 | 426,821 | |||
First Derivatives PLC (b) | 2,570 | 80,592 | |||
Firstgroup PLC (b) | 134,961 | 152,696 | |||
FLEX LNG, Ltd. | 7,577 | 109,624 | |||
Forterra PLC (d) | 29,434 | 109,786 | |||
Frasers Group PLC (b) | 19,990 | 166,381 | |||
Frontier Developments PLC (b) | 5,571 | 177,779 | |||
Funding Circle Holdings PLC (b) (d) | 129,936 | 271,045 | |||
Future PLC | 14,106 | 610,325 | |||
Games Workshop Group PLC | 4,008 | 631,201 | |||
Gamesys Group PLC | 8,539 | 217,522 |
Security Description | Shares | Value | |||
Gamma Communications PLC | 9,918 | $ 272,654 | |||
GB Group PLC | 23,172 | 264,250 | |||
GCP Student Living PLC REIT | 70,906 | 157,704 | |||
Genuit Group PLC | 25,209 | 213,129 | |||
Genus PLC | 7,470 | 511,844 | |||
GlaxoSmithKline PLC | 625,160 | 12,258,327 | |||
Go-Ahead Group PLC (b) | 4,113 | 63,524 | |||
Grafton Group PLC | 32,158 | 509,551 | |||
Grainger PLC | 77,524 | 305,222 | |||
Great Portland Estates PLC REIT | 31,129 | 305,107 | |||
Greatland Gold PLC (b) (c) | 394,830 | 95,997 | |||
Greggs PLC (b) | 13,700 | 491,126 | |||
Halfords Group PLC (b) | 44,124 | 262,838 | |||
Halma PLC | 48,901 | 1,818,562 | |||
Hammerson PLC REIT (c) | 440,921 | 226,772 | |||
Harbour Energy PLC (b) | 28,296 | 147,370 | |||
Hargreaves Lansdown PLC | 43,504 | 954,967 | |||
Hays PLC (b) | 193,071 | 423,015 | |||
Helical PLC | 16,644 | 100,019 | |||
Hill & Smith Holdings PLC | 8,788 | 181,374 | |||
Hiscox, Ltd. (b) | 39,738 | 456,516 | |||
HomeServe PLC | 36,489 | 481,646 | |||
Hotel Chocolat Group PLC (b) | 15,284 | 75,800 | |||
Howden Joinery Group PLC | 72,584 | 818,814 | |||
HSBC Holdings PLC | 2,531,047 | 14,590,958 | |||
Hunting PLC | 13,720 | 41,792 | |||
Ibstock PLC (d) | 43,773 | 129,043 | |||
Ideagen PLC | 16,804 | 62,445 | |||
IG Design Group PLC | 11,749 | 86,022 | |||
IG Group Holdings PLC | 44,995 | 526,481 | |||
IMI PLC | 33,546 | 797,085 | |||
Imperial Brands PLC | 119,076 | 2,561,227 | |||
Inchcape PLC | 45,258 | 480,479 | |||
Indivior PLC (b) | 116,804 | 249,461 | |||
Informa PLC (b) | 193,267 | 1,339,215 | |||
IntegraFin Holdings PLC | 32,975 | 234,600 | |||
InterContinental Hotels Group PLC (b) | 22,338 | 1,484,310 | |||
Intermediate Capital Group PLC | 35,498 | 1,041,582 | |||
Intertek Group PLC | 20,562 | 1,570,817 | |||
iomart Group PLC | 15,727 | 58,226 | |||
IP Group PLC | 109,619 | 176,268 | |||
IQE PLC (b) | 95,123 | 62,616 | |||
ITM Power PLC (b) (c) | 41,473 | 260,912 | |||
ITV PLC (b) | 437,161 | 758,217 | |||
J D Wetherspoon PLC (b) | 9,697 | 157,804 |
Security Description | Shares | Value | |||
J Sainsbury PLC | 204,689 | $ 768,562 | |||
JD Sports Fashion PLC | 63,080 | 800,834 | |||
JET2 PLC (b) (c) | 20,582 | 336,505 | |||
John Laing Group PLC (d) | 70,494 | 389,341 | |||
John Wood Group PLC (b) | 74,508 | 226,135 | |||
Johnson Matthey PLC | 24,049 | 1,020,927 | |||
Johnson Service Group PLC (b) | 54,408 | 131,834 | |||
Judges Scientific PLC | 534 | 42,344 | |||
Jupiter Fund Management PLC | 47,696 | 185,809 | |||
Just Group PLC (b) | 106,609 | 137,187 | |||
Kainos Group PLC | 12,651 | 257,782 | |||
Keller Group PLC | 10,427 | 115,523 | |||
Kingfisher PLC | 254,626 | 1,282,140 | |||
Lancashire Holdings, Ltd. | 26,818 | 226,917 | |||
Land Securities Group PLC REIT | 83,001 | 774,425 | |||
Learning Technologies Group PLC | 57,069 | 148,294 | |||
Legal & General Group PLC | 742,723 | 2,643,066 | |||
Liontrust Asset Management PLC | 6,558 | 170,320 | |||
Lloyds Banking Group PLC | 8,805,043 | 5,679,245 | |||
London Stock Exchange Group PLC | 40,346 | 4,442,158 | |||
LondonMetric Property PLC REIT | 115,980 | 370,750 | |||
LXI REIT PLC | 81,938 | 150,773 | |||
M&G PLC | 323,067 | 1,021,583 | |||
Man Group PLC | 170,188 | 423,074 | |||
Marks & Spencer Group PLC (b) | 235,710 | 476,873 | |||
Marshalls PLC | 22,123 | 209,654 | |||
Marston's PLC (b) | 55,445 | 67,365 | |||
Meggitt PLC (b) | 94,268 | 600,605 | |||
Melrose Industries PLC | 624,126 | 1,337,271 | |||
Micro Focus International PLC ADR | 15,603 | 117,491 | |||
Micro Focus International PLC | 27,764 | 209,800 | |||
Mitchells & Butlers PLC (b) | 30,869 | 118,806 | |||
Mitie Group PLC (b) | 176,377 | 165,686 | |||
Mondi PLC (e) | 47,325 | 1,242,819 | |||
Mondi PLC (e) | 15,186 | 399,890 | |||
Moneysupermarket.com Group PLC | 59,348 | 210,377 | |||
Moonpig Group PLC (b) | 18,827 | 111,525 | |||
Morgan Advanced Materials PLC | 31,654 | 154,361 | |||
Morgan Sindall Group PLC | 4,942 | 147,125 | |||
Naked Wines PLC (b) | 7,158 | 79,800 |
Security Description | Shares | Value | |||
National Express Group PLC (b) | 80,953 | $ 298,146 | |||
National Grid PLC | 437,637 | 5,566,915 | |||
Natwest Group PLC | 595,528 | 1,671,711 | |||
NCC Group PLC | 31,770 | 129,033 | |||
Next PLC (b) | 16,970 | 1,841,699 | |||
Ninety One PLC | 40,079 | 121,918 | |||
Numis Corp. PLC | 1,570 | 7,700 | |||
Ocado Group PLC (b) | 61,994 | 1,715,402 | |||
On the Beach Group PLC (b) (d) | 15,830 | 69,979 | |||
OSB Group PLC | 52,042 | 333,585 | |||
Oxford Biomedica PLC (b) | 16,489 | 296,123 | |||
Pagegroup PLC (b) | 38,313 | 295,865 | |||
Paragon Banking Group PLC | 29,516 | 207,748 | |||
Pearson PLC | 90,003 | 1,031,978 | |||
Pennon Group PLC | 51,269 | 804,224 | |||
Persimmon PLC | 40,769 | 1,665,956 | |||
Petrofac, Ltd. (b) | 14,738 | 22,437 | |||
Pets at Home Group PLC | 57,539 | 362,462 | |||
Phoenix Group Holdings PLC | 73,320 | 685,112 | |||
Picton Property Income, Ltd. REIT | 95,313 | 114,553 | |||
Playtech PLC (b) | 30,973 | 181,933 | |||
Polar Capital Holdings PLC | 9,057 | 103,973 | |||
Premier Foods PLC (b) | 54,995 | 83,266 | |||
Primary Health Properties PLC REIT | 144,034 | 306,224 | |||
Provident Financial PLC (b) | 25,086 | 80,400 | |||
Prudential PLC | 324,262 | 6,152,618 | |||
PZ Cussons PLC | 23,269 | 78,594 | |||
QinetiQ Group PLC | 81,230 | 385,571 | |||
Quilter PLC (d) | 210,171 | 431,882 | |||
Rank Group PLC (b) | 31,507 | 73,036 | |||
Rathbone Brothers PLC | 6,585 | 164,835 | |||
Reach PLC | 36,256 | 137,736 | |||
Reckitt Benckiser Group PLC | 88,570 | 7,827,052 | |||
Redde Northgate PLC | 40,263 | 221,929 | |||
Redrow PLC | 42,322 | 357,693 | |||
Regional REIT, Ltd. (d) | 91,945 | 108,981 | |||
RELX PLC (e) | 223,200 | 5,917,038 | |||
RELX PLC (e) | 16,922 | 451,124 | |||
Renishaw PLC | 4,188 | 284,994 | |||
Rentokil Initial PLC | 236,772 | 1,619,089 | |||
Restaurant Group PLC (b) | 136,741 | 242,171 | |||
Restore PLC (b) | 14,057 | 75,734 | |||
Rightmove PLC | 115,401 | 1,035,278 | |||
Rolls-Royce Holdings PLC (b) | 1,073,257 | 1,466,638 | |||
Rotork PLC | 100,435 | 472,291 |
Security Description | Shares | Value | |||
Royal Mail PLC (b) | 103,283 | $ 823,836 | |||
RWS Holdings PLC | 33,381 | 259,853 | |||
S4 Capital PLC (b) | 28,600 | 248,119 | |||
Sabre Insurance Group PLC (d) | 28,770 | 101,348 | |||
Safestore Holdings PLC REIT | 23,762 | 310,862 | |||
Saga PLC (b) | 12,850 | 70,616 | |||
Sage Group PLC | 131,899 | 1,246,694 | |||
Sanne Group PLC | 16,863 | 193,818 | |||
Savills PLC | 14,803 | 235,170 | |||
Schroders PLC | 14,907 | 723,442 | |||
Secure Income REIT PLC | 33,683 | 176,819 | |||
Segro PLC REIT | 150,715 | 2,278,807 | |||
Senior PLC (b) | 31,367 | 65,648 | |||
Serco Group PLC | 135,092 | 253,247 | |||
Serica Energy PLC | 48,012 | 91,928 | |||
Severn Trent PLC | 31,365 | 1,083,663 | |||
Shaftesbury PLC REIT | 21,049 | 165,600 | |||
SIG PLC (b) | 86,698 | 63,178 | |||
Smart Metering Systems PLC | 13,920 | 167,107 | |||
Smith & Nephew PLC | 108,085 | 2,333,032 | |||
Smiths Group PLC | 47,826 | 1,050,501 | |||
Softcat PLC | 13,183 | 323,439 | |||
Spectris PLC | 14,024 | 627,313 | |||
Spirax-Sarco Engineering PLC | 8,898 | 1,673,575 | |||
Spire Healthcare Group PLC (b) (d) | 49,079 | 166,788 | |||
Spirent Communications PLC | 65,382 | 222,553 | |||
SSE PLC | 130,697 | 2,709,174 | |||
SSP Group PLC (b) | 114,261 | 420,501 | |||
St James's Place PLC | 69,615 | 1,420,426 | |||
St Modwen Properties PLC | 24,503 | 188,543 | |||
Stagecoach Group PLC (b) | 45,711 | 51,844 | |||
Standard Chartered PLC | 337,141 | 2,147,077 | |||
Standard Life Aberdeen PLC | 271,177 | 1,015,213 | |||
SThree PLC | 15,499 | 98,812 | |||
Strix Group PLC | 18,454 | 80,431 | |||
Subsea 7 SA | 31,878 | 306,214 | |||
Sumo Group PLC (b) | 13,613 | 68,735 | |||
Synthomer PLC | 39,004 | 264,884 | |||
Tate & Lyle PLC | 56,841 | 579,814 | |||
Taylor Wimpey PLC | 439,762 | 965,636 | |||
TBC Bank Group PLC (b) | 4,451 | 71,326 | |||
Team17 Group PLC (b) | 10,609 | 106,694 | |||
Telecom Plus PLC | 6,746 | 105,867 | |||
Tesco PLC | 952,750 | 2,934,416 | |||
TORM PLC Class A | 8,442 | 74,719 | |||
TP ICAP Group PLC | 110,676 | 298,754 | |||
Trainline PLC (b) (c) (d) | 60,301 | 244,577 |
Security Description | Shares | Value | |||
Travis Perkins PLC (b) | 28,455 | $ 663,932 | |||
Tritax Big Box REIT PLC | 195,891 | 531,215 | |||
UK Commercial Property REIT, Ltd. | 128,022 | 135,295 | |||
Ultra Electronics Holdings PLC | 7,250 | 229,355 | |||
Unilever PLC | 326,713 | 19,093,843 | |||
UNITE Group PLC REIT | 41,393 | 614,139 | |||
United Utilities Group PLC | 82,282 | 1,107,586 | |||
Vectura Group PLC | 109,978 | 207,231 | |||
Vesuvius PLC | 33,163 | 241,893 | |||
Victoria PLC (b) | 10,073 | 148,894 | |||
Victrex PLC | 10,691 | 376,021 | |||
Virgin Money UK PLC (b) | 176,467 | 484,026 | |||
Vistry Group PLC | 26,818 | 435,867 | |||
Vodafone Group PLC | 3,334,461 | 5,589,396 | |||
Volex PLC | 14,405 | 74,127 | |||
Warehouse Reit PLC | 28,238 | 58,514 | |||
Watkin Jones PLC | 28,675 | 85,168 | |||
Weir Group PLC (b) | 31,658 | 809,515 | |||
WH Smith PLC (b) | 15,059 | 334,620 | |||
Whitbread PLC (b) | 26,257 | 1,132,435 | |||
Wickes Group PLC (b) | 31,885 | 108,357 | |||
Wm Morrison Supermarkets PLC | 299,433 | 1,020,479 | |||
Workspace Group PLC REIT | 15,631 | 180,089 | |||
WPP PLC | 155,406 | 2,091,468 | |||
Young & Co's Brewery PLC Class A (b) | 2,735 | 61,586 | |||
315,871,812 | |||||
UNITED STATES — 0.9% | |||||
Argonaut Gold, Inc. (b) | 31,500 | 75,551 | |||
Avast PLC (d) | 92,960 | 628,999 | |||
Bausch Health Cos., Inc. (b) | 41,500 | 1,219,228 | |||
Brookfield Renewable Corp. Class A | 16,500 | 693,951 | |||
BRP, Inc. | 5,200 | 407,333 | |||
Burford Capital, Ltd. | 22,687 | 233,177 | |||
Carnival PLC (b) | 18,066 | 414,490 | |||
Charlottes Web Holdings, Inc. (b) | 10,700 | 38,279 | |||
Cineworld Group PLC (b) (c) | 111,775 | 119,576 | |||
CyberArk Software, Ltd. (b) | 4,983 | 649,135 | |||
Diversified Energy Co. PLC | 100,217 | 145,644 | |||
Energy Fuels, Inc. (b) (c) | 17,400 | 105,246 | |||
Ferguson PLC | 27,849 | 3,866,437 | |||
Globant SA (b) | 5,300 | 1,161,654 | |||
Inmode, Ltd. (b) | 4,000 | 378,720 | |||
James Hardie Industries PLC CDI | 55,049 | 1,870,921 |
Security Description | Shares | Value | |||
JBS SA | 135,800 | $ 787,544 | |||
Parade Technologies, Ltd. | 10,000 | 497,084 | |||
Primo Water Corp. | 16,500 | 276,355 | |||
QIAGEN NV (b) | 28,683 | 1,386,459 | |||
REC Silicon ASA (b) | 36,713 | 80,165 | |||
Reliance Worldwide Corp., Ltd. | 101,916 | 402,461 | |||
Renalytix PLC (b) | 5,727 | 85,445 | |||
Rhi Magnesita NV | 3,069 | 171,707 | |||
Schneider Electric SE | 66,941 | 10,532,851 | |||
Sims, Ltd. | 17,809 | 221,944 | |||
Stellantis NV (e) | 119,689 | 2,347,675 | |||
Stellantis NV (e) | 133,750 | 2,625,700 | |||
Swiss Re AG | 37,192 | 3,358,888 | |||
Taro Pharmaceutical Industries, Ltd. (b) | 2,400 | 172,704 | |||
Tenaris SA | 62,509 | 681,398 | |||
TI Fluid Systems PLC (d) | 21,178 | 89,817 | |||
Titan Cement International SA | 4,292 | 83,270 | |||
UroGen Pharma, Ltd. (b) | 2,000 | 30,540 | |||
Vobile Group, Ltd. (b) | 43,000 | 194,351 | |||
36,034,699 | |||||
ZAMBIA — 0.0% (a) | |||||
First Quantum Minerals, Ltd. | 72,900 | 1,681,945 | |||
TOTAL COMMON STOCKS (Cost $3,028,262,705) | 3,985,631,114 |
RIGHTS — 0.0% (a) | |||
AUSTRALIA — 0.0% (a) | |||
Costa Group Holdings, Ltd. (expiring 07/19/21) (b) | 7,798 | 1,698 | |
BRAZIL — 0.0% (a) | |||
CVC Brasil Operadora e Agencia de Viagens SA (expiring 07/26/21) (b) | 5,081 | 8,678 | |
Ultrapar Participacoes SA (expiring 7/26/21) (b) | 106,823 | 851 | |
9,529 | |||
SINGAPORE — 0.0% (a) | |||
Olam International, Ltd. (expiring 07/19/21) (b) | 16,425 | 4,277 | |
SOUTH KOREA — 0.0% (a) | |||
Boryung Pharmaceutical Co., Ltd. (expiring 07/08/21) (b) | 227 | 1,179 | |
L&F Co., Ltd. (expiring 07/20/21) (b) | 778 | 10,570 |
Security Description | Shares | Value | ||||
RFHIC Corp. (expiring 07/08/21) (b) | 139 | $ 1,222 | ||||
12,971 | ||||||
SPAIN — 0.0% (a) | ||||||
ACS Actividades de Construccion y Servicios SA (expiring 07/09/21) (b) | 31,039 | 43,435 | ||||
TOTAL RIGHTS (Cost $46,953) | 71,910 | |||||
WARRANTS — 0.0% (a) | ||||||
CANADA — 0.0% (a) | ||||||
Cenovus Energy, Inc. (expiring 01/01/26) (b) (c) | 2,437 | 13,186 | ||||
MALAYSIA — 0.0% (a) | ||||||
Frontken Corp. Bhd (expiring 05/03/26) (b) | 30,950 | 2,088 | ||||
Scientex Bhd (expiring 01/14/26) (b) | 4,960 | 1,505 | ||||
SKP Resources Bhd (expiring 04/25/26) (b) | 54,260 | 2,222 | ||||
VS Industry Bhd (expiring 06/14/24) (b) | 88,800 | 5,668 | ||||
11,483 | ||||||
THAILAND — 0.0% (a) | ||||||
MBK PCL (expiring 05/15/24) (b) | 4,746 | 1,525 | ||||
Minor International PCL (expiring 12/31/21) (b) | 2,000 | 32 | ||||
Minor International PCL (expiring 2/15/24) (b) | 11,489 | 1,649 | ||||
Minor International PCL (expiring 5/5/23) (b) | 12,678 | 2,057 | ||||
Minor International PCL (expiring 9/30/21) (b) | 2,000 | 33 | ||||
Srisawad Corp. PCL (expiring 8/29/25) (b) | 3,396 | 1,547 | ||||
6,843 | ||||||
TOTAL WARRANTS (Cost $9,081) | 31,512 | |||||
SHORT-TERM INVESTMENTS — 6.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (g) (h) | 168,629,015 | 168,629,015 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 81,084,886 | $ 81,084,886 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $249,713,901) | 249,713,901 | |||||
TOTAL INVESTMENTS — 101.5% (Cost $3,278,037,812) | 4,235,453,558 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.5)% | (61,260,953) | |||||
NET ASSETS — 100.0% | $ 4,174,192,605 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Non-income producing security. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.2% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2021, total aggregate fair value of the securities is $376,437, representing less than 0.05% of the Fund's net assets. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 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 |
INR | Indian Rupee |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 959 | 09/17/2021 | $ 65,730,122 | $ 65,442,158 | $ (287,964) | |||||
MSCI EAFE Index (long) | 1,039 | 09/17/2021 | 122,724,477 | 119,697,995 | (3,026,482) | |||||
S&P/TSX 60 Index Future (long) | 49 | 09/16/2021 | 9,588,469 | 9,518,259 | 113,692 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $(3,200,754) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 5,121 | $ — | $ 5,121 | ||||
Common Stocks | 3,963,969,138 | 21,285,539 | 376,437 | 3,985,631,114 | ||||
Rights | 54,662 | 17,248 | — | 71,910 | ||||
Warrants | 31,512 | — | — | 31,512 | ||||
Short-Term Investments | 249,713,901 | — | — | 249,713,901 | ||||
TOTAL INVESTMENTS | $4,213,769,213 | $21,307,908 | $376,437 | $4,235,453,558 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 113,692 | — | — | 113,692 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 113,692 | $ — | $ — | $ 113,692 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,213,882,905 | $21,307,908 | $376,437 | $4,235,567,250 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (3,314,446) | — | — | (3,314,446) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (3,314,446) | $ — | $ — | $ (3,314,446) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Banks | 9.4% | |
Internet | 5.5 | |
Semiconductors | 5.3 | |
Pharmaceuticals | 5.1 | |
Insurance | 3.7 | |
TOTAL | 29.0% |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 142,930,230 | $142,930,230 | $645,399,484 | $619,700,699 | $— | $— | 168,629,015 | $168,629,015 | $ 24,399 | ||||||||
State Street Navigator Securities Lending Portfolio II | 42,151,995 | 42,151,995 | 201,256,392 | 162,323,501 | — | — | 81,084,886 | 81,084,886 | 270,059 | ||||||||
Total | $185,082,225 | $846,655,876 | $782,024,200 | $— | $— | $249,713,901 | $294,458 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 0.0% (a) | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (a) | ||||||
GAMCO Investors, Inc. 4.00%, 6/15/2023 (b) | $ 1,964 | $ 1,964 |
Shares | |||
COMMON STOCKS — 98.7% | |||
AEROSPACE & DEFENSE — 1.0% | |||
AAR Corp. (c) | 5,941 | 230,214 | |
Aerojet Rocketdyne Holdings, Inc. | 13,012 | 628,349 | |
AeroVironment, Inc. (c) | 3,945 | 395,092 | |
AerSale Corp. (c) | 1,600 | 19,936 | |
Astronics Corp. (c) | 4,468 | 78,235 | |
Axon Enterprise, Inc. (c) | 11,156 | 1,972,381 | |
BWX Technologies, Inc. | 16,626 | 966,303 | |
Byrna Technologies, Inc. (c) | 1,800 | 40,896 | |
Curtiss-Wright Corp. | 7,115 | 844,977 | |
Ducommun, Inc. (c) | 2,000 | 109,120 | |
HEICO Corp. | 7,803 | 1,087,894 | |
HEICO Corp. Class A | 13,764 | 1,709,214 | |
Hexcel Corp. (c) | 14,617 | 912,101 | |
Kaman Corp. | 4,799 | 241,870 | |
Kratos Defense & Security Solutions, Inc. (c) | 21,300 | 606,837 | |
Maxar Technologies, Inc. | 12,476 | 498,042 | |
Mercury Systems, Inc. (c) | 9,600 | 636,288 | |
Moog, Inc. Class A | 5,021 | 422,065 | |
National Presto Industries, Inc. | 890 | 90,468 | |
PAE, Inc. (c) (d) | 11,200 | 99,680 | |
Park Aerospace Corp. | 3,700 | 55,130 | |
Parsons Corp. (c) | 4,251 | 167,319 | |
Spirit AeroSystems Holdings, Inc. Class A | 18,342 | 865,559 | |
Triumph Group, Inc. (c) | 8,945 | 185,609 | |
Vectrus, Inc. (c) | 2,200 | 104,698 | |
Virgin Galactic Holdings, Inc. (c) | 25,100 | 1,154,600 | |
14,122,877 | |||
AIR FREIGHT & LOGISTICS — 0.3% | |||
Air Transport Services Group, Inc. (c) | 10,200 | 236,946 | |
Atlas Air Worldwide Holdings, Inc. (c) | 4,935 | 336,123 | |
Echo Global Logistics, Inc. (c) | 4,936 | 151,733 | |
Forward Air Corp. | 4,751 | 426,402 | |
Hub Group, Inc. Class A (c) | 5,817 | 383,806 | |
Radiant Logistics, Inc. (c) | 7,253 | 50,263 | |
XPO Logistics, Inc. (c) | 16,090 | 2,250,830 | |
3,836,103 | |||
AIRLINES — 0.2% | |||
Allegiant Travel Co. (c) | 2,604 | 505,176 | |
Copa Holdings SA Class A (c) (d) | 5,491 | 413,637 |
Security Description | Shares | Value | ||||
Frontier Group Holdings, Inc. (c) | 6,100 | $ 103,944 | ||||
Hawaiian Holdings, Inc. (c) | 9,145 | 222,864 | ||||
JetBlue Airways Corp. (c) | 55,236 | 926,860 | ||||
Mesa Air Group, Inc. (c) | 6,400 | 59,712 | ||||
SkyWest, Inc. (c) | 8,703 | 374,838 | ||||
Spirit Airlines, Inc. (c) | 17,069 | 519,580 | ||||
Sun Country Airlines Holdings, Inc. (c) | 3,000 | 111,030 | ||||
3,237,641 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC (c) | 16,500 | 745,800 | ||||
American Axle & Manufacturing Holdings, Inc. (c) | 19,550 | 202,342 | ||||
Cooper-Standard Holdings, Inc. (c) | 3,190 | 92,510 | ||||
Dana, Inc. | 25,342 | 602,126 | ||||
Dorman Products, Inc. (c) | 4,627 | 479,681 | ||||
Fox Factory Holding Corp. (c) | 7,297 | 1,135,851 | ||||
Gentex Corp. | 42,123 | 1,393,850 | ||||
Gentherm, Inc. (c) | 5,785 | 411,024 | ||||
Goodyear Tire & Rubber Co. (c) | 47,916 | 821,759 | ||||
LCI Industries | 4,318 | 567,472 | ||||
Lear Corp. | 10,451 | 1,831,851 | ||||
Modine Manufacturing Co. (c) | 9,483 | 157,323 | ||||
Motorcar Parts of America, Inc. (c) | 3,600 | 80,784 | ||||
Patrick Industries, Inc. | 3,928 | 286,744 | ||||
QuantumScape Corp. (c) | 20,400 | 596,904 | ||||
Standard Motor Products, Inc. | 3,643 | 157,924 | ||||
Stoneridge, Inc. (c) | 4,982 | 146,969 | ||||
Tenneco, Inc. Class A (c) | 9,668 | 186,786 | ||||
Visteon Corp. (c) | 4,858 | 587,527 | ||||
XL Fleet Corp. (c) | 6,700 | 55,811 | ||||
XPEL, Inc. (c) (d) | 3,100 | 259,997 | ||||
10,801,035 | ||||||
AUTOMOBILES — 0.3% | ||||||
Arcimoto, Inc. (c) (d) | 4,800 | 82,512 | ||||
Canoo, Inc. (c) (d) | 13,900 | 138,166 | ||||
Fisker, Inc. (c) | 27,700 | 534,056 | ||||
Harley-Davidson, Inc. | 26,701 | 1,223,440 | ||||
Lordstown Motors Corp. Class A (c) (d) | 19,600 | 216,776 | ||||
Thor Industries, Inc. | 9,301 | 1,051,013 | ||||
Winnebago Industries, Inc. | 5,600 | 380,576 | ||||
Workhorse Group, Inc. (c) (d) | 21,675 | 359,588 | ||||
3,986,127 | ||||||
BANKS — 4.4% | ||||||
1st Source Corp. | 3,120 | 144,955 | ||||
Allegiance Bancshares, Inc. | 3,600 | 138,384 | ||||
Altabancorp | 3,041 | 131,706 | ||||
Amalgamated Financial Corp. | 2,500 | 39,075 | ||||
Amerant Bancorp, Inc. (c) | 3,600 | 76,968 | ||||
American National Bankshares, Inc. | 2,000 | 62,180 | ||||
Ameris Bancorp | 11,535 | 584,017 |
Security Description | Shares | Value | |||
Arrow Financial Corp. | 2,554 | $ 91,816 | |||
Associated Banc-Corp. | 26,230 | 537,190 | |||
Atlantic Capital Bancshares, Inc. (c) | 3,799 | 96,723 | |||
Atlantic Union Bankshares Corp. | 13,707 | 496,468 | |||
Banc of California, Inc. | 8,513 | 149,318 | |||
BancFirst Corp. | 2,952 | 184,293 | |||
Bancorp, Inc. (c) | 9,100 | 209,391 | |||
BancorpSouth Bank | 17,755 | 502,999 | |||
Bank First Corp. | 1,200 | 83,724 | |||
Bank of Hawaii Corp. | 6,926 | 583,308 | |||
Bank of Marin Bancorp | 2,544 | 81,154 | |||
Bank of NT Butterfield & Son, Ltd. | 8,696 | 308,273 | |||
Bank OZK | 21,528 | 907,620 | |||
BankUnited, Inc. | 16,227 | 692,731 | |||
Banner Corp. | 6,000 | 325,260 | |||
Bar Harbor Bankshares | 2,780 | 79,564 | |||
Berkshire Hills Bancorp, Inc. | 8,616 | 236,165 | |||
Blue Ridge Bankshares, Inc. | 3,000 | 52,560 | |||
BOK Financial Corp. | 5,408 | 468,333 | |||
Boston Private Financial Holdings, Inc. | 14,265 | 210,409 | |||
Brookline Bancorp, Inc. | 13,351 | 199,597 | |||
Bryn Mawr Bank Corp. | 3,705 | 156,314 | |||
Business First Bancshares, Inc. | 3,700 | 84,915 | |||
Byline Bancorp, Inc. | 4,600 | 104,098 | |||
Cadence BanCorp | 21,500 | 448,920 | |||
Cambridge Bancorp | 1,191 | 98,841 | |||
Camden National Corp. | 2,802 | 133,824 | |||
Capital Bancorp, Inc. (c) | 1,500 | 30,675 | |||
Capital City Bank Group, Inc. | 2,500 | 64,475 | |||
Capstar Financial Holdings, Inc. | 3,000 | 61,500 | |||
Carter Bankshares, Inc. (c) | 4,200 | 52,542 | |||
Cathay General Bancorp | 13,309 | 523,842 | |||
CBTX, Inc. | 3,290 | 89,850 | |||
Central Pacific Financial Corp. | 5,254 | 136,919 | |||
Century Bancorp, Inc. Class A | 530 | 60,420 | |||
CIT Group, Inc. | 17,239 | 889,360 | |||
Citizens & Northern Corp. | 2,500 | 61,250 | |||
City Holding Co. | 2,684 | 201,944 | |||
Civista Bancshares, Inc. | 3,000 | 66,300 | |||
CNB Financial Corp. | 2,800 | 63,896 | |||
Coastal Financial Corp. (c) | 1,713 | 48,923 | |||
Columbia Banking System, Inc. | 12,558 | 484,236 | |||
Commerce Bancshares, Inc. | 18,592 | 1,386,220 | |||
Community Bank System, Inc. | 9,339 | 706,495 | |||
Community Trust Bancorp, Inc. | 2,903 | 117,223 | |||
ConnectOne Bancorp, Inc. | 6,434 | 168,378 | |||
CrossFirst Bankshares, Inc. (c) | 9,023 | 124,066 | |||
Cullen/Frost Bankers, Inc. | 9,972 | 1,116,864 | |||
Customers Bancorp, Inc. (c) | 5,502 | 214,523 | |||
CVB Financial Corp. | 22,500 | 463,275 | |||
Dime Community Bancshares, Inc. | 6,040 | 203,065 |
Security Description | Shares | Value | |||
Eagle Bancorp, Inc. | 5,500 | $ 308,440 | |||
East West Bancorp, Inc. | 24,633 | 1,765,940 | |||
Eastern Bankshares, Inc. | 29,800 | 612,986 | |||
Enterprise Bancorp, Inc. | 1,678 | 54,954 | |||
Enterprise Financial Services Corp. | 4,747 | 220,213 | |||
Equity Bancshares, Inc. Class A (c) | 2,700 | 82,323 | |||
Farmers National Banc Corp. | 4,866 | 75,472 | |||
FB Financial Corp. | 5,983 | 223,286 | |||
Fidelity D&D Bancorp, Inc. (d) | 744 | 40,250 | |||
Financial Institutions, Inc. | 2,980 | 89,400 | |||
First BanCorp | 37,600 | 448,192 | |||
First BanCorp | 4,914 | 201,032 | |||
First Bancorp, Inc. | 1,900 | 55,955 | |||
First Bancshares, Inc. | 3,500 | 131,005 | |||
First Bank | 3,000 | 40,620 | |||
First Busey Corp. | 8,788 | 216,712 | |||
First Choice Bancorp | 1,920 | 58,464 | |||
First Citizens BancShares, Inc. Class A | 1,013 | 843,566 | |||
First Commonwealth Financial Corp. | 16,506 | 232,239 | |||
First Community Bankshares, Inc. | 3,300 | 98,505 | |||
First Financial Bancorp | 16,791 | 396,771 | |||
First Financial Bankshares, Inc. | 22,502 | 1,105,523 | |||
First Financial Corp. | 2,100 | 85,722 | |||
First Foundation, Inc. | 7,450 | 167,699 | |||
First Hawaiian, Inc. | 22,800 | 646,152 | |||
First Horizon Corp. | 95,500 | 1,650,240 | |||
First Internet Bancorp | 1,800 | 55,764 | |||
First Interstate BancSystem, Inc. Class A | 7,082 | 296,240 | |||
First Merchants Corp. | 9,420 | 392,531 | |||
First Mid-Illinois Bancshares, Inc. | 2,800 | 113,428 | |||
First Midwest Bancorp, Inc. | 19,907 | 394,756 | |||
First of Long Island Corp. | 4,350 | 92,350 | |||
Five Star Bancorp (c) | 900 | 21,735 | |||
Flushing Financial Corp. | 5,600 | 120,008 | |||
FNB Corp. | 55,833 | 688,421 | |||
Fulton Financial Corp. | 27,692 | 436,980 | |||
German American Bancorp, Inc. | 4,325 | 160,890 | |||
Glacier Bancorp, Inc. | 16,613 | 915,044 | |||
Great Southern Bancorp, Inc. | 2,068 | 111,465 | |||
Great Western Bancorp, Inc. | 9,711 | 318,424 | |||
Guaranty Bancshares, Inc. | 1,465 | 49,913 | |||
Hancock Whitney Corp. | 14,986 | 665,978 | |||
Hanmi Financial Corp. | 5,800 | 110,548 | |||
HarborOne Bancorp, Inc. | 8,763 | 125,661 | |||
Hawthorn Bancshares, Inc. | 46 | 1,042 | |||
HBT Financial, Inc. | 1,900 | 33,079 | |||
Heartland Financial USA, Inc. | 6,700 | 314,833 | |||
Heritage Commerce Corp. | 10,966 | 122,052 | |||
Heritage Financial Corp. | 6,100 | 152,622 | |||
Hilltop Holdings, Inc. | 11,300 | 411,320 |
Security Description | Shares | Value | |||
Home BancShares, Inc. | 26,423 | $ 652,120 | |||
HomeTrust Bancshares, Inc. | 2,909 | 81,161 | |||
Hope Bancorp, Inc. | 20,621 | 292,406 | |||
Horizon Bancorp, Inc. | 8,140 | 141,880 | |||
Howard Bancorp, Inc. (c) | 2,481 | 40,019 | |||
Independent Bank Corp. | 5,792 | 437,296 | |||
Independent Bank Corp. | 4,018 | 87,231 | |||
Independent Bank Group, Inc. | 6,572 | 486,197 | |||
International Bancshares Corp. | 9,350 | 401,489 | |||
Investors Bancorp, Inc. | 39,914 | 569,174 | |||
Lakeland Bancorp, Inc. | 9,200 | 160,816 | |||
Lakeland Financial Corp. | 4,228 | 260,614 | |||
Live Oak Bancshares, Inc. | 5,390 | 318,010 | |||
Macatawa Bank Corp. | 4,966 | 43,452 | |||
Mercantile Bank Corp. | 3,000 | 90,600 | |||
Metrocity Bankshares, Inc. | 3,300 | 57,783 | |||
Metropolitan Bank Holding Corp. (c) | 1,300 | 78,286 | |||
Mid Penn Bancorp, Inc. | 1,300 | 35,685 | |||
Midland States Bancorp, Inc. | 4,002 | 105,133 | |||
MidWestOne Financial Group, Inc. | 2,751 | 79,146 | |||
MVB Financial Corp. | 1,730 | 73,802 | |||
National Bank Holdings Corp. Class A | 5,148 | 194,286 | |||
NBT Bancorp, Inc. | 7,300 | 262,581 | |||
Nicolet Bankshares, Inc. (c) | 1,716 | 120,703 | |||
Northrim BanCorp, Inc. | 1,200 | 51,300 | |||
OceanFirst Financial Corp. | 10,207 | 212,714 | |||
OFG Bancorp | 8,800 | 194,656 | |||
Old National Bancorp | 28,661 | 504,720 | |||
Old Second Bancorp, Inc. | 5,335 | 66,154 | |||
Origin Bancorp, Inc. | 3,800 | 161,348 | |||
Orrstown Financial Services, Inc. | 2,100 | 48,447 | |||
Pacific Premier Bancorp, Inc. | 16,301 | 689,369 | |||
PacWest Bancorp | 20,589 | 847,443 | |||
Park National Corp. | 2,517 | 295,546 | |||
Peapack-Gladstone Financial Corp. | 3,500 | 108,745 | |||
Peoples Bancorp, Inc. | 3,500 | 103,670 | |||
Peoples Financial Services Corp. | 1,339 | 57,041 | |||
Pinnacle Financial Partners, Inc. | 12,989 | 1,146,799 | |||
Popular, Inc. | 14,410 | 1,081,470 | |||
Preferred Bank | 2,377 | 150,393 | |||
Premier Financial Bancorp, Inc. | 2,439 | 41,097 | |||
Primis Financial Corp. | 3,725 | 56,843 | |||
Prosperity Bancshares, Inc. | 15,609 | 1,120,726 | |||
QCR Holdings, Inc. | 2,820 | 135,614 | |||
RBB Bancorp | 2,500 | 60,550 | |||
Red River Bancshares, Inc. | 900 | 45,459 | |||
Reliant Bancorp, Inc. | 2,900 | 80,417 | |||
Renasant Corp. | 9,632 | 385,280 | |||
Republic Bancorp, Inc. Class A | 1,839 | 84,833 | |||
Republic First Bancorp, Inc. (c) (d) | 8,200 | 32,718 |
Security Description | Shares | Value | ||||
S&T Bancorp, Inc. | 6,761 | $ 211,619 | ||||
Sandy Spring Bancorp, Inc. | 8,136 | 359,042 | ||||
Seacoast Banking Corp. of Florida | 9,484 | 323,879 | ||||
ServisFirst Bancshares, Inc. | 8,700 | 591,426 | ||||
Sierra Bancorp | 2,700 | 68,715 | ||||
Signature Bank | 9,844 | 2,418,179 | ||||
Silvergate Capital Corp. Class A (c) | 3,793 | 429,823 | ||||
Simmons First National Corp. Class A | 18,686 | 548,247 | ||||
SmartFinancial, Inc. | 2,702 | 64,875 | ||||
South Plains Financial, Inc. | 2,000 | 46,260 | ||||
South State Corp. | 12,275 | 1,003,604 | ||||
Southern First Bancshares, Inc. (c) | 1,400 | 71,624 | ||||
Southside Bancshares, Inc. | 5,355 | 204,722 | ||||
Spirit of Texas Bancshares, Inc. | 2,449 | 55,935 | ||||
Sterling Bancorp | 33,505 | 830,589 | ||||
Stock Yards Bancorp, Inc. | 3,600 | 183,204 | ||||
Summit Financial Group, Inc. | 2,100 | 46,221 | ||||
Synovus Financial Corp. | 25,748 | 1,129,822 | ||||
Texas Capital Bancshares, Inc. (c) | 8,764 | 556,426 | ||||
Tompkins Financial Corp. | 2,481 | 192,426 | ||||
Towne Bank | 11,690 | 355,610 | ||||
TriCo Bancshares | 5,072 | 215,966 | ||||
TriState Capital Holdings, Inc. (c) | 5,200 | 106,028 | ||||
Triumph Bancorp, Inc. (c) | 4,121 | 305,984 | ||||
Trustmark Corp. | 10,996 | 338,677 | ||||
UMB Financial Corp. | 7,589 | 706,232 | ||||
Umpqua Holdings Corp. | 38,599 | 712,152 | ||||
United Bankshares, Inc. | 21,705 | 792,232 | ||||
United Community Banks, Inc. | 14,986 | 479,702 | ||||
Univest Financial Corp. | 5,440 | 143,453 | ||||
Valley National Bancorp | 69,468 | 932,955 | ||||
Veritex Holdings, Inc. | 8,250 | 292,132 | ||||
Washington Trust Bancorp, Inc. | 3,223 | 165,501 | ||||
Webster Financial Corp. | 15,757 | 840,478 | ||||
WesBanco, Inc. | 11,402 | 406,253 | ||||
West Bancorporation, Inc. | 3,000 | 83,250 | ||||
Westamerica BanCorp | 4,485 | 260,265 | ||||
Western Alliance Bancorp | 17,583 | 1,632,582 | ||||
Wintrust Financial Corp. | 9,931 | 751,082 | ||||
63,684,473 | ||||||
BEVERAGES — 0.5% | ||||||
Boston Beer Co., Inc. Class A (c) | 1,612 | 1,645,529 | ||||
Celsius Holdings, Inc. (c) | 7,900 | 601,111 | ||||
Coca-Cola Consolidated, Inc. | 800 | 321,704 | ||||
Duckhorn Portfolio Inc (c) | 3,500 | 77,210 | ||||
Keurig Dr. Pepper, Inc. | 122,016 | 4,299,844 | ||||
MGP Ingredients, Inc. (d) | 2,600 | 175,864 | ||||
National Beverage Corp. | 4,094 | 193,360 | ||||
NewAge, Inc. (c) | 17,700 | 39,471 |
Security Description | Shares | Value | ||||
Primo Water Corp. | 27,400 | $ 458,402 | ||||
7,812,495 | ||||||
BIOTECHNOLOGY — 6.8% | ||||||
4D Molecular Therapeutics, Inc. (c) | 1,500 | 36,120 | ||||
89bio, Inc. (c) (d) | 1,600 | 29,920 | ||||
ACADIA Pharmaceuticals, Inc. (c) | 20,789 | 507,044 | ||||
Acceleron Pharma, Inc. (c) | 9,197 | 1,154,132 | ||||
Adicet Bio, Inc. (c) | 3,600 | 37,044 | ||||
Adverum Biotechnologies, Inc. (c) | 16,500 | 57,750 | ||||
Aeglea BioTherapeutics, Inc. (c) | 8,400 | 58,464 | ||||
Affimed NV (c) | 21,400 | 181,900 | ||||
Agenus, Inc. (c) | 29,800 | 163,602 | ||||
Agios Pharmaceuticals, Inc. (c) (d) | 10,704 | 589,897 | ||||
Akebia Therapeutics, Inc. (c) | 26,717 | 101,257 | ||||
Akero Therapeutics, Inc. (c) (d) | 2,600 | 64,506 | ||||
Akouos, Inc. (c) (d) | 4,600 | 57,730 | ||||
Albireo Pharma, Inc. (c) | 3,200 | 112,576 | ||||
Aldeyra Therapeutics, Inc. (c) | 8,500 | 96,305 | ||||
Alector, Inc. (c) (d) | 8,735 | 181,950 | ||||
Aligos Therapeutics, Inc. (c) | 2,000 | 40,770 | ||||
Alkermes PLC (c) | 27,762 | 680,724 | ||||
Allakos, Inc. (c) | 6,095 | 520,330 | ||||
Allogene Therapeutics, Inc. (c) (d) | 10,200 | 266,016 | ||||
Allovir, Inc. (c) | 5,600 | 110,544 | ||||
Alnylam Pharmaceuticals, Inc. (c) | 20,466 | 3,469,396 | ||||
Alpine Immune Sciences, Inc. (c) (d) | 2,000 | 18,000 | ||||
Altimmune, Inc. (c) | 5,700 | 56,145 | ||||
ALX Oncology Holdings, Inc. (c) | 3,300 | 180,444 | ||||
Amicus Therapeutics, Inc. (c) | 45,841 | 441,907 | ||||
AnaptysBio, Inc. (c) | 3,314 | 85,932 | ||||
Anavex Life Sciences Corp. (c) (d) | 11,100 | 253,746 | ||||
Anika Therapeutics, Inc. (c) | 2,647 | 114,589 | ||||
Annexon, Inc. (c) | 5,100 | 114,801 | ||||
Apellis Pharmaceuticals, Inc. (c) | 11,300 | 714,160 | ||||
Applied Molecular Transport, Inc. (c) (d) | 4,200 | 192,108 | ||||
Applied Therapeutics, Inc. (c) (d) | 2,941 | 61,114 | ||||
AquaBounty Technologies, Inc. (c) | 9,100 | 48,776 | ||||
Arbutus Biopharma Corp. (c) (d) | 13,600 | 41,208 | ||||
Arcturus Therapeutics Holdings, Inc. (c) (d) | 3,835 | 129,776 | ||||
Arcus Biosciences, Inc. (c) | 7,995 | 219,543 | ||||
Arcutis Biotherapeutics, Inc. (c) | 4,400 | 120,076 | ||||
Ardelyx, Inc. (c) | 14,000 | 106,120 | ||||
Arena Pharmaceuticals, Inc. (c) | 10,630 | 724,966 |
Security Description | Shares | Value | |||
Arrowhead Pharmaceuticals, Inc. (c) | 17,561 | $ 1,454,402 | |||
Atara Biotherapeutics, Inc. (c) | 15,200 | 236,360 | |||
Athenex, Inc. (c) | 13,698 | 63,285 | |||
Athersys, Inc. (c) (d) | 32,481 | 46,773 | |||
Atossa Therapeutics, Inc. (c) | 20,400 | 128,928 | |||
Atreca, Inc. Class A (c) (d) | 5,500 | 46,860 | |||
Avid Bioservices, Inc. (c) | 10,468 | 268,504 | |||
Avidity Biosciences, Inc. (c) (d) | 5,800 | 143,318 | |||
Avita Therapeutics, Inc. (c) | 4,200 | 86,184 | |||
Avrobio, Inc. (c) | 6,698 | 59,545 | |||
Beam Therapeutics, Inc. (c) (d) | 8,100 | 1,042,551 | |||
Beyondspring, Inc. (c) | 3,500 | 36,540 | |||
BioAtla, Inc. (c) | 2,200 | 93,236 | |||
BioCryst Pharmaceuticals, Inc. (c) (d) | 31,030 | 490,584 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (c) | 9,400 | 912,552 | |||
BioMarin Pharmaceutical, Inc. (c) | 31,827 | 2,655,645 | |||
Biomea Fusion, Inc. (c) (d) | 1,500 | 23,415 | |||
Bioxcel Therapeutics, Inc. (c) (d) | 2,412 | 70,093 | |||
Black Diamond Therapeutics, Inc. (c) (d) | 3,400 | 41,446 | |||
Bluebird Bio, Inc. (c) | 11,721 | 374,838 | |||
Blueprint Medicines Corp. (c) | 10,142 | 892,090 | |||
Bolt Biotherapeutics, Inc. (c) | 2,400 | 37,104 | |||
Bridgebio Pharma, Inc. (c) (d) | 18,694 | 1,139,586 | |||
Brooklyn ImmunoTherapeutics, Inc. (c) | 4,200 | 75,642 | |||
C4 Therapeutics, Inc. (c) | 6,000 | 227,040 | |||
Cardiff Oncology, Inc. (c) | 6,300 | 41,895 | |||
CareDx, Inc. (c) | 8,642 | 790,916 | |||
Catalyst Pharmaceuticals, Inc. (c) | 18,347 | 105,495 | |||
Celcuity, Inc. (c) (d) | 1,400 | 33,600 | |||
Celldex Therapeutics, Inc. (c) | 6,800 | 227,392 | |||
CEL-SCI Corp. (c) (d) | 6,695 | 58,113 | |||
Cerevel Therapeutics Holdings, Inc. (c) | 6,100 | 156,282 | |||
ChemoCentryx, Inc. (c) | 9,400 | 125,866 | |||
Chimerix, Inc. (c) | 11,097 | 88,776 | |||
Chinook Therapeutics, Inc. (c) | 2,490 | 35,159 | |||
Clene, Inc. (c) | 4,000 | 44,960 | |||
Clovis Oncology, Inc. (c) (d) | 15,480 | 89,784 | |||
Codiak Biosciences, Inc. (c) | 1,200 | 22,236 | |||
Cogent Biosciences, Inc. (c) (d) | 6,500 | 52,715 | |||
Coherus Biosciences, Inc. (c) | 11,117 | 153,748 | |||
Constellation Pharmaceuticals, Inc. (c) | 5,865 | 198,237 | |||
Contra Aduro Biotech | 2,090 | 272 | |||
Cortexyme, Inc. (c) (d) | 2,949 | 156,297 | |||
Crinetics Pharmaceuticals, Inc. (c) (d) | 5,100 | 96,135 | |||
Cue Biopharma, Inc. (c) | 5,485 | 63,900 | |||
Cullinan Oncology, Inc. (c) | 2,500 | 64,375 |
Security Description | Shares | Value | |||
CureVac NV (c) (d) | 9,300 | $ 683,364 | |||
Curis, Inc. (c) | 15,100 | 121,857 | |||
Cytokinetics, Inc. (c) | 11,796 | 233,443 | |||
CytomX Therapeutics, Inc. (c) | 11,475 | 72,637 | |||
Deciphera Pharmaceuticals, Inc. (c) | 6,800 | 248,948 | |||
Denali Therapeutics, Inc. (c) | 15,800 | 1,239,352 | |||
Dermtech, Inc. (c) (d) | 1,900 | 78,983 | |||
Design Therapeutics, Inc. (c) | 2,300 | 45,747 | |||
Dicerna Pharmaceuticals, Inc. (c) | 12,000 | 447,840 | |||
Dynavax Technologies Corp. (c) | 20,038 | 197,374 | |||
Dyne Therapeutics, Inc. (c) (d) | 3,100 | 65,224 | |||
Eagle Pharmaceuticals, Inc. (c) | 1,946 | 83,289 | |||
Editas Medicine, Inc. (c) (d) | 11,839 | 670,561 | |||
Eiger BioPharmaceuticals, Inc. (c) (d) | 5,675 | 48,351 | |||
Emergent BioSolutions, Inc. (c) | 8,500 | 535,415 | |||
Enanta Pharmaceuticals, Inc. (c) | 3,300 | 145,233 | |||
Epizyme, Inc. (c) | 16,938 | 140,755 | |||
Esperion Therapeutics, Inc. (c) (d) | 4,900 | 103,635 | |||
Evelo Biosciences, Inc. (c) (d) | 4,335 | 59,563 | |||
Exact Sciences Corp. (c) | 29,816 | 3,706,427 | |||
Exelixis, Inc. (c) | 54,308 | 989,492 | |||
Fate Therapeutics, Inc. (c) | 13,889 | 1,205,426 | |||
FibroGen, Inc. (c) | 14,908 | 397,000 | |||
Finch Therapeutics Group, Inc. (c) | 1,300 | 18,291 | |||
Flexion Therapeutics, Inc. (c) | 8,200 | 67,486 | |||
Foghorn Therapeutics, Inc. (c) | 1,300 | 13,871 | |||
Forma Therapeutics Holdings, Inc. (c) (d) | 5,700 | 141,873 | |||
Forte Biosciences, Inc. (c) | 2,000 | 67,240 | |||
Fortress Biotech, Inc. (c) (d) | 12,700 | 45,339 | |||
Frequency Therapeutics, Inc. (c) (d) | 4,700 | 46,812 | |||
G1 Therapeutics, Inc. (c) (d) | 6,461 | 141,754 | |||
Gemini Therapeutics, Inc. (c) (d) | 3,800 | 24,586 | |||
Generation Bio Co. (c) | 7,700 | 207,130 | |||
Geron Corp. (c) (d) | 54,283 | 76,539 | |||
Global Blood Therapeutics, Inc. (c) | 10,481 | 367,045 | |||
Gossamer Bio, Inc. (c) (d) | 10,600 | 86,072 | |||
Greenwich Lifesciences, Inc. (c) (d) | 700 | 31,458 | |||
Gritstone Oncology, Inc. (c) | 5,600 | 51,128 | |||
GT Biopharma, Inc. (c) | 4,200 | 65,100 | |||
Halozyme Therapeutics, Inc. (c) | 24,458 | 1,110,638 | |||
Harpoon Therapeutics, Inc. (c) (d) | 2,490 | 34,536 | |||
Heron Therapeutics, Inc. (c) (d) | 16,617 | 257,896 | |||
Homology Medicines, Inc. (c) (d) | 6,200 | 45,074 | |||
Hookipa Pharma, Inc. (c) (d) | 2,685 | 24,595 | |||
Horizon Therapeutics PLC (c) | 38,119 | 3,569,463 |
Security Description | Shares | Value | |||
Humanigen, Inc. (c) | 7,800 | $ 135,564 | |||
iBio, Inc. (c) (d) | 39,900 | 60,249 | |||
Ideaya Biosciences, Inc. (c) (d) | 3,300 | 69,267 | |||
IGM Biosciences, Inc. (c) | 1,400 | 116,480 | |||
Immunic, Inc. (c) | 1,000 | 12,260 | |||
ImmunityBio, Inc. (c) | 5,900 | 84,252 | |||
ImmunoGen, Inc. (c) | 33,876 | 223,243 | |||
Immunovant, Inc. (c) | 7,000 | 73,990 | |||
Infinity Pharmaceuticals, Inc. (c) | 15,300 | 45,747 | |||
Inhibrx, Inc. (c) | 1,500 | 41,280 | |||
Inovio Pharmaceuticals, Inc. (c) (d) | 35,111 | 325,479 | |||
Inozyme Pharma, Inc. (c) (d) | 2,300 | 39,192 | |||
Insmed, Inc. (c) | 17,966 | 511,312 | |||
Instil Bio, Inc. (c) | 3,000 | 57,960 | |||
Intellia Therapeutics, Inc. (c) (d) | 11,100 | 1,797,201 | |||
Intercept Pharmaceuticals, Inc. (c) | 4,887 | 97,593 | |||
Invitae Corp. (c) (d) | 34,700 | 1,170,431 | |||
Ionis Pharmaceuticals, Inc. (c) | 24,512 | 977,784 | |||
Iovance Biotherapeutics, Inc. (c) | 25,300 | 658,306 | |||
Ironwood Pharmaceuticals, Inc. (c) | 25,278 | 325,328 | |||
iTeos Therapeutics, Inc. (c) | 3,700 | 94,905 | |||
IVERIC bio, Inc. (c) | 15,200 | 95,912 | |||
Jounce Therapeutics, Inc. (c) | 3,200 | 21,760 | |||
Kadmon Holdings, Inc. (c) | 32,663 | 126,406 | |||
KalVista Pharmaceuticals, Inc. (c) | 3,600 | 86,256 | |||
Karuna Therapeutics, Inc. (c) | 3,924 | 447,297 | |||
Karyopharm Therapeutics, Inc. (c) (d) | 13,400 | 138,288 | |||
Keros Therapeutics, Inc. (c) | 2,547 | 108,171 | |||
Kezar Life Sciences, Inc. (c) | 5,830 | 31,657 | |||
Kiniksa Pharmaceuticals Ltd. Class A (c) | 5,025 | 69,998 | |||
Kinnate Biopharma, Inc. (c) | 2,600 | 60,528 | |||
Kodiak Sciences, Inc. (c) (d) | 5,835 | 542,655 | |||
Kronos Bio, Inc. (c) (d) | 2,800 | 67,060 | |||
Krystal Biotech, Inc. (c) | 2,867 | 194,956 | |||
Kura Oncology, Inc. (c) | 11,000 | 229,350 | |||
Kymera Therapeutics, Inc. (c) | 5,000 | 242,500 | |||
Lexicon Pharmaceuticals, Inc. (c) | 9,321 | 42,783 | |||
Ligand Pharmaceuticals, Inc. (c) | 2,591 | 339,913 | |||
Lineage Cell Therapeutics, Inc. (c) (d) | 21,100 | 60,135 | |||
MacroGenics, Inc. (c) | 10,434 | 280,257 | |||
Madrigal Pharmaceuticals, Inc. (c) | 1,659 | 161,603 | |||
Magenta Therapeutics, Inc. (c) | 3,900 | 38,142 | |||
MannKind Corp. (c) (d) | 42,900 | 233,805 | |||
MEI Pharma, Inc. (c) | 20,314 | 57,895 | |||
MeiraGTx Holdings PLC (c) (d) | 4,500 | 69,750 | |||
Mersana Therapeutics, Inc. (c) | 10,100 | 137,158 | |||
MiMedx Group, Inc. (c) | 19,400 | 242,694 | |||
Mirati Therapeutics, Inc. (c) | 6,828 | 1,102,927 |
Security Description | Shares | Value | |||
Mirum Pharmaceuticals, Inc. (c) (d) | 1,097 | $ 18,967 | |||
Moderna, Inc. (c) | 59,109 | 13,889,433 | |||
Molecular Templates, Inc. (c) (d) | 5,015 | 39,217 | |||
Morphic Holding, Inc. (c) | 2,700 | 154,953 | |||
Mustang Bio, Inc. (c) | 9,405 | 31,225 | |||
Myriad Genetics, Inc. (c) | 13,594 | 415,705 | |||
Natera, Inc. (c) | 13,649 | 1,549,571 | |||
Neoleukin Therapeutics, Inc. (c) | 6,000 | 55,380 | |||
Neurocrine Biosciences, Inc. (c) | 16,322 | 1,588,457 | |||
NexImmune, Inc. (c) | 1,200 | 19,584 | |||
Nkarta, Inc. (c) | 2,500 | 79,225 | |||
Novavax, Inc. (c) | 12,921 | 2,743,258 | |||
Nurix Therapeutics, Inc. (c) | 4,500 | 119,385 | |||
Ocugen, Inc. (c) | 32,200 | 258,566 | |||
Olema Pharmaceuticals, Inc. (c) | 2,300 | 64,354 | |||
Oncocyte Corp. (c) | 13,385 | 76,830 | |||
Oncorus, Inc. (c) | 1,400 | 19,320 | |||
Oncternal Therapeutics, Inc. (c) | 7,700 | 36,575 | |||
OPKO Health, Inc. (c) (d) | 68,118 | 275,878 | |||
Organogenesis Holdings, Inc. (c) | 4,598 | 76,419 | |||
ORIC Pharmaceuticals, Inc. (c) | 4,300 | 76,067 | |||
Outlook Therapeutics, Inc. (c) | 15,300 | 38,097 | |||
Oyster Point Pharma, Inc. (c) (d) | 1,100 | 18,909 | |||
Passage Bio, Inc. (c) | 5,400 | 71,496 | |||
PMV Pharmaceuticals, Inc. (c) | 2,600 | 88,816 | |||
Portage Biotech, Inc. (c) (d) | 600 | 12,576 | |||
Poseida Therapeutics, Inc. (c) | 6,200 | 62,124 | |||
Praxis Precision Medicines, Inc. (c) | 2,100 | 38,388 | |||
Precigen, Inc. (c) | 13,141 | 85,679 | |||
Precision BioSciences, Inc. (c) | 8,800 | 110,176 | |||
Prelude Therapeutics, Inc. (c) | 1,900 | 54,397 | |||
Prometheus Biosciences, Inc. (c) | 2,000 | 49,120 | |||
Protagonist Therapeutics, Inc. (c) | 6,702 | 300,786 | |||
Prothena Corp. PLC (c) | 5,900 | 303,319 | |||
PTC Therapeutics, Inc. (c) | 12,100 | 511,467 | |||
Puma Biotechnology, Inc. (c) (d) | 5,807 | 53,308 | |||
Radius Health, Inc. (c) | 8,655 | 157,867 | |||
Rapt Therapeutics, Inc. (c) | 2,100 | 66,759 | |||
Recursion Pharmaceuticals, Inc. Class A (c) | 3,700 | 135,050 | |||
REGENXBIO, Inc. (c) | 6,800 | 264,180 | |||
Relay Therapeutics, Inc. (c) | 10,300 | 376,877 | |||
Replimenu Group, Inc. (c) | 4,600 | 176,732 | |||
REVOLUTION Medicines, Inc. (c) | 10,442 | 331,429 | |||
Rhythm Pharmaceuticals, Inc. (c) | 7,200 | 140,976 | |||
Rigel Pharmaceuticals, Inc. (c) | 32,189 | 139,700 | |||
Rocket Pharmaceuticals, Inc. (c) (d) | 6,900 | 305,601 | |||
Rubius Therapeutics, Inc. (c) (d) | 6,800 | 165,988 |
Security Description | Shares | Value | |||
Sage Therapeutics, Inc. (c) | 8,972 | $ 509,699 | |||
Sana Biotechnology, Inc. (c) (d) | 5,100 | 100,266 | |||
Sangamo Therapeutics, Inc. (c) | 20,365 | 243,769 | |||
Sarepta Therapeutics, Inc. (c) | 13,352 | 1,037,984 | |||
Scholar Rock Holding Corp. (c) | 4,845 | 140,020 | |||
Seagen, Inc. (c) | 23,232 | 3,667,868 | |||
Selecta Biosciences, Inc. (c) | 12,700 | 53,086 | |||
Sensei Biotherapeutics, Inc. (c) | 1,400 | 13,664 | |||
Seres Therapeutics, Inc. (c) | 10,446 | 249,137 | |||
Sesen Bio, Inc. (c) | 29,800 | 137,676 | |||
Shattuck Labs, Inc. (c) | 2,500 | 72,475 | |||
Sigilon Therapeutics, Inc. (c) | 1,400 | 15,022 | |||
Silverback Therapeutics, Inc. (c) | 2,400 | 74,136 | |||
Solid Biosciences, Inc. (c) | 5,300 | 19,398 | |||
Sorrento Therapeutics, Inc. (c) (d) | 47,219 | 457,552 | |||
Spectrum Pharmaceuticals, Inc. (c) | 27,232 | 102,120 | |||
Spero Therapeutics, Inc. (c) (d) | 3,793 | 52,950 | |||
SpringWorks Therapeutics, Inc. (c) | 4,600 | 379,086 | |||
Spruce Biosciences, Inc. (c) (d) | 1,300 | 14,573 | |||
SQZ Biotechnologies Co. (c) (d) | 1,000 | 14,450 | |||
Stoke Therapeutics, Inc. (c) | 2,600 | 87,516 | |||
Summit Therapeutics, Inc. (c) | 3,900 | 29,094 | |||
Surface Oncology, Inc. (c) | 5,800 | 43,268 | |||
Sutro Biopharma, Inc. (c) | 6,200 | 115,258 | |||
Syndax Pharmaceuticals, Inc. (c) | 5,900 | 101,303 | |||
Syros Pharmaceuticals, Inc. (c) (d) | 8,800 | 47,960 | |||
Talaris Therapeutics, Inc. (c) | 1,600 | 23,504 | |||
Taysha Gene Therapies, Inc. (c) (d) | 1,600 | 33,920 | |||
TCR2 Therapeutics, Inc. (c) | 5,500 | 90,255 | |||
TG Therapeutics, Inc. (c) | 22,345 | 866,763 | |||
Tonix Pharmaceuticals Holding Corp. (c) | 57,000 | 63,270 | |||
Translate Bio, Inc. (c) (d) | 11,600 | 319,464 | |||
Travere Therapeutics, Inc. (c) | 10,498 | 153,166 | |||
Trevena, Inc. (c) (d) | 28,500 | 48,165 | |||
Trillium Therapeutics, Inc. (c) | 17,100 | 165,870 | |||
Turning Point Therapeutics, Inc. (c) | 7,989 | 623,302 | |||
Twist Bioscience Corp. (c) | 8,212 | 1,094,249 | |||
Ultragenyx Pharmaceutical, Inc. (c) | 11,276 | 1,075,167 | |||
United Therapeutics Corp. (c) | 7,688 | 1,379,304 | |||
UroGen Pharma, Ltd. (c) (d) | 3,700 | 56,499 | |||
Vanda Pharmaceuticals, Inc. (c) | 10,151 | 218,348 | |||
Vaxart, Inc. (c) (d) | 10,000 | 74,900 | |||
Vaxcyte, Inc. (c) | 5,500 | 123,805 | |||
VBI Vaccines, Inc. (c) (d) | 34,106 | 114,255 | |||
Veracyte, Inc. (c) | 11,687 | 467,246 | |||
Verastem, Inc. (c) (d) | 32,400 | 131,868 | |||
Vericel Corp. (c) | 8,073 | 423,832 | |||
Viking Therapeutics, Inc. (c) (d) | 12,414 | 74,360 |
Security Description | Shares | Value | ||||
Vir Biotechnology, Inc. (c) (d) | 10,239 | $ 484,100 | ||||
Viracta Therapeutics, Inc. (c) | 6,300 | 71,442 | ||||
VistaGen Therapeutics, Inc. (c) | 33,400 | 105,210 | ||||
Vor BioPharma, Inc. (c) | 2,200 | 41,030 | ||||
Werewolf Therapeutics, Inc. (c) | 1,300 | 22,672 | ||||
XBiotech, Inc. (c) (d) | 2,675 | 44,298 | ||||
Xencor, Inc. (c) | 9,785 | 337,485 | ||||
XOMA Corp. (c) (d) | 1,200 | 40,800 | ||||
Y-mAbs Therapeutics, Inc. (c) (d) | 6,000 | 202,800 | ||||
Zentalis Pharmaceuticals, Inc. (c) | 5,500 | 292,600 | ||||
ZIOPHARM Oncology, Inc. (c) (d) | 40,456 | 106,804 | ||||
98,353,852 | ||||||
BUILDING PRODUCTS — 1.1% | ||||||
AAON, Inc. | 7,300 | 456,907 | ||||
Advanced Drainage Systems, Inc. | 9,800 | 1,142,386 | ||||
American Woodmark Corp. (c) | 2,979 | 243,355 | ||||
Apogee Enterprises, Inc. | 4,409 | 179,579 | ||||
Armstrong World Industries, Inc. | 8,295 | 889,722 | ||||
AZEK Co., Inc. (c) | 19,192 | 814,892 | ||||
Builders FirstSource, Inc. (c) | 35,741 | 1,524,711 | ||||
Caesarstone, Ltd. | 4,127 | 60,915 | ||||
Cornerstone Building Brands, Inc. (c) | 8,328 | 151,403 | ||||
CSW Industrials, Inc. | 2,371 | 280,869 | ||||
Gibraltar Industries, Inc. (c) | 5,700 | 434,967 | ||||
Griffon Corp. | 8,100 | 207,603 | ||||
Insteel Industries, Inc. | 3,487 | 112,107 | ||||
JELD-WEN Holding, Inc. (c) | 14,509 | 381,006 | ||||
Lennox International, Inc. | 5,909 | 2,072,877 | ||||
Masonite International Corp. (c) | 4,293 | 479,914 | ||||
Owens Corning | 18,181 | 1,779,920 | ||||
PGT Innovations, Inc. (c) | 10,154 | 235,877 | ||||
Quanex Building Products Corp. | 6,250 | 155,250 | ||||
Resideo Technologies, Inc. (c) | 25,177 | 755,310 | ||||
Simpson Manufacturing Co., Inc. | 7,554 | 834,264 | ||||
Trex Co., Inc. (c) | 20,205 | 2,065,153 | ||||
UFP Industries, Inc. | 10,409 | 773,805 | ||||
View, Inc. (c) | 14,800 | 125,504 | ||||
16,158,296 | ||||||
CAPITAL MARKETS — 3.2% | ||||||
Affiliated Managers Group, Inc. | 7,204 | 1,110,929 | ||||
Apollo Global Management, Inc. (d) | 31,107 | 1,934,855 | ||||
Ares Management Corp. Class A | 24,030 | 1,528,068 | ||||
Artisan Partners Asset Management, Inc. Class A | 10,193 | 518,008 | ||||
Assetmark Financial Holdings, Inc. (c) | 3,100 | 77,686 | ||||
Associated Capital Group, Inc. Class A | 300 | 11,658 |
Security Description | Shares | Value | ||||
B Riley Financial, Inc. | 3,434 | $ 259,267 | ||||
BGC Partners, Inc. Class A | 59,300 | 336,231 | ||||
Blackstone Group, Inc. Class A | 118,900 | 11,549,946 | ||||
Blucora, Inc. (c) | 9,100 | 157,521 | ||||
Brightsphere Investment Group, Inc. | 10,138 | 237,533 | ||||
Carlyle Group, Inc. | 28,340 | 1,317,243 | ||||
Cohen & Steers, Inc. | 4,309 | 353,726 | ||||
Cowen, Inc. Class A | 4,850 | 199,093 | ||||
Diamond Hill Investment Group, Inc. | 568 | 95,032 | ||||
Donnelley Financial Solutions, Inc. (c) | 5,075 | 167,475 | ||||
Evercore, Inc. Class A | 6,941 | 977,085 | ||||
FactSet Research Systems, Inc. | 6,598 | 2,214,355 | ||||
Federated Hermes, Inc. | 16,486 | 559,040 | ||||
Focus Financial Partners, Inc. Class A (c) | 9,082 | 440,477 | ||||
GAMCO Investors, Inc. Class A | 982 | 24,648 | ||||
GCM Grosvenor, Inc. Class A | 5,700 | 59,394 | ||||
Greenhill & Co., Inc. | 2,617 | 40,721 | ||||
Hamilton Lane, Inc. Class A | 5,904 | 537,972 | ||||
Houlihan Lokey, Inc. | 9,000 | 736,110 | ||||
Interactive Brokers Group, Inc. Class A | 13,962 | 917,722 | ||||
Janus Henderson Group PLC | 29,800 | 1,156,538 | ||||
Jefferies Financial Group, Inc. | 38,119 | 1,303,670 | ||||
KKR & Co., Inc. | 96,033 | 5,688,995 | ||||
Lazard, Ltd. Class A | 17,802 | 805,540 | ||||
LPL Financial Holdings, Inc. | 13,906 | 1,877,032 | ||||
Moelis & Co. Class A | 10,600 | 603,034 | ||||
Morningstar, Inc. | 4,065 | 1,045,152 | ||||
Open Lending Corp. Class A (c) | 18,100 | 779,929 | ||||
Oppenheimer Holdings, Inc. Class A | 1,800 | 91,512 | ||||
Piper Sandler Cos. | 3,071 | 397,879 | ||||
PJT Partners, Inc. Class A | 4,172 | 297,797 | ||||
Pzena Investment Management, Inc. Class A | 3,100 | 34,131 | ||||
Sculptor Capital Management, Inc. | 3,485 | 85,696 | ||||
SEI Investments Co. | 19,106 | 1,183,999 | ||||
StepStone Group, Inc. Class A | 3,700 | 127,280 | ||||
Stifel Financial Corp. | 17,816 | 1,155,546 | ||||
StoneX Group, Inc. (c) | 2,903 | 176,125 | ||||
Tradeweb Markets, Inc. Class A | 18,292 | 1,546,772 | ||||
Value Line, Inc. | 200 | 6,200 | ||||
Virtu Financial, Inc. Class A | 16,497 | 455,812 | ||||
Virtus Investment Partners, Inc. | 1,227 | 340,824 | ||||
WisdomTree Investments, Inc. (d) | 26,299 | 163,054 | ||||
45,684,312 | ||||||
CHEMICALS — 1.5% | ||||||
AdvanSix, Inc. (c) | 5,200 | 155,272 | ||||
American Vanguard Corp. | 5,452 | 95,465 | ||||
Amyris, Inc. (c) (d) | 29,200 | 478,004 |
Security Description | Shares | Value | ||||
Ashland Global Holdings, Inc. | 9,630 | $ 842,625 | ||||
Avient Corp. | 15,833 | 778,350 | ||||
Axalta Coating Systems, Ltd. (c) | 36,400 | 1,109,836 | ||||
Balchem Corp. | 5,542 | 727,443 | ||||
Cabot Corp. | 9,698 | 552,107 | ||||
Chase Corp. | 1,396 | 143,244 | ||||
Chemours Co. | 28,743 | 1,000,256 | ||||
Danimer Scientific, Inc. (c) | 12,000 | 300,600 | ||||
Diversey Holdings, Ltd. (c) | 9,000 | 161,190 | ||||
Element Solutions, Inc. | 40,400 | 944,552 | ||||
Ferro Corp. (c) | 14,258 | 307,545 | ||||
FutureFuel Corp. | 4,800 | 46,080 | ||||
GCP Applied Technologies, Inc. (c) | 8,497 | 197,640 | ||||
Hawkins, Inc. | 3,696 | 121,044 | ||||
HB Fuller Co. | 8,999 | 572,426 | ||||
Huntsman Corp. | 36,739 | 974,318 | ||||
Ingevity Corp. (c) | 6,938 | 564,476 | ||||
Innospec, Inc. | 4,295 | 389,170 | ||||
Intrepid Potash, Inc. (c) | 1,790 | 57,029 | ||||
Koppers Holdings, Inc. (c) | 3,930 | 127,136 | ||||
Kraton Corp. (c) | 5,885 | 190,027 | ||||
Kronos Worldwide, Inc. | 4,200 | 60,144 | ||||
Livent Corp. (c) (d) | 25,642 | 496,429 | ||||
Marrone Bio Innovations, Inc. (c) | 12,493 | 20,738 | ||||
Minerals Technologies, Inc. | 5,892 | 463,524 | ||||
NewMarket Corp. | 1,160 | 373,497 | ||||
Olin Corp. | 25,047 | 1,158,674 | ||||
Orion Engineered Carbons SA (c) | 10,500 | 199,395 | ||||
PQ Group Holdings, Inc. | 7,250 | 111,360 | ||||
PureCycle Technologies, Inc. (c) (d) | 5,700 | 134,805 | ||||
Quaker Chemical Corp. (d) | 2,348 | 556,922 | ||||
Rayonier Advanced Materials, Inc. (c) | 11,600 | 77,604 | ||||
RPM International, Inc. | 22,264 | 1,974,372 | ||||
Scotts Miracle-Gro Co. | 7,144 | 1,371,076 | ||||
Sensient Technologies Corp. | 7,319 | 633,533 | ||||
Stepan Co. | 3,731 | 448,727 | ||||
Tredegar Corp. | 4,907 | 67,569 | ||||
Trinseo SA | 6,699 | 400,868 | ||||
Tronox Holdings PLC Class A | 19,869 | 445,066 | ||||
Valvoline, Inc. | 31,641 | 1,027,067 | ||||
Westlake Chemical Corp. | 5,796 | 522,162 | ||||
WR Grace & Co. | 9,776 | 675,717 | ||||
Zymergen, Inc. (c) | 3,300 | 132,033 | ||||
22,187,117 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.0% | ||||||
ABM Industries, Inc. | 11,700 | 518,895 | ||||
ACCO Brands Corp. | 17,542 | 151,387 | ||||
ADT, Inc. (d) | 27,580 | 297,588 | ||||
Brady Corp. Class A | 8,200 | 459,528 | ||||
BrightView Holdings, Inc. (c) | 7,800 | 125,736 | ||||
Brink's Co. | 8,414 | 646,532 |
Security Description | Shares | Value | ||||
Casella Waste Systems, Inc. Class A (c) | 8,500 | $ 539,155 | ||||
CECO Environmental Corp. (c) | 5,843 | 41,836 | ||||
Cimpress PLC (c) | 3,033 | 328,808 | ||||
Clean Harbors, Inc. (c) | 8,853 | 824,568 | ||||
CompX International, Inc. | 300 | 6,231 | ||||
CoreCivic, Inc. REIT (c) | 20,825 | 218,038 | ||||
Covanta Holding Corp. | 20,800 | 366,288 | ||||
Deluxe Corp. | 7,376 | 352,351 | ||||
Driven Brands Holdings, Inc. (c) | 6,400 | 197,888 | ||||
Ennis, Inc. | 4,897 | 105,383 | ||||
Harsco Corp. (c) | 13,525 | 276,180 | ||||
Healthcare Services Group, Inc. | 13,065 | 412,462 | ||||
Heritage-Crystal Clean, Inc. (c) | 2,934 | 87,081 | ||||
Herman Miller, Inc. | 10,300 | 485,542 | ||||
HNI Corp. | 7,589 | 333,688 | ||||
IAA, Inc. (c) | 23,533 | 1,283,490 | ||||
Interface, Inc. | 10,062 | 153,949 | ||||
KAR Auction Services, Inc. (c) | 21,692 | 380,695 | ||||
Kimball International, Inc. Class B | 6,765 | 88,960 | ||||
Knoll, Inc. | 8,233 | 213,976 | ||||
Matthews International Corp. Class A | 5,331 | 191,703 | ||||
Montrose Environmental Group, Inc. (c) | 4,100 | 220,006 | ||||
MSA Safety, Inc. | 6,428 | 1,064,348 | ||||
NL Industries, Inc. | 1,531 | 9,951 | ||||
Pitney Bowes, Inc. | 30,464 | 267,169 | ||||
RR Donnelley & Sons Co. (c) | 12,400 | 77,872 | ||||
SP Plus Corp. (c) | 4,400 | 134,596 | ||||
Steelcase, Inc. Class A | 16,300 | 246,293 | ||||
Stericycle, Inc. (c) | 15,994 | 1,144,371 | ||||
Team, Inc. (c) | 5,500 | 36,850 | ||||
Tetra Tech, Inc. | 9,395 | 1,146,566 | ||||
UniFirst Corp. | 2,578 | 604,902 | ||||
US Ecology, Inc. (c) | 5,461 | 204,897 | ||||
Viad Corp. (c) | 3,554 | 177,167 | ||||
VSE Corp. | 1,880 | 93,079 | ||||
14,516,005 | ||||||
COMMUNICATIONS EQUIPMENT — 0.6% | ||||||
ADTRAN, Inc. | 9,037 | 186,614 | ||||
Aviat Networks, Inc. (c) | 1,700 | 55,709 | ||||
CalAmp Corp. (c) | 6,500 | 82,680 | ||||
Calix, Inc. (c) | 9,500 | 451,250 | ||||
Cambium Networks Corp. (c) | 1,500 | 72,525 | ||||
Casa Systems, Inc. (c) | 5,899 | 52,324 | ||||
Ciena Corp. (c) | 26,897 | 1,530,170 | ||||
Clearfield, Inc. (c) | 2,100 | 78,645 | ||||
CommScope Holding Co., Inc. (c) | 35,055 | 747,022 | ||||
Comtech Telecommunications Corp. | 4,698 | 113,504 | ||||
Digi International, Inc. (c) | 5,570 | 112,013 | ||||
DZS, Inc. (c) | 2,760 | 57,270 | ||||
EchoStar Corp. Class A (c) | 7,241 | 175,884 |
Security Description | Shares | Value | ||||
EMCORE Corp. (c) | 6,400 | $ 59,008 | ||||
Extreme Networks, Inc. (c) | 21,400 | 238,824 | ||||
Harmonic, Inc. (c) | 15,500 | 132,060 | ||||
Infinera Corp. (c) (d) | 31,100 | 317,220 | ||||
Inseego Corp. (c) (d) | 13,217 | 133,360 | ||||
KVH Industries, Inc. (c) | 3,132 | 38,524 | ||||
Lumentum Holdings, Inc. (c) | 13,182 | 1,081,319 | ||||
NETGEAR, Inc. (c) | 5,189 | 198,843 | ||||
NetScout Systems, Inc. (c) | 12,207 | 348,388 | ||||
Plantronics, Inc. (c) (d) | 5,948 | 248,210 | ||||
Ribbon Communications, Inc. (c) | 12,900 | 98,169 | ||||
Ubiquiti, Inc. | 1,138 | 355,272 | ||||
Viasat, Inc. (c) | 10,811 | 538,820 | ||||
Viavi Solutions, Inc. (c) | 39,858 | 703,892 | ||||
8,207,519 | ||||||
CONSTRUCTION & ENGINEERING — 0.7% | ||||||
AECOM (c) | 24,404 | 1,545,261 | ||||
Ameresco, Inc. Class A (c) | 4,700 | 294,784 | ||||
API Group Corp. (c) (e) | 31,223 | 652,248 | ||||
Arcosa, Inc. | 8,386 | 492,594 | ||||
Argan, Inc. | 2,839 | 135,676 | ||||
Comfort Systems USA, Inc. | 6,225 | 490,468 | ||||
Concrete Pumping Holdings, Inc. (c) (d) | 4,831 | 40,919 | ||||
Construction Partners, Inc. Class A (c) | 5,298 | 166,357 | ||||
Dycom Industries, Inc. (c) | 5,252 | 391,432 | ||||
EMCOR Group, Inc. | 9,353 | 1,152,196 | ||||
Fluor Corp. (c) (d) | 24,809 | 439,119 | ||||
Granite Construction, Inc. | 7,979 | 331,368 | ||||
Great Lakes Dredge & Dock Corp. (c) | 12,050 | 176,051 | ||||
HC2 Holdings, Inc. (c) (d) | 9,058 | 36,051 | ||||
IES Holdings, Inc. (c) | 1,500 | 77,040 | ||||
Infrastructure and Energy Alternatives, Inc. (c) | 3,600 | 46,296 | ||||
MasTec, Inc. (c) (d) | 9,772 | 1,036,809 | ||||
Matrix Service Co. (c) | 4,900 | 51,450 | ||||
MYR Group, Inc. (c) | 2,848 | 258,940 | ||||
Northwest Pipe Co. (c) | 1,800 | 50,850 | ||||
NV5 Global, Inc. (c) | 2,044 | 193,178 | ||||
Primoris Services Corp. | 9,154 | 269,402 | ||||
Sterling Construction Co., Inc. (c) | 5,200 | 125,476 | ||||
Tutor Perini Corp. (c) | 7,700 | 106,645 | ||||
Valmont Industries, Inc. | 3,657 | 863,235 | ||||
WillScot Mobile Mini Holdings Corp. (c) | 32,413 | 903,350 | ||||
10,327,195 | ||||||
CONSTRUCTION MATERIALS — 0.2% | ||||||
Eagle Materials, Inc. | 7,144 | 1,015,234 | ||||
Forterra, Inc. (c) | 5,504 | 129,399 | ||||
Summit Materials, Inc. Class A (c) | 20,412 | 711,358 |
Security Description | Shares | Value | ||||
United States Lime & Minerals, Inc. | 381 | $ 52,994 | ||||
US Concrete, Inc. (c) | 2,829 | 208,780 | ||||
2,117,765 | ||||||
CONSUMER FINANCE — 0.8% | ||||||
Ally Financial, Inc. | 64,612 | 3,220,262 | ||||
Atlanticus Holdings Corp. (c) | 1,000 | 39,700 | ||||
Credit Acceptance Corp. (c) (d) | 1,608 | 730,209 | ||||
Curo Group Holdings Corp. | 3,430 | 58,310 | ||||
Encore Capital Group, Inc. (c) | 5,351 | 253,584 | ||||
Enova International, Inc. (c) | 6,600 | 225,786 | ||||
EZCORP, Inc. Class A (c) | 9,000 | 54,270 | ||||
FirstCash, Inc. | 7,015 | 536,227 | ||||
Green Dot Corp. Class A (c) | 9,300 | 435,705 | ||||
LendingClub Corp. (c) | 16,906 | 306,506 | ||||
LendingTree, Inc. (c) | 1,988 | 421,217 | ||||
Navient Corp. | 30,704 | 593,508 | ||||
Nelnet, Inc. Class A | 2,942 | 221,327 | ||||
OneMain Holdings, Inc. | 15,444 | 925,250 | ||||
Oportun Financial Corp. (c) | 3,751 | 75,132 | ||||
PRA Group, Inc. (c) | 7,872 | 302,836 | ||||
Prog Holdings, Inc. | 11,697 | 562,977 | ||||
Regional Management Corp. | 1,600 | 74,464 | ||||
Santander Consumer USA Holdings, Inc. | 10,564 | 383,684 | ||||
SLM Corp. | 56,112 | 1,174,985 | ||||
Upstart Holdings, Inc. (c) | 2,120 | 264,788 | ||||
World Acceptance Corp. (c) | 828 | 132,679 | ||||
10,993,406 | ||||||
CONTAINERS & PACKAGING — 0.7% | ||||||
AptarGroup, Inc. | 11,475 | 1,616,139 | ||||
Ardagh Group SA | 3,500 | 85,820 | ||||
Berry Global Group, Inc. (c) | 23,587 | 1,538,344 | ||||
Crown Holdings, Inc. | 22,610 | 2,310,968 | ||||
Graphic Packaging Holding Co. | 49,267 | 893,704 | ||||
Greif, Inc. Class A | 4,500 | 272,475 | ||||
Greif, Inc. Class B | 1,142 | 67,378 | ||||
Myers Industries, Inc. | 6,795 | 142,695 | ||||
O-I Glass, Inc. (c) | 27,528 | 449,532 | ||||
Pactiv Evergreen, Inc. | 7,500 | 113,025 | ||||
Ranpak Holdings Corp. (c) | 5,500 | 137,665 | ||||
Silgan Holdings, Inc. | 14,568 | 604,572 | ||||
Sonoco Products Co. | 17,478 | 1,169,278 | ||||
UFP Technologies, Inc. (c) | 1,300 | 74,646 | ||||
9,476,241 | ||||||
DISTRIBUTORS — 0.0% (a) | ||||||
Core-Mark Holding Co., Inc. | 7,752 | 348,918 | ||||
Funko, Inc. Class A (c) | 4,650 | 98,952 | ||||
Greenlane Holdings, Inc. Class A (c) (d) | 1,600 | 7,152 | ||||
455,022 | ||||||
DIVERSIFIED CONSUMER SERVICES — 0.8% | ||||||
Adtalem Global Education, Inc. (c) | 8,674 | 309,141 |
Security Description | Shares | Value | ||||
American Public Education, Inc. (c) | 2,700 | $ 76,518 | ||||
Bright Horizons Family Solutions, Inc. (c) | 10,561 | 1,553,629 | ||||
Carriage Services, Inc. | 3,096 | 114,459 | ||||
Chegg, Inc. (c) | 24,457 | 2,032,621 | ||||
Coursera, Inc. (c) | 2,100 | 83,076 | ||||
frontdoor, Inc. (c) | 15,011 | 747,848 | ||||
Graham Holdings Co. Class B | 652 | 413,303 | ||||
Grand Canyon Education, Inc. (c) | 7,978 | 717,781 | ||||
H&R Block, Inc. | 31,900 | 749,012 | ||||
Houghton Mifflin Harcourt Co. (c) | 19,999 | 220,789 | ||||
Laureate Education, Inc. Class A (c) | 18,370 | 266,549 | ||||
OneSpaWorld Holdings, Ltd. (c) | 8,600 | 83,334 | ||||
Perdoceo Education Corp. (c) | 13,112 | 160,884 | ||||
Regis Corp. (c) (d) | 4,506 | 42,176 | ||||
Service Corp. International | 28,583 | 1,531,763 | ||||
StoneMor, Inc. (c) | 5,600 | 14,672 | ||||
Strategic Education, Inc. | 4,246 | 322,951 | ||||
Stride, Inc. (c) | 7,005 | 225,071 | ||||
Terminix Global Holdings, Inc. (c) | 22,473 | 1,072,187 | ||||
Vivint Smart Home, Inc. (c) | 15,113 | 199,491 | ||||
WW International, Inc. (c) | 9,100 | 328,874 | ||||
11,266,129 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | ||||||
Alerus Financial Corp. | 2,776 | 80,532 | ||||
A-Mark Precious Metals, Inc. | 1,000 | 46,500 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 5,900 | 90,683 | ||||
Cannae Holdings, Inc. (c) | 15,200 | 515,432 | ||||
Equitable Holdings, Inc. | 66,946 | 2,038,506 | ||||
Marlin Business Services Corp. | 1,600 | 36,416 | ||||
Voya Financial, Inc. (d) | 21,041 | 1,294,021 | ||||
4,102,090 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% | ||||||
Anterix, Inc. (c) | 2,107 | 126,399 | ||||
ATN International, Inc. | 2,157 | 98,122 | ||||
Bandwidth, Inc. Class A (c) (d) | 4,002 | 551,956 | ||||
Cincinnati Bell, Inc. (c) | 9,474 | 146,089 | ||||
Cogent Communications Holdings, Inc. | 7,396 | 568,678 | ||||
Consolidated Communications Holdings, Inc. (c) | 13,749 | 120,854 | ||||
Globalstar, Inc. (c) | 105,800 | 188,324 | ||||
IDT Corp. Class B (c) | 3,800 | 140,448 | ||||
Iridium Communications, Inc. (c) | 20,675 | 826,793 | ||||
Liberty Latin America, Ltd. Class C (c) | 26,900 | 379,290 | ||||
Ooma, Inc. (c) | 4,100 | 77,326 | ||||
ORBCOMM, Inc. (c) | 14,011 | 157,484 |
Security Description | Shares | Value | ||||
Radius Global Infrastructure, Inc. Class A (c) (d) | 7,700 | $ 111,650 | ||||
3,493,413 | ||||||
ELECTRIC UTILITIES — 0.6% | ||||||
ALLETE, Inc. | 9,062 | 634,159 | ||||
Avangrid, Inc. (d) | 10,000 | 514,300 | ||||
Hawaiian Electric Industries, Inc. | 18,483 | 781,461 | ||||
IDACORP, Inc. | 8,738 | 851,955 | ||||
MGE Energy, Inc. | 6,362 | 473,587 | ||||
OGE Energy Corp. | 34,817 | 1,171,592 | ||||
Otter Tail Corp. | 7,176 | 350,261 | ||||
PG&E Corp. (c) | 263,536 | 2,680,161 | ||||
PNM Resources, Inc. | 14,851 | 724,283 | ||||
Portland General Electric Co. | 15,639 | 720,645 | ||||
Spark Energy, Inc. Class A (d) | 2,296 | 26,014 | ||||
8,928,418 | ||||||
ELECTRICAL EQUIPMENT — 1.3% | ||||||
Acuity Brands, Inc. | 6,182 | 1,156,220 | ||||
Advent Technologies Holdings, Inc. (c) | 3,000 | 28,920 | ||||
Allied Motion Technologies, Inc. | 2,043 | 70,545 | ||||
American Superconductor Corp. (c) | 5,000 | 86,950 | ||||
Array Technologies, Inc. (c) | 22,100 | 344,760 | ||||
Atkore, Inc. (c) | 8,100 | 575,100 | ||||
AZZ, Inc. | 4,293 | 222,292 | ||||
Babcock & Wilcox Enterprises, Inc. (c) | 9,700 | 76,436 | ||||
Beam Global (c) (d) | 1,500 | 57,465 | ||||
Bloom Energy Corp. Class A (c) (d) | 24,176 | 649,609 | ||||
ChargePoint Holdings, Inc. (c) | 21,800 | 757,332 | ||||
Encore Wire Corp. | 3,534 | 267,842 | ||||
EnerSys | 7,441 | 727,209 | ||||
Eos Energy Enterprises, Inc. (c) | 3,100 | 55,676 | ||||
FTC Solar, Inc. (c) | 3,300 | 43,923 | ||||
FuelCell Energy, Inc. (c) (d) | 56,677 | 504,425 | ||||
GrafTech International, Ltd. | 29,750 | 345,695 | ||||
Hubbell, Inc. | 9,425 | 1,760,967 | ||||
nVent Electric PLC | 29,000 | 905,960 | ||||
Plug Power, Inc. (c) (d) | 87,375 | 2,987,351 | ||||
Powell Industries, Inc. | 1,700 | 52,615 | ||||
Preformed Line Products Co. | 600 | 44,520 | ||||
Regal Beloit Corp. | 7,098 | 947,654 | ||||
Romeo Power, Inc. (c) (d) | 7,300 | 59,422 | ||||
Sensata Technologies Holding PLC (c) | 27,147 | 1,573,712 | ||||
Shoals Technologies Group, Inc. Class A (c) | 15,500 | 550,250 | ||||
Stem, Inc. (c) (d) | 10,900 | 392,509 | ||||
Sunrun, Inc. (c) (d) | 34,789 | 1,940,530 | ||||
Thermon Group Holdings, Inc. (c) | 6,180 | 105,307 | ||||
TPI Composites, Inc. (c) | 5,900 | 285,678 | ||||
Vertiv Holdings Co. | 49,100 | 1,340,430 |
Security Description | Shares | Value | ||||
Vicor Corp. (c) | 3,676 | $ 388,700 | ||||
19,306,004 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.6% | ||||||
908 Devices, Inc. (c) (d) | 1,400 | 54,250 | ||||
Advanced Energy Industries, Inc. | 6,654 | 749,972 | ||||
Aeva Technologies, Inc. (c) | 4,300 | 45,451 | ||||
Akoustis Technologies, Inc. (c) | 6,800 | 72,828 | ||||
Arlo Technologies, Inc. (c) | 14,817 | 100,311 | ||||
Arrow Electronics, Inc. (c) | 12,848 | 1,462,488 | ||||
Avnet, Inc. | 17,397 | 697,272 | ||||
Badger Meter, Inc. | 5,076 | 498,057 | ||||
Belden, Inc. | 7,763 | 392,575 | ||||
Benchmark Electronics, Inc. | 6,231 | 177,334 | ||||
Cognex Corp. | 29,840 | 2,508,052 | ||||
Coherent, Inc. (c) | 4,238 | 1,120,273 | ||||
CTS Corp. | 5,487 | 203,897 | ||||
Daktronics, Inc. (c) | 6,945 | 45,767 | ||||
ePlus, Inc. (c) | 2,318 | 200,947 | ||||
Fabrinet (c) | 6,400 | 613,568 | ||||
FARO Technologies, Inc. (c) | 3,188 | 247,931 | ||||
Identiv, Inc. (c) | 3,600 | 61,200 | ||||
II-VI, Inc. (c) (d) | 18,266 | 1,325,929 | ||||
Insight Enterprises, Inc. (c) | 6,078 | 607,861 | ||||
Iteris, Inc. (c) | 7,700 | 51,205 | ||||
Itron, Inc. (c) | 7,799 | 779,744 | ||||
Jabil, Inc. | 25,267 | 1,468,518 | ||||
Kimball Electronics, Inc. (c) | 4,544 | 98,787 | ||||
Knowles Corp. (c) | 15,468 | 305,338 | ||||
Littelfuse, Inc. | 4,223 | 1,075,978 | ||||
Luna Innovations, Inc. (c) | 5,400 | 58,482 | ||||
Methode Electronics, Inc. | 6,649 | 327,197 | ||||
MicroVision, Inc. (c) (d) | 27,600 | 462,300 | ||||
Napco Security Technologies, Inc. (c) | 2,678 | 97,399 | ||||
National Instruments Corp. | 22,882 | 967,451 | ||||
nLight, Inc. (c) | 6,688 | 242,641 | ||||
Novanta, Inc. (c) | 6,126 | 825,540 | ||||
OSI Systems, Inc. (c) | 2,939 | 298,720 | ||||
Ouster, Inc. (c) | 5,100 | 63,699 | ||||
PAR Technology Corp. (c) (d) | 3,600 | 251,784 | ||||
PC Connection, Inc. | 2,060 | 95,316 | ||||
Plexus Corp. (c) | 4,900 | 447,909 | ||||
Rogers Corp. (c) | 3,210 | 644,568 | ||||
Sanmina Corp. (c) | 11,175 | 435,378 | ||||
ScanSource, Inc. (c) | 4,809 | 135,277 | ||||
SYNNEX Corp. | 7,284 | 886,900 | ||||
TTM Technologies, Inc. (c) | 19,100 | 273,130 | ||||
Velodyne Lidar, Inc. (c) | 12,300 | 130,872 | ||||
Vishay Intertechnology, Inc. | 23,245 | 524,175 | ||||
Vishay Precision Group, Inc. (c) | 2,400 | 81,696 | ||||
Vontier Corp. | 29,500 | 961,110 | ||||
23,177,077 |
Security Description | Shares | Value | ||||
ENERGY EQUIPMENT & SERVICES — 0.3% | ||||||
Archrock, Inc. | 24,542 | $ 218,669 | ||||
Aspen Aerogels, Inc. (c) | 3,900 | 116,688 | ||||
Bristow Group, Inc. (c) | 1,233 | 31,577 | ||||
Cactus, Inc. Class A | 9,143 | 335,731 | ||||
ChampionX Corp. (c) | 35,200 | 902,880 | ||||
DMC Global, Inc. (c) | 2,800 | 157,388 | ||||
Dril-Quip, Inc. (c) | 6,075 | 205,517 | ||||
Frank's International NV (c) | 29,300 | 88,779 | ||||
FTS International, Inc. Class A (c) | 1,500 | 42,435 | ||||
Helix Energy Solutions Group, Inc. (c) | 27,009 | 154,221 | ||||
Helmerich & Payne, Inc. | 18,300 | 597,129 | ||||
Liberty Oilfield Services, Inc. Class A (c) | 15,700 | 222,312 | ||||
Nabors Industries, Ltd. (c) | 1,327 | 151,597 | ||||
National Energy Services Reunited Corp. (c) (d) | 3,900 | 55,575 | ||||
Newpark Resources, Inc. (c) | 16,800 | 58,128 | ||||
NexTier Oilfield Solutions, Inc. (c) | 30,598 | 145,647 | ||||
Oceaneering International, Inc. (c) | 17,381 | 270,622 | ||||
Oil States International, Inc. (c) | 11,466 | 90,008 | ||||
Patterson-UTI Energy, Inc. | 32,360 | 321,658 | ||||
ProPetro Holding Corp. (c) | 15,199 | 139,223 | ||||
RPC, Inc. (c) | 10,710 | 53,015 | ||||
Select Energy Services, Inc. Class A (c) | 11,192 | 67,600 | ||||
Solaris Oilfield Infrastructure, Inc. Class A | 5,500 | 53,570 | ||||
TETRA Technologies, Inc. (c) | 21,400 | 92,876 | ||||
Tidewater, Inc. (c) | 7,625 | 91,881 | ||||
US Silica Holdings, Inc. (c) | 12,688 | 146,673 | ||||
4,811,399 | ||||||
ENTERTAINMENT — 2.0% | ||||||
AMC Entertainment Holdings, Inc. Class A (c) | 70,611 | 4,002,231 | ||||
Chicken Soup For The Soul Entertainment, Inc. (c) | 2,000 | 82,800 | ||||
Cinemark Holdings, Inc. (c) (d) | 18,838 | 413,494 | ||||
CuriosityStream, Inc. (c) (d) | 4,500 | 61,380 | ||||
Eros STX Global Corp. (c) | 30,047 | 45,972 | ||||
IMAX Corp. (c) | 8,633 | 185,610 | ||||
Liberty Media Corp.-Liberty Braves Class A (c) (d) | 1,938 | 54,690 | ||||
Liberty Media Corp.-Liberty Braves Class C (c) | 6,375 | 177,034 | ||||
Liberty Media Corp.-Liberty Formula One Class A (c) | 4,401 | 187,615 | ||||
Liberty Media Corp.-Liberty Formula One Class C (c) | 34,586 | 1,667,391 | ||||
Lions Gate Entertainment Corp. Class A (c) | 10,124 | 209,567 | ||||
Lions Gate Entertainment Corp. Class B (c) | 20,089 | 367,629 |
Security Description | Shares | Value | ||||
LiveXLive Media, Inc. (c) (d) | 9,299 | $ 43,891 | ||||
Madison Square Garden Entertainment Corp. (c) | 3,260 | 273,742 | ||||
Madison Square Garden Sports Corp. (c) | 3,337 | 575,866 | ||||
Marcus Corp. (c) (d) | 4,237 | 89,867 | ||||
Playtika Holding Corp. (c) | 13,400 | 319,456 | ||||
Roku, Inc. (c) | 20,087 | 9,224,955 | ||||
Skillz, Inc. (c) | 51,400 | 1,116,408 | ||||
Spotify Technology SA (c) | 23,816 | 6,563,451 | ||||
World Wrestling Entertainment, Inc. Class A (d) | 7,842 | 453,973 | ||||
Zynga, Inc. Class A (c) | 174,232 | 1,852,086 | ||||
27,969,108 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs) — 6.1% | ||||||
Acadia Realty Trust REIT | 14,647 | 321,648 | ||||
Agree Realty Corp. REIT | 11,656 | 821,631 | ||||
Alexander & Baldwin, Inc. REIT | 12,538 | 229,696 | ||||
Alexander's, Inc. REIT | 402 | 107,716 | ||||
American Assets Trust, Inc. REIT | 8,717 | 325,057 | ||||
American Campus Communities, Inc. REIT | 23,909 | 1,117,029 | ||||
American Finance Trust, Inc. REIT | 20,644 | 175,061 | ||||
American Homes 4 Rent Class A REIT | 48,516 | 1,884,847 | ||||
Americold Realty Trust REIT (d) | 44,066 | 1,667,898 | ||||
Apartment Income REIT Corp. | 27,300 | 1,294,839 | ||||
Apartment Investment & Management Co. Class A REIT | 25,800 | 173,118 | ||||
Apple Hospitality REIT, Inc. | 36,600 | 558,516 | ||||
Armada Hoffler Properties, Inc. REIT | 10,900 | 144,861 | ||||
Ashford Hospitality Trust, Inc. REIT (c) (d) | 19,100 | 87,096 | ||||
Braemar Hotels & Resorts, Inc. REIT (c) | 7,800 | 48,438 | ||||
Brandywine Realty Trust REIT (d) | 29,600 | 405,816 | ||||
Brixmor Property Group, Inc. REIT | 51,648 | 1,182,223 | ||||
Broadstone Net Lease, Inc. REIT (d) | 24,800 | 580,568 | ||||
Brookfield Property REIT, Inc. Class A | 5,600 | 105,784 | ||||
BRT Apartments Corp. REIT | 2,000 | 34,680 | ||||
Camden Property Trust REIT | 16,466 | 2,184,544 | ||||
CareTrust REIT, Inc. | 16,828 | 390,914 | ||||
CatchMark Timber Trust, Inc. Class A REIT | 9,200 | 107,640 | ||||
Centerspace REIT | 2,465 | 194,489 | ||||
Chatham Lodging Trust REIT (c) | 8,760 | 112,741 | ||||
City Office REIT, Inc. | 8,000 | 99,440 | ||||
Clipper Realty, Inc. REIT | 2,793 | 20,529 |
Security Description | Shares | Value | |||
Columbia Property Trust, Inc. REIT | 19,994 | $ 347,696 | |||
Community Healthcare Trust, Inc. REIT | 4,247 | 201,563 | |||
CorePoint Lodging, Inc. REIT (c) | 7,380 | 78,966 | |||
CoreSite Realty Corp. REIT | 7,392 | 994,963 | |||
Corporate Office Properties Trust REIT | 19,700 | 551,403 | |||
Cousins Properties, Inc. REIT | 25,829 | 949,991 | |||
CTO Realty Growth, Inc. REIT | 1,145 | 61,280 | |||
CubeSmart REIT | 34,988 | 1,620,644 | |||
CyrusOne, Inc. REIT | 21,382 | 1,529,241 | |||
DiamondRock Hospitality Co. REIT (c) | 36,300 | 352,110 | |||
DigitalBridge Group, Inc. REIT (c) (d) | 82,918 | 655,052 | |||
Diversified Healthcare Trust REIT | 41,177 | 172,120 | |||
Douglas Emmett, Inc. REIT | 29,037 | 976,224 | |||
Easterly Government Properties, Inc. REIT | 14,600 | 307,768 | |||
EastGroup Properties, Inc. REIT | 6,935 | 1,140,461 | |||
Empire State Realty Trust, Inc. Class A REIT (d) | 24,924 | 299,088 | |||
EPR Properties REIT (c) | 12,949 | 682,153 | |||
Equity Commonwealth REIT | 20,381 | 533,982 | |||
Equity LifeStyle Properties, Inc. REIT | 30,268 | 2,249,215 | |||
Essential Properties Realty Trust, Inc. REIT | 20,313 | 549,264 | |||
Farmland Partners, Inc. REIT (d) | 4,900 | 59,045 | |||
First Industrial Realty Trust, Inc. REIT | 22,415 | 1,170,735 | |||
Four Corners Property Trust, Inc. REIT | 13,209 | 364,701 | |||
Franklin Street Properties Corp. REIT | 19,683 | 103,533 | |||
Gaming and Leisure Properties, Inc. REIT | 38,464 | 1,782,037 | |||
GEO Group, Inc. REIT (d) | 22,280 | 158,634 | |||
Getty Realty Corp. REIT | 6,674 | 207,895 | |||
Gladstone Commercial Corp. REIT | 6,430 | 145,061 | |||
Gladstone Land Corp. REIT (d) | 4,100 | 98,646 | |||
Global Medical REIT, Inc. | 8,300 | 122,508 | |||
Global Net Lease, Inc. REIT | 16,682 | 308,617 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (d) | 13,345 | 749,322 | |||
Healthcare Realty Trust, Inc. REIT | 24,682 | 745,396 | |||
Healthcare Trust of America, Inc. Class A REIT | 37,996 | 1,014,493 | |||
Hersha Hospitality Trust REIT (c) | 6,376 | 68,606 |
Security Description | Shares | Value | |||
Highwoods Properties, Inc. REIT | 17,970 | $ 811,705 | |||
Hudson Pacific Properties, Inc. REIT | 25,737 | 716,003 | |||
Independence Realty Trust, Inc. REIT | 17,773 | 324,002 | |||
Indus Realty Trust, Inc. REIT | 662 | 43,460 | |||
Industrial Logistics Properties Trust REIT | 11,228 | 293,500 | |||
Innovative Industrial Properties, Inc. REIT (d) | 4,088 | 780,890 | |||
Invitation Homes, Inc. REIT | 99,062 | 3,694,022 | |||
iStar, Inc. REIT (d) | 12,275 | 254,461 | |||
JBG SMITH Properties REIT | 21,722 | 684,460 | |||
Kilroy Realty Corp. REIT | 20,240 | 1,409,514 | |||
Kite Realty Group Trust REIT | 14,429 | 317,582 | |||
Lamar Advertising Co. Class A REIT | 15,055 | 1,572,043 | |||
Lexington Realty Trust REIT | 47,800 | 571,210 | |||
Life Storage, Inc. REIT | 13,357 | 1,433,874 | |||
LTC Properties, Inc. REIT | 6,724 | 258,134 | |||
Macerich Co. REIT | 34,258 | 625,209 | |||
Mack-Cali Realty Corp. REIT (c) | 15,247 | 261,486 | |||
Medical Properties Trust, Inc. REIT | 101,061 | 2,031,326 | |||
Monmouth Real Estate Investment Corp. REIT | 16,579 | 310,359 | |||
National Health Investors, Inc. REIT | 7,545 | 505,892 | |||
National Retail Properties, Inc. REIT | 30,463 | 1,428,105 | |||
National Storage Affiliates Trust REIT | 12,200 | 616,832 | |||
NETSTREIT Corp. | 4,200 | 96,852 | |||
New Senior Investment Group, Inc. REIT | 15,507 | 136,151 | |||
NexPoint Residential Trust, Inc. REIT | 3,848 | 211,563 | |||
Office Properties Income Trust REIT | 8,327 | 244,064 | |||
Omega Healthcare Investors, Inc. REIT | 41,007 | 1,488,144 | |||
One Liberty Properties, Inc. REIT | 3,038 | 86,249 | |||
Outfront Media, Inc. REIT (c) | 25,367 | 609,569 | |||
Paramount Group, Inc. REIT | 32,553 | 327,809 | |||
Park Hotels & Resorts, Inc. REIT (c) | 40,934 | 843,650 | |||
Pebblebrook Hotel Trust REIT (d) | 22,657 | 533,572 | |||
Physicians Realty Trust REIT | 37,617 | 694,786 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 21,605 | 399,044 | |||
Plymouth Industrial REIT, Inc. | 4,700 | 94,094 | |||
Postal Realty Trust, Inc. Class A REIT | 2,100 | 38,304 | |||
PotlatchDeltic Corp. REIT | 11,428 | 607,398 |
Security Description | Shares | Value | ||||
Preferred Apartment Communities, Inc. Class A REIT | 8,897 | $ 86,746 | ||||
PS Business Parks, Inc. REIT | 3,449 | 510,728 | ||||
QTS Realty Trust, Inc. Class A REIT | 11,894 | 919,406 | ||||
Rayonier, Inc. REIT | 24,127 | 866,883 | ||||
Retail Opportunity Investments Corp. REIT | 20,300 | 358,498 | ||||
Retail Properties of America, Inc. Class A REIT | 37,403 | 428,264 | ||||
Retail Value, Inc. REIT | 3,096 | 67,338 | ||||
Rexford Industrial Realty, Inc. REIT | 23,443 | 1,335,079 | ||||
RLJ Lodging Trust REIT | 28,555 | 434,893 | ||||
RPT Realty REIT | 14,000 | 181,720 | ||||
Ryman Hospitality Properties, Inc. REIT (c) | 9,327 | 736,460 | ||||
Sabra Health Care REIT, Inc. | 37,355 | 679,861 | ||||
Safehold, Inc. REIT (d) | 3,147 | 247,040 | ||||
Saul Centers, Inc. REIT | 2,312 | 105,080 | ||||
Seritage Growth Properties Class A REIT (c) | 6,438 | 118,459 | ||||
Service Properties Trust REIT | 28,574 | 360,032 | ||||
SITE Centers Corp. REIT | 29,801 | 448,803 | ||||
SL Green Realty Corp. REIT (d) | 12,200 | 976,000 | ||||
Spirit Realty Capital, Inc. REIT | 20,048 | 959,096 | ||||
STAG Industrial, Inc. REIT | 27,850 | 1,042,426 | ||||
STORE Capital Corp. REIT | 42,623 | 1,470,920 | ||||
Summit Hotel Properties, Inc. REIT (c) | 19,500 | 181,935 | ||||
Sun Communities, Inc. REIT | 19,321 | 3,311,619 | ||||
Sunstone Hotel Investors, Inc. REIT (c) | 37,519 | 465,986 | ||||
Tanger Factory Outlet Centers, Inc. REIT (d) | 17,187 | 323,975 | ||||
Terreno Realty Corp. REIT | 11,924 | 769,336 | ||||
UMH Properties, Inc. REIT | 7,000 | 152,740 | ||||
Uniti Group, Inc. REIT | 33,670 | 356,565 | ||||
Universal Health Realty Income Trust REIT | 2,188 | 134,671 | ||||
Urban Edge Properties REIT | 20,200 | 385,820 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 5,640 | 109,303 | ||||
VEREIT, Inc. | 39,955 | 1,835,133 | ||||
VICI Properties, Inc. REIT (d) | 93,693 | 2,906,357 | ||||
Washington Real Estate Investment Trust | 14,802 | 340,446 | ||||
Weingarten Realty Investors REIT | 20,925 | 671,065 | ||||
Whitestone REIT | 7,500 | 61,875 | ||||
WP Carey, Inc. REIT | 30,767 | 2,295,834 | ||||
Xenia Hotels & Resorts, Inc. REIT (c) | 19,900 | 372,727 | ||||
88,093,669 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Albertsons Cos., Inc. Class A (d) | 27,200 | 534,752 |
Security Description | Shares | Value | ||||
Andersons, Inc. | 5,885 | $ 179,669 | ||||
BJ's Wholesale Club Holdings, Inc. (c) | 23,800 | 1,132,404 | ||||
Casey's General Stores, Inc. | 6,435 | 1,252,508 | ||||
Chefs' Warehouse, Inc. (c) | 5,700 | 181,431 | ||||
Grocery Outlet Holding Corp. (c) (d) | 15,345 | 531,858 | ||||
HF Foods Group, Inc. (c) (d) | 6,700 | 35,443 | ||||
Ingles Markets, Inc. Class A | 2,456 | 143,111 | ||||
MedAvail Holdings, Inc. (c) | 2,000 | 24,500 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 1,700 | 18,258 | ||||
Performance Food Group Co. (c) | 22,884 | 1,109,645 | ||||
PriceSmart, Inc. | 4,091 | 372,322 | ||||
Rite Aid Corp. (c) (d) | 10,366 | 168,966 | ||||
SpartanNash Co. | 6,709 | 129,551 | ||||
Sprouts Farmers Market, Inc. (c) | 20,675 | 513,774 | ||||
United Natural Foods, Inc. (c) | 9,699 | 358,669 | ||||
US Foods Holding Corp. (c) | 38,554 | 1,478,931 | ||||
Village Super Market, Inc. Class A | 1,669 | 39,238 | ||||
Weis Markets, Inc. | 1,815 | 93,763 | ||||
8,298,793 | ||||||
FOOD PRODUCTS — 1.1% | ||||||
AppHarvest, Inc. (c) | 8,400 | 134,400 | ||||
B&G Foods, Inc. (d) | 11,200 | 367,360 | ||||
Beyond Meat, Inc. (c) (d) | 10,062 | 1,584,665 | ||||
Bunge, Ltd. | 24,021 | 1,877,241 | ||||
Calavo Growers, Inc. | 3,181 | 201,739 | ||||
Cal-Maine Foods, Inc. | 6,162 | 223,126 | ||||
Darling Ingredients, Inc. (c) | 28,205 | 1,903,838 | ||||
Flowers Foods, Inc. | 32,731 | 792,090 | ||||
Fresh Del Monte Produce, Inc. | 5,947 | 195,537 | ||||
Freshpet, Inc. (c) | 7,142 | 1,163,860 | ||||
Hain Celestial Group, Inc. (c) | 14,701 | 589,804 | ||||
Hostess Brands, Inc. (c) | 22,700 | 367,513 | ||||
Ingredion, Inc. | 11,657 | 1,054,959 | ||||
J&J Snack Foods Corp. | 2,612 | 455,559 | ||||
John B Sanfilippo & Son, Inc. | 1,670 | 147,912 | ||||
Laird Superfood, Inc. (c) (d) | 600 | 17,922 | ||||
Lancaster Colony Corp. | 3,328 | 644,001 | ||||
Landec Corp. (c) | 4,900 | 55,125 | ||||
Limoneira Co. | 2,900 | 50,895 | ||||
Mission Produce, Inc. (c) | 1,400 | 28,994 | ||||
Pilgrim's Pride Corp. (c) | 8,321 | 184,560 | ||||
Post Holdings, Inc. (c) | 10,313 | 1,118,651 | ||||
Sanderson Farms, Inc. | 3,559 | 668,985 | ||||
Seaboard Corp. | 44 | 170,224 | ||||
Seneca Foods Corp. Class A (c) | 1,249 | 63,799 | ||||
Simply Good Foods Co. (c) | 14,800 | 540,348 | ||||
Tattooed Chef, Inc. (c) | 8,200 | 175,890 | ||||
Tootsie Roll Industries, Inc. (d) | 3,086 | 104,646 | ||||
TreeHouse Foods, Inc. (c) | 9,081 | 404,286 | ||||
Utz Brands, Inc. | 10,300 | 224,437 |
Security Description | Shares | Value | ||||
Vital Farms, Inc. (c) | 4,500 | $ 89,820 | ||||
Whole Earth Brands, Inc. (c) | 6,500 | 94,250 | ||||
15,696,436 | ||||||
GAS UTILITIES — 0.5% | ||||||
Brookfield Infrastructure Corp. Class A | 6,082 | 458,583 | ||||
Chesapeake Utilities Corp. | 3,021 | 363,517 | ||||
National Fuel Gas Co. | 15,270 | 797,857 | ||||
New Jersey Resources Corp. | 16,744 | 662,560 | ||||
Northwest Natural Holding Co. | 5,260 | 276,255 | ||||
ONE Gas, Inc. | 9,121 | 676,049 | ||||
South Jersey Industries, Inc. | 17,962 | 465,755 | ||||
Southwest Gas Holdings, Inc. | 10,039 | 664,481 | ||||
Spire, Inc. | 8,839 | 638,795 | ||||
UGI Corp. | 36,335 | 1,682,674 | ||||
6,686,526 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.6% | ||||||
Accelerate Diagnostics, Inc. (c) | 6,200 | 49,972 | ||||
Accuray, Inc. (c) (d) | 17,421 | 78,743 | ||||
Acutus Medical, Inc. (c) (d) | 2,700 | 45,846 | ||||
Alphatec Holdings, Inc. (c) | 10,400 | 159,328 | ||||
AngioDynamics, Inc. (c) | 6,397 | 173,551 | ||||
Apyx Medical Corp. (c) | 6,195 | 63,870 | ||||
Asensus Surgical, Inc. (c) | 40,800 | 129,336 | ||||
Aspira Women's Health, Inc. (c) (d) | 12,600 | 70,812 | ||||
AtriCure, Inc. (c) | 7,800 | 618,774 | ||||
Atrion Corp. | 268 | 166,409 | ||||
Avanos Medical, Inc. (c) | 8,300 | 301,871 | ||||
AxoGen, Inc. (c) | 7,100 | 153,431 | ||||
Axonics, Inc. (c) (d) | 7,263 | 460,547 | ||||
BioLife Solutions, Inc. (c) | 2,720 | 121,067 | ||||
Bioventus, Inc. Class A (c) | 1,500 | 26,400 | ||||
Butterfly Network, Inc. (c) | 5,700 | 82,536 | ||||
Cardiovascular Systems, Inc. (c) | 6,850 | 292,153 | ||||
Cerus Corp. (c) (d) | 31,009 | 183,263 | ||||
ClearPoint Neuro, Inc. (c) (d) | 3,300 | 62,997 | ||||
CONMED Corp. | 5,048 | 693,747 | ||||
CryoLife, Inc. (c) | 6,592 | 187,213 | ||||
CryoPort, Inc. (c) (d) | 7,100 | 448,010 | ||||
Cutera, Inc. (c) | 3,300 | 161,799 | ||||
CytoSorbents Corp. (c) (d) | 7,660 | 57,833 | ||||
DarioHealth Corp. (c) (d) | 2,400 | 51,264 | ||||
Eargo, Inc. (c) | 1,500 | 59,865 | ||||
Envista Holdings Corp. (c) | 28,068 | 1,212,818 | ||||
Glaukos Corp. (c) | 7,786 | 660,486 | ||||
Globus Medical, Inc. Class A (c) | 13,432 | 1,041,383 | ||||
Haemonetics Corp. (c) | 8,793 | 585,966 | ||||
Heska Corp. (c) | 1,621 | 372,392 | ||||
Hill-Rom Holdings, Inc. | 11,640 | 1,322,188 | ||||
ICU Medical, Inc. (c) | 3,445 | 708,981 | ||||
Inari Medical, Inc. (c) | 5,939 | 553,990 | ||||
Inogen, Inc. (c) | 3,492 | 227,574 | ||||
Insulet Corp. (c) | 11,538 | 3,167,296 |
Security Description | Shares | Value | |||
Integer Holdings Corp. (c) | 5,683 | $ 535,339 | |||
Integra LifeSciences Holdings Corp. (c) | 12,593 | 859,346 | |||
Intersect ENT, Inc. (c) | 6,130 | 104,762 | |||
Invacare Corp. (c) (d) | 6,300 | 50,841 | |||
iRadimed Corp. (c) | 1,100 | 32,351 | |||
iRhythm Technologies, Inc. (c) | 5,126 | 340,110 | |||
Lantheus Holdings, Inc. (c) | 11,661 | 322,310 | |||
LeMaitre Vascular, Inc. | 3,151 | 192,274 | |||
LivaNova PLC (c) | 8,550 | 719,140 | |||
Masimo Corp. (c) | 8,741 | 2,119,255 | |||
Meridian Bioscience, Inc. (c) | 7,371 | 163,489 | |||
Merit Medical Systems, Inc. (c) | 8,900 | 575,474 | |||
Mesa Laboratories, Inc. | 898 | 243,511 | |||
Misonix, Inc. (c) | 2,300 | 51,014 | |||
Natus Medical, Inc. (c) | 6,373 | 165,571 | |||
Neogen Corp. (c) | 18,742 | 862,882 | |||
Neuronetics, Inc. (c) | 4,400 | 70,488 | |||
NeuroPace, Inc. (c) | 1,200 | 28,548 | |||
Nevro Corp. (c) | 6,009 | 996,232 | |||
Novocure, Ltd. (c) | 17,855 | 3,960,596 | |||
NuVasive, Inc. (c) | 8,980 | 608,664 | |||
OraSure Technologies, Inc. (c) | 13,400 | 135,876 | |||
Ortho Clinical Diagnostics Holdings PLC (c) | 15,300 | 327,573 | |||
Orthofix Medical, Inc. (c) | 3,560 | 142,792 | |||
OrthoPediatrics Corp. (c) | 2,468 | 155,928 | |||
Outset Medical, Inc. (c) | 8,000 | 399,840 | |||
PAVmed, Inc. (c) | 11,600 | 74,240 | |||
Penumbra, Inc. (c) | 5,847 | 1,602,429 | |||
Pulmonx Corp. (c) | 2,200 | 97,064 | |||
Pulse Biosciences, Inc. (c) (d) | 2,712 | 44,477 | |||
Quidel Corp. (c) (d) | 6,603 | 845,976 | |||
Quotient, Ltd. (c) (d) | 13,400 | 48,776 | |||
Retractable Technologies, Inc. (c) (d) | 2,600 | 30,056 | |||
SeaSpine Holdings Corp. (c) | 5,000 | 102,550 | |||
Senseonics Holdings, Inc. (c) | 72,400 | 278,016 | |||
Shockwave Medical, Inc. (c) | 5,841 | 1,108,213 | |||
SI-BONE, Inc. (c) | 5,460 | 171,826 | |||
Sientra, Inc. (c) (d) | 9,700 | 77,212 | |||
Silk Road Medical, Inc. (c) | 5,169 | 247,388 | |||
Solition, Inc. (c) | 1,295 | 29,125 | |||
STAAR Surgical Co. (c) | 8,169 | 1,245,772 | |||
Stereotaxis, Inc. (c) | 8,200 | 79,048 | |||
Surmodics, Inc. (c) | 2,581 | 140,019 | |||
Tactile Systems Technology, Inc. (c) | 3,300 | 171,600 | |||
Talis Biomedical Corp. (c) | 2,500 | 27,575 | |||
Tandem Diabetes Care, Inc. (c) | 10,692 | 1,041,401 | |||
TransMedics Group, Inc. (c) (d) | 4,800 | 159,264 | |||
Treace Medical Concepts, Inc. (c) | 1,900 | 59,394 | |||
Utah Medical Products, Inc. | 640 | 54,426 | |||
Vapotherm, Inc. (c) | 3,700 | 87,468 | |||
Varex Imaging Corp. (c) | 6,600 | 177,012 |
Security Description | Shares | Value | ||||
ViewRay, Inc. (c) | 22,677 | $ 149,668 | ||||
Zynex, Inc. (c) (d) | 3,500 | 54,355 | ||||
37,122,267 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.0% | ||||||
1Life Healthcare, Inc. (c) | 20,300 | 671,118 | ||||
Acadia Healthcare Co., Inc. (c) | 15,382 | 965,221 | ||||
Accolade, Inc. (c) (d) | 8,700 | 472,497 | ||||
AdaptHealth Corp. (c) (d) | 13,700 | 375,517 | ||||
Addus HomeCare Corp. (c) | 2,816 | 245,668 | ||||
Agiliti, Inc. (c) | 3,900 | 85,293 | ||||
agilon health, Inc. (c) | 8,800 | 357,016 | ||||
Alignment Healthcare, Inc. (c) | 4,600 | 107,502 | ||||
Amedisys, Inc. (c) | 5,566 | 1,363,280 | ||||
AMN Healthcare Services, Inc. (c) | 8,148 | 790,193 | ||||
Apollo Medical Holdings, Inc. (c) | 6,373 | 400,288 | ||||
Apria, Inc. (c) | 1,400 | 39,200 | ||||
Aveanna Healthcare Holdings, Inc. (c) | 6,700 | 82,879 | ||||
Biodesix, Inc. (c) (d) | 500 | 6,605 | ||||
Brookdale Senior Living, Inc. (c) | 32,041 | 253,124 | ||||
Castle Biosciences, Inc. (c) | 3,700 | 271,321 | ||||
Chemed Corp. | 2,685 | 1,274,033 | ||||
Community Health Systems, Inc. (c) | 21,767 | 336,082 | ||||
CorVel Corp. (c) | 1,563 | 209,911 | ||||
Covetrus, Inc. (c) | 17,980 | 485,460 | ||||
Cross Country Healthcare, Inc. (c) | 6,758 | 111,575 | ||||
Encompass Health Corp. | 17,003 | 1,326,744 | ||||
Ensign Group, Inc. | 9,070 | 786,097 | ||||
Exagen, Inc. (c) | 900 | 13,491 | ||||
Fulgent Genetics, Inc. (c) (d) | 3,571 | 329,353 | ||||
Guardant Health, Inc. (c) | 15,651 | 1,943,698 | ||||
Hanger, Inc. (c) | 7,050 | 178,224 | ||||
HealthEquity, Inc. (c) | 14,163 | 1,139,838 | ||||
InfuSystem Holdings, Inc. (c) | 2,800 | 58,212 | ||||
Innovage Holding Corp. (c) | 3,200 | 68,192 | ||||
Joint Corp. (c) | 2,350 | 197,212 | ||||
LHC Group, Inc. (c) | 5,253 | 1,051,966 | ||||
Magellan Health, Inc. (c) | 4,143 | 390,271 | ||||
MEDNAX, Inc. (c) | 13,174 | 397,196 | ||||
ModivCare, Inc. (c) | 2,114 | 359,528 | ||||
Molina Healthcare, Inc. (c) | 10,033 | 2,538,951 | ||||
National HealthCare Corp. | 2,141 | 149,656 | ||||
National Research Corp. | 2,600 | 119,340 | ||||
Oak Street Health, Inc. (c) | 18,109 | 1,060,644 | ||||
Ontrack, Inc. (c) (d) | 1,538 | 49,954 | ||||
Option Care Health, Inc. (c) | 19,307 | 422,244 | ||||
Owens & Minor, Inc. | 12,619 | 534,162 | ||||
Patterson Cos., Inc. | 14,900 | 452,811 | ||||
Pennant Group, Inc. (c) | 4,417 | 180,655 | ||||
PetIQ, Inc. (c) (d) | 4,109 | 158,607 | ||||
Premier, Inc. Class A | 21,345 | 742,593 | ||||
Privia Health Group, Inc. (c) | 3,400 | 150,858 | ||||
Progyny, Inc. (c) | 10,900 | 643,100 |
Security Description | Shares | Value | ||||
R1 RCM, Inc. (c) | 22,787 | $ 506,783 | ||||
RadNet, Inc. (c) | 7,776 | 261,973 | ||||
Select Medical Holdings Corp. | 19,234 | 812,829 | ||||
Sharps Compliance Corp. (c) | 2,600 | 26,780 | ||||
Signify Health, Inc. Class A (c) | 4,300 | 130,849 | ||||
SOC Telemed, Inc. (c) | 7,100 | 40,399 | ||||
Surgery Partners, Inc. (c) | 4,971 | 331,168 | ||||
Tenet Healthcare Corp. (c) | 18,422 | 1,234,090 | ||||
Tivity Health, Inc. (c) | 7,597 | 199,877 | ||||
Triple-S Management Corp. (c) | 4,335 | 96,540 | ||||
US Physical Therapy, Inc. | 2,222 | 257,463 | ||||
Viemed Healthcare, Inc. (c) | 6,500 | 46,475 | ||||
28,292,606 | ||||||
HEALTH CARE TECHNOLOGY — 1.4% | ||||||
Allscripts Healthcare Solutions, Inc. (c) | 24,412 | 451,866 | ||||
American Well Corp. Class A (c) (d) | 33,900 | 426,462 | ||||
Castlight Health, Inc. Class B (c) | 20,800 | 54,704 | ||||
Certara, Inc. (c) | 5,900 | 167,147 | ||||
Change Healthcare, Inc. (c) | 43,010 | 990,950 | ||||
Computer Programs & Systems, Inc. | 2,404 | 79,885 | ||||
Evolent Health, Inc. Class A (c) | 13,465 | 284,381 | ||||
Forian, Inc. (c) | 3,200 | 40,224 | ||||
Health Catalyst, Inc. (c) (d) | 7,800 | 432,978 | ||||
HealthStream, Inc. (c) | 4,399 | 122,908 | ||||
iCAD, Inc. (c) | 3,800 | 65,778 | ||||
Inovalon Holdings, Inc. Class A (c) | 13,200 | 449,856 | ||||
Inspire Medical Systems, Inc. (c) | 4,711 | 910,448 | ||||
Multiplan Corp. (c) | 69,200 | 658,784 | ||||
NantHealth, Inc. (c) | 5,000 | 11,600 | ||||
NextGen Healthcare, Inc. (c) | 9,700 | 160,923 | ||||
Omnicell, Inc. (c) | 7,468 | 1,131,029 | ||||
OptimizeRx Corp. (c) (d) | 3,096 | 191,642 | ||||
Phreesia, Inc. (c) | 6,400 | 392,320 | ||||
Schrodinger, Inc. (c) (d) | 7,808 | 590,363 | ||||
Simulations Plus, Inc. (d) | 2,897 | 159,074 | ||||
Tabula Rasa HealthCare, Inc. (c) (d) | 4,065 | 203,250 | ||||
Teladoc Health, Inc. (c) (d) | 25,576 | 4,253,033 | ||||
Veeva Systems, Inc. Class A (c) | 23,896 | 7,430,461 | ||||
Vocera Communications, Inc. (c) | 6,134 | 244,440 | ||||
19,904,506 | ||||||
HOTELS, RESTAURANTS & LEISURE — 2.3% | ||||||
Accel Entertainment, Inc. (c) | 9,500 | 112,765 | ||||
Aramark | 39,940 | 1,487,765 | ||||
Bally's Corp. (c) | 5,765 | 311,944 | ||||
Biglari Holdings, Inc. Class B (c) | 170 | 27,110 | ||||
BJ's Restaurants, Inc. (c) | 3,906 | 191,941 | ||||
Bloomin' Brands, Inc. (c) | 15,493 | 420,480 |
Security Description | Shares | Value | |||
Bluegreen Vacations Holding Corp. (c) | 3,348 | $ 60,264 | |||
Boyd Gaming Corp. (c) | 14,398 | 885,333 | |||
Brinker International, Inc. (c) | 7,930 | 490,470 | |||
Carrols Restaurant Group, Inc. (c) | 6,400 | 38,464 | |||
Century Casinos, Inc. (c) | 5,161 | 69,312 | |||
Cheesecake Factory, Inc. (c) | 7,555 | 409,330 | |||
Choice Hotels International, Inc. | 6,098 | 724,808 | |||
Churchill Downs, Inc. | 6,477 | 1,284,130 | |||
Chuy's Holdings, Inc. (c) | 3,753 | 139,837 | |||
Cracker Barrel Old Country Store, Inc. | 4,139 | 614,476 | |||
Dave & Buster's Entertainment, Inc. (c) | 7,516 | 305,150 | |||
Del Taco Restaurants, Inc. | 5,600 | 56,056 | |||
Denny's Corp. (c) | 11,741 | 193,609 | |||
Dine Brands Global, Inc. (c) | 2,830 | 252,577 | |||
DraftKings, Inc. Class A (c) | 53,000 | 2,765,010 | |||
Drive Shack, Inc. (c) | 14,400 | 47,664 | |||
El Pollo Loco Holdings, Inc. (c) | 3,500 | 64,015 | |||
Everi Holdings, Inc. (c) | 14,495 | 361,505 | |||
Fiesta Restaurant Group, Inc. (c) | 3,397 | 45,622 | |||
Full House Resorts, Inc. (c) | 5,700 | 56,658 | |||
GAN, Ltd. (c) (d) | 6,100 | 100,284 | |||
Golden Entertainment, Inc. (c) | 3,225 | 144,480 | |||
Golden Nugget Online Gaming, Inc. (c) | 5,600 | 71,456 | |||
Hall of Fame Resort & Entertainment Co. (c) | 9,600 | 37,728 | |||
Hilton Grand Vacations, Inc. (c) | 14,871 | 615,511 | |||
Hyatt Hotels Corp. Class A (c) | 7,059 | 548,061 | |||
International Game Technology PLC (c) (d) | 17,435 | 417,743 | |||
Jack in the Box, Inc. | 3,997 | 445,426 | |||
Kura Sushi USA, Inc. Class A (c) (d) | 600 | 22,806 | |||
Lindblad Expeditions Holdings, Inc. (c) (d) | 4,889 | 78,273 | |||
Marriott Vacations Worldwide Corp. (c) | 7,294 | 1,161,934 | |||
Monarch Casino & Resort, Inc. (c) | 2,400 | 158,808 | |||
Nathan's Famous, Inc. | 538 | 38,370 | |||
NEOGAMES SA (c) | 1,100 | 67,617 | |||
Noodles & Co. (c) | 5,800 | 72,384 | |||
ONE Group Hospitality Inc (c) | 3,400 | 37,468 | |||
Papa John's International, Inc. | 5,688 | 594,055 | |||
Planet Fitness, Inc. Class A (c) | 14,543 | 1,094,361 | |||
PlayAGS, Inc. (c) | 5,060 | 50,094 | |||
RCI Hospitality Holdings, Inc. | 1,600 | 105,920 | |||
Red Robin Gourmet Burgers, Inc. (c) | 2,936 | 97,211 | |||
Red Rock Resorts, Inc. Class A (c) | 10,786 | 458,405 | |||
Rush Street Interactive, Inc. (c) | 9,100 | 111,566 |
Security Description | Shares | Value | ||||
Ruth's Hospitality Group, Inc. (c) | 6,100 | $ 140,483 | ||||
Scientific Games Corp. Class A (c) | 16,664 | 1,290,460 | ||||
SeaWorld Entertainment, Inc. (c) | 9,009 | 449,909 | ||||
Shake Shack, Inc. Class A (c) | 6,530 | 698,841 | ||||
Six Flags Entertainment Corp. (c) | 13,467 | 582,852 | ||||
Target Hospitality Corp. (c) (d) | 5,600 | 20,776 | ||||
Texas Roadhouse, Inc. | 12,177 | 1,171,427 | ||||
Travel + Leisure Co. | 14,800 | 879,860 | ||||
Vail Resorts, Inc. (c) | 6,935 | 2,195,066 | ||||
Wendy's Co. | 31,258 | 732,062 | ||||
Wingstop, Inc. | 5,165 | 814,159 | ||||
Wyndham Hotels & Resorts, Inc. | 16,016 | 1,157,797 | ||||
Yum China Holdings, Inc. | 73,491 | 4,868,779 | ||||
32,948,727 | ||||||
HOUSEHOLD DURABLES — 0.9% | ||||||
Aterian, Inc. (c) | 3,400 | 49,742 | ||||
Bassett Furniture Industries, Inc. | 1,600 | 38,960 | ||||
Beazer Homes USA, Inc. (c) | 5,396 | 104,089 | ||||
Casper Sleep, Inc. (c) (d) | 4,800 | 39,552 | ||||
Cavco Industries, Inc. (c) | 1,572 | 349,283 | ||||
Century Communities, Inc. | 5,251 | 349,402 | ||||
Ethan Allen Interiors, Inc. | 4,300 | 118,680 | ||||
Flexsteel Industries, Inc. | 1,200 | 48,468 | ||||
GoPro, Inc. Class A (c) | 21,622 | 251,896 | ||||
Green Brick Partners, Inc. (c) | 5,802 | 131,937 | ||||
Hamilton Beach Brands Holding Co. Class A | 1,317 | 29,330 | ||||
Helen of Troy, Ltd. (c) | 4,219 | 962,438 | ||||
Hooker Furniture Corp. | 2,200 | 76,208 | ||||
Hovnanian Enterprises, Inc. Class A (c) | 900 | 95,661 | ||||
Installed Building Products, Inc. | 4,114 | 503,389 | ||||
iRobot Corp. (c) (d) | 4,843 | 452,288 | ||||
KB Home | 15,600 | 635,232 | ||||
La-Z-Boy, Inc. | 7,933 | 293,838 | ||||
Legacy Housing Corp. (c) | 1,520 | 25,703 | ||||
LGI Homes, Inc. (c) | 3,881 | 628,489 | ||||
Lifetime Brands, Inc. | 2,200 | 32,934 | ||||
Lovesac Co. (c) | 1,887 | 150,564 | ||||
M/I Homes, Inc. (c) | 4,991 | 292,822 | ||||
MDC Holdings, Inc. | 9,944 | 503,166 | ||||
Meritage Homes Corp. (c) | 6,467 | 608,415 | ||||
Purple Innovation, Inc. (c) | 6,196 | 163,636 | ||||
Skyline Champion Corp. (c) | 9,137 | 487,002 | ||||
Sonos, Inc. (c) | 20,930 | 737,364 | ||||
Taylor Morrison Home Corp. (c) | 21,848 | 577,224 | ||||
Tempur Sealy International, Inc. | 31,768 | 1,244,988 | ||||
Toll Brothers, Inc. | 19,584 | 1,132,151 | ||||
TopBuild Corp. (c) | 5,735 | 1,134,268 | ||||
Tri Pointe Homes, Inc. (c) | 20,483 | 438,951 |
Security Description | Shares | Value | ||||
Tupperware Brands Corp. (c) | 8,581 | $ 203,799 | ||||
Turtle Beach Corp. (c) | 2,700 | 86,184 | ||||
Universal Electronics, Inc. (c) | 2,539 | 123,142 | ||||
VOXX International Corp. (c) | 3,700 | 51,837 | ||||
Vuzix Corp. (c) (d) | 10,200 | 187,170 | ||||
13,340,202 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (c) | 1,800 | 95,274 | ||||
Central Garden & Pet Co. Class A (c) | 6,982 | 337,230 | ||||
Energizer Holdings, Inc. | 11,858 | 509,657 | ||||
Oil-Dri Corp. of America | 948 | 32,403 | ||||
Reynolds Consumer Products, Inc. (d) | 9,400 | 285,290 | ||||
Spectrum Brands Holdings, Inc. | 7,269 | 618,156 | ||||
WD-40 Co. | 2,412 | 618,171 | ||||
2,496,181 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.3% | ||||||
Brookfield Renewable Corp. Class A | 22,279 | 934,381 | ||||
Clearway Energy, Inc. Class A | 6,026 | 151,976 | ||||
Clearway Energy, Inc. Class C | 14,300 | 378,664 | ||||
Ormat Technologies, Inc. | 7,892 | 548,731 | ||||
Sunnova Energy International, Inc. (c) | 15,000 | 564,900 | ||||
Vistra Corp. | 83,607 | 1,550,910 | ||||
4,129,562 | ||||||
INDUSTRIAL CONGLOMERATES — 0.1% | ||||||
Carlisle Cos., Inc. | 8,937 | 1,710,363 | ||||
Raven Industries, Inc. | 6,222 | 359,943 | ||||
2,070,306 | ||||||
INSURANCE — 2.5% | ||||||
Alleghany Corp. (c) | 2,343 | 1,562,945 | ||||
Ambac Financial Group, Inc. (c) | 8,594 | 134,582 | ||||
American Equity Investment Life Holding Co. | 14,872 | 480,663 | ||||
American Financial Group, Inc. | 11,819 | 1,474,066 | ||||
American National Group, Inc. | 1,324 | 196,680 | ||||
AMERISAFE, Inc. | 3,334 | 199,006 | ||||
Arch Capital Group, Ltd. (c) | 67,767 | 2,638,847 | ||||
Argo Group International Holdings, Ltd. | 5,560 | 288,175 | ||||
Assured Guaranty, Ltd. | 12,719 | 603,898 | ||||
Athene Holding, Ltd. Class A (c) | 20,123 | 1,358,302 | ||||
Axis Capital Holdings, Ltd. | 13,499 | 661,586 | ||||
Brighthouse Financial, Inc. (c) | 15,073 | 686,424 | ||||
Brown & Brown, Inc. | 40,864 | 2,171,513 | ||||
BRP Group, Inc. Class A (c) | 8,105 | 215,998 | ||||
Citizens, Inc. (c) (d) | 9,100 | 48,139 | ||||
CNA Financial Corp. | 4,791 | 217,943 | ||||
CNO Financial Group, Inc. | 22,879 | 540,402 | ||||
Crawford & Co. Class A | 3,000 | 27,210 | ||||
Donegal Group, Inc. Class A | 2,100 | 30,597 |
Security Description | Shares | Value | |||
eHealth, Inc. (c) | 4,207 | $ 245,689 | |||
Employers Holdings, Inc. | 4,900 | 209,720 | |||
Enstar Group, Ltd. (c) | 2,403 | 574,125 | |||
Erie Indemnity Co. Class A | 4,340 | 839,139 | |||
Fidelity National Financial, Inc. | 48,236 | 2,096,337 | |||
First American Financial Corp. | 18,614 | 1,160,583 | |||
Genworth Financial, Inc. Class A (c) | 88,382 | 344,690 | |||
GoHealth, Inc. Class A (c) | 8,300 | 93,043 | |||
Goosehead Insurance, Inc. Class A | 3,119 | 397,049 | |||
Greenlight Capital Re, Ltd. Class A (c) | 5,000 | 45,650 | |||
Hanover Insurance Group, Inc. | 6,183 | 838,662 | |||
HCI Group, Inc. (d) | 973 | 96,745 | |||
Heritage Insurance Holdings, Inc. | 4,799 | 41,175 | |||
Horace Mann Educators Corp. | 7,200 | 269,424 | |||
Independence Holding Co. | 905 | 41,920 | |||
Investors Title Co. | 243 | 42,435 | |||
James River Group Holdings, Ltd. | 5,900 | 221,368 | |||
Kemper Corp. | 10,607 | 783,857 | |||
Kinsale Capital Group, Inc. | 3,749 | 617,723 | |||
Lemonade, Inc. (c) | 6,700 | 733,047 | |||
Maiden Holdings, Ltd. (c) | 12,100 | 40,777 | |||
Markel Corp. (c) | 2,354 | 2,793,515 | |||
MBIA, Inc. (c) | 9,397 | 103,367 | |||
Mercury General Corp. | 4,637 | 301,173 | |||
MetroMile, Inc. (c) | 6,400 | 58,560 | |||
National Western Life Group, Inc. Class A | 480 | 107,707 | |||
NI Holdings, Inc. (c) | 1,700 | 32,317 | |||
Old Republic International Corp. | 48,862 | 1,217,152 | |||
Palomar Holdings, Inc. (c) | 3,910 | 295,049 | |||
Primerica, Inc. | 6,876 | 1,052,991 | |||
ProAssurance Corp. | 9,305 | 211,689 | |||
ProSight Global, Inc. (c) | 1,700 | 21,692 | |||
Reinsurance Group of America, Inc. | 11,846 | 1,350,444 | |||
RenaissanceRe Holdings, Ltd. | 8,575 | 1,276,131 | |||
RLI Corp. | 6,978 | 729,829 | |||
Safety Insurance Group, Inc. | 2,486 | 194,604 | |||
Selective Insurance Group, Inc. | 10,298 | 835,683 | |||
Selectquote, Inc. (c) | 23,400 | 450,684 | |||
SiriusPoint, Ltd. (c) | 15,900 | 160,113 | |||
State Auto Financial Corp. | 3,300 | 56,496 | |||
Stewart Information Services Corp. | 4,665 | 264,459 | |||
Tiptree, Inc. | 4,500 | 41,850 | |||
Trean Insurance Group, Inc. (c) | 2,200 | 33,176 | |||
Trupanion, Inc. (c) | 6,600 | 759,660 | |||
United Fire Group, Inc. | 3,963 | 109,894 | |||
United Insurance Holdings Corp. | 3,800 | 21,660 | |||
Universal Insurance Holdings, Inc. | 5,117 | 71,024 |
Security Description | Shares | Value | ||||
Vericity, Inc. (c) (d) | 300 | $ 2,871 | ||||
Watford Holdings, Ltd. (c) (d) | 3,300 | 115,467 | ||||
White Mountains Insurance Group, Ltd. | 484 | 555,647 | ||||
36,495,038 | ||||||
INTERACTIVE MEDIA & SERVICES — 1.8% | ||||||
Cargurus, Inc. (c) | 16,100 | 422,303 | ||||
Cars.com, Inc. (c) | 12,800 | 183,424 | ||||
Eventbrite, Inc. Class A (c) (d) | 12,193 | 231,667 | ||||
EverQuote, Inc. Class A (c) | 2,635 | 86,112 | ||||
fuboTV, Inc. (c) | 22,900 | 735,319 | ||||
IAC/InterActiveCorp. (c) | 13,337 | 2,056,165 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (c) | 13,400 | 54,538 | ||||
Match Group, Inc. (c) | 47,039 | 7,585,039 | ||||
MediaAlpha, Inc. Class A (c) | 3,400 | 143,140 | ||||
Pinterest, Inc. Class A (c) | 95,409 | 7,532,541 | ||||
QuinStreet, Inc. (c) | 9,098 | 169,041 | ||||
TripAdvisor, Inc. (c) | 17,200 | 693,160 | ||||
TrueCar, Inc. (c) | 19,266 | 108,853 | ||||
Vimeo, Inc. (c) | 21,823 | 1,069,327 | ||||
Yelp, Inc. (c) | 12,591 | 503,136 | ||||
Zillow Group, Inc. Class A (c) | 10,412 | 1,275,782 | ||||
Zillow Group, Inc. Class C (c) (d) | 28,579 | 3,492,925 | ||||
26,342,472 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.8% | ||||||
1-800-Flowers.com, Inc. Class A (c) | 4,900 | 156,163 | ||||
CarParts.com, Inc. (c) (d) | 6,500 | 132,340 | ||||
DoorDash, Inc. Class A (c) | 14,600 | 2,603,618 | ||||
Duluth Holdings, Inc. Class B (c) | 2,096 | 43,282 | ||||
Groupon, Inc. (c) (d) | 4,011 | 173,115 | ||||
Lands' End, Inc. (c) | 2,200 | 90,310 | ||||
Liquidity Services, Inc. (c) | 5,024 | 127,861 | ||||
Overstock.com, Inc. (c) | 7,482 | 689,840 | ||||
PetMed Express, Inc. (d) | 3,668 | 116,826 | ||||
Porch Group, Inc. (c) | 2,800 | 54,152 | ||||
Quotient Technology, Inc. (c) | 16,471 | 178,052 | ||||
Qurate Retail, Inc. Class A | 65,216 | 853,677 | ||||
RealReal, Inc. (c) (d) | 12,100 | 239,096 | ||||
Revolve Group, Inc. (c) | 6,300 | 434,070 | ||||
Shutterstock, Inc. | 4,150 | 407,405 | ||||
Stamps.com, Inc. (c) | 3,055 | 611,886 | ||||
Stitch Fix, Inc. Class A (c) | 10,246 | 617,834 | ||||
Wayfair, Inc. Class A (c) (d) | 13,136 | 4,147,167 | ||||
11,676,694 | ||||||
IT SERVICES — 5.2% | ||||||
Alliance Data Systems Corp. | 8,710 | 907,495 | ||||
Amdocs, Ltd. | 22,535 | 1,743,308 | ||||
BigCommerce Holdings, Inc. (c) (d) | 8,100 | 525,852 | ||||
BM Technologies, Inc. (c) (d) | 4,096 | 50,954 | ||||
Brightcove, Inc. (c) | 7,371 | 105,774 |
Security Description | Shares | Value | |||
Cantaloupe, Inc. (c) | 10,200 | $ 120,972 | |||
Cass Information Systems, Inc. | 2,736 | 111,492 | |||
Concentrix Corp. (c) | 7,374 | 1,185,739 | |||
Conduent, Inc. (c) | 29,000 | 217,500 | |||
CSG Systems International, Inc. | 5,592 | 263,830 | |||
DigitalOcean Holdings, Inc. (c) | 2,200 | 122,298 | |||
EPAM Systems, Inc. (c) | 9,360 | 4,782,586 | |||
Euronet Worldwide, Inc. (c) | 8,812 | 1,192,704 | |||
EVERTEC, Inc. | 10,600 | 462,690 | |||
Evo Payments, Inc. Class A (c) | 8,100 | 224,694 | |||
ExlService Holdings, Inc. (c) | 5,737 | 609,614 | |||
Fastly, Inc. Class A (c) (d) | 18,443 | 1,099,203 | |||
Genpact, Ltd. | 31,953 | 1,451,625 | |||
Globant SA (c) | 6,818 | 1,494,369 | |||
GoDaddy, Inc. Class A (c) | 29,292 | 2,547,232 | |||
GreenBox POS (c) | 3,000 | 35,790 | |||
GreenSky, Inc. Class A (c) | 11,800 | 65,490 | |||
Grid Dynamics Holdings, Inc. (c) (d) | 5,100 | 76,653 | |||
Hackett Group, Inc. | 4,790 | 86,316 | |||
I3 Verticals, Inc. Class A (c) | 3,500 | 105,770 | |||
IBEX Holdings, Ltd. (c) (d) | 1,100 | 21,472 | |||
International Money Express, Inc. (c) | 5,400 | 80,190 | |||
Limelight Networks, Inc. (c) (d) | 22,799 | 71,817 | |||
LiveRamp Holdings, Inc. (c) | 11,285 | 528,702 | |||
Marathon Digital Holdings, Inc. (c) | 16,600 | 520,742 | |||
MAXIMUS, Inc. | 10,607 | 933,098 | |||
MoneyGram International, Inc. (c) | 11,700 | 117,936 | |||
MongoDB, Inc. (c) | 9,268 | 3,350,567 | |||
Okta, Inc. (c) (d) | 21,718 | 5,313,960 | |||
Paya Holdings, Inc. (c) | 14,300 | 157,586 | |||
Paysafe, Ltd. (c) | 54,100 | 655,151 | |||
Perficient, Inc. (c) | 5,649 | 454,292 | |||
Priority Technology Holdings, Inc. (c) | 1,465 | 11,193 | |||
Rackspace Technology, Inc. (c) | 6,500 | 127,465 | |||
Repay Holdings Corp. (c) | 12,800 | 307,712 | |||
Sabre Corp. (c) (d) | 55,335 | 690,581 | |||
Shift4 Payments, Inc. Class A (c) | 7,500 | 702,900 | |||
Snowflake, Inc. Class A (c) | 20,800 | 5,029,440 | |||
Square, Inc. Class A (c) | 68,197 | 16,626,429 | |||
StarTek, Inc. (c) | 3,100 | 22,103 | |||
StoneCo, Ltd. Class A (c) | 38,560 | 2,585,834 | |||
Switch, Inc. Class A | 20,236 | 427,182 | |||
Sykes Enterprises, Inc. (c) | 6,675 | 358,447 | |||
TTEC Holdings, Inc. | 3,207 | 330,610 | |||
Tucows, Inc. Class A (c) (d) | 1,776 | 142,648 | |||
Twilio, Inc. Class A (c) | 28,301 | 11,155,122 | |||
Unisys Corp. (c) | 11,400 | 288,534 | |||
Verra Mobility Corp. (c) (d) | 23,281 | 357,829 | |||
WEX, Inc. (c) | 7,816 | 1,515,522 |
Security Description | Shares | Value | ||||
Wix.com, Ltd. (c) | 9,300 | $ 2,699,604 | ||||
75,174,618 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 1.0% | ||||||
Acushnet Holdings Corp. | 5,972 | 295,017 | ||||
American Outdoor Brands, Inc. (c) | 2,581 | 90,696 | ||||
AMMO, Inc. (c) | 11,500 | 112,585 | ||||
Brunswick Corp. | 13,626 | 1,357,422 | ||||
Callaway Golf Co. (c) | 20,041 | 675,983 | ||||
Clarus Corp. | 4,565 | 117,321 | ||||
ESC Diamond Resorts, Inc. (c) (f) | 1,200 | — | ||||
Escalade, Inc. | 2,000 | 45,900 | ||||
Genius Brands International, Inc. (c) | 49,200 | 90,528 | ||||
Hayward Holdings, Inc. (c) | 6,700 | 174,334 | ||||
Johnson Outdoors, Inc. Class A | 980 | 118,580 | ||||
Latham Group, Inc. (c) | 4,000 | 127,840 | ||||
Malibu Boats, Inc. Class A (c) | 3,565 | 261,421 | ||||
Marine Products Corp. | 1,280 | 19,763 | ||||
MasterCraft Boat Holdings, Inc. (c) | 3,465 | 91,095 | ||||
Mattel, Inc. (c) | 61,239 | 1,230,904 | ||||
Nautilus, Inc. (c) (d) | 5,700 | 96,045 | ||||
Peloton Interactive, Inc. Class A (c) | 46,103 | 5,717,694 | ||||
Polaris, Inc. | 10,103 | 1,383,707 | ||||
Smith & Wesson Brands, Inc. | 9,226 | 320,142 | ||||
Sturm Ruger & Co., Inc. (d) | 2,985 | 268,590 | ||||
Vista Outdoor, Inc. (c) | 10,221 | 473,028 | ||||
YETI Holdings, Inc. (c) | 14,934 | 1,371,240 | ||||
14,439,835 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.7% | ||||||
10X Genomics, Inc. Class A (c) | 14,576 | 2,854,272 | ||||
Adaptive Biotechnologies Corp. (c) | 19,100 | 780,426 | ||||
Akoya Biosciences, Inc. (c) | 1,300 | 25,142 | ||||
Avantor, Inc. (c) | 101,151 | 3,591,872 | ||||
Berkeley Lights, Inc. (c) (d) | 8,347 | 374,029 | ||||
Bionano Genomics, Inc. (c) | 49,000 | 359,170 | ||||
Bio-Techne Corp. | 6,744 | 3,036,554 | ||||
Bruker Corp. | 17,897 | 1,359,814 | ||||
ChromaDex Corp. (c) (d) | 7,800 | 76,908 | ||||
Codexis, Inc. (c) | 10,921 | 247,470 | ||||
Fluidigm Corp. (c) (d) | 13,844 | 85,279 | ||||
Harvard Bioscience, Inc. (c) | 7,200 | 59,976 | ||||
Inotiv, Inc. (c) | 2,300 | 61,364 | ||||
Luminex Corp. | 7,851 | 288,917 | ||||
Maravai LifeSciences Holdings, Inc. Class A (c) | 13,200 | 550,836 | ||||
Medpace Holdings, Inc. (c) | 4,986 | 880,677 | ||||
NanoString Technologies, Inc. (c) | 7,900 | 511,841 | ||||
NeoGenomics, Inc. (c) | 19,700 | 889,849 | ||||
Pacific Biosciences of California, Inc. (c) (d) | 33,721 | 1,179,223 |
Security Description | Shares | Value | ||||
Personalis, Inc. (c) | 5,000 | $ 126,500 | ||||
PPD, Inc. (c) | 27,932 | 1,287,386 | ||||
QIAGEN NV (c) (d) | 39,581 | 1,914,929 | ||||
Quanterix Corp. (c) | 5,400 | 316,764 | ||||
Repligen Corp. (c) | 9,568 | 1,909,964 | ||||
Seer, Inc. (c) (d) | 2,800 | 91,784 | ||||
Sotera Health Co. (c) | 13,800 | 334,374 | ||||
Syneos Health, Inc. (c) | 17,794 | 1,592,385 | ||||
24,787,705 | ||||||
MACHINERY — 2.9% | ||||||
AGCO Corp. | 10,921 | 1,423,880 | ||||
AgEagle Aerial Systems, Inc. (c) | 11,600 | 61,132 | ||||
Alamo Group, Inc. | 1,699 | 259,403 | ||||
Albany International Corp. Class A | 5,371 | 479,415 | ||||
Allison Transmission Holdings, Inc. | 19,059 | 757,405 | ||||
Altra Industrial Motion Corp. | 11,268 | 732,645 | ||||
Astec Industries, Inc. | 3,906 | 245,844 | ||||
Barnes Group, Inc. | 8,214 | 420,968 | ||||
Blue Bird Corp. (c) | 2,922 | 72,641 | ||||
Chart Industries, Inc. (c) | 6,336 | 927,084 | ||||
CIRCOR International, Inc. (c) | 3,147 | 102,592 | ||||
Colfax Corp. (c) | 20,427 | 935,761 | ||||
Columbus McKinnon Corp. | 4,448 | 214,572 | ||||
Commercial Vehicle Group, Inc. (c) | 5,600 | 59,528 | ||||
Crane Co. | 8,648 | 798,816 | ||||
Desktop Metal, Inc. Class A (c) | 14,600 | 167,900 | ||||
Donaldson Co., Inc. | 21,986 | 1,396,771 | ||||
Douglas Dynamics, Inc. | 3,873 | 157,592 | ||||
Energy Recovery, Inc. (c) | 7,600 | 173,128 | ||||
Enerpac Tool Group Corp. | 10,491 | 279,270 | ||||
EnPro Industries, Inc. | 3,645 | 354,112 | ||||
ESCO Technologies, Inc. | 4,428 | 415,391 | ||||
Evoqua Water Technologies Corp. (c) | 20,100 | 678,978 | ||||
ExOne Co. (c) (d) | 2,700 | 58,428 | ||||
Federal Signal Corp. | 10,500 | 422,415 | ||||
Flowserve Corp. | 22,800 | 919,296 | ||||
Franklin Electric Co., Inc. | 8,015 | 646,169 | ||||
Gates Industrial Corp. PLC (c) | 12,700 | 229,489 | ||||
Gorman-Rupp Co. | 3,300 | 113,652 | ||||
Graco, Inc. | 29,282 | 2,216,647 | ||||
Greenbrier Cos., Inc. | 5,594 | 243,787 | ||||
Helios Technologies, Inc. | 5,648 | 440,826 | ||||
Hillenbrand, Inc. | 13,068 | 576,037 | ||||
Hydrofarm Holdings Group, Inc. (c) | 1,800 | 106,398 | ||||
Hyliion Holdings Corp. (c) (d) | 20,400 | 237,660 | ||||
Hyster-Yale Materials Handling, Inc. | 1,889 | 137,859 | ||||
ITT, Inc. | 14,988 | 1,372,751 | ||||
John Bean Technologies Corp. | 5,476 | 780,987 | ||||
Kadant, Inc. | 1,980 | 348,658 | ||||
Kennametal, Inc. | 14,517 | 521,451 |
Security Description | Shares | Value | ||||
Lincoln Electric Holdings, Inc. | 10,005 | $ 1,317,759 | ||||
Lindsay Corp. | 1,875 | 309,900 | ||||
Luxfer Holdings PLC | 5,231 | 116,390 | ||||
Lydall, Inc. (c) | 3,245 | 196,387 | ||||
Manitowoc Co., Inc (c) | 6,475 | 158,638 | ||||
Mayville Engineering Co., Inc. (c) | 1,390 | 27,953 | ||||
Meritor, Inc. (c) | 12,196 | 285,630 | ||||
Middleby Corp. (c) | 9,627 | 1,667,974 | ||||
Miller Industries, Inc. | 2,065 | 81,444 | ||||
Mueller Industries, Inc. | 9,784 | 423,745 | ||||
Mueller Water Products, Inc. Class A | 27,422 | 395,425 | ||||
Navistar International Corp. (c) | 8,700 | 387,150 | ||||
Nikola Corp. (c) | 34,800 | 628,488 | ||||
NN, Inc. (c) | 7,816 | 57,448 | ||||
Nordson Corp. | 10,079 | 2,212,441 | ||||
Omega Flex, Inc. | 551 | 80,837 | ||||
Oshkosh Corp. | 11,942 | 1,488,451 | ||||
Park-Ohio Holdings Corp. | 1,611 | 51,778 | ||||
Proto Labs, Inc. (c) | 4,785 | 439,263 | ||||
RBC Bearings, Inc. (c) | 4,317 | 860,896 | ||||
REV Group, Inc. | 5,200 | 81,588 | ||||
Rexnord Corp. | 20,790 | 1,040,332 | ||||
Shyft Group, Inc. | 6,000 | 224,460 | ||||
SPX Corp. (c) | 7,589 | 463,536 | ||||
SPX FLOW, Inc. | 7,300 | 476,252 | ||||
Standex International Corp. | 2,119 | 201,114 | ||||
Tennant Co. | 3,224 | 257,436 | ||||
Terex Corp. | 11,892 | 566,297 | ||||
Timken Co. | 11,258 | 907,282 | ||||
Titan International, Inc. (c) | 8,800 | 74,624 | ||||
Toro Co. | 18,774 | 2,062,887 | ||||
TriMas Corp. (c) | 7,806 | 236,756 | ||||
Trinity Industries, Inc. (d) | 15,169 | 407,894 | ||||
Wabash National Corp. | 8,887 | 142,192 | ||||
Watts Water Technologies, Inc. Class A | 4,786 | 698,325 | ||||
Welbilt, Inc. (c) | 22,790 | 527,589 | ||||
Woodward, Inc. | 9,974 | 1,225,605 | ||||
41,269,504 | ||||||
MARINE — 0.1% | ||||||
Costamare, Inc. | 9,600 | 113,376 | ||||
Eagle Bulk Shipping, Inc. (c) (d) | 1,213 | 57,399 | ||||
Genco Shipping & Trading, Ltd. | 3,200 | 60,416 | ||||
Kirby Corp. (c) | 10,440 | 633,081 | ||||
Matson, Inc. | 7,482 | 478,848 | ||||
Safe Bulkers, Inc. (c) (d) | 9,660 | 38,737 | ||||
1,381,857 | ||||||
MEDIA — 1.4% | ||||||
Advantage Solutions, Inc. (c) | 13,300 | 143,507 | ||||
Altice USA, Inc. Class A (c) | 37,300 | 1,273,422 | ||||
AMC Networks, Inc. Class A (c) | 5,086 | 339,745 | ||||
Boston Omaha Corp. Class A (c) | 2,465 | 78,165 |
Security Description | Shares | Value | ||||
Cable One, Inc. | 929 | $ 1,777,000 | ||||
Cardlytics, Inc. (c) (d) | 5,565 | 706,365 | ||||
Clear Channel Outdoor Holding, Inc. (c) | 63,300 | 167,112 | ||||
comScore, Inc. (c) | 11,200 | 56,000 | ||||
Daily Journal Corp. (c) | 227 | 76,839 | ||||
Emerald Holding, Inc. (c) | 4,400 | 23,716 | ||||
Entercom Communications Corp. (c) | 21,900 | 94,389 | ||||
Entravision Communications Corp. Class A | 10,900 | 72,812 | ||||
EW Scripps Co. Class A | 9,940 | 202,677 | ||||
Fluent, Inc. (c) (d) | 7,613 | 22,306 | ||||
Gannett Co., Inc. (c) | 25,214 | 138,425 | ||||
Gray Television, Inc. | 14,877 | 348,122 | ||||
Hemisphere Media Group, Inc. (c) | 3,000 | 35,400 | ||||
iHeartMedia, Inc. Class A (c) | 19,500 | 525,135 | ||||
John Wiley & Sons, Inc. Class A | 7,540 | 453,757 | ||||
Liberty Broadband Corp. Class A (c) | 4,364 | 733,894 | ||||
Liberty Broadband Corp. Class C (c) | 26,487 | 4,599,732 | ||||
Liberty Latin America, Ltd. Class A (c) | 7,388 | 102,398 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (c) | 14,004 | 652,306 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (c) | 28,343 | 1,314,832 | ||||
Loral Space & Communications, Inc. (d) | 2,400 | 93,240 | ||||
Magnite, Inc. (c) | 18,227 | 616,802 | ||||
MDC Partners, Inc. Class A (c) | 10,900 | 63,765 | ||||
Meredith Corp. (c) | 6,938 | 301,387 | ||||
MSG Networks, Inc. Class A (c) | 5,622 | 81,969 | ||||
National CineMedia, Inc. | 11,700 | 59,319 | ||||
New York Times Co. Class A | 28,802 | 1,254,327 | ||||
Nexstar Media Group, Inc. Class A | 7,198 | 1,064,440 | ||||
Scholastic Corp. | 5,029 | 190,549 | ||||
Sinclair Broadcast Group, Inc. Class A | 8,362 | 277,786 | ||||
Sirius XM Holdings, Inc. (d) | 157,238 | 1,028,336 | ||||
TechTarget, Inc. (c) | 4,400 | 340,956 | ||||
TEGNA, Inc. | 38,583 | 723,817 | ||||
Thryv Holdings, Inc. (c) | 1,100 | 39,347 | ||||
WideOpenWest, Inc. (c) | 9,036 | 187,136 | ||||
20,261,232 | ||||||
METALS & MINING — 1.2% | ||||||
Alcoa Corp. (c) | 32,805 | 1,208,536 | ||||
Allegheny Technologies, Inc. (c) | 22,237 | 463,641 | ||||
Arconic Corp. (c) | 19,100 | 680,342 | ||||
Carpenter Technology Corp. | 8,355 | 336,038 | ||||
Century Aluminum Co. (c) | 9,600 | 123,744 | ||||
Cleveland-Cliffs, Inc. (c) (d) | 79,502 | 1,714,063 | ||||
Coeur Mining, Inc. (c) | 42,242 | 375,109 |
Security Description | Shares | Value | ||||
Commercial Metals Co. | 20,847 | $ 640,420 | ||||
Compass Minerals International, Inc. | 5,914 | 350,464 | ||||
Constellium SE (c) | 21,400 | 405,530 | ||||
Ferroglobe Representation & Warranty Insurance Trust (c) (f) | 2,200 | — | ||||
Gatos Silver, Inc. (c) (d) | 4,500 | 78,705 | ||||
Haynes International, Inc. | 2,400 | 84,912 | ||||
Hecla Mining Co. | 92,116 | 685,343 | ||||
Kaiser Aluminum Corp. | 2,733 | 337,498 | ||||
Materion Corp. | 3,555 | 267,869 | ||||
MP Materials Corp. (c) | 12,700 | 468,122 | ||||
Novagold Resources, Inc. (c) (d) | 41,400 | 331,614 | ||||
Olympic Steel, Inc. | 1,700 | 49,963 | ||||
Perpetua Resources Corp. (c) (d) | 4,700 | 34,310 | ||||
PolyMet Mining Corp. (c) (d) | 5,000 | 18,050 | ||||
Reliance Steel & Aluminum Co. | 11,066 | 1,669,859 | ||||
Royal Gold, Inc. | 11,455 | 1,307,016 | ||||
Ryerson Holding Corp. (c) | 3,000 | 43,800 | ||||
Schnitzer Steel Industries, Inc. Class A | 4,472 | 219,352 | ||||
Southern Copper Corp. | 14,769 | 949,942 | ||||
Steel Dynamics, Inc. | 35,030 | 2,087,788 | ||||
SunCoke Energy, Inc. | 15,700 | 112,098 | ||||
TimkenSteel Corp. (c) | 8,514 | 120,473 | ||||
United States Steel Corp. | 46,676 | 1,120,224 | ||||
Warrior Met Coal, Inc. | 9,738 | 167,494 | ||||
Worthington Industries, Inc. | 6,072 | 371,485 | ||||
16,823,804 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 0.8% | ||||||
AFC Gamma, Inc. | 1,300 | 26,845 | ||||
AGNC Investment Corp. REIT | 91,479 | 1,545,080 | ||||
Annaly Capital Management, Inc. REIT | 243,843 | 2,165,326 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 24,449 | 389,962 | ||||
Arbor Realty Trust, Inc. REIT | 22,100 | 393,822 | ||||
Ares Commercial Real Estate Corp. REIT | 5,800 | 85,202 | ||||
ARMOUR Residential REIT, Inc. (d) | 12,100 | 138,182 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT | 23,966 | 764,276 | ||||
BrightSpire Capital, Inc. REIT (d) | 15,900 | 149,460 | ||||
Broadmark Realty Capital, Inc. REIT | 22,309 | 236,252 | ||||
Capstead Mortgage Corp. REIT | 18,048 | 110,815 | ||||
Chimera Investment Corp. REIT (d) | 39,945 | 601,572 | ||||
Dynex Capital, Inc. REIT | 4,800 | 89,568 | ||||
Ellington Financial, Inc. REIT | 7,800 | 149,370 |
Security Description | Shares | Value | ||||
Granite Point Mortgage Trust, Inc. REIT | 10,334 | $ 152,427 | ||||
Great Ajax Corp. REIT | 3,886 | 50,440 | ||||
Invesco Mortgage Capital, Inc. REIT (d) | 44,013 | 171,651 | ||||
KKR Real Estate Finance Trust, Inc. REIT | 5,400 | 116,802 | ||||
Ladder Capital Corp. REIT | 20,039 | 231,250 | ||||
MFA Financial, Inc. REIT | 77,236 | 354,513 | ||||
New Residential Investment Corp. REIT | 75,911 | 803,898 | ||||
New York Mortgage Trust, Inc. REIT | 65,788 | 294,072 | ||||
Orchid Island Capital, Inc. REIT (d) | 16,200 | 84,078 | ||||
PennyMac Mortgage Investment Trust REIT | 17,124 | 360,631 | ||||
Ready Capital Corp. REIT | 10,058 | 159,620 | ||||
Redwood Trust, Inc. REIT | 19,600 | 236,572 | ||||
TPG RE Finance Trust, Inc. REIT | 11,352 | 152,684 | ||||
Two Harbors Investment Corp. REIT (d) | 47,757 | 361,043 | ||||
Starwood Property Trust, Inc. REIT | 47,804 | 1,251,031 | ||||
11,626,444 | ||||||
MULTI-UTILITIES — 0.2% | ||||||
Avista Corp. | 12,100 | 516,307 | ||||
Black Hills Corp. | 11,005 | 722,258 | ||||
MDU Resources Group, Inc. | 34,837 | 1,091,792 | ||||
NorthWestern Corp. | 8,855 | 533,248 | ||||
Unitil Corp. | 2,538 | 134,438 | ||||
2,998,043 | ||||||
MULTILINE RETAIL — 0.3% | ||||||
Big Lots, Inc. | 6,020 | 397,380 | ||||
Dillard's, Inc. Class A | 1,052 | 190,286 | ||||
Franchise Group, Inc. (d) | 4,100 | 144,607 | ||||
Kohl's Corp. | 27,306 | 1,504,834 | ||||
Macy's, Inc. (c) | 54,500 | 1,033,320 | ||||
Nordstrom, Inc. (c) | 19,400 | 709,458 | ||||
Ollie's Bargain Outlet Holdings, Inc. (c) (d) | 11,369 | 956,474 | ||||
4,936,359 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.0% | ||||||
Aemetis, Inc. (c) (d) | 4,000 | 44,680 | ||||
Alto Ingredients, Inc. (c) | 12,500 | 76,375 | ||||
Altus Midstream Co. Class A (d) | 600 | 40,506 | ||||
Antero Midstream Corp. | 58,300 | 605,737 | ||||
Antero Resources Corp. (c) | 49,574 | 745,097 | ||||
Arch Resources, Inc. (c) | 2,594 | 147,806 | ||||
Berry Corp. | 12,800 | 86,016 | ||||
Bonanza Creek Energy, Inc. | 4,000 | 188,280 | ||||
Brigham Minerals, Inc. Class A | 8,000 | 170,320 | ||||
California Resources Corp. (c) | 14,700 | 443,058 | ||||
Callon Petroleum Co. (c) | 7,000 | 403,830 |
Security Description | Shares | Value | |||
Centennial Resource Development, Inc. Class A (c) | 31,600 | $ 214,248 | |||
Centrus Energy Corp. Class A (c) | 1,600 | 40,608 | |||
Cheniere Energy, Inc. (c) | 40,859 | 3,544,110 | |||
Chesapeake Energy Corp. | 17,200 | 893,024 | |||
Cimarex Energy Co. | 17,494 | 1,267,440 | |||
Clean Energy Fuels Corp. (c) | 24,600 | 249,690 | |||
CNX Resources Corp. (c) | 38,181 | 521,552 | |||
Comstock Resources, Inc. (c) | 4,500 | 30,015 | |||
CONSOL Energy, Inc. (c) | 5,725 | 105,741 | |||
Contango Oil & Gas Co. (c) (d) | 21,800 | 94,176 | |||
Continental Resources, Inc. | 11,450 | 435,444 | |||
CVR Energy, Inc. | 5,600 | 100,576 | |||
Delek US Holdings, Inc. | 11,404 | 246,554 | |||
Denbury, Inc. (c) | 8,700 | 667,986 | |||
DHT Holdings, Inc. | 21,166 | 137,367 | |||
Diamond Shipping, Inc. (c) | 5,096 | 50,756 | |||
Dorian LPG, Ltd. (c) | 5,158 | 72,831 | |||
Earthstone Energy, Inc. Class A (c) | 4,385 | 48,542 | |||
Energy Fuels, Inc. (c) (d) | 25,201 | 152,466 | |||
EQT Corp. (c) | 48,596 | 1,081,747 | |||
Equitrans Midstream Corp. | 70,940 | 603,699 | |||
Extraction Oil & Gas, Inc. (c) | 2,700 | 148,257 | |||
Falcon Minerals Corp. | 7,100 | 36,068 | |||
Frontline, Ltd. (d) | 22,300 | 200,700 | |||
Gevo, Inc. (c) | 34,000 | 247,180 | |||
Golar LNG, Ltd. (c) | 17,855 | 236,579 | |||
Green Plains, Inc. (d) | 6,538 | 219,808 | |||
HollyFrontier Corp. | 26,100 | 858,690 | |||
International Seaways, Inc. | 4,597 | 88,170 | |||
Kosmos Energy, Ltd. (c) | 70,200 | 242,892 | |||
Laredo Petroleum, Inc. (c) | 2,200 | 204,138 | |||
Magnolia Oil & Gas Corp. Class A (c) | 24,300 | 379,809 | |||
Matador Resources Co. | 19,202 | 691,464 | |||
Meta Materials, Inc. (c) | 10,750 | 80,518 | |||
Murphy Oil Corp. | 25,400 | 591,312 | |||
New Fortress Energy, Inc. | 4,600 | 174,248 | |||
Nordic American Tankers, Ltd. | 27,840 | 91,315 | |||
Northern Oil and Gas, Inc. | 8,300 | 172,391 | |||
Oasis Petroleum, Inc. | 3,500 | 351,925 | |||
Ovintiv, Inc. | 45,467 | 1,430,846 | |||
Par Pacific Holdings, Inc. (c) | 7,589 | 127,647 | |||
PBF Energy, Inc. Class A (c) | 16,652 | 254,776 | |||
PDC Energy, Inc. | 17,291 | 791,755 | |||
Peabody Energy Corp. (c) | 11,903 | 94,391 | |||
Penn Virginia Corp. (c) | 2,919 | 68,918 | |||
Range Resources Corp. (c) | 40,972 | 686,691 | |||
Renewable Energy Group, Inc. (c) | 7,725 | 481,576 | |||
REX American Resources Corp. (c) | 935 | 84,318 | |||
Riley Exploration Permian, Inc. (d) | 400 | 11,592 | |||
Scorpio Tankers, Inc. | 8,499 | 187,403 |
Security Description | Shares | Value | ||||
SFL Corp., Ltd. | 17,900 | $ 136,935 | ||||
SM Energy Co. | 20,356 | 501,368 | ||||
Southwestern Energy Co. (c) | 117,449 | 665,936 | ||||
Talos Energy, Inc. (c) | 2,600 | 40,664 | ||||
Targa Resources Corp. | 39,307 | 1,747,196 | ||||
Teekay Corp. (c) | 12,100 | 45,012 | ||||
Teekay Tankers, Ltd. Class A (c) | 4,200 | 60,564 | ||||
Tellurian, Inc. (c) | 31,827 | 147,996 | ||||
Texas Pacific Land Corp. | 1,000 | 1,599,740 | ||||
Uranium Energy Corp. (c) (d) | 36,900 | 98,154 | ||||
Ur-Energy, Inc. (c) | 31,500 | 44,100 | ||||
Vine Energy, Inc. Class A (c) | 3,600 | 56,124 | ||||
W&T Offshore, Inc. (c) | 17,600 | 85,360 | ||||
Whiting Petroleum Corp. (c) | 6,888 | 375,740 | ||||
World Fuel Services Corp. | 10,835 | 343,795 | ||||
28,694,338 | ||||||
PAPER & FOREST PRODUCTS — 0.2% | ||||||
Clearwater Paper Corp. (c) | 3,007 | 87,113 | ||||
Domtar Corp. (c) | 8,752 | 481,010 | ||||
Glatfelter Corp. | 8,300 | 115,951 | ||||
Louisiana-Pacific Corp. | 17,818 | 1,074,247 | ||||
Neenah, Inc. | 3,145 | 157,785 | ||||
Schweitzer-Mauduit International, Inc. | 5,421 | 218,900 | ||||
Verso Corp. Class A | 5,200 | 92,040 | ||||
2,227,046 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
Beauty Health Co (c) (d) | 8,100 | 136,080 | ||||
BellRing Brands, Inc. Class A (c) | 6,871 | 215,337 | ||||
Coty, Inc. Class A (c) | 50,900 | 475,406 | ||||
Edgewell Personal Care Co. | 9,479 | 416,128 | ||||
elf Beauty, Inc. (c) | 7,900 | 214,406 | ||||
Herbalife Nutrition, Ltd. (c) | 18,776 | 990,058 | ||||
Honest Co. Inc (c) | 4,300 | 69,617 | ||||
Inter Parfums, Inc. | 3,070 | 221,040 | ||||
Medifast, Inc. | 2,062 | 583,505 | ||||
Nature's Sunshine Products, Inc. | 1,700 | 29,529 | ||||
Nu Skin Enterprises, Inc. Class A | 8,658 | 490,476 | ||||
Revlon, Inc. Class A (c) | 1,300 | 16,692 | ||||
USANA Health Sciences, Inc. (c) | 2,204 | 225,756 | ||||
Veru, Inc. (c) | 10,400 | 83,928 | ||||
4,167,958 | ||||||
PHARMACEUTICALS — 1.1% | ||||||
9 Meters Biopharma, Inc. (c) (d) | 37,100 | 40,810 | ||||
Aclaris Therapeutics, Inc. (c) | 7,600 | 133,456 | ||||
Aerie Pharmaceuticals, Inc. (c) (d) | 6,900 | 110,469 | ||||
Amneal Pharmaceuticals, Inc. (c) | 18,790 | 96,205 | ||||
Amphastar Pharmaceuticals, Inc. (c) | 6,927 | 139,648 |
Security Description | Shares | Value | |||
Ampio Pharmaceuticals, Inc. (c) | 33,200 | $ 55,444 | |||
Angion Biomedica Corp. (c) | 1,100 | 14,322 | |||
ANI Pharmaceuticals, Inc. (c) | 1,833 | 64,247 | |||
Antares Pharma, Inc. (c) (d) | 31,100 | 135,596 | |||
Arvinas, Inc. (c) | 7,596 | 584,892 | |||
Atea Pharmaceuticals, Inc. (c) (d) | 11,300 | 242,724 | |||
Athira Pharma, Inc. (c) (d) | 2,600 | 26,624 | |||
Avenue Therapeutics, Inc. (c) | 1,000 | 2,510 | |||
Axsome Therapeutics, Inc. (c) (d) | 4,800 | 323,808 | |||
BioDelivery Sciences International, Inc. (c) | 17,000 | 60,860 | |||
Cara Therapeutics, Inc. (c) | 7,700 | 109,879 | |||
Cassava Sciences, Inc. (c) (d) | 6,600 | 563,904 | |||
Cerecor, Inc. (c) (d) | 8,100 | 26,487 | |||
Citius Pharmaceuticals, Inc. (c) | 19,800 | 68,904 | |||
Collegium Pharmaceutical, Inc. (c) (d) | 6,467 | 152,880 | |||
Corcept Therapeutics, Inc. (c) | 16,884 | 371,448 | |||
CorMedix, Inc. (c) (d) | 6,100 | 41,846 | |||
Cymabay Therapeutics, Inc. (c) (d) | 12,830 | 55,939 | |||
Durect Corp. (c) (d) | 41,800 | 68,134 | |||
Edgewise Therapeutics, Inc. (c) | 2,200 | 46,926 | |||
Elanco Animal Health, Inc. (c) | 77,646 | 2,693,540 | |||
Endo International PLC (c) | 39,700 | 185,796 | |||
Evolus, Inc. (c) (d) | 4,100 | 51,865 | |||
EyePoint Pharmaceuticals, Inc. (c) | 3,700 | 33,263 | |||
Fulcrum Therapeutics, Inc. (c) (d) | 3,220 | 33,746 | |||
Harmony Biosciences Holdings, Inc. (c) | 1,200 | 33,876 | |||
Ikena Oncology, Inc. (c) | 1,600 | 22,464 | |||
Innoviva, Inc. (c) | 11,953 | 160,290 | |||
Intra-Cellular Therapies, Inc. (c) | 12,225 | 499,024 | |||
Jazz Pharmaceuticals PLC (c) | 10,306 | 1,830,758 | |||
Kala Pharmaceuticals, Inc. (c) | 7,300 | 38,690 | |||
Kaleido Biosciences, Inc. (c) (d) | 2,600 | 19,344 | |||
KemPharm, Inc. (c) | 5,000 | 64,100 | |||
Landos Biopharma, Inc. (c) | 1,200 | 13,860 | |||
Marinus Pharmaceuticals, Inc. (c) (d) | 5,572 | 99,962 | |||
Mind Medicine MindMed, Inc. (c) (d) | 56,100 | 193,545 | |||
Nektar Therapeutics (c) | 31,100 | 533,676 | |||
NGM Biopharmaceuticals, Inc. (c) | 4,925 | 97,121 | |||
Nuvation Bio, Inc. (c) | 6,200 | 57,722 | |||
Ocular Therapeutix, Inc. (c) | 13,800 | 195,684 | |||
Omeros Corp. (c) (d) | 11,193 | 166,104 | |||
Oramed Pharmaceuticals, Inc. (c) | 4,700 | 62,886 | |||
Pacira BioSciences, Inc. (c) | 7,537 | 457,345 | |||
Paratek Pharmaceuticals, Inc. (c) (d) | 8,200 | 55,924 |
Security Description | Shares | Value | ||||
Phathom Pharmaceuticals, Inc. (c) (d) | 2,200 | $ 74,470 | ||||
Phibro Animal Health Corp. Class A | 3,900 | 112,632 | ||||
Pliant Therapeutics, Inc. (c) (d) | 4,600 | 133,952 | ||||
Prestige Consumer Healthcare, Inc. (c) | 8,716 | 454,103 | ||||
Provention Bio, Inc. (c) (d) | 9,900 | 83,457 | ||||
Rain Therapeutics, Inc. (c) | 1,300 | 20,202 | ||||
Reata Pharmaceuticals, Inc. Class A (c) (d) | 4,736 | 670,286 | ||||
Relmada Therapeutics, Inc. (c) | 2,800 | 89,628 | ||||
Revance Therapeutics, Inc. (c) | 11,974 | 354,909 | ||||
Royalty Pharma PLC Class A | 56,700 | 2,324,133 | ||||
Seelos Therapeutics, Inc. (c) | 13,200 | 34,848 | ||||
SIGA Technologies, Inc. (c) | 9,900 | 62,172 | ||||
Supernus Pharmaceuticals, Inc. (c) | 8,500 | 261,715 | ||||
Tarsus Pharmaceuticals, Inc. (c) | 1,200 | 34,776 | ||||
Terns Pharmaceuticals, Inc. (c) | 1,700 | 20,842 | ||||
TherapeuticsMD, Inc. (c) (d) | 62,800 | 74,732 | ||||
Theravance Biopharma, Inc. (c) (d) | 8,804 | 127,834 | ||||
Verrica Pharmaceuticals, Inc. (c) (d) | 2,300 | 25,990 | ||||
WaVe Life Sciences, Ltd. (c) | 6,110 | 40,693 | ||||
Zogenix, Inc. (c) | 9,741 | 168,324 | ||||
16,308,245 | ||||||
PROFESSIONAL SERVICES — 1.8% | ||||||
Acacia Research Corp. (c) | 8,800 | 59,488 | ||||
ASGN, Inc. (c) | 9,035 | 875,763 | ||||
Atlas Technical Consultants, Inc. (c) | 2,300 | 22,264 | ||||
Barrett Business Services, Inc. | 1,439 | 104,486 | ||||
Booz Allen Hamilton Holding Corp. | 23,652 | 2,014,677 | ||||
CACI International, Inc. Class A (c) | 4,081 | 1,041,145 | ||||
CBIZ, Inc. (c) | 8,700 | 285,099 | ||||
Clarivate PLC (c) | 71,900 | 1,979,407 | ||||
CoStar Group, Inc. (c) | 68,370 | 5,662,403 | ||||
CRA International, Inc. | 1,245 | 106,572 | ||||
Dun & Bradstreet Holdings, Inc. (c) | 27,962 | 597,548 | ||||
Exponent, Inc. | 9,009 | 803,693 | ||||
Forrester Research, Inc. (c) | 2,100 | 96,180 | ||||
Franklin Covey Co. (c) | 2,383 | 77,090 | ||||
FTI Consulting, Inc. (c) | 5,808 | 793,431 | ||||
GP Strategies Corp. (c) | 2,400 | 37,728 | ||||
Heidrick & Struggles International, Inc. | 3,600 | 160,380 | ||||
HireQuest, Inc. | 900 | 16,659 | ||||
Huron Consulting Group, Inc. (c) | 3,831 | 188,294 | ||||
ICF International, Inc. | 3,212 | 282,206 | ||||
Insperity, Inc. | 6,310 | 570,235 |
Security Description | Shares | Value | ||||
KBR, Inc. | 24,526 | $ 935,667 | ||||
Kelly Services, Inc. Class A (c) | 6,395 | 153,288 | ||||
Kforce, Inc. | 3,744 | 235,610 | ||||
Korn Ferry | 9,257 | 671,595 | ||||
ManpowerGroup, Inc. | 9,490 | 1,128,456 | ||||
ManTech International Corp. Class A | 4,758 | 411,757 | ||||
Mistras Group, Inc. (c) | 3,358 | 33,009 | ||||
Rekor Systems, Inc. (c) (d) | 5,500 | 55,880 | ||||
Resources Connection, Inc. | 5,800 | 83,288 | ||||
Science Applications International Corp. | 10,082 | 884,494 | ||||
TransUnion | 33,362 | 3,663,481 | ||||
TriNet Group, Inc. (c) | 7,000 | 507,360 | ||||
TrueBlue, Inc. (c) | 6,107 | 171,668 | ||||
Upwork, Inc. (c) | 20,187 | 1,176,700 | ||||
Willdan Group, Inc. (c) (d) | 1,971 | 74,189 | ||||
25,961,190 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% | ||||||
Alset EHome International, Inc. (c) (d) | 400 | 2,272 | ||||
Cushman & Wakefield PLC (c) (d) | 20,306 | 354,746 | ||||
eXp World Holdings, Inc. (c) (d) | 10,900 | 422,593 | ||||
Fathom Holdings, Inc. (c) (d) | 900 | 29,511 | ||||
Forestar Group, Inc. (c) | 3,206 | 67,037 | ||||
FRP Holdings, Inc. (c) | 1,189 | 66,204 | ||||
Howard Hughes Corp. (c) | 7,238 | 705,416 | ||||
Jones Lang LaSalle, Inc. (c) | 8,942 | 1,747,803 | ||||
Kennedy-Wilson Holdings, Inc. | 20,942 | 416,118 | ||||
Marcus & Millichap, Inc. (c) | 4,446 | 172,816 | ||||
Newmark Group, Inc. Class A | 25,812 | 310,002 | ||||
Opendoor Technologies, Inc. (c) | 60,500 | 1,072,665 | ||||
Rafael Holdings, Inc. Class B (c) | 1,802 | 91,992 | ||||
RE/MAX Holdings, Inc. Class A | 3,500 | 116,655 | ||||
Realogy Holdings Corp. (c) (d) | 20,095 | 366,131 | ||||
Redfin Corp. (c) (d) | 17,600 | 1,116,016 | ||||
RMR Group, Inc. Class A | 2,907 | 112,326 | ||||
St. Joe Co. | 5,800 | 258,738 | ||||
Tejon Ranch Co. (c) | 3,900 | 59,319 | ||||
7,488,360 | ||||||
ROAD & RAIL — 1.7% | ||||||
AMERCO | 1,517 | 894,120 | ||||
ArcBest Corp. | 4,367 | 254,116 | ||||
Avis Budget Group, Inc. (c) | 8,872 | 691,040 | ||||
Covenant Logistics Group, Inc. (c) | 2,245 | 46,427 | ||||
Daseke, Inc. (c) | 8,664 | 56,143 | ||||
Heartland Express, Inc. | 8,255 | 141,408 | ||||
HyreCar, Inc. (c) | 3,100 | 64,852 | ||||
Knight-Swift Transportation Holdings, Inc. | 28,016 | 1,273,607 | ||||
Landstar System, Inc. | 6,658 | 1,052,097 | ||||
Lyft, Inc. Class A (c) | 48,900 | 2,957,472 |
Security Description | Shares | Value | ||||
Marten Transport, Ltd. | 11,148 | $ 183,830 | ||||
PAM Transportation Services, Inc. (c) | 343 | 18,093 | ||||
Ryder System, Inc. | 9,139 | 679,302 | ||||
Saia, Inc. (c) | 4,621 | 968,053 | ||||
Schneider National, Inc. Class B | 9,100 | 198,107 | ||||
TuSimple Holdings, Inc. Class A (c) | 6,300 | 448,812 | ||||
Uber Technologies, Inc. (c) | 281,822 | 14,124,919 | ||||
Universal Logistics Holdings, Inc. | 1,429 | 33,296 | ||||
US Xpress Enterprises, Inc. Class A (c) | 4,198 | 36,103 | ||||
Werner Enterprises, Inc. | 10,900 | 485,268 | ||||
Yellow Corp. (c) | 8,800 | 57,288 | ||||
24,664,353 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.6% | ||||||
Allegro MicroSystems, Inc. (c) | 8,900 | 246,530 | ||||
Alpha & Omega Semiconductor, Ltd. (c) | 3,987 | 121,165 | ||||
Ambarella, Inc. (c) | 6,029 | 642,872 | ||||
Amkor Technology, Inc. | 17,735 | 419,787 | ||||
Atomera, Inc. (c) (d) | 3,400 | 72,896 | ||||
Axcelis Technologies, Inc. (c) | 5,785 | 233,830 | ||||
AXT, Inc. (c) | 7,453 | 81,834 | ||||
Brooks Automation, Inc. | 12,741 | 1,213,963 | ||||
CEVA, Inc. (c) | 4,171 | 197,288 | ||||
Cirrus Logic, Inc. (c) | 10,140 | 863,117 | ||||
CMC Materials, Inc. | 5,052 | 761,538 | ||||
Cohu, Inc. (c) | 8,091 | 297,668 | ||||
Cree, Inc. (c) (d) | 20,101 | 1,968,491 | ||||
Diodes, Inc. (c) | 7,592 | 605,614 | ||||
DSP Group, Inc. (c) | 4,196 | 62,101 | ||||
Entegris, Inc. | 23,507 | 2,890,656 | ||||
First Solar, Inc. (c) | 18,457 | 1,670,543 | ||||
FormFactor, Inc. (c) | 13,546 | 493,887 | ||||
Ichor Holdings, Ltd. (c) | 4,799 | 258,186 | ||||
Impinj, Inc. (c) (d) | 3,252 | 167,771 | ||||
Kopin Corp. (c) (d) | 13,500 | 110,430 | ||||
Kulicke & Soffa Industries, Inc. | 10,600 | 648,720 | ||||
Lattice Semiconductor Corp. (c) | 23,525 | 1,321,635 | ||||
MACOM Technology Solutions Holdings, Inc. (c) | 8,452 | 541,604 | ||||
Marvell Technology, Inc. | 140,972 | 8,222,897 | ||||
MaxLinear, Inc. (c) | 12,196 | 518,208 | ||||
MKS Instruments, Inc. | 9,633 | 1,714,192 | ||||
NeoPhotonics Corp. (c) | 9,400 | 95,974 | ||||
NVE Corp. | 886 | 65,608 | ||||
ON Semiconductor Corp. (c) | 73,903 | 2,829,007 | ||||
Onto Innovation, Inc. (c) | 8,457 | 617,699 | ||||
PDF Solutions, Inc. (c) | 5,529 | 100,517 | ||||
Photronics, Inc. (c) | 10,693 | 141,255 | ||||
Power Integrations, Inc. | 10,522 | 863,435 | ||||
Rambus, Inc. (c) | 19,501 | 462,369 | ||||
Semtech Corp. (c) | 11,200 | 770,560 |
Security Description | Shares | Value | ||||
Silicon Laboratories, Inc. (c) | 7,732 | $ 1,184,929 | ||||
SiTime Corp. (c) | 2,300 | 291,157 | ||||
SkyWater Technology, Inc. (c) | 1,400 | 40,110 | ||||
SMART Global Holdings, Inc. (c) | 2,490 | 118,723 | ||||
SunPower Corp. (c) (d) | 13,855 | 404,843 | ||||
Synaptics, Inc. (c) | 6,090 | 947,482 | ||||
Ultra Clean Holdings, Inc. (c) | 7,698 | 413,537 | ||||
Universal Display Corp. | 7,504 | 1,668,364 | ||||
Veeco Instruments, Inc. (c) | 9,208 | 221,360 | ||||
37,584,352 | ||||||
SOFTWARE — 12.8% | ||||||
2U, Inc. (c) (d) | 12,427 | 517,833 | ||||
8x8, Inc. (c) | 18,500 | 513,560 | ||||
A10 Networks, Inc. (c) | 11,400 | 128,364 | ||||
ACI Worldwide, Inc. (c) | 20,586 | 764,564 | ||||
Agilysys, Inc. (c) | 3,257 | 185,226 | ||||
Alarm.com Holdings, Inc. (c) | 8,200 | 694,540 | ||||
Alkami Technology, Inc. (c) | 1,200 | 42,804 | ||||
Altair Engineering, Inc. Class A (c) (d) | 7,853 | 541,621 | ||||
Alteryx, Inc. Class A (c) | 10,222 | 879,296 | ||||
American Software, Inc. Class A | 5,800 | 127,368 | ||||
Anaplan, Inc. (c) | 24,524 | 1,307,129 | ||||
Appfolio, Inc. Class A (c) (d) | 3,164 | 446,757 | ||||
Appian Corp. (c) (d) | 6,782 | 934,221 | ||||
Asana, Inc. Class A (c) | 12,800 | 793,984 | ||||
Aspen Technology, Inc. (c) | 11,825 | 1,626,411 | ||||
Atlassian Corp. PLC Class A (c) | 23,041 | 5,918,311 | ||||
Avalara, Inc. (c) | 14,761 | 2,388,330 | ||||
Avaya Holdings Corp. (c) | 14,388 | 387,037 | ||||
Benefitfocus, Inc. (c) (d) | 4,341 | 61,208 | ||||
Bentley Systems, Inc. Class B | 23,500 | 1,522,330 | ||||
Bill.Com Holdings, Inc. (c) | 13,121 | 2,403,505 | ||||
Black Knight, Inc. (c) | 26,519 | 2,067,952 | ||||
Blackbaud, Inc. (c) | 8,433 | 645,715 | ||||
Blackline, Inc. (c) | 9,262 | 1,030,583 | ||||
Bottomline Technologies DE, Inc. (c) | 7,700 | 285,516 | ||||
Box, Inc. Class A (c) | 25,627 | 654,770 | ||||
BTRS Holdings, Inc. (c) | 8,300 | 104,746 | ||||
C3.ai, Inc. Class A (c) | 3,000 | 187,590 | ||||
CDK Global, Inc. | 21,228 | 1,054,819 | ||||
Cerence, Inc. (c) (d) | 6,579 | 702,045 | ||||
Ceridian HCM Holding, Inc. (c) | 22,579 | 2,165,778 | ||||
ChannelAdvisor Corp. (c) | 5,300 | 129,903 | ||||
Cleanspark, Inc. (c) | 5,700 | 94,848 | ||||
Cloudera, Inc. (c) | 40,121 | 636,319 | ||||
Cloudflare, Inc. Class A (c) | 43,873 | 4,643,518 | ||||
CommVault Systems, Inc. (c) | 7,320 | 572,204 | ||||
Cornerstone OnDemand, Inc. (c) | 10,975 | 566,091 | ||||
Coupa Software, Inc. (c) | 12,811 | 3,357,891 | ||||
Crowdstrike Holdings, Inc. Class A (c) | 28,027 | 7,043,465 | ||||
Datadog, Inc. Class A (c) | 39,544 | 4,115,740 |
Security Description | Shares | Value | |||
Datto Holding Corp. (c) | 4,600 | $ 128,064 | |||
Digimarc Corp. (c) (d) | 2,240 | 75,040 | |||
Digital Turbine, Inc. (c) | 14,686 | 1,116,577 | |||
DocuSign, Inc. (c) | 33,325 | 9,316,670 | |||
Dolby Laboratories, Inc. Class A | 11,224 | 1,103,207 | |||
Domo, Inc. Class B (c) | 4,744 | 383,458 | |||
DoubleVerify Holdings, Inc. (c) | 2,700 | 114,318 | |||
Dropbox, Inc. Class A (c) | 53,142 | 1,610,734 | |||
Duck Creek Technologies, Inc. (c) (d) | 12,500 | 543,875 | |||
Dynatrace, Inc. (c) | 32,100 | 1,875,282 | |||
E2open Parent Holdings, Inc. (c) | 7,300 | 83,366 | |||
Ebix, Inc. | 4,598 | 155,872 | |||
eGain Corp. (c) | 3,994 | 45,851 | |||
Elastic NV (c) | 11,920 | 1,737,459 | |||
Envestnet, Inc. (c) | 9,399 | 713,008 | |||
Everbridge, Inc. (c) | 6,577 | 894,998 | |||
Fair Isaac Corp. (c) | 4,890 | 2,458,105 | |||
FireEye, Inc. (c) | 40,847 | 825,926 | |||
Five9, Inc. (c) | 11,696 | 2,144,929 | |||
GTY Technology Holdings, Inc. (c) | 5,600 | 39,816 | |||
Guidewire Software, Inc. (c) | 14,674 | 1,654,053 | |||
HubSpot, Inc. (c) | 7,811 | 4,551,626 | |||
Ideanomics, Inc. (c) | 71,200 | 202,208 | |||
Intelligent Systems Corp. (c) (d) | 1,383 | 43,509 | |||
InterDigital, Inc. | 5,373 | 392,390 | |||
J2 Global, Inc. (c) | 7,554 | 1,039,053 | |||
Jamf Holding Corp. (c) | 9,200 | 308,844 | |||
JFrog, Ltd. (c) (d) | 9,000 | 409,680 | |||
LivePerson, Inc. (c) (d) | 11,100 | 701,964 | |||
Manhattan Associates, Inc. (c) | 11,088 | 1,605,986 | |||
McAfee Corp. Class A | 6,800 | 190,536 | |||
Medallia, Inc. (c) | 18,020 | 608,175 | |||
MicroStrategy, Inc. Class A (c) (d) | 1,400 | 930,300 | |||
Mimecast, Ltd. (c) | 10,400 | 551,720 | |||
Mitek Systems, Inc. (c) (d) | 7,861 | 151,403 | |||
Model N, Inc. (c) | 6,056 | 207,539 | |||
Momentive Global, Inc. (c) | 22,200 | 467,754 | |||
nCino, Inc. (c) | 8,200 | 491,344 | |||
New Relic, Inc. (c) | 9,531 | 638,291 | |||
Nuance Communications, Inc. (c) | 49,746 | 2,708,172 | |||
Nutanix, Inc. Class A (c) | 33,547 | 1,282,166 | |||
ON24, Inc. (c) | 1,600 | 56,768 | |||
OneSpan, Inc. (c) | 6,297 | 160,825 | |||
Pagerduty, Inc. (c) (d) | 13,998 | 596,035 | |||
Palantir Technologies, Inc. Class A (c) | 283,500 | 7,473,060 | |||
Palo Alto Networks, Inc. (c) | 16,597 | 6,158,317 | |||
Paylocity Holding Corp. (c) | 6,510 | 1,242,108 | |||
Pegasystems, Inc. | 7,136 | 993,260 | |||
Ping Identity Holding Corp. (c) | 7,000 | 160,300 | |||
Progress Software Corp. | 7,638 | 353,258 | |||
Proofpoint, Inc. (c) | 9,923 | 1,724,220 |
Security Description | Shares | Value | ||||
PROS Holdings, Inc. (c) (d) | 7,000 | $ 318,990 | ||||
Q2 Holdings, Inc. (c) | 9,438 | 968,150 | ||||
QAD, Inc. Class A | 2,210 | 192,314 | ||||
Qualys, Inc. (c) | 5,895 | 593,568 | ||||
Rapid7, Inc. (c) | 9,525 | 901,351 | ||||
Rimini Street, Inc. (c) (d) | 4,400 | 27,104 | ||||
RingCentral, Inc. Class A (c) | 14,064 | 4,086,717 | ||||
Riot Blockchain, Inc. (c) | 14,700 | 553,749 | ||||
SailPoint Technologies Holding, Inc. (c) | 15,703 | 801,952 | ||||
Sapiens International Corp. NV | 5,200 | 136,604 | ||||
SecureWorks Corp. Class A (c) | 1,695 | 31,408 | ||||
ShotSpotter, Inc. (c) (d) | 1,500 | 73,155 | ||||
Slack Technologies, Inc. Class A (c) | 86,447 | 3,829,602 | ||||
Smartsheet, Inc. Class A (c) | 20,955 | 1,515,466 | ||||
Smith Micro Software, Inc. (c) | 6,300 | 32,886 | ||||
SolarWinds Corp. (c) | 8,904 | 150,389 | ||||
Splunk, Inc. (c) | 28,603 | 4,135,422 | ||||
Sprout Social, Inc. Class A (c) | 7,700 | 688,534 | ||||
SPS Commerce, Inc. (c) | 6,252 | 624,262 | ||||
SS&C Technologies Holdings, Inc. | 39,081 | 2,816,177 | ||||
Sumo Logic, Inc. (c) (d) | 14,200 | 293,230 | ||||
Telos Corp. (c) | 3,100 | 105,431 | ||||
Tenable Holdings, Inc. (c) | 15,700 | 649,195 | ||||
Teradata Corp. (c) | 18,975 | 948,181 | ||||
Trade Desk, Inc. Class A (c) | 74,820 | 5,788,075 | ||||
Unity Software, Inc. (c) (d) | 25,700 | 2,822,631 | ||||
Upland Software, Inc. (c) | 5,200 | 214,084 | ||||
Varonis Systems, Inc. (c) | 18,379 | 1,058,998 | ||||
Verint Systems, Inc. (c) | 11,229 | 506,091 | ||||
Veritone, Inc. (c) | 5,000 | 98,550 | ||||
Viant Technology, Inc. Class A (c) | 2,000 | 59,560 | ||||
VirnetX Holding Corp. (c) (d) | 11,700 | 49,959 | ||||
VMware, Inc. Class A (c) | 13,995 | 2,238,780 | ||||
Vonage Holdings Corp. (c) | 42,100 | 606,661 | ||||
Workday, Inc. Class A (c) | 32,214 | 7,690,770 | ||||
Workiva, Inc. (c) (d) | 7,300 | 812,709 | ||||
Xperi Holding Corp. | 18,336 | 407,793 | ||||
Yext, Inc. (c) | 19,200 | 274,368 | ||||
Zendesk, Inc. (c) | 20,535 | 2,964,022 | ||||
Zix Corp. (c) | 10,187 | 71,818 | ||||
Zoom Video Communications, Inc. Class A (c) | 37,322 | 14,444,734 | ||||
Zscaler, Inc. (c) | 13,449 | 2,905,791 | ||||
Zuora, Inc. Class A (c) (d) | 18,200 | 313,950 | ||||
183,468,492 | ||||||
SPECIALTY RETAIL — 2.7% | ||||||
Aaron's Co., Inc. | 5,848 | 187,077 | ||||
Abercrombie & Fitch Co. Class A (c) | 10,642 | 494,108 | ||||
Academy Sports & Outdoors, Inc. (c) | 10,900 | 449,516 |
Security Description | Shares | Value | |||
American Eagle Outfitters, Inc. (d) | 26,526 | $ 995,521 | |||
America's Car-Mart, Inc. (c) | 1,151 | 163,120 | |||
Arko Corp. (c) | 3,600 | 33,084 | |||
Asbury Automotive Group, Inc. (c) | 3,388 | 580,602 | |||
At Home Group, Inc. (c) | 10,400 | 383,136 | |||
AutoNation, Inc. (c) | 8,869 | 840,870 | |||
Barnes & Noble Education, Inc. (c) | 6,700 | 48,307 | |||
Bed Bath & Beyond, Inc. (c) | 19,146 | 637,370 | |||
Big 5 Sporting Goods Corp. | 3,600 | 92,448 | |||
Blink Charging Co. (c) (d) | 6,400 | 263,488 | |||
Boot Barn Holdings, Inc. (c) | 5,000 | 420,250 | |||
Buckle, Inc. | 5,187 | 258,053 | |||
Burlington Stores, Inc. (c) | 11,622 | 3,742,168 | |||
Caleres, Inc. | 6,890 | 188,028 | |||
Camping World Holdings, Inc. Class A (d) | 6,327 | 259,344 | |||
CarLotz, Inc. (c) | 7,600 | 41,496 | |||
Carvana Co. (c) (d) | 13,477 | 4,067,628 | |||
Cato Corp. Class A | 3,900 | 65,793 | |||
Chico's FAS, Inc. (c) | 22,453 | 147,741 | |||
Children's Place, Inc. (c) | 2,442 | 227,252 | |||
Citi Trends, Inc. (c) | 1,500 | 130,500 | |||
Conn's, Inc. (c) | 3,322 | 84,711 | |||
Container Store Group, Inc. (c) | 5,973 | 77,888 | |||
Designer Brands, Inc. Class A (c) | 10,456 | 173,047 | |||
Dick's Sporting Goods, Inc. (d) | 10,944 | 1,096,479 | |||
Five Below, Inc. (c) | 9,635 | 1,862,156 | |||
Floor & Decor Holdings, Inc. Class A (c) | 17,746 | 1,875,752 | |||
Foot Locker, Inc. | 15,631 | 963,339 | |||
GameStop Corp. Class A (c) | 10,367 | 2,219,989 | |||
Genesco, Inc. (c) | 2,505 | 159,518 | |||
Group 1 Automotive, Inc. | 3,071 | 474,255 | |||
GrowGeneration Corp. (c) | 9,500 | 456,950 | |||
Guess?, Inc. | 7,000 | 184,800 | |||
Haverty Furniture Cos., Inc. | 3,105 | 132,770 | |||
Hibbett, Inc. (c) | 2,834 | 254,011 | |||
JOANN, Inc. | 2,000 | 31,500 | |||
Kirkland's, Inc. (c) (d) | 2,400 | 54,912 | |||
Lazydays Holdings, Inc. (c) | 1,300 | 28,600 | |||
Leslie's, Inc. (c) | 18,971 | 521,513 | |||
Lithia Motors, Inc. | 5,070 | 1,742,255 | |||
Lumber Liquidators Holdings, Inc. (c) | 5,459 | 115,185 | |||
MarineMax, Inc. (c) | 3,776 | 184,042 | |||
Monro, Inc. | 5,798 | 368,231 | |||
Murphy USA, Inc. | 4,324 | 576,692 | |||
National Vision Holdings, Inc. (c) | 14,205 | 726,302 | |||
ODP Corp. (c) | 8,518 | 408,949 | |||
OneWater Marine, Inc. Class A (d) | 1,900 | 79,857 | |||
Party City Holdco, Inc. (c) | 19,300 | 180,069 |
Security Description | Shares | Value | ||||
Penske Automotive Group, Inc. (d) | 5,589 | $ 421,914 | ||||
Petco Health & Wellness Co., Inc. (c) | 13,000 | 291,330 | ||||
Rent-A-Center, Inc. | 11,450 | 607,651 | ||||
RH (c) | 3,020 | 2,050,580 | ||||
Sally Beauty Holdings, Inc. (c) | 19,648 | 433,631 | ||||
Shift Technologies, Inc. (c) | 10,800 | 92,664 | ||||
Shoe Carnival, Inc. | 1,500 | 107,385 | ||||
Signet Jewelers, Ltd. (c) | 9,100 | 735,189 | ||||
Sleep Number Corp. (c) | 4,217 | 463,659 | ||||
Sonic Automotive, Inc. Class A | 3,836 | 171,623 | ||||
Sportsman's Warehouse Holdings, Inc. (c) | 8,070 | 143,404 | ||||
Tilly's, Inc. Class A | 4,237 | 67,707 | ||||
TravelCenters of America, Inc. (c) | 2,200 | 64,328 | ||||
Urban Outfitters, Inc. (c) | 11,950 | 492,579 | ||||
Vroom, Inc. (c) (d) | 20,100 | 841,386 | ||||
Williams-Sonoma, Inc. | 13,083 | 2,088,701 | ||||
Winmark Corp. | 570 | 109,486 | ||||
Zumiez, Inc. (c) | 4,000 | 195,960 | ||||
39,129,849 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.6% | ||||||
3D Systems Corp. (c) | 21,165 | 845,965 | ||||
Avid Technology, Inc. (c) | 5,997 | 234,782 | ||||
Corsair Gaming, Inc. (c) (d) | 4,300 | 143,147 | ||||
Dell Technologies, Inc. Class C (c) | 47,870 | 4,771,203 | ||||
Diebold Nixdorf, Inc. (c) | 13,336 | 171,234 | ||||
Eastman Kodak Co. (c) (d) | 2,900 | 24,128 | ||||
NCR Corp. (c) (d) | 22,267 | 1,015,598 | ||||
Pure Storage, Inc. Class A (c) | 46,475 | 907,657 | ||||
Quantum Corp. (c) (d) | 7,700 | 53,053 | ||||
Super Micro Computer, Inc. (c) | 7,515 | 264,378 | ||||
Xerox Holdings Corp. | 26,700 | 627,183 | ||||
9,058,328 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.2% | ||||||
Capri Holdings, Ltd. (c) | 25,791 | 1,474,987 | ||||
Carter's, Inc. | 7,560 | 779,965 | ||||
Columbia Sportswear Co. | 6,920 | 680,651 | ||||
Crocs, Inc. (c) | 11,282 | 1,314,579 | ||||
Deckers Outdoor Corp. (c) | 4,858 | 1,865,812 | ||||
Fossil Group, Inc. (c) | 8,800 | 125,664 | ||||
G-III Apparel Group, Ltd. (c) | 7,681 | 252,398 | ||||
Kontoor Brands, Inc. (d) | 9,000 | 507,690 | ||||
Lululemon Athletica, Inc. (c) | 19,893 | 7,260,348 | ||||
Movado Group, Inc. | 2,961 | 93,183 | ||||
Oxford Industries, Inc. | 2,830 | 279,717 | ||||
PLBY Group, Inc. (c) | 1,900 | 73,891 | ||||
Rocky Brands, Inc. | 1,305 | 72,558 | ||||
Skechers U.S.A., Inc. Class A (c) | 23,034 | 1,147,784 | ||||
Steven Madden, Ltd. | 14,213 | 621,961 |
Security Description | Shares | Value | ||||
Superior Group of Cos., Inc. | 2,000 | $ 47,820 | ||||
Unifi, Inc. (c) | 2,610 | 63,580 | ||||
Vera Bradley, Inc. (c) | 3,800 | 47,082 | ||||
Wolverine World Wide, Inc. | 14,180 | 477,015 | ||||
17,186,685 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.7% | ||||||
Axos Financial, Inc. (c) | 9,900 | 459,261 | ||||
Bridgewater Bancshares, Inc. (c) | 4,050 | 65,408 | ||||
Capitol Federal Financial, Inc. | 22,500 | 265,050 | ||||
Columbia Financial, Inc. (c) | 7,000 | 120,540 | ||||
Essent Group, Ltd. | 19,208 | 863,400 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,632 | 161,405 | ||||
Finance Of America Cos., Inc. Class A (c) | 5,800 | 44,254 | ||||
Flagstar Bancorp, Inc. | 9,225 | 389,941 | ||||
FS Bancorp, Inc. | 735 | 52,383 | ||||
Hingham Institution for Savings | 268 | 77,854 | ||||
Home Bancorp, Inc. | 1,400 | 53,354 | ||||
Home Point Capital, Inc. (c) (d) | 1,400 | 8,302 | ||||
HomeStreet, Inc. | 3,574 | 145,605 | ||||
Kearny Financial Corp. | 12,651 | 151,179 | ||||
Luther Burbank Corp. | 3,400 | 40,324 | ||||
Merchants Bancorp | 1,700 | 66,708 | ||||
Meridian Bancorp, Inc. | 8,130 | 166,340 | ||||
Meta Financial Group, Inc. | 5,443 | 275,579 | ||||
MGIC Investment Corp. | 59,289 | 806,330 | ||||
Mr Cooper Group, Inc. (c) | 12,360 | 408,622 | ||||
New York Community Bancorp, Inc. | 78,723 | 867,527 | ||||
NMI Holdings, Inc. Class A (c) | 14,565 | 327,421 | ||||
Northfield Bancorp, Inc. | 7,880 | 129,232 | ||||
Northwest Bancshares, Inc. | 21,176 | 288,841 | ||||
Ocwen Financial Corp. (c) | 1,400 | 43,372 | ||||
PCSB Financial Corp. | 2,696 | 48,986 | ||||
PennyMac Financial Services, Inc. | 6,197 | 382,479 | ||||
Pioneer Bancorp, Inc. (c) (d) | 2,100 | 25,242 | ||||
Premier Financial Corp. | 6,397 | 181,739 | ||||
Provident Bancorp, Inc. | 3,114 | 50,789 | ||||
Provident Financial Services, Inc. | 13,556 | 310,297 | ||||
Radian Group, Inc. | 33,354 | 742,127 | ||||
Rocket Cos., Inc. Class A | 23,900 | 462,465 | ||||
Southern Missouri Bancorp, Inc. | 1,400 | 62,944 | ||||
TFS Financial Corp. | 8,617 | 174,925 | ||||
TrustCo Bank Corp. | 3,619 | 124,421 | ||||
UWM Holdings Corp. | 7,500 | 63,375 | ||||
Velocity Financial, Inc. (c) | 1,500 | 18,735 | ||||
Walker & Dunlop, Inc. | 5,040 | 526,075 | ||||
Washington Federal, Inc. | 12,617 | 400,968 | ||||
Waterstone Financial, Inc. | 4,100 | 80,606 | ||||
WSFS Financial Corp. | 8,190 | 381,572 | ||||
10,315,977 |
Security Description | Shares | Value | ||||
TOBACCO — 0.1% | ||||||
22nd Century Group, Inc. (c) (d) | 26,300 | $ 121,769 | ||||
Turning Point Brands, Inc. | 2,300 | 105,271 | ||||
Universal Corp. | 4,141 | 235,913 | ||||
Vector Group, Ltd. | 24,896 | 352,029 | ||||
814,982 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 0.8% | ||||||
Air Lease Corp. | 18,756 | 782,875 | ||||
Alta Equipment Group, Inc. (c) | 3,200 | 42,528 | ||||
Applied Industrial Technologies, Inc. | 6,701 | 610,193 | ||||
Beacon Roofing Supply, Inc. (c) | 9,676 | 515,247 | ||||
BlueLinx Holdings, Inc. (c) | 1,600 | 80,448 | ||||
Boise Cascade Co. | 6,900 | 402,615 | ||||
CAI International, Inc. | 2,803 | 156,968 | ||||
Custom Truck One Source, Inc. (c) (d) | 2,500 | 23,800 | ||||
DXP Enterprises, Inc. (c) | 3,100 | 103,230 | ||||
EVI Industries, Inc. (c) | 920 | 26,128 | ||||
GATX Corp. | 6,131 | 542,410 | ||||
Global Industrial Co. | 2,400 | 88,104 | ||||
GMS, Inc. (c) | 7,400 | 356,236 | ||||
H&E Equipment Services, Inc. | 5,600 | 186,312 | ||||
Herc Holdings, Inc. (c) | 4,338 | 486,160 | ||||
Karat Packaging, Inc. (c) (d) | 800 | 16,296 | ||||
Lawson Products, Inc. (c) | 853 | 45,644 | ||||
McGrath RentCorp | 4,200 | 342,594 | ||||
MRC Global, Inc. (c) | 14,900 | 140,060 | ||||
MSC Industrial Direct Co., Inc. Class A | 7,799 | 699,804 | ||||
NOW, Inc. (c) | 19,119 | 181,439 | ||||
Rush Enterprises, Inc. Class A | 7,350 | 317,814 | ||||
Rush Enterprises, Inc. Class B | 1,250 | 47,675 | ||||
SiteOne Landscape Supply, Inc. (c) (d) | 7,733 | 1,308,888 | ||||
Textainer Group Holdings, Ltd. (c) | 8,365 | 282,486 | ||||
Titan Machinery, Inc. (c) | 3,700 | 114,478 | ||||
Transcat, Inc. (c) | 1,300 | 73,463 | ||||
Triton International, Ltd. | 11,531 | 603,532 | ||||
Univar Solutions, Inc. (c) | 29,388 | 716,479 | ||||
Veritiv Corp. (c) | 2,691 | 165,281 | ||||
Watsco, Inc. | 5,726 | 1,641,301 | ||||
WESCO International, Inc. (c) | 7,708 | 792,537 | ||||
Willis Lease Finance Corp. (c) | 510 | 21,859 | ||||
11,914,884 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.0% (a) | ||||||
Macquarie Infrastructure Corp. | 12,920 | 494,448 | ||||
WATER UTILITIES — 0.3% | ||||||
American States Water Co. | 6,401 | 509,264 | ||||
Artesian Resources Corp. Class A | 1,551 | 57,030 | ||||
Cadiz, Inc. (c) (d) | 3,800 | 51,680 | ||||
California Water Service Group | 8,776 | 487,419 | ||||
Essential Utilities, Inc. | 39,139 | 1,788,652 |
Security Description | Shares | Value | ||||
Global Water Resources, Inc. | 2,400 | $ 40,992 | ||||
Middlesex Water Co. | 3,023 | 247,070 | ||||
Pure Cycle Corp. (c) | 3,700 | 51,134 | ||||
SJW Group | 4,787 | 303,017 | ||||
York Water Co. | 2,500 | 113,250 | ||||
3,649,508 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | ||||||
Gogo, Inc. (c) (d) | 10,410 | 118,466 | ||||
Shenandoah Telecommunications Co. | 8,450 | 409,909 | ||||
Telephone & Data Systems, Inc. | 17,600 | 398,816 | ||||
United States Cellular Corp. (c) | 2,735 | 99,308 | ||||
1,026,499 | ||||||
TOTAL COMMON STOCKS (Cost $1,041,497,566) | 1,420,459,999 | |||||
RIGHTS — 0.0% (a) | ||||||
BIOTECHNOLOGY — 0.0% (a) | ||||||
GTX, Inc. (CVR) (c) (d) | 85 | 161 | ||||
Progenic Pharmaceuticals, Inc. (CVR) (c) | 13,803 | 590 | ||||
Tobira Therapeutics, Inc. (CVR) (c) | 200 | 2,834 | ||||
3,585 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (a) | ||||||
NewStar Financial, Inc. (CVR) (c) | 2,400 | 204 | ||||
MEDIA — 0.0% (a) | ||||||
Media General, Inc. (CVR) (c) | 6,500 | 650 | ||||
TOTAL RIGHTS (Cost $186) | 4,439 | |||||
SHORT-TERM INVESTMENTS — 3.5% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.05% (g) (h) | 17,938,871 | 17,944,253 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 32,551,131 | 32,551,131 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $50,494,183) | 50,495,384 | |||||
TOTAL INVESTMENTS — 102.2% (Cost $1,091,993,899) | 1,470,961,786 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)% | (32,181,157) | |||||
NET ASSETS — 100.0% | $ 1,438,780,629 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Non-income producing security. |
(d) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represents less than 0.05% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2021, total aggregate fair value of the securities is $0, representing less than 0.05% of the Portfolio's net assets. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(j) | 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) | 67 | 09/17/2021 | $7,781,938 | $7,731,142 | $ (50,796) | |||||
E-mini S&P MidCap 400 Index (long) | 28 | 09/17/2021 | 7,655,827 | 7,538,720 | (117,107) | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $(167,903) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $1,964 | $— | $ 1,964 | ||||
Common Stocks | 1,420,459,727 | 272 | 0(a) | 1,420,459,999 | ||||
Rights | — | 4,439 | — | 4,439 | ||||
Short-Term Investments | 50,495,384 | — | — | 50,495,384 | ||||
TOTAL INVESTMENTS | $ 1,470,955,111 | $6,675 | $ 0 | $1,470,961,786 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (167,903) | — | — | (167,903) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (167,903) | $ — | $— | $ (167,903) |
(a) | The Portfolio held a Level 3 securities that was valued at $0 at June 30, 2021. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,650,443 | $13,653,173 | $262,604,368 | $258,317,714 | $3,225 | $1,201 | 17,938,871 | $17,944,253 | $ 7,955 | ||||||||
State Street Navigator Securities Lending Portfolio II | 43,142,840 | 43,142,840 | 116,158,746 | 126,750,455 | — | — | 32,551,131 | 32,551,131 | 134,532 | ||||||||
Total | $56,796,013 | $ 378,763,114 | $385,068,169 | $3,225 | $1,201 | $50,495,384 | $142,487 |
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* | $1,877,204,586 | $3,985,739,657 | $1,420,466,402 | ||
Investments in affiliated issuers, at value | 242,823,384 | 249,713,901 | 50,495,384 | ||
Total Investments | 2,120,027,970 | 4,235,453,558 | 1,470,961,786 | ||
Foreign currency, at value | — | 22,346,512 | — | ||
Net cash at broker | — | 14,057,052 | 999,225 | ||
Cash | 347,155 | — | — | ||
Receivable for investments sold | 97,067 | 235,067 | 22,962,241 | ||
Receivable for fund shares sold | 54,250,690 | 10,591,186 | 1,794,000 | ||
Dividends receivable — unaffiliated issuers | — | 6,504,048 | 952,023 | ||
Dividends receivable — affiliated issuers | 24,758 | 3,803 | 2,046 | ||
Interest receivable — unaffiliated issuers | 7,933,383 | 21 | — | ||
Securities lending income receivable — unaffiliated issuers | 18,911 | 74,433 | 14,987 | ||
Securities lending income receivable — affiliated issuers | — | — | 29,800 | ||
Receivable from Adviser | 45,812 | — | — | ||
Receivable for foreign taxes recoverable | 2,367 | 4,172,630 | — | ||
Other Receivable | 439 | — | — | ||
TOTAL ASSETS | 2,182,748,552 | 4,293,438,310 | 1,497,716,108 | ||
LIABILITIES | |||||
Due to custodian | — | 11,070 | 3,147,847 | ||
Payable upon return of securities loaned | 121,143,460 | 81,084,886 | 32,551,131 | ||
Payable for investments purchased | 168,432,699 | 61,684 | 4,247,261 | ||
Payable for fund shares repurchased | 493,068 | 30,789,405 | 18,704,153 | ||
Payable to broker – accumulated variation margin on open futures contracts | — | 3,194,886 | 167,693 | ||
Deferred foreign taxes payable | — | 3,714,930 | — | ||
Custodian, sub-administration and transfer agent fees payable | 54,322 | 124,012 | 41,750 | ||
Custodian fees payable | 5,176 | 204,309 | 5,106 | ||
Registration and filing fees payable | 32 | 11 | 8,106 | ||
Professional fees payable | 30,177 | 5,618 | 27,942 | ||
Printing and postage fees payable | 6,377 | 15,830 | 4,662 | ||
Accrued expenses and other liabilities | 6,331 | 39,064 | 29,828 | ||
TOTAL LIABILITIES | 290,171,642 | 119,245,705 | 58,935,479 | ||
NET ASSETS | $1,892,576,910 | $4,174,192,605 | $1,438,780,629 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $1,858,863,750 | $ 3,214,987,115 | $ 922,880,051 | ||
Total distributable earnings (loss)** | 33,713,160 | 959,205,490 | 515,900,578 | ||
NET ASSETS | $1,892,576,910 | $4,174,192,605 | $1,438,780,629 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 104.52 | $ 127.52 | $ 375.63 | ||
Shares of beneficial interest | 18,106,869 | 32,734,257 | 3,830,298 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $1,843,842,009 | $3,028,323,910 | $1,041,499,716 | ||
Investments in affiliated issuers | 242,812,722 | 249,713,901 | 50,494,183 | ||
Total cost of investments | $2,086,654,731 | $ 3,278,037,811 | $1,091,993,899 | ||
Foreign currency, at cost | $ — | $ 22,537,621 | $ — | ||
* Includes investments in securities on loan, at value | $ 161,433,962 | $ 127,175,402 | $ 91,797,306 | ||
** Includes deferred foreign taxes | $ — | $ 3,714,930 | $ — |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $ 12,830,827 | $ — | $ — | ||
Dividend income — unaffiliated issuers | — | 57,567,172 | 6,526,053 | ||
Dividend income — affiliated issuers | 52,804 | 24,399 | 7,955 | ||
Unaffiliated securities lending income | 32,042 | 165,895 | 56,474 | ||
Affiliated securities lending income | 82,960 | 270,059 | 134,532 | ||
Foreign taxes withheld | — | (5,467,817) | (6,499) | ||
TOTAL INVESTMENT INCOME (LOSS) | 12,998,633 | 52,559,708 | 6,718,515 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 102,798 | 238,967 | 81,933 | ||
Custodian fees | 10,184 | 581,592 | 12,422 | ||
Trustees’ fees and expenses | 19,345 | 31,555 | 17,580 | ||
Registration and filing fees | 10,185 | 29,995 | 458 | ||
Professional fees and expenses | 25,959 | 38,976 | 20,691 | ||
Printing and postage fees | 6,475 | 15,300 | 4,563 | ||
Insurance expense | 1,709 | 4,079 | 1,414 | ||
Interest expense | — | 1,346 | — | ||
Miscellaneous expenses | 7,561 | 11,032 | 12,512 | ||
TOTAL EXPENSES | 184,216 | 952,842 | 151,573 | ||
Expenses waived/reimbursed by the Adviser | (63,324) | — | — | ||
NET EXPENSES | 120,892 | 952,842 | 151,573 | ||
NET INVESTMENT INCOME (LOSS) | $ 12,877,741 | $ 51,606,866 | $ 6,566,942 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | 1,281,635 | (2,610,251) | 66,148,624 | ||
Investments — affiliated issuers | 3,282 | — | 3,225 | ||
Foreign currency transactions | — | 263,458 | — | ||
Futures contracts | — | 18,575,514 | 2,446,282 | ||
Net realized gain (loss) | 1,284,917 | 16,228,721 | 68,598,131 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (37,397,680) | 276,791,333 | 96,567,996 | ||
Investments — affiliated issuers | 10,540 | — | 1,201 | ||
Foreign currency translations | — | (675,741) | — | ||
Futures contracts | — | (4,354,929) | (354,359) | ||
Net change in unrealized appreciation/depreciation | (37,387,140) | 271,760,663 | 96,214,838 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (36,102,223) | 287,989,384 | 164,812,969 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(23,224,482) | $339,596,250 | $ 171,379,911 | ||
** Includes foreign deferred taxes | $ — | $ (3,714,930) | $ — |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(b) | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 12,877,741 | $ 24,045,795 | $ 51,606,866 | $ 54,964,306 | $ 6,566,942 | $ 9,367,669 | |||||
Net realized gain (loss) | 1,284,917 | 12,983,630 | 16,228,721 | 12,553,426 | 68,598,131 | 87,244,174 | |||||
Net change in unrealized appreciation/depreciation | (37,387,140) | 38,808,794 | 271,760,663 | 379,793,513 | 96,214,838 | 172,688,276 | |||||
Net increase (decrease) in net assets resulting from operations | (23,224,482) | 75,838,219 | 339,596,250 | 447,311,245 | 171,379,911 | 269,300,119 | |||||
Distributions to shareholders | (13,654,448) | (34,309,398) | — | (55,571,980) | — | (33,144,081) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from shares sold | 652,190,811 | 606,503,436 | 859,844,725 | 1,101,256,816 | 341,070,723 | 315,250,396 | |||||
Reinvestment of distributions | 13,654,448 | 34,309,398 | — | 55,571,980 | — | 33,144,080 | |||||
Cost of shares redeemed | (151,397,039) | (300,912,971) | (296,210,747) | (374,904,536) | (139,529,152) | (267,893,599) | |||||
Other Capital | — | — | — | (50) | 160 | — | |||||
Net increase (decrease) in net assets from capital transactions | 514,448,220 | 339,899,863 | 563,633,978 | 781,924,210 | 201,541,731 | 80,500,877 | |||||
Contribution from Affiliate (Note 5) | — | 439 | — | — | — | — | |||||
Net increase (decrease) in net assets during the period | 477,569,290 | 381,429,123 | 903,230,228 | 1,173,663,475 | 372,921,642 | 316,656,915 | |||||
Net assets at beginning 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 | |||||
NET ASSETS AT END OF PERIOD | $1,892,576,910 | $1,415,007,620 | $4,174,192,605 | $3,270,962,377 | $1,438,780,629 | $1,065,858,987 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 6,231,795 | 5,663,700 | 7,046,163 | 11,643,374 | 968,228 | 1,213,203 | |||||
Reinvestment of distributions | 130,966 | 320,927 | — | 489,794 | — | 100,678 | |||||
Shares redeemed | (1,452,001) | (2,865,783) | (2,406,316) | (3,713,369) | (390,200) | (1,003,530) | |||||
Net increase (decrease) from share transactions | 4,910,760 | 3,118,844 | 4,639,847 | 8,419,799 | 578,028 | 310,351 |
(a) | After the close of trading on April 17, 2020, the State Street Aggregrate Bond Index Portfolio underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | After the close of trading on April 17, 2020, State Street Global All Cap Equity ex-U.S. Index Portfolio underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(c) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Portfolio underwent a 1-for-20 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | $ 98.90 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.81 | 0.65 | 2.80 | 2.60 | 2.30 | 2.30 | |||||
Net realized and unrealized gain (loss) | (2.67) | 7.25 | 5.70 | (2.80) | 1.00 | 0.10 | |||||
Total from investment operations | (1.86) | 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 | (0.85) | (2.67) | (3.00) | (2.70) | (2.40) | (2.10) | |||||
Net realized gains | — | (0.60) | — | — | — | (0.10) | |||||
Total distributions | (0.85) | (3.27) | (3.00) | (2.70) | (2.40) | (2.20) | |||||
Net asset value, end of period | $ 104.52 | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | |||||
Total return (d) | (1.73)% | 7.86%(e) | 8.69% | (0.12)% | 3.38% | 2.39% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,892,577 | $1,415,008 | $1,033,578 | $846,759 | $687,541 | $249,906 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(f) | 0.03% | 0.04% | 0.04% | 0.06% | 0.14% | |||||
Net expenses | 0.01%(f) | 0.03% | 0.03% | 0.03% | 0.03% | 0.01% | |||||
Net investment income (loss) | 1.57%(f) | 2.20% | 2.76% | 2.73% | 2.31% | 2.24% | |||||
Portfolio turnover rate | 11%(g)(h) | 37%(h) | 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) | Annualized. |
(g) | Not annualized. |
(h) | The portfolio turnover calculated for the periods ended 6/30/2021 and 12/31/21 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 69% and 82%, respectively. |
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | $ 84.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.65 | 2.28 | 3.20 | 3.00 | 2.60 | 2.20 | |||||
Net realized and unrealized gain (loss) | 9.44 | 9.49 | 16.40 | (18.20) | 21.20 | 2.00 | |||||
Total from investment operations | 11.09 | 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 | $ 127.52 | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | |||||
Total return (d) | 9.54% | 11.07% | 21.70% | (13.99)% | 27.20% | 5.06% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,174,193 | $3,270,962 | $2,097,299 | $1,907,599 | $1,655,261 | $552,700 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.05%(e) | 0.05% | 0.06% | 0.06% | 0.06% | 0.23% | |||||
Net expenses | 0.05%(e) | 0.05% | 0.06% | 0.06% | 0.06% | 0.08% | |||||
Net investment income (loss) | 2.70%(e) | 2.29% | 3.19% | 2.89% | 2.59% | 2.51% | |||||
Portfolio turnover rate | 1%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | $ 186.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.77 | 3.01 | 3.60 | 3.80 | 3.40 | 3.00 | |||||
Net realized and unrealized gain (loss) | 46.13 | 79.67 | 54.20 | (26.20) | 35.20 | 27.60 | |||||
Total from investment operations | 47.90 | 82.68 | 57.80 | (22.40) | 38.60 | 30.60 | |||||
Other capital | 0.00(c) | — | — | — | — | — | |||||
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 | $ 375.63 | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | |||||
Total return (d) | 14.62% | 32.46% | 27.98% | (9.07)% | 18.20% | 16.46% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,438,781 | $1,065,859 | $749,202 | $628,732 | $464,870 | $142,269 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(e) | 0.03% | 0.05% | 0.05% | 0.07% | 0.22% | |||||
Net expenses | 0.02%(e) | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% | |||||
Net investment income (loss) | 1.00%(e) | 1.19% | 1.48% | 1.52% | 1.46% | 1.55% | |||||
Portfolio turnover rate | 19%(f) | 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) | 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) | Annualized. |
(f) | Not annualized. |
Fund/Portfolio | Classes | Commencement of Operations | Diversification Classification |
State Street Aggregate Bond Index Fund (the "Fund") | Class A Class I Class K | September 19, 2014 September 19, 2014 September 19, 2014 | Diversified Diversified Diversified |
State Street Global All Cap Equity ex-U.S. Index Fund (the "Fund") | Class A Class I Class K | September 17, 2014 September 17, 2014 September 17, 2014 | Diversified Diversified Diversified |
State Street Small/Mid Cap Equity Index Fund (the "Fund") | Class A Class I Class K | October 16, 2015 October 16, 2015 August 12, 2015 | Diversified Diversified Diversified |
State Street Aggregate Bond Index Portfolio (the "Portfolio") | September 19, 2014 | Diversified | |
State Street Global All Cap Equity ex-U.S. Index Portfolio (the "Portfolio") | September 17, 2014 | Diversified | |
State Street Small/Mid Cap Equity Index Portfolio (the "Portfolio") | August 12, 2015 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2021 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 30.43% | ||
State Street Global All Cap Equity ex- U.S. Index Fund | State Street Global All Cap Equity ex- U.S. Index Portfolio | 23.21% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 25.68% |
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 |
Liability 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 | $— | $— | $— | $3,194,886 | $— | $3,194,886 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 167,693 | — | 167,693 |
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 | $— | $— | $— | 18,575,514 | $— | 18,575,514 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 2,446,282 | — | 2,446,282 |
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 | $— | $— | $— | (4,354,929) | $— | (4,354,929) | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | (354,359) | — | (354,359) |
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 | $455,823,096 | $143,167,139 | $185,815,305 | $ 29,443,033 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 515,268,843 | 26,217,959 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 447,205,135 | 239,906,634 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 580,621,413 | $ — | $ 4,726,151 | $ (4,726,151) | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 805,232,432 | 163,471,745 | — | 163,471,745 | |||
State Street Small/Mid Cap Equity Index Fund | 301,187,732 | 68,240,880 | — | 68,240,880 | |||
State Street Aggregate Bond Index Portfolio | 2,086,959,671 | 48,512,775 | 15,444,476 | 33,068,299 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 3,278,037,811 | 1,084,679,499 | 130,464,506 | 954,214,993 | |||
State Street Small/Mid Cap Equity Index Portfolio | 1,125,544,193 | 362,044,703 | 16,795,013 | 345,249,690 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 161,433,962 | $ 121,143,460 | $ 43,408,194 | $ 164,551,654 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 127,175,402 | 81,084,886 | 53,183,133 | 134,268,019 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 91,797,306 | 32,551,131 | 61,856,099 | 94,407,230 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
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 | $35,142,588 | $— | $— | $— | $35,142,588 | $35,142,588 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 8,934,730 | — | — | — | 8,934,730 | 8,934,730 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 2,706,906 | — | — | — | 2,706,906 | 2,706,906 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 74,359,236 | — | — | — | 74,359,236 | 74,359,236 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Common Stocks | 81,084,886 | — | — | — | 81,084,886 | 81,084,886 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 32,551,036 | — | — | — | 32,551,036 | 32,551,036 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 95 | — | — | — | 95 | 95 |
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 | 0.47% | $ 980.00 | $2.31(a) | $1,022.50 | $2.36(a) | ||||
Class I | 0.23 | 981.30 | 1.13(a) | 1,023.70 | 1.15(a) | ||||
Class K | 0.03 | 982.30 | 0.15(a) | 1,024.60 | 0.15(a) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | |||||||||
Class A | 0.47 | 1,093.00 | 2.44(a) | 1,022.50 | 2.36(a) | ||||
Class I | 0.13 | 1,094.80 | 0.68(a) | 1,024.10 | 0.65(a) | ||||
Class K | 0.02 | 1,095.30 | 0.10(a) | 1,024.70 | 0.10(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.50 | 1,143.30 | 2.66(a) | 1,022.30 | 2.51(a) | ||||
Class I | 0.24 | 1,144.80 | 1.28(a) | 1,023.60 | 1.20(a) | ||||
Class K | 0.04 | 1,145.90 | 0.21(a) | 1,024.60 | 0.20(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.01 | 982.70 | 0.05(b) | 1,024.70 | 0.05(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.05 | 1,095.40 | 0.26(b) | 1,024.50 | 0.25(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.02 | 1,146.20 | 0.11(b) | 1,024.70 | 0.10(b) |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which are feeder funds for which the Portfolios serve as the master funds in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Funds and Portfolios (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and Portfolios. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and Portfolios and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and Portfolios and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds and Portfolios; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds and Portfolios by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds and Portfolios by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds and Portfolios, and transfer agent of the Portfolios, and the role of the Adviser in managing the Funds’ and Portfolios’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds and Portfolios; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
2 | |
26 | |
27 | |
28 | |
29 | |
30 | |
38 |
% of Net Assets | |||
Common Stocks | 95.4% | ||
Warrants | 2.3 | ||
Corporate Bonds & Notes | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 2.2 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 0.0% (a) | ||||||
INDIA — 0.0% (a) | ||||||
Britannia Industries, Ltd. 5.50%, 6/3/2024 (b) | INR | 309,662 | $ 4,213 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $4,255) | 4,213 |
Shares | |||
COMMON STOCKS — 95.4% | |||
ARGENTINA — 0.0% | |||
YPF SA ADR (b) | 21,000 | 98,280 | |
BRAZIL — 5.0% | |||
Adecoagro SA (b) | 10,100 | 101,404 | |
Alpargatas SA Preference Shares (b) | 17,800 | 178,041 | |
Ambev SA | 478,385 | 1,627,397 | |
Atacadao SA | 42,500 | 177,865 | |
B2W Cia Digital (b) | 20,888 | 275,823 | |
B3 SA - Brasil Bolsa Balcao | 623,876 | 2,091,253 | |
Banco Bradesco SA Preference Shares | 492,730 | 2,526,569 | |
Banco Bradesco SA | 144,449 | 629,284 | |
Banco BTG Pactual SA | 28,412 | 691,126 | |
Banco BTG Pactual SA Preference Shares | 2 | 12 | |
Banco do Brasil SA | 84,198 | 539,132 | |
Banco Inter SA | 31,200 | 483,683 | |
Banco Inter SA (b) | 3,886 | 19,864 | |
Banco Inter SA, Preference Shares | 7,773 | 40,524 | |
Banco Santander Brasil SA | 39,100 | 315,583 | |
BB Seguridade Participacoes SA | 72,837 | 335,310 | |
Bradespar SA Preference Shares | 21,100 | 312,557 | |
Braskem SA Class A, Preference Shares (b) | 19,200 | 227,859 | |
BRF SA (b) | 65,623 | 357,419 | |
CCR SA | 113,869 | 305,218 | |
Centrais Eletricas Brasileiras SA | 34,000 | 292,512 | |
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 21,800 | 187,986 | |
Cia de Saneamento Basico do Estado de Sao Paulo | 35,400 | 258,065 | |
Cia Energetica de Minas Gerais Preference Shares | 115,531 | 279,281 | |
Cia Paranaense de Energia Preference Shares | 107,000 | 126,451 |
Security Description | Shares | Value | |||
Cia Siderurgica Nacional SA | 70,100 | $ 614,546 | |||
Cosan SA | 109,600 | 523,335 | |||
CPFL Energia SA | 24,200 | 129,781 | |||
Energisa SA | 18,400 | 170,878 | |||
Engie Brasil Energia SA | 17,687 | 137,997 | |||
Equatorial Energia SA | 96,000 | 474,466 | |||
Gerdau SA Preference Shares | 113,700 | 670,936 | |||
Hapvida Participacoes e Investimentos SA (c) | 109,395 | 335,956 | |||
Hypera SA | 41,800 | 287,144 | |||
Itau Unibanco Holding SA Preference Shares | 489,361 | 2,906,216 | |||
Itausa SA Preference Shares | 442,763 | 983,849 | |||
Itausa SA | 253 | 575 | |||
Klabin SA (b) | 68,907 | 361,711 | |||
Localiza Rent a Car SA | 60,208 | 767,921 | |||
Lojas Americanas SA Preference Shares | 98,929 | 425,459 | |||
Lojas Renner SA | 88,978 | 784,299 | |||
Magazine Luiza SA | 295,556 | 1,245,755 | |||
Natura & Co. Holding SA (b) | 89,490 | 1,011,920 | |||
Notre Dame Intermedica Participacoes SA | 53,570 | 906,703 | |||
Petrobras Distribuidora SA | 79,600 | 423,235 | |||
Petroleo Brasileiro SA Preference Shares | 480,898 | 2,820,496 | |||
Petroleo Brasileiro SA | 375,814 | 2,268,582 | |||
Raia Drogasil SA | 105,500 | 519,526 | |||
Rede D'Or Sao Luiz SA (c) | 41,300 | 568,159 | |||
Rumo SA (b) | 136,400 | 520,554 | |||
Suzano SA (b) | 75,624 | 901,396 | |||
Telefonica Brasil SA | 46,755 | 391,345 | |||
TIM SA | 76,800 | 176,471 | |||
TOTVS SA | 45,900 | 344,397 | |||
Ultrapar Participacoes SA | 67,764 | 248,349 | |||
Vale SA | 400,284 | 9,034,181 | |||
Via Varejo S/A (b) | 136,100 | 428,275 | |||
WEG SA | 169,460 | 1,137,760 | |||
44,902,391 | |||||
CHILE — 0.4% | |||||
Banco de Chile | 4,739,564 | 471,867 | |||
Banco de Credito e Inversiones SA | 5,242 | 223,191 | |||
Banco Santander Chile | 6,408,561 | 319,587 | |||
Cencosud SA | 148,992 | 298,983 | |||
Cencosud Shopping SA | 53,243 | 87,823 | |||
Colbun SA | 682,107 | 96,127 | |||
Empresas CMPC SA | 108,208 | 260,076 | |||
Empresas COPEC SA | 38,188 | 379,200 | |||
Enel Americas SA | 2,107,759 | 312,063 | |||
Enel Chile SA | 3,038,792 | 176,332 | |||
Falabella SA | 71,865 | 322,643 |
Security Description | Shares | Value | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 14,148 | $ 672,317 | |||
3,620,209 | |||||
CHINA — 34.2% | |||||
21Vianet Group, Inc. ADR (b) | 8,600 | 197,370 | |||
360 DigiTech, Inc. ADR (b) | 8,700 | 364,008 | |||
360 Security Technology, Inc. Class A (b) | 14,900 | 28,159 | |||
3SBio, Inc. (b) (c) (d) | 134,800 | 166,637 | |||
51job, Inc. ADR (b) | 2,800 | 217,756 | |||
AAC Technologies Holdings, Inc. (d) | 73,000 | 546,148 | |||
Addsino Co., Ltd. Class A (b) | 7,800 | 22,781 | |||
AECC Aviation Power Co., Ltd. Class A | 8,600 | 70,801 | |||
Agile Group Holdings, Ltd. | 124,000 | 160,631 | |||
Agora, Inc. ADR (b) | 4,900 | 205,604 | |||
Agricultural Bank of China, Ltd. Class A | 278,400 | 130,564 | |||
Agricultural Bank of China, Ltd. Class H | 2,638,500 | 917,343 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 18,334 | 201,420 | |||
Air China, Ltd. Class A | 18,400 | 22,157 | |||
Air China, Ltd. Class H (b) (d) | 174,000 | 127,937 | |||
Airtac International Group | 13,000 | 501,570 | |||
Akeso, Inc. (b) (c) | 29,000 | 233,954 | |||
Alibaba Group Holding, Ltd. ADR (b) | 1,182 | 268,054 | |||
Alibaba Group Holding, Ltd. (b) | 1,520,800 | 43,082,985 | |||
Alibaba Health Information Technology, Ltd. (b) | 416,500 | 923,547 | |||
A-Living Smart City Services Co., Ltd. (c) | 48,500 | 241,381 | |||
Aluminum Corp. of China, Ltd. Class A (b) | 29,900 | 24,528 | |||
Aluminum Corp. of China, Ltd. Class H (b) | 398,000 | 237,288 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 27,776 | |||
Anhui Conch Cement Co., Ltd. Class A | 14,500 | 92,128 | |||
Anhui Conch Cement Co., Ltd. Class H | 124,500 | 660,507 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 900 | 33,362 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 11,400 | 157,806 | |||
Anhui Honglu Steel Construction Group Co., Ltd. Class A | 1,200 | 10,838 |
Security Description | Shares | Value | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 1,100 | $ 11,525 | |||
ANTA Sports Products, Ltd. | 109,000 | 2,565,746 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 500 | 28,835 | |||
Autobio Diagnostics Co., Ltd. Class A | 520 | 6,098 | |||
Autohome, Inc. ADR | 6,900 | 441,324 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 22,600 | |||
AVIC Industry-Finance Holdings Co., Ltd. Class A | 20,500 | 12,279 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 2,400 | 29,353 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A | 5,600 | 52,266 | |||
AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A | 6,300 | 25,626 | |||
AviChina Industry & Technology Co., Ltd. Class H | 256,000 | 169,439 | |||
AVICOPTER PLC Class A | 2,300 | 18,775 | |||
Baidu, Inc. ADR (b) | 26,500 | 5,403,350 | |||
Baidu, Inc. Class A (b) | 6,200 | 159,194 | |||
Bank of Beijing Co., Ltd. Class A | 71,740 | 54,076 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 30,129 | |||
Bank of China, Ltd. Class A | 121,000 | 57,683 | |||
Bank of China, Ltd. Class H | 8,023,000 | 2,882,385 | |||
Bank of Communications Co., Ltd. Class A | 144,012 | 109,221 | |||
Bank of Communications Co., Ltd. Class H | 903,000 | 606,973 | |||
Bank of Hangzhou Co., Ltd. Class A | 23,400 | 53,422 | |||
Bank of Jiangsu Co., Ltd. Class A | 46,800 | 51,430 | |||
Bank of Nanjing Co., Ltd. Class A | 25,440 | 41,423 | |||
Bank of Ningbo Co., Ltd. Class A | 20,000 | 120,634 | |||
Bank of Shanghai Co., Ltd. Class A | 49,008 | 62,200 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 61,000 | 72,133 | |||
Baozun, Inc. ADR (b) (d) | 6,200 | 219,728 | |||
BBMG Corp. Class A | 33,400 | 13,906 | |||
BeiGene, Ltd. ADR (b) | 4,700 | 1,612,993 | |||
Beijing Capital International Airport Co., Ltd. Class H (b) | 178,000 | 118,042 |
Security Description | Shares | Value | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A | 19,800 | $ 20,839 | |||
Beijing Enlight Media Co., Ltd. Class A | 4,500 | 7,529 | |||
Beijing Enterprises Holdings, Ltd. | 49,000 | 173,832 | |||
Beijing Enterprises Water Group, Ltd. (d) | 456,000 | 172,633 | |||
Beijing New Building Materials PLC Class A | 3,500 | 21,263 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 14,369 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 5,600 | 20,377 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 10,446 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 2,300 | 5,123 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 1,920 | 10,178 | |||
Beijing United Information Technology Co., Ltd. Class A | 870 | 13,462 | |||
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. Class A | 600 | 11,880 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 125,500 | 102,757 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 600 | 10,052 | |||
BGI Genomics Co., Ltd. Class A | 1,600 | 29,371 | |||
Bilibili, Inc. ADR (b) | 16,300 | 1,985,992 | |||
BOE Technology Group Co., Ltd. Class A | 116,100 | 112,131 | |||
Bosideng International Holdings, Ltd. | 306,000 | 218,688 | |||
Brilliance China Automotive Holdings, Ltd. (e) | 334,000 | 235,473 | |||
Burning Rock Biotech, Ltd. ADR (b) | 4,400 | 129,624 | |||
BYD Co., Ltd. Class A | 5,600 | 217,556 | |||
BYD Co., Ltd. Class H (d) | 79,500 | 2,377,061 | |||
BYD Electronic International Co., Ltd. (d) | 72,000 | 472,839 | |||
By-health Co., Ltd. Class A | 6,300 | 32,081 | |||
Caitong Securities Co., Ltd. Class A | 13,000 | 21,107 | |||
CanSino Biologics, Inc. Class A (b) | 94 | 11,316 | |||
CanSino Biologics, Inc. Class H (b) (c) (d) | 7,800 | 414,414 |
Security Description | Shares | Value | |||
CGN Power Co., Ltd. Class H (c) | 1,017,700 | $ 226,713 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,400 | 83,859 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 22,320 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 38,430 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 50,556 | |||
China Aoyuan Group, Ltd. (d) | 141,000 | 118,925 | |||
China Bohai Bank Co., Ltd. Class H (c) | 240,500 | 83,306 | |||
China Cinda Asset Management Co., Ltd. Class H | 958,481 | 182,665 | |||
China CITIC Bank Corp., Ltd. Class H | 902,000 | 427,430 | |||
China Communications Services Corp., Ltd. Class H | 258,000 | 128,903 | |||
China Conch Venture Holdings, Ltd. | 164,000 | 690,562 | |||
China Construction Bank Corp. Class A | 28,400 | 29,231 | |||
China Construction Bank Corp. Class H | 9,712,500 | 7,641,581 | |||
China East Education Holdings, Ltd. (b) (c) (d) | 57,000 | 89,546 | |||
China Eastern Airlines Corp., Ltd. Class A | 22,400 | 17,613 | |||
China Education Group Holdings, Ltd. (d) | 87,000 | 194,034 | |||
China Everbright Bank Co., Ltd. Class A | 142,600 | 83,430 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 152,258 | |||
China Everbright Environment Group, Ltd. | 409,222 | 231,858 | |||
China Everbright, Ltd. | 92,000 | 108,279 | |||
China Evergrande Group (d) | 194,000 | 252,809 | |||
China Feihe, Ltd. (c) | 361,000 | 779,098 | |||
China Fortune Land Development Co., Ltd. Class A | 12,350 | 10,016 | |||
China Galaxy Securities Co., Ltd. Class A | 14,200 | 23,693 | |||
China Galaxy Securities Co., Ltd. Class H | 382,000 | 227,748 | |||
China Gas Holdings, Ltd. | 311,400 | 950,338 | |||
China Greatwall Technology Group Co., Ltd. Class A | 7,100 | 16,044 |
Security Description | Shares | Value | |||
China Hongqiao Group, Ltd. | 230,500 | $ 312,247 | |||
China Huarong Asset Management Co., Ltd. Class H (c) (e) | 1,217,500 | 79,956 | |||
China International Capital Corp., Ltd. Class H (c) | 138,000 | 371,395 | |||
China Jinmao Holdings Group, Ltd. | 596,000 | 199,540 | |||
China Jushi Co., Ltd. Class A | 7,429 | 17,834 | |||
China Lesso Group Holdings, Ltd. | 117,000 | 288,664 | |||
China Life Insurance Co., Ltd. Class A | 9,000 | 47,209 | |||
China Life Insurance Co., Ltd. Class H | 752,000 | 1,491,247 | |||
China Literature, Ltd. (b) (c) (d) | 41,000 | 455,887 | |||
China Longyuan Power Group Corp., Ltd. Class H | 329,000 | 566,843 | |||
China Medical System Holdings, Ltd. | 148,000 | 389,732 | |||
China Meidong Auto Holdings, Ltd. | 56,000 | 305,388 | |||
China Mengniu Dairy Co., Ltd. | 319,000 | 1,928,578 | |||
China Merchants Bank Co., Ltd. Class A | 61,700 | 517,505 | |||
China Merchants Bank Co., Ltd. Class H | 394,000 | 3,361,190 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 14,760 | 10,555 | |||
China Merchants Port Holdings Co., Ltd. | 140,969 | 205,848 | |||
China Merchants Securities Co., Ltd. Class A | 24,050 | 70,800 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 27,812 | 47,136 | |||
China Minsheng Banking Corp., Ltd. Class A | 130,300 | 88,939 | |||
China Minsheng Banking Corp., Ltd. Class H (d) | 631,700 | 302,597 | |||
China Molybdenum Co., Ltd. Class A (b) | 50,000 | 39,933 | |||
China Molybdenum Co., Ltd. Class H | 348,000 | 206,581 | |||
China National Building Material Co., Ltd. Class H | 398,000 | 467,400 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 28,744 | |||
China National Medicines Corp., Ltd. Class A | 3,600 | 18,421 |
Security Description | Shares | Value | |||
China National Nuclear Power Co., Ltd. Class A | 36,900 | $ 28,899 | |||
China National Software & Service Co., Ltd. Class A | 1,000 | 8,812 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 8,300 | 26,592 | |||
China Oilfield Services, Ltd. Class H | 176,000 | 157,737 | |||
China Overseas Land & Investment, Ltd. | 395,500 | 898,372 | |||
China Overseas Property Holdings, Ltd. | 140,000 | 149,629 | |||
China Pacific Insurance Group Co., Ltd. Class A | 23,100 | 103,579 | |||
China Pacific Insurance Group Co., Ltd. Class H | 266,200 | 838,104 | |||
China Petroleum & Chemical Corp. Class A | 87,200 | 58,846 | |||
China Petroleum & Chemical Corp. Class H | 2,454,000 | 1,241,876 | |||
China Power International Development, Ltd. | 396,000 | 86,687 | |||
China Railway Group, Ltd. Class A | 62,100 | 50,366 | |||
China Railway Group, Ltd. Class H | 416,000 | 216,950 | |||
China Railway Signal & Communication Corp., Ltd. Class A | 14,348 | 12,636 | |||
China Resources Beer Holdings Co., Ltd. | 147,333 | 1,323,291 | |||
China Resources Cement Holdings, Ltd. | 245,000 | 232,827 | |||
China Resources Gas Group, Ltd. | 96,000 | 576,061 | |||
China Resources Land, Ltd. | 324,000 | 1,312,129 | |||
China Resources Mixc Lifestyle Services, Ltd. (c) | 34,600 | 236,805 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 199,500 | 124,337 | |||
China Resources Power Holdings Co., Ltd. | 214,000 | 292,099 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 17,389 | |||
China Shenhua Energy Co., Ltd. Class A | 13,300 | 40,183 | |||
China Shenhua Energy Co., Ltd. Class H | 343,000 | 672,233 | |||
China Shipbuilding Industry Co., Ltd. Class A (b) | 78,000 | 49,740 | |||
China Southern Airlines Co., Ltd. Class A (b) | 34,500 | 32,146 |
Security Description | Shares | Value | |||
China Southern Airlines Co., Ltd. Class H (b) (d) | 188,000 | $ 116,685 | |||
China State Construction Engineering Corp., Ltd. Class A | 153,900 | 110,765 | |||
China State Construction International Holdings, Ltd. | 240,000 | 163,794 | |||
China Taiping Insurance Holdings Co., Ltd. | 154,800 | 257,540 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 6,200 | 287,984 | |||
China Tower Corp., Ltd. Class H (c) | 4,406,000 | 607,071 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. (b) | 278,000 | 190,444 | |||
China TransInfo Technology Co., Ltd. Class A | 6,000 | 15,509 | |||
China Vanke Co., Ltd. Class A | 23,800 | 87,709 | |||
China Vanke Co., Ltd. Class H | 169,900 | 531,631 | |||
China Yangtze Power Co., Ltd. Class A | 71,305 | 227,793 | |||
China Yuhua Education Corp., Ltd. (c) | 122,000 | 110,440 | |||
China Zheshang Bank Co., Ltd. Class A | 36,900 | 22,674 | |||
Chindata Group Holdings, Ltd. ADR (b) | 8,700 | 131,283 | |||
Chongqing Brewery Co., Ltd. Class A (b) | 2,000 | 61,277 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 16,700 | 67,929 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 248,000 | 98,039 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 5,400 | 156,070 | |||
CIFI Holdings Group Co., Ltd. | 352,323 | 274,932 | |||
CITIC Securities Co., Ltd. Class A | 36,100 | 139,352 | |||
CITIC Securities Co., Ltd. Class H (b) | 223,000 | 559,377 | |||
CITIC, Ltd. | 588,000 | 633,744 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 7,600 | 629,094 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (b) | 27,000 | 127,627 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (b) (d) | 260,750 | 656,756 |
Security Description | Shares | Value | |||
COSCO SHIPPING Ports, Ltd. | 168,115 | $ 131,187 | |||
Country Garden Holdings Co., Ltd. (d) | 779,347 | 873,094 | |||
Country Garden Services Holdings Co., Ltd. | 149,000 | 1,609,753 | |||
CSC Financial Co., Ltd. Class A | 7,900 | 38,431 | |||
CSPC Pharmaceutical Group, Ltd. | 906,240 | 1,311,658 | |||
Dada Nexus, Ltd. ADR (b) | 6,000 | 174,060 | |||
Dali Foods Group Co., Ltd. (c) | 252,300 | 150,421 | |||
Daqo New Energy Corp. ADR (b) | 5,400 | 351,108 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 2,640 | 20,884 | |||
DHC Software Co., Ltd. Class A | 4,400 | 5,401 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 15,007 | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | 18,847 | |||
Dongfeng Motor Group Co., Ltd. Class H | 290,000 | 260,654 | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | 19,624 | |||
DouYu International Holdings, Ltd. ADR (b) | 9,200 | 62,928 | |||
East Money Information Co., Ltd. Class A | 32,836 | 166,649 | |||
ENN Energy Holdings, Ltd. | 80,100 | 1,524,467 | |||
ENN Natural Gas Co., Ltd. Class A | 4,600 | 11,755 | |||
Eve Energy Co., Ltd. Class A | 6,981 | 112,297 | |||
Ever Sunshine Lifestyle Services Group, Ltd. | 66,000 | 163,856 | |||
Everbright Securities Co., Ltd. Class A | 8,999 | 24,918 | |||
Fangda Carbon New Material Co., Ltd. Class A | 17,360 | 19,991 | |||
Far East Horizon, Ltd. (d) | 168,000 | 175,661 | |||
FAW Jiefang Group Co., Ltd. (b) | 14,500 | 24,283 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 2,000 | 5,767 | |||
Financial Street Holdings Co., Ltd. Class A | 11,900 | 12,433 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 15,582 | |||
Flat Glass Group Co., Ltd. Class H (d) | 41,000 | 168,945 |
Security Description | Shares | Value | |||
Focus Media Information Technology Co., Ltd. Class A | 46,800 | $ 68,163 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 11,050 | 220,543 | |||
Fosun International, Ltd. | 254,500 | 366,387 | |||
Founder Securities Co., Ltd. Class A (b) | 33,000 | 47,808 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 23,700 | 45,523 | |||
Fu Jian Anjoy Foods Co., Ltd. Class A (b) | 800 | 31,453 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 15,154 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 4,600 | 39,764 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (c) | 56,056 | 394,839 | |||
Ganfeng Lithium Co., Ltd. Class A | 3,600 | 67,472 | |||
Ganfeng Lithium Co., Ltd. Class H (c) | 17,000 | 253,932 | |||
Gaotu Techedu, Inc. ADR (b) (d) | 12,400 | 183,148 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 24,610 | |||
GCL System Integration Technology Co., Ltd. Class A (b) | 9,500 | 5,117 | |||
GDS Holdings, Ltd. ADR (b) | 9,200 | 722,108 | |||
Geely Automobile Holdings, Ltd. | 595,000 | 1,873,298 | |||
Gemdale Corp. Class A | 18,100 | 28,687 | |||
Genscript Biotech Corp. (b) | 110,000 | 480,179 | |||
GF Securities Co., Ltd. Class A | 18,200 | 42,649 | |||
GF Securities Co., Ltd. Class H | 111,800 | 144,827 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 11,116 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 1,692 | 49,208 | |||
GoerTek, Inc. Class A | 9,400 | 62,183 | |||
GOME Retail Holdings, Ltd. (b) (d) | 1,017,000 | 130,958 | |||
Great Wall Motor Co., Ltd. Class A | 7,400 | 49,926 | |||
Great Wall Motor Co., Ltd. Class H | 313,000 | 1,011,647 | |||
Greenland Holdings Corp., Ltd. Class A | 32,500 | 27,415 | |||
Greentown China Holdings, Ltd. (d) | 83,000 | 127,826 |
Security Description | Shares | Value | |||
Greentown Service Group Co., Ltd. | 158,000 | $ 245,367 | |||
Guangdong Haid Group Co., Ltd. Class A | 4,100 | 51,783 | |||
Guangdong Investment, Ltd. | 304,000 | 436,867 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 1,100 | 33,038 | |||
Guanghui Energy Co., Ltd. Class A (b) | 27,300 | 14,071 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 324,800 | 291,514 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 3,200 | 16,766 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | 13,471 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 42,039 | |||
Guangzhou R&F Properties Co., Ltd. Class H (d) | 180,800 | 206,273 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 2,200 | 42,322 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 3,060 | 50,479 | |||
Guolian Securities Co., Ltd. Class A | 7,800 | 18,592 | |||
Guosen Securities Co., Ltd. Class A | 9,400 | 15,640 | |||
Guotai Junan Securities Co., Ltd. Class A | 25,800 | 68,445 | |||
Guoxuan High-Tech Co., Ltd. Class A (b) | 6,100 | 41,127 | |||
Guoyuan Securities Co., Ltd. Class A | 18,720 | 23,093 | |||
Haidilao International Holding, Ltd. (c) (d) | 107,000 | 563,531 | |||
Haier Smart Home Co., Ltd. Class A | 20,400 | 81,810 | |||
Haier Smart Home Co., Ltd. Class H (b) | 204,800 | 714,678 | |||
Haitian International Holdings, Ltd. | 69,000 | 231,456 | |||
Haitong Securities Co., Ltd. Class A | 32,500 | 57,848 | |||
Haitong Securities Co., Ltd. Class H (d) | 292,400 | 256,034 | |||
Hang Zhou Great Star Industrial Co., Ltd. Class A (b) | 2,600 | 13,715 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 2,520 | 41,005 |
Security Description | Shares | Value | |||
Hangzhou Oxygen Plant Group Co., Ltd. Class A | 2,400 | $ 12,849 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 1,500 | 10,796 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 53,854 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (c) | 13,800 | 323,416 | |||
Hansoh Pharmaceutical Group Co., Ltd. (c) | 126,000 | 551,646 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 2,700 | 23,302 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 8,797 | 43,298 | |||
Hengan International Group Co., Ltd. | 66,000 | 441,935 | |||
Hengli Petrochemical Co., Ltd. Class A | 20,300 | 82,446 | |||
HengTen Networks Group, Ltd. (b) (d) | 280,000 | 223,903 | |||
Hengyi Petrochemical Co., Ltd. Class A | 16,510 | 30,537 | |||
Hesteel Co., Ltd. Class A (b) | 42,500 | 16,182 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 36,657 | |||
Hongfa Technology Co., Ltd. Class A | 3,600 | 34,937 | |||
Hopson Development Holdings, Ltd. | 66,400 | 304,389 | |||
Hua Hong Semiconductor, Ltd. (b) (c) (d) | 51,000 | 281,733 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 14,482 | |||
Huadong Medicine Co., Ltd. Class A | 3,960 | 28,201 | |||
Huafon Chemical Co., Ltd. Class A | 7,600 | 16,704 | |||
Hualan Biological Engineering, Inc. Class A | 4,810 | 27,308 | |||
Huaneng Power International, Inc. Class A | 6,600 | 4,311 | |||
Huaneng Power International, Inc. Class H | 362,000 | 141,708 | |||
Huatai Securities Co., Ltd. Class A | 25,218 | 61,671 | |||
Huatai Securities Co., Ltd. Class H (c) | 156,700 | 230,030 |
Security Description | Shares | Value | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | $ 15,501 | |||
Huaxia Bank Co., Ltd. Class A | 41,700 | 39,952 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 14,685 | |||
Huayu Automotive Systems Co., Ltd. Class A | 9,900 | 40,254 | |||
Huazhu Group, Ltd. ADR (b) (d) | 18,000 | 950,580 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 13,782 | 7,722 | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 1,000 | 17,038 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 4,400 | 19,253 | |||
Hundsun Technologies, Inc. Class A | 4,160 | 60,042 | |||
HUYA, Inc. ADR (b) (d) | 6,600 | 116,490 | |||
Iflytek Co., Ltd. Class A | 6,650 | 69,558 | |||
I-Mab ADR (b) | 3,300 | 277,035 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 130,742 | 104,620 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 5,698,000 | 3,345,787 | |||
Industrial Bank Co., Ltd. Class A | 55,099 | 175,253 | |||
Industrial Securities Co., Ltd. Class A | 15,300 | 22,876 | |||
Ingenic Semiconductor Co., Ltd. Class A | 1,900 | 29,678 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (b) | 126,100 | 30,252 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 33,800 | 26,628 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 22,000 | 125,411 | |||
Innovent Biologics, Inc. (b) (c) | 117,500 | 1,370,053 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 3,248 | 14,142 | |||
Intco Medical Technology Co., Ltd. Class A | 1,500 | 28,975 | |||
iQIYI, Inc. ADR (b) | 28,800 | 448,704 | |||
JA Solar Technology Co., Ltd. Class A (b) | 5,200 | 39,438 | |||
Jafron Biomedical Co., Ltd. Class A | 1,520 | 20,317 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 2,000 | 23,923 |
Security Description | Shares | Value | |||
JD Health International, Inc. (b) (c) (d) | 29,750 | $ 426,376 | |||
JD.com, Inc. ADR (b) | 87,267 | 6,964,779 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 11,000 | 10,556 | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | 167,518 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 4,364 | 58,035 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 21,744 | 228,753 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 2,800 | 23,472 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,300 | 169,971 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 1,500 | 25,949 | |||
Jiangsu Yoke Technology Co., Ltd. Class A | 1,200 | 15,044 | |||
Jiangsu Zhongnan Construction Group Co., Ltd. Class A | 6,200 | 5,681 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 19,193 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 30,483 | |||
Jiangxi Copper Co., Ltd. Class H (d) | 112,000 | 229,312 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 5,000 | 9,248 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 21,150 | |||
Jinxin Fertility Group, Ltd. (c) | 126,000 | 318,008 | |||
JiuGui Liquor Co., Ltd. Class A | 1,600 | 63,298 | |||
Jiumaojiu International Holdings, Ltd. (c) | 66,000 | 269,835 | |||
Joinn Laboratories China Co., Ltd. Class A | 600 | 17,064 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 7,500 | 17,842 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A | 1,600 | 10,406 | |||
JOYY, Inc. ADR (d) | 6,100 | 402,417 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 30,006 | |||
Kaisa Group Holdings, Ltd. (d) | 348,571 | 131,962 | |||
KE Holdings, Inc. ADR (b) | 35,900 | 1,711,712 | |||
Kingboard Holdings, Ltd. | 67,000 | 371,846 |
Security Description | Shares | Value | |||
Kingdee International Software Group Co., Ltd. (b) | 263,000 | $ 892,375 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 8,500 | 27,444 | |||
Kingsoft Cloud Holdings, Ltd. ADR (b) (d) | 5,400 | 183,222 | |||
Kingsoft Corp., Ltd. (d) | 97,000 | 581,437 | |||
Kuaishou Technology (b) (c) (d) | 27,400 | 687,307 | |||
Kuang-Chi Technologies Co., Ltd. Class A (b) | 7,100 | 22,869 | |||
Kunlun Energy Co., Ltd. | 406,000 | 374,326 | |||
Kweichow Moutai Co., Ltd. Class A | 3,799 | 1,209,346 | |||
KWG Group Holdings, Ltd. | 137,250 | 183,805 | |||
Lee & Man Paper Manufacturing, Ltd. | 136,000 | 103,499 | |||
Lenovo Group, Ltd. | 742,000 | 853,230 | |||
Lens Technology Co., Ltd. Class A | 14,500 | 66,004 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | 26,349 | |||
Li Auto, Inc. ADR (b) (d) | 47,700 | 1,666,638 | |||
Li Ning Co., Ltd. | 226,500 | 2,764,952 | |||
Liaoning Cheng Da Co., Ltd. Class A | 7,400 | 23,835 | |||
Lingyi iTech Guangdong Co. Class A | 16,300 | 23,185 | |||
Logan Group Co., Ltd. | 150,000 | 224,444 | |||
Lomon Billions Group Co., Ltd. Class A | 8,200 | 43,888 | |||
Longfor Group Holdings, Ltd. (c) | 183,500 | 1,027,866 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 15,960 | 219,458 | |||
Lufax Holding, Ltd. ADR (b) | 17,200 | 194,360 | |||
Luxi Chemical Group Co., Ltd. Class A | 4,600 | 13,335 | |||
Luxshare Precision Industry Co., Ltd. Class A (b) | 25,271 | 179,925 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,100 | 186,244 | |||
Mango Excellent Media Co., Ltd. Class A | 5,440 | 57,761 | |||
Maxscend Microelectronics Co., Ltd. Class A | 540 | 44,924 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (b) | 15,000 | 21,150 | |||
Meituan Class B (b) (c) | 364,300 | 15,030,128 | |||
Metallurgical Corp. of China, Ltd. Class A | 40,900 | 18,865 | |||
Microport Scientific Corp. | 64,000 | 574,000 | |||
Midea Group Co., Ltd. Class A | 10,600 | 117,093 |
Security Description | Shares | Value | |||
Ming Yang Smart Energy Group, Ltd. Class A | 4,600 | $ 11,527 | |||
Ming Yuan Cloud Group Holdings, Ltd. | 39,000 | 193,598 | |||
Minth Group, Ltd. | 78,000 | 370,623 | |||
MMG, Ltd. (b) (d) | 244,000 | 107,455 | |||
Momo, Inc. ADR | 15,700 | 240,367 | |||
Montage Technology Co., Ltd. Class A | 2,768 | 26,725 | |||
Muyuan Foods Co., Ltd. Class A | 17,276 | 162,630 | |||
NanJi E-Commerce Co., Ltd. Class A | 9,800 | 14,819 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 3,120 | 20,161 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 21,384 | |||
NARI Technology Co., Ltd. Class A | 18,482 | 66,481 | |||
NAURA Technology Group Co., Ltd. Class A | 1,600 | 68,692 | |||
NavInfo Co., Ltd. Class A | 3,500 | 7,963 | |||
NetEase, Inc. ADR | 40,565 | 4,675,116 | |||
New China Life Insurance Co., Ltd. Class A | 6,800 | 48,320 | |||
New China Life Insurance Co., Ltd. Class H | 83,600 | 285,275 | |||
New Hope Liuhe Co., Ltd. Class A (b) | 13,700 | 31,107 | |||
New Oriental Education & Technology Group, Inc. ADR (b) | 158,200 | 1,295,658 | |||
Ninestar Corp. Class A | 4,400 | 21,929 | |||
Ningbo Joyson Electronic Corp. Class A | 6,700 | 26,465 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 5,000 | 28,967 | |||
NIO, Inc. ADR (b) | 130,500 | 6,942,600 | |||
Noah Holdings, Ltd. ADR (b) (d) | 3,300 | 155,760 | |||
Nongfu Spring Co., Ltd. Class H (c) (d) | 40,600 | 203,631 | |||
Offcn Education Technology Co., Ltd. Class A | 5,500 | 17,783 | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | 4,318 | |||
OFILM Group Co., Ltd. Class A | 12,400 | 17,043 | |||
OneConnect Financial Technology Co., Ltd. ADR (b) | 11,800 | 141,836 | |||
Oppein Home Group, Inc. Class A | 1,680 | 36,914 | |||
Orient Securities Co., Ltd. Class A | 23,900 | 36,955 |
Security Description | Shares | Value | |||
Ovctek China, Inc. Class A | 1,860 | $ 29,811 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (b) | 33,400 | 11,838 | |||
People's Insurance Co. Group of China, Ltd. Class A | 19,600 | 17,990 | |||
People's Insurance Co. Group of China, Ltd. Class H | 837,000 | 279,149 | |||
Perfect World Co., Ltd. Class A | 4,800 | 17,764 | |||
PetroChina Co., Ltd. Class A | 51,800 | 42,413 | |||
PetroChina Co., Ltd. Class H | 2,130,000 | 1,036,770 | |||
Pharmaron Beijing Co., Ltd. Class A | 2,000 | 67,171 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 14,300 | 381,169 | |||
PICC Property & Casualty Co., Ltd. Class H | 711,000 | 622,572 | |||
Pinduoduo, Inc. ADR (b) | 44,300 | 5,626,986 | |||
Ping An Bank Co., Ltd. Class A | 64,200 | 224,770 | |||
Ping An Healthcare & Technology Co., Ltd. (b) (c) (d) | 46,300 | 576,525 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 32,200 | 320,363 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 639,500 | 6,262,544 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 42,600 | 79,386 | |||
Poly Property Services Co., Ltd. Class H (d) | 12,000 | 81,433 | |||
Postal Savings Bank of China Co., Ltd. Class A | 36,900 | 28,671 | |||
Postal Savings Bank of China Co., Ltd. Class H (b) (c) | 802,000 | 540,116 | |||
Power Construction Corp. of China, Ltd. Class A | 51,100 | 30,609 | |||
Powerlong Real Estate Holdings, Ltd. | 146,000 | 125,398 | |||
Proya Cosmetics Co., Ltd. Class A | 1,000 | 30,446 | |||
Raytron Technology Co., Ltd. Class A | 1,060 | 16,379 | |||
RiseSun Real Estate Development Co., Ltd. Class A | 19,300 | 16,848 | |||
Riyue Heavy Industry Co., Ltd. Class A | 2,400 | 10,059 | |||
RLX Technology, Inc. ADR (b) (d) | 12,500 | 109,125 |
Security Description | Shares | Value | |||
Rongsheng Petrochemical Co., Ltd. Class A | 31,455 | $ 84,080 | |||
SAIC Motor Corp., Ltd. Class A | 27,800 | 94,533 | |||
Sailun Group Co., Ltd. Class A | 7,600 | 11,751 | |||
Sanan Optoelectronics Co., Ltd. Class A | 12,000 | 59,528 | |||
Sangfor Technologies, Inc. Class A | 1,650 | 66,267 | |||
Sany Heavy Equipment International Holdings Co., Ltd. (d) | 111,000 | 112,489 | |||
Sany Heavy Industry Co., Ltd. Class A | 28,555 | 128,481 | |||
SDIC Capital Co., Ltd. Class A | 12,312 | 16,179 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 40,458 | |||
Seazen Group, Ltd. | 218,000 | 206,607 | |||
Seazen Holdings Co., Ltd. Class A | 6,800 | 43,784 | |||
SF Holding Co., Ltd. Class A | 11,600 | 121,551 | |||
SG Micro Corp. Class A | 750 | 29,338 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 24,700 | 45,303 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 16,012 | |||
Shandong Gold Mining Co., Ltd. Class A | 11,228 | 33,402 | |||
Shandong Gold Mining Co., Ltd. Class H (c) | 53,500 | 94,657 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 8,450 | 40,479 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 32,496 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 26,684 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 3,890 | 29,352 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 21,696 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 252,000 | 587,990 | |||
Shanghai Bailian Group Co., Ltd. Class A | 4,000 | 12,475 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 2,380 | 34,918 | |||
Shanghai Baosight Software Co., Ltd. Class A | 1,690 | 13,314 |
Security Description | Shares | Value | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | $ 20,163 | |||
Shanghai Electric Group Co., Ltd. Class A (b) | 19,000 | 12,469 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 88,420 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 50,000 | 403,691 | |||
Shanghai Industrial Urban Development Group, Ltd. | 11,400 | 1,072 | |||
Shanghai International Airport Co., Ltd. Class A | 2,968 | 22,110 | |||
Shanghai International Port Group Co., Ltd. Class A | 19,400 | 14,323 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 2,700 | 23,799 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 131,948 | |||
Shanghai M&G Stationery, Inc. Class A | 2,300 | 30,103 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 28,126 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 90,300 | 197,208 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 72,400 | 112,060 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 1,960 | 41,440 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 18,500 | 21,447 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 23,320 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 17,532 | |||
Shanxi Meijin Energy Co., Ltd. Class A (b) | 7,400 | 8,659 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 26,432 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A (b) | 2,700 | 187,220 | |||
Shenergy Co., Ltd. Class A | 7,100 | 6,747 | |||
Shenghe Resources Holding Co., Ltd. Class A (b) | 4,400 | 11,823 |
Security Description | Shares | Value | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | $ 21,740 | |||
Shennan Circuits Co., Ltd. Class A | 1,260 | 21,673 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 75,100 | 54,400 | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 2,000 | 30,987 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 1,200 | 24,077 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 8,850 | 101,721 | |||
Shenzhen International Holdings, Ltd. (d) | 116,085 | 160,543 | |||
Shenzhen Investment, Ltd. | 269,472 | 82,932 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,449 | 56,479 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 3,100 | 230,334 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 37,886 | |||
Shenzhen SC New Energy Technology Corp. Class A | 1,500 | 26,934 | |||
Shenzhen Sunlord Electronics Co., Ltd. Class A | 2,000 | 12,002 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 2,100 | 10,037 | |||
Shenzhou International Group Holdings, Ltd. | 84,200 | 2,126,183 | |||
Shimao Group Holdings, Ltd. | 131,500 | 322,406 | |||
Shimao Services Holdings, Ltd. (c) | 60,000 | 207,447 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 19,084 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 16,057 | |||
Sichuan Road & Bridge Co., Ltd. Class A | 11,800 | 11,451 | |||
Sichuan Swellfun Co., Ltd. Class A | 800 | 15,645 | |||
Silergy Corp. | 8,000 | 1,088,201 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 23,962 | |||
Sinoma Science & Technology Co., Ltd. Class A | 8,700 | 35,240 |
Security Description | Shares | Value | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | $ 14,258 | |||
Sinopharm Group Co., Ltd. Class H | 135,600 | 403,351 | |||
Sinotruk Hong Kong, Ltd. | 73,500 | 157,490 | |||
Skshu Paint Co., Ltd. Class A | 1,680 | 45,765 | |||
Smoore International Holdings, Ltd. (c) | 120,000 | 665,220 | |||
Songcheng Performance Development Co., Ltd. Class A | 11,340 | 29,487 | |||
SooChow Securities Co., Ltd. Class A (b) | 15,600 | 20,137 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 22,538 | |||
Spring Airlines Co., Ltd. Class A | 3,300 | 29,063 | |||
Sun Art Retail Group, Ltd. (b) (d) | 187,500 | 139,553 | |||
Sunac China Holdings, Ltd. (b) | 264,700 | 908,369 | |||
Sunac Services Holdings, Ltd. (c) | 63,000 | 234,044 | |||
Sungrow Power Supply Co., Ltd. Class A | 4,800 | 85,482 | |||
Suning.com Co., Ltd. Class A | 30,200 | 26,129 | |||
Sunny Optical Technology Group Co., Ltd. | 72,500 | 2,290,992 | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | 31,245 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | 23,224 | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 360 | 25,336 | |||
TAL Education Group ADR (b) | 41,700 | 1,052,091 | |||
TBEA Co., Ltd. Class A | 14,887 | 29,609 | |||
TCL Technology Group Corp Class A | 31,000 | 36,706 | |||
Tencent Holdings, Ltd. | 581,400 | 43,721,885 | |||
Tencent Music Entertainment Group ADR (b) | 67,500 | 1,044,900 | |||
Thunder Software Technology Co., Ltd. Class A | 1,400 | 34,033 | |||
Tianfeng Securities Co., Ltd. Class A | 22,100 | 16,624 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 12,400 | 74,083 | |||
Tianma Microelectronics Co., Ltd. Class A (b) | 8,800 | 19,314 |
Security Description | Shares | Value | |||
Tianshui Huatian Technology Co., Ltd. Class A | 9,100 | $ 21,677 | |||
Tingyi Cayman Islands Holding Corp. | 206,000 | 411,159 | |||
Toly Bread Co., Ltd. Class A | 3,080 | 14,874 | |||
Tongcheng-Elong Holdings, Ltd. (b) | 90,000 | 225,294 | |||
TongFu Microelectronics Co., Ltd. Class A | 6,300 | 23,441 | |||
Tonghua Dongbao Pharmaceutical Co., Ltd. Class A | 8,900 | 16,448 | |||
Tongkun Group Co., Ltd. Class A | 7,400 | 27,592 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 17,766 | |||
Tongwei Co., Ltd. Class A | 14,100 | 94,431 | |||
Topchoice Medical Corp. Class A (b) | 1,100 | 69,975 | |||
Topsports International Holdings, Ltd. (c) | 125,000 | 204,743 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 15,513 | |||
TravelSky Technology, Ltd. Class H | 95,000 | 205,026 | |||
Trip.com Group, Ltd. ADR (b) | 51,167 | 1,814,382 | |||
Tsingtao Brewery Co., Ltd. Class A (b) | 3,200 | 57,280 | |||
Tsingtao Brewery Co., Ltd. Class H (b) | 50,000 | 538,254 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 2,500 | 59,663 | |||
Uni-President China Holdings, Ltd. | 137,000 | 151,186 | |||
Unisplendour Corp., Ltd. Class A | 6,160 | 20,861 | |||
Universal Scientific Industrial Shanghai Co., Ltd. Class A | 5,800 | 15,091 | |||
Up Fintech Holding, Ltd. ADR (b) (d) | 8,000 | 231,840 | |||
Venus MedTech Hangzhou, Inc. Class H (b) (c) (d) | 22,000 | 183,431 | |||
Vipshop Holdings, Ltd. ADR (b) | 45,988 | 923,439 | |||
Walvax Biotechnology Co., Ltd. Class A | 3,500 | 33,424 | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,100 | 186,957 | |||
Want Want China Holdings, Ltd. | 472,000 | 334,284 | |||
Weibo Corp. ADR (b) | 5,760 | 303,091 | |||
Weichai Power Co., Ltd. Class A | 18,400 | 50,892 |
Security Description | Shares | Value | |||
Weichai Power Co., Ltd. Class H | 200,000 | $ 444,510 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 2,400 | 28,213 | |||
Weimob, Inc. (b) (c) (d) | 165,000 | 363,746 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 23,040 | 51,245 | |||
Western Securities Co., Ltd. Class A | 14,600 | 18,643 | |||
Wharf Holdings, Ltd. | 139,000 | 529,807 | |||
Will Semiconductor Co., Ltd. Class A | 2,900 | 144,532 | |||
Wingtech Technology Co., Ltd. Class A | 3,500 | 52,493 | |||
Winning Health Technology Group Co., Ltd. Class A | 8,450 | 21,279 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 24,728 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 7,280 | 31,077 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 33,832 | |||
Wuliangye Yibin Co., Ltd. Class A (b) | 11,000 | 507,176 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 3,800 | 9,099 | |||
WuXi AppTec Co., Ltd. Class A | 8,733 | 211,660 | |||
WuXi AppTec Co., Ltd. Class H (c) | 35,191 | 821,562 | |||
Wuxi Biologics Cayman, Inc. (b) (c) | 340,500 | 6,239,259 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 5,920 | 55,106 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 600 | 16,619 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 34,606 | |||
Xiamen C & D, Inc. Class A | 11,400 | 14,292 | |||
Xiaomi Corp. Class B (b) (c) | 1,450,100 | 5,041,650 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 7,800 | 14,680 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H (d) | 85,000 | 132,877 | |||
Xinyi Solar Holdings, Ltd. (d) | 489,558 | 1,056,548 | |||
XPeng, Inc. ADR (b) (d) | 32,700 | 1,452,534 | |||
Yadea Group Holdings, Ltd. (c) | 118,000 | 253,752 |
Security Description | Shares | Value | |||
Yango Group Co., Ltd. Class A | 16,200 | $ 13,039 | |||
Yantai Eddie Precision Machinery Co., Ltd. Class A | 4,200 | 27,868 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 1,600 | 11,070 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 23,536 | |||
Yanzhou Coal Mining Co., Ltd. Class H (d) | 134,000 | 180,143 | |||
Yealink Network Technology Corp., Ltd. Class A | 1,500 | 19,456 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 1,274 | 11,060 | |||
Yihai International Holding, Ltd. (d) | 49,000 | 329,050 | |||
Yintai Gold Co., Ltd. Class A | 11,060 | 16,280 | |||
Yixintang Pharmaceutical Group Co., Ltd. Class A | 1,400 | 7,175 | |||
Yonghui Superstores Co., Ltd. Class A | 28,800 | 21,085 | |||
Yonyou Network Technology Co., Ltd. Class A | 9,878 | 50,851 | |||
Youngor Group Co., Ltd. Class A | 22,500 | 22,950 | |||
YTO Express Group Co., Ltd. Class A | 10,400 | 16,113 | |||
Yuexiu Property Co., Ltd. | 151,400 | 159,474 | |||
Yum China Holdings, Inc. | 42,500 | 2,815,625 | |||
Yunda Holding Co., Ltd. Class A | 9,360 | 19,601 | |||
Yunnan Aluminium Co., Ltd. Class A (b) | 7,600 | 13,998 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,299 | 76,999 | |||
Yunnan Energy New Material Co., Ltd. Class A | 2,700 | 97,831 | |||
Yutong Bus Co., Ltd. Class A | 9,300 | 17,979 | |||
Zai Lab, Ltd. ADR (b) | 7,774 | 1,375,920 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 1,900 | 131,836 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 125,500 | 119,264 | |||
Zhefu Holding Group Co., Ltd. Class A | 13,200 | 10,195 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (b) | 18,800 | 18,681 | |||
Zhejiang China Commodities City Group Co., Ltd. Class A | 13,400 | 10,681 |
Security Description | Shares | Value | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 5,000 | $ 25,833 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 39,190 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,960 | 17,805 | |||
Zhejiang Expressway Co., Ltd. Class H | 180,000 | 160,163 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 5,830 | 18,841 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 4,600 | 81,308 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 6,000 | 46,898 | |||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 2,000 | 15,038 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 7,400 | 15,737 | |||
Zhejiang NHU Co., Ltd. Class A | 6,480 | 28,765 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 8,190 | 30,398 | |||
Zhejiang Satellite Petrochemical Co., Ltd. Class A | 4,200 | 25,476 | |||
Zhejiang Supor Co., Ltd. Class A | 1,300 | 12,835 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 8,932 | |||
Zhenro Properties Group, Ltd. (d) | 162,000 | 90,535 | |||
Zheshang Securities Co., Ltd. Class A (b) | 11,100 | 22,472 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (b) (c) (d) | 40,900 | 231,469 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 13,117 | |||
Zhongjin Gold Corp., Ltd. Class A | 14,600 | 19,479 | |||
Zhongsheng Group Holdings, Ltd. | 57,500 | 478,312 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H (b) (d) | 56,800 | 335,716 | |||
Zhuzhou Kibing Group Co., Ltd. Class A | 6,600 | 18,960 | |||
Zijin Mining Group Co., Ltd. Class A | 57,700 | 86,539 | |||
Zijin Mining Group Co., Ltd. Class H | 580,000 | 779,721 | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A | 28,400 | 40,616 |
Security Description | Shares | Value | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 147,600 | $ 154,521 | |||
ZTE Corp. Class A | 13,800 | 70,977 | |||
ZTE Corp. Class H | 87,000 | 271,670 | |||
ZTO Express Cayman, Inc. ADR | 44,500 | 1,350,575 | |||
304,093,575 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA | 23,221 | 164,176 | |||
Bancolombia SA Preference Shares | 47,013 | 337,678 | |||
Ecopetrol SA | 471,351 | 343,604 | |||
Grupo de Inversiones Suramericana SA | 20,075 | 99,461 | |||
Interconexion Electrica SA ESP | 41,922 | 248,680 | |||
1,193,599 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S | 15,652 | 464,279 | |||
Komercni banka A/S (b) | 7,704 | 271,145 | |||
Moneta Money Bank A/S (b) (c) | 36,126 | 137,224 | |||
872,648 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE (b) | 126,854 | 421,661 | |||
Eastern Co SAE | 120,063 | 90,650 | |||
Fawry for Banking & Payment Technology Services SAE (b) | 51,729 | 62,655 | |||
574,966 | |||||
GREECE — 0.1% | |||||
Eurobank Ergasias Services & Holdings SA Class A (b) | 262,227 | 264,329 | |||
FF Group (b) (e) | 3,869 | — | |||
Hellenic Telecommunications Organization SA | 23,240 | 389,979 | |||
JUMBO SA | 11,960 | 201,262 | |||
OPAP SA | 20,690 | 311,856 | |||
1,167,426 | |||||
HONG KONG — 0.3% | |||||
Alibaba Pictures Group, Ltd. (b) (d) | 1,275,900 | 177,440 | |||
China Huishan Dairy Holdings Co., Ltd. (b) (d) (e) | 406,100 | — | |||
China Youzan, Ltd. (b) (d) | 1,500,000 | 285,867 | |||
Hutchmed China, Ltd. ADR (b) | 7,200 | 282,744 |
Security Description | Shares | Value | |||
Kingboard Laminates Holdings, Ltd. | 107,300 | $ 240,690 | |||
Nine Dragons Paper Holdings, Ltd. | 180,000 | 230,857 | |||
Perennial Energy Holdings, Ltd. (d) | 80,000 | 18,955 | |||
Sino Biopharmaceutical, Ltd. | 1,070,000 | 1,049,904 | |||
SSY Group, Ltd. | 138,000 | 123,325 | |||
Vinda International Holdings, Ltd. (d) | 38,000 | 116,948 | |||
2,526,730 | |||||
HUNGARY — 0.2% | |||||
MOL Hungarian Oil & Gas PLC (b) | 41,379 | 329,631 | |||
OTP Bank Nyrt (b) | 22,623 | 1,219,413 | |||
Richter Gedeon Nyrt | 14,117 | 376,290 | |||
1,925,334 | |||||
INDIA — 9.7% | |||||
ACC, Ltd. | 7,293 | 197,685 | |||
Adani Enterprises, Ltd. | 27,769 | 563,207 | |||
Adani Green Energy, Ltd. (b) | 40,390 | 611,257 | |||
Adani Ports & Special Economic Zone, Ltd. | 51,300 | 485,669 | |||
Adani Total Gas, Ltd. | 27,769 | 381,007 | |||
Adani Transmission, Ltd. (b) | 27,769 | 395,801 | |||
Ambuja Cements, Ltd. | 70,151 | 321,498 | |||
Apollo Hospitals Enterprise, Ltd. | 10,165 | 495,033 | |||
Asian Paints, Ltd. | 38,750 | 1,560,166 | |||
Aurobindo Pharma, Ltd. | 29,589 | 384,223 | |||
Avenue Supermarts, Ltd. (b) (c) | 16,903 | 760,464 | |||
Axis Bank, Ltd. (b) | 228,906 | 2,304,458 | |||
Bajaj Auto, Ltd. (b) | 7,304 | 406,211 | |||
Bajaj Finance, Ltd. (b) | 27,310 | 2,210,317 | |||
Bajaj Finserv, Ltd. (b) | 3,968 | 646,424 | |||
Balkrishna Industries, Ltd. | 8,500 | 256,064 | |||
Bandhan Bank, Ltd. (b) (c) | 65,066 | 289,090 | |||
Berger Paints India, Ltd. | 25,564 | 276,895 | |||
Bharat Electronics, Ltd. | 123,043 | 294,654 | |||
Bharat Forge, Ltd. (b) | 25,984 | 266,342 | |||
Bharat Petroleum Corp., Ltd. | 85,882 | 540,850 | |||
Bharti Airtel, Ltd. | 247,792 | 1,752,346 | |||
Biocon, Ltd. (b) | 47,309 | 257,421 | |||
Britannia Industries, Ltd. | 10,678 | 524,297 | |||
Cholamandalam Investment & Finance Co., Ltd. | 41,410 | 285,937 | |||
Cipla, Ltd. | 48,870 | 638,998 | |||
Coal India, Ltd. | 155,603 | 306,998 | |||
Colgate-Palmolive India, Ltd. | 11,477 | 260,298 |
Security Description | Shares | Value | |||
Container Corp. Of India, Ltd. | 24,614 | $ 231,255 | |||
Dabur India, Ltd. | 62,476 | 478,047 | |||
Divi's Laboratories, Ltd. (b) | 13,406 | 795,063 | |||
DLF, Ltd. | 65,554 | 247,911 | |||
Dr Reddy's Laboratories, Ltd. | 11,756 | 857,707 | |||
Eicher Motors, Ltd. (b) | 13,423 | 482,374 | |||
GAIL India, Ltd. | 166,613 | 335,445 | |||
Godrej Consumer Products, Ltd. (b) | 36,143 | 423,159 | |||
Grasim Industries, Ltd. | 26,580 | 535,945 | |||
Havells India, Ltd. | 20,858 | 275,057 | |||
HCL Technologies, Ltd. | 110,211 | 1,458,261 | |||
HDFC Asset Management Co., Ltd. (c) | 5,710 | 224,117 | |||
HDFC Life Insurance Co., Ltd. (c) | 85,417 | 788,668 | |||
Hero MotoCorp, Ltd. | 11,785 | 460,206 | |||
Hindalco Industries, Ltd. | 162,442 | 813,084 | |||
Hindustan Petroleum Corp., Ltd. | 67,565 | 266,515 | |||
Hindustan Unilever, Ltd. | 83,053 | 2,761,320 | |||
Housing Development Finance Corp., Ltd. | 172,994 | 5,760,842 | |||
ICICI Bank, Ltd. (b) | 516,604 | 4,384,844 | |||
ICICI Lombard General Insurance Co., Ltd. (c) | 22,449 | 473,262 | |||
ICICI Prudential Life Insurance Co., Ltd. (c) | 38,573 | 317,956 | |||
Indian Oil Corp., Ltd. | 175,938 | 255,398 | |||
Indraprastha Gas, Ltd. | 28,279 | 212,197 | |||
Indus Towers, Ltd. | 67,894 | 217,986 | |||
Info Edge India, Ltd. | 7,514 | 496,932 | |||
Infosys, Ltd. | 344,185 | 7,319,893 | |||
InterGlobe Aviation, Ltd. (b) (c) | 10,843 | 250,463 | |||
Ipca Laboratories, Ltd. | 6,812 | 185,710 | |||
ITC, Ltd. | 298,270 | 813,391 | |||
JSW Steel, Ltd. | 83,245 | 765,926 | |||
Jubilant Foodworks, Ltd. (b) | 8,449 | 350,123 | |||
Kotak Mahindra Bank, Ltd. (b) | 56,235 | 1,290,575 | |||
Larsen & Toubro Infotech, Ltd. (c) | 5,821 | 318,835 | |||
Larsen & Toubro, Ltd. | 69,742 | 1,407,929 | |||
Lupin, Ltd. | 24,422 | 377,550 | |||
Mahindra & Mahindra, Ltd. | 85,522 | 894,800 | |||
Marico, Ltd. | 55,128 | 393,676 | |||
Maruti Suzuki India, Ltd. | 13,779 | 1,393,268 | |||
Motherson Sumi Systems, Ltd. (b) | 127,575 | 415,524 | |||
MRF, Ltd. | 216 | 232,708 | |||
Muthoot Finance, Ltd. | 11,787 | 234,955 | |||
Nestle India, Ltd. | 3,408 | 808,466 | |||
NTPC, Ltd. | 459,945 | 720,269 |
Security Description | Shares | Value | |||
Oil & Natural Gas Corp., Ltd. | 258,322 | $ 409,047 | |||
Page Industries, Ltd. | 584 | 231,950 | |||
Petronet LNG, Ltd. | 74,570 | 226,529 | |||
PI Industries, Ltd. | 8,306 | 325,222 | |||
Pidilite Industries, Ltd. (b) | 14,701 | 426,009 | |||
Piramal Enterprises, Ltd. | 9,016 | 290,900 | |||
Power Grid Corp. of India, Ltd. | 227,973 | 712,780 | |||
REC, Ltd. | 86,724 | 173,320 | |||
Reliance Industries, Ltd. | 288,116 | 8,181,246 | |||
SBI Cards & Payment Services, Ltd. (b) | 18,998 | 248,024 | |||
SBI Life Insurance Co., Ltd. (c) | 45,451 | 616,459 | |||
Shree Cement, Ltd. (b) | 1,050 | 388,535 | |||
Shriram Transport Finance Co., Ltd. | 18,272 | 330,054 | |||
Siemens, Ltd. | 7,799 | 212,057 | |||
State Bank of India | 179,315 | 1,011,285 | |||
Sun Pharmaceutical Industries, Ltd. | 84,811 | 770,693 | |||
Tata Consultancy Services, Ltd. | 93,397 | 4,203,996 | |||
Tata Consumer Products, Ltd. | 63,765 | 647,172 | |||
Tata Motors, Ltd. ADR (b) | 541 | 12,324 | |||
Tata Motors, Ltd. (b) | 164,964 | 753,690 | |||
Tata Steel, Ltd. | 58,460 | 917,522 | |||
Tata Steel, Ltd. GDR | 4,114 | 63,356 | |||
Tech Mahindra, Ltd. | 63,542 | 936,460 | |||
Titan Co., Ltd. | 35,865 | 835,949 | |||
Torrent Pharmaceuticals, Ltd. | 5,408 | 211,111 | |||
Trent, Ltd. | 17,706 | 202,441 | |||
UltraTech Cement, Ltd. | 10,203 | 930,116 | |||
United Spirits, Ltd. (b) | 31,592 | 281,217 | |||
UPL, Ltd. | 50,158 | 535,016 | |||
Vedanta, Ltd. | 99,071 | 350,341 | |||
Wipro, Ltd. ADR | 119 | 929 | |||
Wipro, Ltd. | 138,180 | 1,014,367 | |||
Yes Bank, Ltd. (b) | 1,132,489 | 206,447 | |||
86,057,786 | |||||
INDONESIA — 1.1% | |||||
Adaro Energy Tbk PT | 1,405,700 | 116,819 | |||
Aneka Tambang Tbk | 827,600 | 131,275 | |||
Astra International Tbk PT | 2,024,700 | 689,794 | |||
Bank Central Asia Tbk PT | 1,120,500 | 2,327,935 | |||
Bank Mandiri Persero Tbk PT | 1,872,400 | 761,873 | |||
Bank Negara Indonesia Persero Tbk PT | 710,500 | 226,870 | |||
Bank Rakyat Indonesia Persero Tbk PT | 5,717,300 | 1,553,529 | |||
Barito Pacific Tbk PT | 2,937,300 | 173,199 |
Security Description | Shares | Value | |||
Charoen Pokphand Indonesia Tbk PT | 708,700 | $ 305,474 | |||
Gudang Garam Tbk PT (b) | 48,300 | 147,232 | |||
Indah Kiat Pulp & Paper Tbk PT | 276,900 | 142,269 | |||
Indocement Tunggal Prakarsa Tbk PT | 153,700 | 109,180 | |||
Indofood CBP Sukses Makmur Tbk PT | 254,900 | 143,271 | |||
Indofood Sukses Makmur Tbk PT | 395,900 | 168,599 | |||
Kalbe Farma Tbk PT | 1,950,200 | 188,295 | |||
Merdeka Copper Gold Tbk PT (b) | 863,600 | 175,102 | |||
Sarana Menara Nusantara Tbk PT | 2,224,800 | 190,259 | |||
Semen Indonesia Persero Tbk PT | 315,700 | 206,838 | |||
Telkom Indonesia Persero Tbk PT | 5,006,600 | 1,087,641 | |||
Tower Bersama Infrastructure Tbk PT | 800,900 | 177,303 | |||
Unilever Indonesia Tbk PT | 733,400 | 250,368 | |||
United Tractors Tbk PT | 176,200 | 246,072 | |||
9,519,197 | |||||
KUWAIT — 0.5% | |||||
Agility Public Warehousing Co. KSC | 121,473 | 370,103 | |||
Boubyan Bank KSCP (b) | 109,599 | 266,268 | |||
Kuwait Finance House KSCP | 468,909 | 1,181,221 | |||
Mabanee Co. KPSC | 55,154 | 131,249 | |||
Mobile Telecommunications Co. KSCP | 218,508 | 427,153 | |||
National Bank of Kuwait SAKP | 690,111 | 1,944,588 | |||
4,320,582 | |||||
LUXEMBOURG — 0.0% (a) | |||||
Reinet Investments SCA | 13,885 | 272,502 | |||
MALAYSIA — 1.2% | |||||
AMMB Holdings Bhd | 136,500 | 96,995 | |||
Axiata Group Bhd | 256,593 | 231,159 | |||
CIMB Group Holdings Bhd | 651,101 | 723,010 | |||
Dialog Group Bhd | 405,400 | 282,213 | |||
DiGi.Com Bhd | 322,200 | 320,531 | |||
Fraser & Neave Holdings Bhd | 11,700 | 74,402 | |||
Genting Bhd | 200,700 | 238,336 | |||
Genting Malaysia Bhd | 315,400 | 210,444 | |||
HAP Seng Consolidated Bhd | 51,800 | 97,324 | |||
Hartalega Holdings Bhd | 183,100 | 324,168 | |||
Hong Leong Bank Bhd | 69,600 | 313,841 | |||
Hong Leong Financial Group Bhd | 26,800 | 114,908 |
Security Description | Shares | Value | |||
IHH Healthcare Bhd | 177,300 | $ 233,610 | |||
IOI Corp. Bhd | 270,500 | 244,991 | |||
Kossan Rubber Industries | 134,000 | 103,934 | |||
Kuala Lumpur Kepong Bhd | 40,112 | 196,719 | |||
Malayan Banking Bhd | 416,536 | 813,708 | |||
Malaysia Airports Holdings Bhd (b) | 105,100 | 151,897 | |||
Maxis Bhd | 242,500 | 256,431 | |||
MISC Bhd | 141,800 | 231,580 | |||
Nestle Malaysia Bhd | 6,500 | 208,708 | |||
Petronas Chemicals Group Bhd | 248,800 | 483,037 | |||
Petronas Dagangan Bhd | 29,200 | 130,825 | |||
Petronas Gas Bhd | 79,900 | 298,314 | |||
PPB Group Bhd | 68,320 | 301,158 | |||
Press Metal Aluminium Holdings Bhd | 299,600 | 344,957 | |||
Public Bank Bhd | 1,470,300 | 1,455,602 | |||
QL Resources Bhd | 122,700 | 166,989 | |||
RHB Bank Bhd | 146,310 | 190,311 | |||
Sime Darby Bhd | 271,469 | 142,551 | |||
Sime Darby Plantation Bhd | 174,936 | 167,709 | |||
Supermax Corp. Bhd | 162,533 | 129,196 | |||
Telekom Malaysia Bhd | 100,100 | 146,358 | |||
Tenaga Nasional Bhd | 230,500 | 543,561 | |||
Top Glove Corp. Bhd | 517,500 | 519,806 | |||
Westports Holdings Bhd | 98,400 | 99,787 | |||
10,589,070 | |||||
MEXICO — 1.7% | |||||
America Movil SAB de CV Series L | 3,441,221 | 2,592,517 | |||
Arca Continental SAB de CV | 48,600 | 282,220 | |||
Becle SAB de CV | 56,500 | 148,809 | |||
Cemex SAB de CV Series CPO (b) | 1,500,817 | 1,267,861 | |||
Coca-Cola Femsa SAB de CV | 53,045 | 280,990 | |||
Fibra Uno Administracion SA de CV REIT | 319,058 | 345,010 | |||
Fomento Economico Mexicano SAB de CV | 196,480 | 1,659,134 | |||
Gruma SAB de CV Class B | 22,795 | 255,089 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 41,300 | 440,059 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B (b) | 20,985 | 387,744 | |||
Grupo Bimbo SAB de CV Class A | 159,515 | 351,629 | |||
Grupo Carso SAB de CV Series A1 | 53,700 | 168,000 | |||
Grupo Financiero Banorte SAB de CV Series O | 262,103 | 1,695,004 |
Security Description | Shares | Value | |||
Grupo Financiero Inbursa SAB de CV Series O (b) | 254,026 | $ 251,596 | |||
Grupo Mexico SAB de CV Class B | 314,536 | 1,481,173 | |||
Grupo Televisa SAB Series CPO | 242,729 | 695,131 | |||
Industrias Penoles SAB de CV (b) | 14,495 | 200,319 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 153,689 | 273,021 | |||
Megacable Holdings SAB de CV | 37,300 | 132,148 | |||
Orbia Advance Corp. SAB de CV | 110,910 | 290,442 | |||
Promotora y Operadora de Infraestructura SAB de CV | 24,150 | 193,426 | |||
Telesites SAB de CV (b) | 125,800 | 116,509 | |||
Wal-Mart de Mexico SAB de CV | 527,494 | 1,723,916 | |||
15,231,747 | |||||
PAKISTAN — 0.0% (a) | |||||
Habib Bank, Ltd. | 66,000 | 51,246 | |||
Lucky Cement, Ltd. (b) | 13,064 | 71,573 | |||
MCB Bank, Ltd. | 48,800 | 49,491 | |||
172,310 | |||||
PERU — 0.2% | |||||
Cia de Minas Buenaventura SAA ADR (b) | 23,400 | 211,770 | |||
Credicorp, Ltd. (b) | 6,800 | 823,548 | |||
Southern Copper Corp. | 8,467 | 544,597 | |||
1,579,915 | |||||
PHILIPPINES — 0.6% | |||||
Aboitiz Equity Ventures, Inc. | 216,340 | 186,802 | |||
Ayala Corp. | 29,505 | 483,540 | |||
Ayala Land, Inc. | 844,400 | 623,592 | |||
Bank of the Philippine Islands | 182,319 | 331,285 | |||
BDO Unibank, Inc. | 205,299 | 476,080 | |||
Globe Telecom, Inc. | 2,695 | 101,584 | |||
GT Capital Holdings, Inc. | 12,002 | 149,241 | |||
International Container Terminal Services, Inc. | 107,620 | 360,901 | |||
JG Summit Holdings, Inc. | 313,320 | 398,911 | |||
Jollibee Foods Corp. | 43,140 | 188,768 | |||
Manila Electric Co. | 26,550 | 150,766 | |||
Metro Pacific Investments Corp. | 1,239,000 | 98,734 | |||
Metropolitan Bank & Trust Co. | 177,787 | 177,368 | |||
PLDT, Inc. | 7,636 | 202,261 | |||
SM Investments Corp. | 25,180 | 515,567 | |||
SM Prime Holdings, Inc. | 1,020,800 | 763,274 |
Security Description | Shares | Value | |||
Universal Robina Corp. | 99,000 | $ 293,055 | |||
5,501,729 | |||||
POLAND — 0.7% | |||||
Allegro.eu SA (b) (c) | 35,323 | 608,851 | |||
Bank Polska Kasa Opieki SA (b) | 19,437 | 474,820 | |||
CCC SA (b) | 244 | 7,201 | |||
CD Projekt SA (d) | 7,115 | 345,789 | |||
Cyfrowy Polsat SA | 26,337 | 207,126 | |||
Dino Polska SA (b) (c) | 4,681 | 344,159 | |||
KGHM Polska Miedz SA | 13,918 | 686,029 | |||
LPP SA (b) | 112 | 378,629 | |||
Orange Polska SA (b) | 76,094 | 134,219 | |||
PGE Polska Grupa Energetyczna SA (b) | 71,976 | 177,908 | |||
Polski Koncern Naftowy ORLEN SA | 29,394 | 592,821 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 181,342 | 317,813 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (b) | 87,261 | 867,109 | |||
Powszechny Zaklad Ubezpieczen SA (b) | 59,526 | 573,839 | |||
Santander Bank Polska SA (b) | 3,855 | 257,607 | |||
5,973,920 | |||||
QATAR — 0.6% | |||||
Barwa Real Estate Co. | 193,205 | 158,130 | |||
Commercial Bank PQSC | 184,733 | 267,383 | |||
Industries Qatar QSC | 152,756 | 555,896 | |||
Masraf Al Rayan QSC | 384,196 | 470,511 | |||
Mesaieed Petrochemical Holding Co. | 403,600 | 208,617 | |||
Ooredoo QSC | 69,249 | 138,745 | |||
Qatar Electricity & Water Co. QSC | 50,210 | 229,744 | |||
Qatar Fuel QSC | 44,976 | 218,765 | |||
Qatar Gas Transport Co., Ltd. | 245,585 | 202,350 | |||
Qatar International Islamic Bank QSC | 82,218 | 210,231 | |||
Qatar Islamic Bank SAQ | 113,830 | 540,544 | |||
Qatar National Bank QPSC | 461,965 | 2,277,471 | |||
5,478,387 | |||||
ROMANIA — 0.0% (a) | |||||
NEPI Rockcastle PLC | 37,978 | 269,221 | |||
RUSSIA — 3.3% | |||||
Alrosa PJSC (b) | 257,764 | 473,408 | |||
Gazprom PJSC | 1,202,178 | 4,624,157 | |||
Inter Rao Use PJSC | 4,077,928 | 262,358 | |||
LUKOIL PJSC | 41,961 | 3,891,173 | |||
Magnit PJSC | 7,202 | 522,550 |
Security Description | Shares | Value | |||
Mail.Ru Group, Ltd. GDR (b) | 11,526 | $ 261,179 | |||
MMC Norilsk Nickel PJSC | 6,077 | 2,061,332 | |||
Mobile TeleSystems PJSC ADR | 39,670 | 367,344 | |||
Mobile TeleSystems PJSC | 13,301 | 62,341 | |||
Moscow Exchange MICEX (b) | 152,801 | 356,601 | |||
Novatek PJSC GDR | 600 | 131,580 | |||
Novatek PJSC | 91,850 | 2,019,213 | |||
Novolipetskiy Steel PJSC (b) | 151,323 | 476,172 | |||
Ozon Holdings PLC ADR (b) (d) | 4,115 | 241,221 | |||
PhosAgro PJSC GDR | 14,306 | 289,554 | |||
Polymetal International PLC | 35,739 | 767,482 | |||
Polyus PJSC (b) | 3,565 | 689,100 | |||
Rosneft Oil Co. PJSC | 117,741 | 920,041 | |||
Sberbank of Russia PJSC | 1,090,094 | 4,546,526 | |||
Severstal PAO | 21,152 | 454,115 | |||
Surgutneftegas PJSC Preference Shares | 721,300 | 456,849 | |||
Surgutneftegas PJSC | 774,400 | 389,088 | |||
Tatneft PJSC | 143,025 | 1,040,573 | |||
TCS Group Holding PLC GDR | 12,453 | 1,089,638 | |||
VTB Bank PJSC (b) | 351,600,000 | 233,463 | |||
X5 Retail Group NV GDR | 12,785 | 448,242 | |||
Yandex NV Class A (b) | 30,984 | 2,192,118 | |||
29,267,418 | |||||
SAUDI ARABIA — 2.8% | |||||
Abdullah Al Othaim Markets Co. | 4,958 | 163,927 | |||
Advanced Petrochemical Co. | 11,368 | 219,152 | |||
Al Rajhi Bank | 123,720 | 3,661,721 | |||
Alinma Bank | 102,357 | 574,230 | |||
Almarai Co. JSC | 25,179 | 425,647 | |||
Arab National Bank | 60,208 | 364,420 | |||
Bank AlBilad (b) | 35,138 | 343,847 | |||
Bank Al-Jazira (b) | 43,091 | 212,559 | |||
Banque Saudi Fransi | 61,969 | 634,495 | |||
Bupa Arabia for Cooperative Insurance Co. | 5,363 | 177,604 | |||
Co. for Cooperative Insurance | 5,113 | 112,883 | |||
Dar Al Arkan Real Estate Development Co. (b) | 51,903 | 146,143 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 5,026 | 218,976 | |||
Emaar Economic City (b) | 43,855 | 149,676 | |||
Etihad Etisalat Co. | 35,751 | 316,005 | |||
Jarir Marketing Co. | 5,531 | 311,473 |
Security Description | Shares | Value | |||
Mobile Telecommunications Co. (b) | 47,124 | $ 182,696 | |||
Mouwasat Medical Services Co. | 4,949 | 237,790 | |||
National Industrialization Co. (b) | 27,835 | 143,391 | |||
National Petrochemical Co. | 12,120 | 142,193 | |||
Rabigh Refining & Petrochemical Co. (b) | 25,187 | 157,822 | |||
Riyad Bank | 135,175 | 955,135 | |||
SABIC Agri-Nutrients Co. | 21,366 | 680,221 | |||
Sahara International Petrochemical Co. | 38,616 | 315,588 | |||
Saudi Arabian Mining Co. (b) | 42,672 | 719,089 | |||
Saudi Arabian Oil Co. (c) | 224,497 | 2,101,068 | |||
Saudi Basic Industries Corp. | 90,896 | 2,951,987 | |||
Saudi British Bank (b) | 81,146 | 681,554 | |||
Saudi Cement Co. | 7,316 | 124,066 | |||
Saudi Electricity Co. | 81,618 | 525,346 | |||
Saudi Industrial Investment Group | 22,162 | 206,823 | |||
Saudi Kayan Petrochemical Co. (b) | 69,953 | 336,858 | |||
Saudi National Bank | 222,680 | 3,420,000 | |||
Saudi Telecom Co. | 61,141 | 2,145,413 | |||
Savola Group | 24,605 | 283,091 | |||
Yanbu National Petrochemical Co. | 24,712 | 478,373 | |||
24,821,262 | |||||
SINGAPORE — 0.0% (a) | |||||
BOC Aviation, Ltd. (c) | 22,100 | 186,399 | |||
SOUTH AFRICA — 3.3% | |||||
Absa Group, Ltd. (b) | 74,970 | 712,592 | |||
African Rainbow Minerals, Ltd. | 10,182 | 182,087 | |||
Anglo American Platinum, Ltd. | 5,522 | 637,874 | |||
Aspen Pharmacare Holdings, Ltd. (b) | 37,539 | 426,136 | |||
Bid Corp., Ltd. (b) | 33,389 | 723,983 | |||
Bidvest Group, Ltd. | 27,699 | 369,469 | |||
Capitec Bank Holdings, Ltd. | 8,174 | 965,441 | |||
Clicks Group, Ltd. (d) | 24,176 | 415,989 | |||
Discovery, Ltd. (b) | 43,706 | 386,501 | |||
Exxaro Resources, Ltd. | 26,069 | 307,488 | |||
FirstRand, Ltd. | 509,882 | 1,913,653 | |||
Gold Fields, Ltd. | 88,727 | 797,867 | |||
Growthpoint Properties, Ltd. REIT | 348,515 | 363,678 | |||
Harmony Gold Mining Co., Ltd. | 57,323 | 211,809 | |||
Impala Platinum Holdings, Ltd. | 80,851 | 1,333,422 |
Security Description | Shares | Value | |||
Kumba Iron Ore, Ltd. (d) | 6,835 | $ 306,640 | |||
Mr. Price Group, Ltd. (d) | 24,432 | 360,215 | |||
MTN Group, Ltd. (b) (d) | 170,904 | 1,235,572 | |||
MultiChoice Group, Ltd. | 37,988 | 312,178 | |||
Naspers, Ltd. Class N | 43,985 | 9,235,779 | |||
Nedbank Group, Ltd. (b) | 36,016 | 430,994 | |||
Northam Platinum, Ltd. (b) | 36,040 | 547,538 | |||
Old Mutual, Ltd. | 456,299 | 431,413 | |||
Rand Merchant Investment Holdings, Ltd. | 74,289 | 163,055 | |||
Remgro, Ltd. | 51,116 | 410,253 | |||
Sanlam, Ltd. | 191,178 | 821,682 | |||
Sasol, Ltd. (b) | 56,696 | 865,643 | |||
Shoprite Holdings, Ltd. | 53,170 | 578,814 | |||
Sibanye Stillwater, Ltd. | 281,461 | 1,176,011 | |||
SPAR Group, Ltd. | 20,580 | 260,717 | |||
Standard Bank Group, Ltd. | 130,912 | 1,169,968 | |||
Tiger Brands, Ltd. (d) | 15,917 | 232,979 | |||
Vodacom Group, Ltd. (d) | 63,617 | 573,717 | |||
Woolworths Holdings, Ltd. (b) | 106,029 | 400,317 | |||
29,261,474 | |||||
SOUTH KOREA — 12.9% | |||||
Alteogen, Inc. (b) | 2,860 | 212,567 | |||
Amorepacific Corp. | 3,247 | 726,585 | |||
AMOREPACIFIC Group | 3,081 | 175,096 | |||
BGF retail Co., Ltd. | 940 | 149,829 | |||
Celltrion Healthcare Co., Ltd. (b) | 8,442 | 867,326 | |||
Celltrion Pharm, Inc. (b) | 1,718 | 239,817 | |||
Celltrion, Inc. (b) | 9,735 | 2,321,047 | |||
Cheil Worldwide, Inc. | 8,082 | 180,493 | |||
CJ CheilJedang Corp. | 889 | 363,920 | |||
CJ Corp. | 1,473 | 139,956 | |||
CJ ENM Co., Ltd. | 1,050 | 170,346 | |||
CJ Logistics Corp. (b) | 922 | 144,913 | |||
Coway Co., Ltd. | 5,160 | 360,602 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b) | 4,419 | 140,479 | |||
DB Insurance Co., Ltd. | 5,288 | 257,321 | |||
Doosan Bobcat, Inc. (b) | 4,814 | 205,188 | |||
Doosan Heavy Industries & Construction Co., Ltd. (b) (d) | 19,215 | 406,942 | |||
Douzone Bizon Co., Ltd. | 2,048 | 150,943 | |||
E-MART, Inc. | 1,852 | 263,127 | |||
Fila Holdings Corp. | 4,764 | 246,206 | |||
Green Cross Corp. | 590 | 172,104 | |||
GS Engineering & Construction Corp. | 5,945 | 226,471 | |||
GS Holdings Corp. | 4,692 | 192,696 | |||
Hana Financial Group, Inc. | 30,319 | 1,239,790 | |||
Hankook Tire & Technology Co., Ltd. | 7,658 | 351,568 | |||
Hanmi Pharm Co., Ltd. | 669 | 198,713 |
Security Description | Shares | Value | |||
Hanon Systems | 19,447 | $ 285,795 | |||
Hanwha Solutions Corp. (b) | 12,618 | 499,163 | |||
HLB, Inc. (b) (d) | 9,396 | 278,672 | |||
HMM Co., Ltd. (b) (d) | 26,126 | 1,018,454 | |||
Hotel Shilla Co., Ltd. | 3,434 | 295,785 | |||
HYBE Co., Ltd. (b) | 956 | 248,306 | |||
Hyundai Construction Equipment Co., Ltd. (b) | 4 | 196 | |||
Hyundai Engineering & Construction Co., Ltd. | 7,873 | 407,580 | |||
Hyundai Glovis Co., Ltd. | 2,034 | 377,486 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 4,787 | 300,954 | |||
Hyundai Mobis Co., Ltd. | 6,720 | 1,742,432 | |||
Hyundai Motor Co. | 14,027 | 2,983,143 | |||
Hyundai Motor Co. Preference Shares (f) | 3,991 | 407,552 | |||
Hyundai Motor Co. Preference Shares (f) | 2,436 | 249,841 | |||
Hyundai Steel Co. | 8,760 | 417,717 | |||
Industrial Bank of Korea | 28,223 | 263,146 | |||
Kakao Corp. | 31,346 | 4,537,049 | |||
Kangwon Land, Inc. (b) | 9,723 | 232,250 | |||
KB Financial Group, Inc. | 39,895 | 1,976,771 | |||
Kia Corp. | 26,611 | 2,117,254 | |||
KMW Co., Ltd. (b) (d) | 2,751 | 132,157 | |||
Korea Aerospace Industries, Ltd. | 7,275 | 212,536 | |||
Korea Electric Power Corp. | 26,904 | 593,673 | |||
Korea Investment Holdings Co., Ltd. | 4,276 | 391,092 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (b) | 4,025 | 478,933 | |||
Korea Zinc Co., Ltd. | 806 | 308,830 | |||
Korean Air Lines Co., Ltd. (b) | 15,766 | 440,997 | |||
KT&G Corp. | 11,786 | 883,309 | |||
Kumho Petrochemical Co., Ltd. | 1,868 | 363,266 | |||
LG Chem, Ltd. | 4,634 | 3,497,669 | |||
LG Chem, Ltd. Preference Shares | 803 | 273,454 | |||
LG Corp. | 9,186 | 836,092 | |||
LG Display Co., Ltd. (b) (d) | 22,746 | 494,852 | |||
LG Electronics, Inc. | 10,743 | 1,559,722 | |||
LG Household & Health Care, Ltd. | 946 | 1,480,133 | |||
LG Household & Health Care, Ltd. Preference Shares | 207 | 140,616 | |||
LG Innotek Co., Ltd. | 1,532 | 303,366 | |||
LG Uplus Corp. | 19,720 | 268,794 | |||
Lotte Chemical Corp. | 1,731 | 403,488 | |||
Lotte Shopping Co., Ltd. | 1,080 | 110,767 | |||
Meritz Securities Co., Ltd. | 25,081 | 105,455 |
Security Description | Shares | Value | |||
Mirae Asset Securities Co., Ltd. | 31,312 | $ 262,196 | |||
NAVER Corp. | 12,442 | 4,612,649 | |||
NCSoft Corp. | 1,670 | 1,216,001 | |||
Netmarble Corp. (c) | 2,279 | 271,177 | |||
NH Investment & Securities Co., Ltd. | 11,641 | 133,347 | |||
Orion Corp/Republic of Korea | 2,607 | 274,324 | |||
Pan Ocean Co., Ltd. | 26,995 | 204,713 | |||
Pearl Abyss Corp. (b) | 3,045 | 204,685 | |||
POSCO | 7,485 | 2,312,996 | |||
POSCO Chemtech Co., Ltd. | 2,749 | 351,513 | |||
S-1 Corp. | 2,014 | 146,470 | |||
Samsung Biologics Co., Ltd. (b) (c) | 1,668 | 1,245,649 | |||
Samsung C&T Corp. | 8,494 | 1,029,553 | |||
Samsung Electro-Mechanics Co., Ltd. | 5,658 | 889,283 | |||
Samsung Electronics Co., Ltd. Preference Shares | 83,108 | 5,438,938 | |||
Samsung Electronics Co., Ltd. | 482,339 | 34,564,452 | |||
Samsung Engineering Co., Ltd. (b) | 16,760 | 355,693 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,028 | 592,882 | |||
Samsung Heavy Industries Co., Ltd. (b) | 44,415 | 264,640 | |||
Samsung Life Insurance Co., Ltd. | 7,304 | 517,568 | |||
Samsung SDI Co., Ltd. | 5,556 | 3,443,669 | |||
Samsung SDS Co., Ltd. | 3,517 | 577,761 | |||
Samsung Securities Co., Ltd. | 6,163 | 245,995 | |||
Seegene, Inc. (b) | 3,890 | 285,666 | |||
Shin Poong Pharmaceutical Co., Ltd. (d) | 3,036 | 231,848 | |||
Shinhan Financial Group Co., Ltd. | 44,533 | 1,605,505 | |||
Shinsegae, Inc. | 661 | 167,576 | |||
SK Biopharmaceuticals Co., Ltd. (b) | 2,912 | 318,054 | |||
SK Chemicals Co., Ltd. | 857 | 197,860 | |||
SK Holdings Co., Ltd. | 3,198 | 802,233 | |||
SK Hynix, Inc. | 55,144 | 6,243,271 | |||
SK Innovation Co., Ltd. (b) | 5,136 | 1,347,678 | |||
SK Telecom Co., Ltd. | 3,996 | 1,135,479 | |||
SKC Co., Ltd. | 2,103 | 295,987 | |||
S-Oil Corp. (b) | 4,300 | 391,378 | |||
Woori Financial Group, Inc. | 53,107 | 539,959 | |||
Yuhan Corp. | 4,947 | 277,188 | |||
115,018,628 | |||||
TAIWAN — 13.5% | |||||
Accton Technology Corp. | 53,000 | 628,677 |
Security Description | Shares | Value | |||
Acer, Inc. | 305,000 | $ 320,736 | |||
Advantech Co., Ltd. | 38,002 | 470,550 | |||
ASE Technology Holding Co., Ltd. | 335,307 | 1,347,847 | |||
Asia Cement Corp. | 227,000 | 413,061 | |||
ASMedia Technology, Inc. | 3,000 | 144,818 | |||
Asustek Computer, Inc. (b) | 71,000 | 946,667 | |||
AU Optronics Corp. | 826,000 | 671,472 | |||
Catcher Technology Co., Ltd. | 67,000 | 437,649 | |||
Cathay Financial Holding Co., Ltd. | 798,087 | 1,543,899 | |||
Chailease Holding Co., Ltd. | 125,998 | 915,732 | |||
Chang Hwa Commercial Bank, Ltd. | 419,221 | 242,994 | |||
Cheng Shin Rubber Industry Co., Ltd. | 182,000 | 305,375 | |||
China Development Financial Holding Corp. | 1,326,000 | 625,820 | |||
China Life Insurance Co., Ltd. | 183,869 | 173,888 | |||
China Steel Corp. | 1,192,000 | 1,694,148 | |||
Chunghwa Telecom Co., Ltd. | 384,000 | 1,571,144 | |||
Compal Electronics, Inc. | 402,000 | 322,466 | |||
CTBC Financial Holding Co., Ltd. | 1,809,040 | 1,473,852 | |||
Delta Electronics, Inc. | 197,000 | 2,142,342 | |||
E.Sun Financial Holding Co., Ltd. | 1,166,341 | 1,100,934 | |||
Eclat Textile Co., Ltd. | 20,550 | 483,833 | |||
Evergreen Marine Corp. Taiwan, Ltd. (b) | 245,252 | 1,734,038 | |||
Far Eastern New Century Corp. | 317,000 | 364,074 | |||
Far EasTone Telecommunications Co., Ltd. | 166,000 | 384,876 | |||
Feng TAY Enterprise Co., Ltd. | 41,361 | 362,953 | |||
First Financial Holding Co., Ltd. | 1,037,579 | 845,331 | |||
Formosa Chemicals & Fibre Corp. | 355,000 | 1,079,175 | |||
Formosa Petrochemical Corp. | 124,000 | 473,970 | |||
Formosa Plastics Corp. | 394,000 | 1,456,510 | |||
Foxconn Technology Co., Ltd. | 94,830 | 223,610 | |||
Fubon Financial Holding Co., Ltd. | 672,000 | 1,782,353 | |||
Giant Manufacturing Co., Ltd. | 32,000 | 365,796 | |||
Globalwafers Co., Ltd. | 23,000 | 758,618 | |||
Hiwin Technologies Corp. | 28,721 | 407,171 | |||
Hon Hai Precision Industry Co., Ltd. | 1,259,800 | 5,064,068 |
Security Description | Shares | Value | |||
Hotai Motor Co., Ltd. | 30,000 | $ 661,104 | |||
Hua Nan Financial Holdings Co., Ltd. | 823,229 | 545,126 | |||
Innolux Corp. | 880,000 | 655,361 | |||
Inventec Corp. | 232,000 | 218,573 | |||
Largan Precision Co., Ltd. | 10,000 | 1,112,607 | |||
Lite-On Technology Corp. | 219,958 | 454,718 | |||
MediaTek, Inc. | 153,000 | 5,282,584 | |||
Mega Financial Holding Co., Ltd. | 1,122,000 | 1,322,843 | |||
Micro-Star International Co., Ltd. | 65,000 | 367,429 | |||
Nan Ya Plastics Corp. | 521,000 | 1,555,754 | |||
Nan Ya Printed Circuit Board Corp. | 23,000 | 321,525 | |||
Nanya Technology Corp. | 128,000 | 366,141 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 252,292 | |||
Novatek Microelectronics Corp. | 58,000 | 1,038,744 | |||
Oneness Biotech Co., Ltd. (b) | 19,000 | 158,205 | |||
Pegatron Corp. | 205,000 | 506,200 | |||
Phison Electronics Corp. | 16,000 | 275,639 | |||
Pou Chen Corp. | 242,000 | 341,340 | |||
Powertech Technology, Inc. | 71,000 | 273,934 | |||
President Chain Store Corp. | 56,000 | 528,596 | |||
Quanta Computer, Inc. | 273,000 | 857,335 | |||
Realtek Semiconductor Corp. | 46,000 | 833,737 | |||
Ruentex Development Co., Ltd. | 95,760 | 194,527 | |||
Shanghai Commercial & Savings Bank, Ltd. | 352,736 | 572,860 | |||
Shin Kong Financial Holding Co., Ltd. | 1,148,084 | 392,687 | |||
SinoPac Financial Holdings Co., Ltd. (b) | 1,024,457 | 505,564 | |||
Synnex Technology International Corp. | 137,700 | 251,554 | |||
Taishin Financial Holding Co., Ltd. | 1,027,680 | 562,481 | |||
Taiwan Business Bank | 650,535 | 220,639 | |||
Taiwan Cement Corp. | 499,085 | 913,534 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 942,377 | 718,726 | |||
Taiwan High Speed Rail Corp. | 180,000 | 193,163 | |||
Taiwan Mobile Co., Ltd. | 167,000 | 611,359 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,488,000 | 53,130,911 | |||
Unimicron Technology Corp. | 122,000 | 564,845 | |||
Uni-President Enterprises Corp. | 498,000 | 1,308,339 |
Security Description | Shares | Value | |||
United Microelectronics Corp. | 1,192,000 | $ 2,271,699 | |||
Vanguard International Semiconductor Corp. | 98,000 | 415,038 | |||
Walsin Technology Corp. | 35,000 | 285,778 | |||
Wan Hai Lines, Ltd. | 56,000 | 645,168 | |||
Win Semiconductors Corp. | 36,000 | 484,522 | |||
Winbond Electronics Corp. | 320,000 | 400,251 | |||
Wistron Corp. | 272,101 | 302,741 | |||
Wiwynn Corp. | 8,000 | 286,263 | |||
WPG Holdings, Ltd. | 174,880 | 320,731 | |||
Yageo Corp. | 39,556 | 787,926 | |||
Yang Ming Marine Transport Corp. (b) | 160,000 | 1,048,004 | |||
Yuanta Financial Holding Co., Ltd. (b) | 980,600 | 944,966 | |||
Zhen Ding Technology Holding, Ltd. | 59,000 | 222,342 | |||
119,766,852 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.1% | |||||
AngloGold Ashanti, Ltd. | 41,975 | 780,457 | |||
THAILAND — 1.6% | |||||
Advanced Info Service PCL | 120,100 | 640,783 | |||
Airports of Thailand PCL | 432,800 | 837,242 | |||
Asset World Corp. PCL (b) | 866,500 | 117,336 | |||
B Grimm Power PCL | 85,100 | 111,520 | |||
Bangkok Bank PCL | 59,800 | 210,839 | |||
Bangkok Commercial Asset Management PCL | 187,300 | 108,698 | |||
Bangkok Dusit Medical Services PCL Class F | 963,000 | 691,076 | |||
Bangkok Expressway & Metro PCL | 829,899 | 211,035 | |||
Berli Jucker PCL | 128,600 | 139,434 | |||
BTS Group Holdings PCL | 795,184 | 231,980 | |||
Bumrungrad Hospital PCL | 42,300 | 169,596 | |||
Carabao Group PCL Class F | 30,300 | 133,774 | |||
Central Pattana PCL | 204,000 | 334,165 | |||
Central Retail Corp. PCL | 193,558 | 202,315 | |||
Charoen Pokphand Foods PCL | 374,000 | 309,236 | |||
CP ALL PCL | 591,200 | 1,106,771 | |||
Delta Electronics Thailand PCL | 33,200 | 598,739 | |||
Electricity Generating PCL | 26,600 | 145,242 | |||
Energy Absolute PCL | 157,619 | 299,992 | |||
Global Power Synergy PCL Class F | 78,400 | 178,571 | |||
Gulf Energy Development PCL | 252,560 | 269,896 | |||
Home Product Center PCL | 655,700 | 294,605 | |||
Indorama Ventures PCL | 180,400 | 229,370 |
Security Description | Shares | Value | |||
Intouch Holdings PCL Class F | 194,300 | $ 394,056 | |||
Krung Thai Bank PCL | 368,300 | 122,958 | |||
Krungthai Card PCL | 80,000 | 167,239 | |||
Land & Houses PCL | 921,653 | 228,616 | |||
Minor International PCL (b) | 333,100 | 311,794 | |||
Muangthai Capital PCL | 74,900 | 134,376 | |||
Osotspa PCL | 79,900 | 94,110 | |||
PTT Exploration & Production PCL | 145,000 | 529,329 | |||
PTT Global Chemical PCL | 220,700 | 406,281 | |||
PTT Oil & Retail Business PCL | 295,000 | 280,733 | |||
PTT PCL | 1,009,700 | 1,236,528 | |||
Ratch Group PCL | 85,200 | 121,619 | |||
SCG Packaging PCL (d) | 174,300 | 337,179 | |||
Siam Cement PCL | 78,479 | 1,057,814 | |||
Siam Commercial Bank PCL | 93,600 | 286,203 | |||
Sri Trang Gloves Thailand PCL | 101,400 | 132,089 | |||
Srisawad Corp. PCL | 79,900 | 171,392 | |||
Thai Oil PCL | 119,300 | 202,866 | |||
Thai Union Group PCL Class F | 314,400 | 194,232 | |||
True Corp. PCL (d) | 1,233,437 | 122,382 | |||
14,104,011 | |||||
TURKEY — 0.2% | |||||
Akbank T.A.S. | 318,803 | 193,759 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 80,550 | 136,483 | |||
BIM Birlesik Magazalar A/S | 47,786 | 341,859 | |||
Eregli Demir ve Celik Fabrikalari TAS | 151,859 | 314,643 | |||
Ford Otomotiv Sanayi A/S | 6,952 | 136,199 | |||
KOC Holding A/S | 82,839 | 174,784 | |||
Turkcell Iletisim Hizmetleri A/S | 122,127 | 226,330 | |||
Turkiye Garanti Bankasi A/S | 258,383 | 246,858 | |||
Turkiye Is Bankasi A/S Class C | 168,086 | 98,675 | |||
Turkiye Petrol Rafinerileri AS (b) | 13,756 | 150,030 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 147,597 | 129,801 | |||
2,149,421 | |||||
UNITED ARAB EMIRATES — 0.7% | |||||
Abu Dhabi Commercial Bank PJSC | 290,985 | 544,238 | |||
Abu Dhabi Islamic Bank PJSC | 141,941 | 211,763 | |||
Abu Dhabi National Oil Co. for Distribution PJSC | 252,490 | 297,642 | |||
Aldar Properties PJSC | 411,014 | 427,446 |
Security Description | Shares | Value | |||
Dubai Islamic Bank PJSC | 167,543 | $ 219,854 | |||
Emaar Properties PJSC | 335,914 | 380,437 | |||
Emirates NBD Bank PJSC | 252,593 | 911,168 | |||
Emirates Telecommunications Group Co. PJSC | 175,174 | 1,049,189 | |||
First Abu Dhabi Bank PJSC | 441,150 | 2,005,691 | |||
6,047,428 | |||||
UNITED STATES — 0.2% | |||||
Globant SA (b) | 3,900 | 854,802 | |||
JBS SA | 106,000 | 614,725 | |||
1,469,527 | |||||
TOTAL COMMON STOCKS (Cost $522,134,528) | 848,814,401 |
RIGHTS — 0.0% (a) | |||
BRAZIL — 0.0% (a) | |||
Ultrapar Participacoes SA (expiring 7/26/21) (b) (Cost: $0) | 83,588 | 666 | |
WARRANTS — 2.3% | |||
CHINA — 0.9% | |||
MSCI CHINA A INCLUSION Net Return USD Index (expiring 8/31/27) (b) | 5,200 | 8,457,155 | |
SWITZERLAND — 1.4% | |||
UBS AG (expiring 11/26/27) (b) | 3,600 | 5,703,333 | |
UBS AG (expiring 5/28/27) (b) | 4,202 | 6,789,995 | |
12,493,328 | |||
THAILAND — 0.0% (a) | |||
Minor International PCL (expiring 2/15/24) (b) | 10,409 | 1,494 | |
Minor International PCL (expiring 5/5/23) (b) | 11,486 | 1,863 | |
Srisawad Corp. PCL (expiring 8/29/25) (b) | 3,196 | 1,456 | |
4,813 | |||
TOTAL WARRANTS (Cost $15,894,440) | 20,955,296 | ||
SHORT-TERM INVESTMENTS — 2.2% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.05% (g) (h) | 13,956,979 | 13,961,166 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 5,397,471 | $ 5,397,471 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,358,052) | 19,358,637 | |||||
TOTAL INVESTMENTS — 99.9% (Cost $557,391,275) | 889,133,213 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 644,488 | |||||
NET ASSETS — 100.0% | $ 889,777,701 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Non-income producing security. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.9% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(e) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2021, total aggregate fair value of the security is $315,429, representing less than 0.05% of the Fund's net assets. |
(f) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
REIT | Real Estate Investment Trust |
INR | Indian Rupee |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 328 | 09/17/2021 | $22,480,770 | $22,382,720 | $(98,050) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 4,213 | $ — | $ 4,213 | ||||
Common Stocks | 834,579,671 | 13,919,301 | 315,429 | 848,814,401 | ||||
Rights | 666 | — | — | 666 | ||||
Warrants | 4,813 | 20,950,483 | — | 20,955,296 | ||||
Short-Term Investments | 19,358,637 | — | — | 19,358,637 | ||||
TOTAL INVESTMENTS | $853,943,787 | $34,873,997 | $315,429 | $889,133,213 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (98,050) | — | — | (98,050) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (98,050) | $ — | $ — | $ (98,050) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Information Technology | 19.6% | |
Financials | 19.3 | |
Consumer Discretionary | 17.0 | |
Communication Services | 10.9 | |
Materials | 8.0 | |
TOTAL | 74.8% |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 39,695,321 | $39,703,260 | $ 97,538,465 | $ 123,283,911 | $3,325 | $27 | 13,956,979 | $13,961,166 | $ 7,719 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,068,390 | 4,068,390 | 43,941,326 | 42,612,245 | — | — | 5,397,471 | 5,397,471 | 16,480 | ||||||||
Total | $43,771,650 | $141,479,791 | $165,896,156 | $3,325 | $27 | $19,358,637 | $24,199 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $869,774,576 |
Investments in affiliated issuers, at value | 19,358,637 |
Total Investments | 889,133,213 |
Foreign currency, at value | 4,845,383 |
Net cash at broker | 1,344,489 |
Receivable for investments sold | 977,331 |
Receivable for fund shares sold | 862,534 |
Dividends receivable — unaffiliated issuers | 1,972,529 |
Dividends receivable — affiliated issuers | 691 |
Securities lending income receivable — unaffiliated issuers | 16,440 |
Securities lending income receivable — affiliated issuers | 2,433 |
Receivable from Adviser | 103,739 |
Receivable for foreign taxes recoverable | 12,220 |
TOTAL ASSETS | 899,271,002 |
LIABILITIES | |
Due to custodian | 977,331 |
Payable upon return of securities loaned | 5,397,471 |
Payable for investments purchased | 9,215 |
Payable for fund shares repurchased | 133,175 |
Payable to broker – accumulated variation margin on open futures contracts | 97,105 |
Deferred foreign taxes payable | 2,539,650 |
Advisory fee payable | 102,483 |
Custodian fees payable | 98,918 |
Administration fees payable | 36,603 |
Transfer agent fees payable | 2,464 |
Registration and filing fees payable | 3,378 |
Professional fees payable | 1,218 |
Printing and postage fees payable | 12,691 |
Accrued expenses and other liabilities | 81,599 |
TOTAL LIABILITIES | 9,493,301 |
NET ASSETS | $889,777,701 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $590,308,830 |
Total distributable earnings (loss)** | 299,468,871 |
NET ASSETS | $889,777,701 |
Class K | |
Net Assets | $889,777,701 |
Shares Outstanding | 10,405,680 |
Net asset value, offering and redemption price per share | $ 85.51 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $538,033,223 |
Investments in affiliated issuers | 19,358,052 |
Total cost of investments | $557,391,275 |
Foreign currency, at cost | $ 4,883,966 |
* Includes investments in securities on loan, at value | $ 23,300,583 |
** Includes deferred foreign taxes | $ 2,539,650 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 8,935,047 |
Dividend income — affiliated issuers | 7,719 |
Unaffiliated securities lending income | 49,759 |
Affiliated securities lending income | 16,480 |
Foreign taxes withheld | (966,705) |
TOTAL INVESTMENT INCOME (LOSS) | 8,042,300 |
EXPENSES | |
Advisory fee | 620,575 |
Administration fees | 221,634 |
Custodian fees | 273,307 |
Trustees’ fees and expenses | 15,826 |
Transfer agent fees | 14,764 |
Registration and filing fees | 31,230 |
Professional fees | 24,261 |
Printing and postage fees | 11,683 |
Insurance expense | 1,171 |
Interest expense | 482 |
Miscellaneous expenses | 58,305 |
TOTAL EXPENSES | 1,273,238 |
Expenses waived/reimbursed by the Adviser | (518,029) |
NET EXPENSES | 755,209 |
NET INVESTMENT INCOME (LOSS) | $ 7,287,091 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,826,435 |
Investments — affiliated issuers | 3,325 |
Foreign currency transactions | (140,814) |
Futures contracts | 2,734,406 |
Net realized gain (loss) | 5,423,352 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | 48,708,169 |
Investments — affiliated issuers | 27 |
Foreign currency translations | (74,212) |
Futures contracts | (1,403,327) |
Net change in unrealized appreciation/depreciation | 47,230,657 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 52,654,009 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $59,941,100 |
** Includes foreign deferred taxes | $ (2,539,650) |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 7,287,091 | $ 13,537,693 | |
Net realized gain (loss) | 5,423,352 | (16,951,896) | |
Net change in unrealized appreciation/depreciation | 47,230,657 | 125,015,975 | |
Net increase (decrease) in net assets resulting from operations | 59,941,100 | 121,601,772 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (15,918,091) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 130,334,547 | 212,010,838 | |
Reinvestment of distributions | — | 15,713,545 | |
Cost of shares redeemed | (179,793,250) | (197,824,786) | |
Net increase (decrease) in net assets from beneficial interest transactions | (49,458,703) | 29,899,597 | |
Net increase (decrease) in net assets during the period | 10,482,397 | 135,583,278 | |
Net assets at beginning of period | 879,295,304 | 743,712,026 | |
NET ASSETS AT END OF PERIOD | $ 889,777,701 | $ 879,295,304 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K(a) | |||
Shares sold | 1,550,593 | 3,186,016 | |
Reinvestment of distributions | — | 200,915 | |
Shares redeemed | (2,178,484) | (3,176,084) | |
Net increase (decrease) from share transactions | (627,891) | 210,847 |
(a) | On April 17, 2020, the State Street Emerging Markets Equity Index Fund underwent a 1-for-5 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | $ 49.95 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.68 | 1.28 | 2.00 | 1.60 | 1.45 | 1.05 | |||||
Net realized and unrealized gain (loss) | 5.14 | 11.18 | 8.85 | (12.30) | 18.60 | 4.35 | |||||
Total from investment operations | 5.82 | 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 | $ 85.51 | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | |||||
Total return (c) | 7.30% | 18.18% | 18.13% | (14.77)% | 37.19% | 10.81% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $889,778 | $879,295 | $743,712 | $580,430 | $607,947 | $374,808 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.29%(d) | 0.31% | 0.33% | 0.33% | 0.34% | 0.56% | |||||
Net expenses | 0.17%(d) | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | |||||
Net investment income (loss) | 1.64%(d) | 1.94% | 3.10% | 2.36% | 2.23% | 1.98% | |||||
Portfolio turnover rate | 5%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
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 |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $97,105 | $— | $97,105 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $2,734,406 | $— | $2,734,406 |
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 | $— | $— | $— | $(1,403,327) | $— | $(1,403,327) |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $46,767,233 | $63,074,845 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $570,871,339 | $348,096,884 | $29,933,060 | $318,163,824 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 23,300,583 | $ 5,397,471 | $ 19,275,805 | $ 24,673,276 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
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 | $5,397,471 | $— | $— | $— | $5,397,471 | $5,397,471 |
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% | $1,073.00 | $0.87 | $1,024.00 | $0.85 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
14 |
% of Net Assets | |||
Common Stocks | 97.1% | ||
Rights | 0.1 | ||
Short-Term Investment | 3.9 | ||
Liabilities in Excess of Other Assets | (1.1) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.1% | |||||
CHINA — 14.8% | |||||
China Construction Bank Corp. Class H | 84,000 | $ 66,089 | |||
CITIC Securities Co., Ltd. Class H (a) | 28,000 | 70,236 | |||
Dali Foods Group Co., Ltd. (b) | 100,000 | 59,620 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 7,600 | 61,286 | |||
Lee & Man Paper Manufacturing, Ltd. | 84,000 | 63,926 | |||
321,157 | |||||
FRANCE — 15.6% | |||||
BNP Paribas SA | 1,007 | 63,137 | |||
Dassault Aviation SA | 59 | 69,408 | |||
Ipsen SA | 687 | 71,467 | |||
Sanofi | 665 | 69,683 | |||
Societe Generale SA | 2,224 | 65,567 | |||
339,262 | |||||
GERMANY — 2.9% | |||||
Bayerische Motoren Werke AG | 592 | 62,700 | |||
HONG KONG — 3.3% | |||||
WH Group, Ltd. (b) | 78,500 | 70,556 | |||
HUNGARY — 2.7% | |||||
Richter Gedeon Nyrt | 2,214 | 59,014 | |||
INDONESIA — 3.0% | |||||
Bank Mandiri Persero Tbk PT | 161,400 | 65,673 | |||
ITALY — 3.0% | |||||
Leonardo SpA (a) | 7,966 | 64,352 | |||
JAPAN — 17.3% | |||||
Alfresa Holdings Corp. | 4,100 | 61,284 | |||
Komatsu, Ltd. | 2,400 | 59,692 | |||
Mitsubishi UFJ Financial Group, Inc. | 13,000 | 70,288 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 62,114 | |||
TBS Holdings, Inc. | 4,100 | 63,020 | |||
Zeon Corp. | 4,300 | 59,547 | |||
375,945 | |||||
MEXICO — 2.7% | |||||
Fresnillo PLC | 5,399 | 57,549 | |||
NETHERLANDS — 3.2% | |||||
Boskalis Westminster | 2,195 | 70,439 | |||
SOUTH KOREA — 5.8% | |||||
KT&G Corp. | 812 | 60,856 | |||
Samsung Electronics Co., Ltd. Preference Shares | 980 | 64,135 | |||
124,991 | |||||
SPAIN — 5.2% | |||||
ACS Actividades de Construccion y Servicios SA | 1,901 | 50,927 |
Security Description | Shares | Value | |||
Banco Bilbao Vizcaya Argentaria SA | 10,089 | $ 62,551 | |||
113,478 | |||||
SWITZERLAND — 3.0% | |||||
Holcim, Ltd. | 1,075 | 64,380 | |||
TAIWAN — 3.0% | |||||
Catcher Technology Co., Ltd. | 10,000 | 65,321 | |||
UNITED KINGDOM — 8.6% | |||||
CNH Industrial NV | 4,184 | 69,093 | |||
Rolls-Royce Holdings PLC (a) | 41,901 | 57,259 | |||
Standard Chartered PLC | 9,320 | 59,355 | |||
185,707 | |||||
UNITED STATES — 3.0% | |||||
Newmont Corp. | 1,009 | 64,037 | |||
TOTAL COMMON STOCKS (Cost $1,772,502) | 2,104,561 |
RIGHTS — 0.1% | |||
SPAIN — 0.1% | |||
ACS Actividades de Construccion y Servicios SA (expiring 07/09/21) (a) (Cost: $2,876) | 1,901 | 2,660 | |
SHORT-TERM INVESTMENT — 3.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $83,670) | 83,670 | 83,670 | |
TOTAL INVESTMENTS — 101.1% (Cost $1,859,048) | 2,190,891 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.1)% | (23,202) | ||
NET ASSETS — 100.0% | $ 2,167,689 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 6.0% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,104,561 | $— | $— | $2,104,561 | ||||
Rights | 2,660 | — | — | 2,660 | ||||
Short-Term Investment | 83,670 | — | — | 83,670 | ||||
TOTAL INVESTMENTS | $2,190,891 | $— | $— | $2,190,891 |
% of Net Assets | ||
Financials | 27.0% | |
Industrials | 20.5 | |
Materials | 14.3 | |
Health Care | 12.0 | |
Consumer Staples | 8.8 | |
Information Technology | 6.0 | |
Consumer Discretionary | 5.7 | |
Communication Services | 2.9 | |
Short-Term Investment | 3.9 | |
Liabilities in Excess of Other Assets | (1.1) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 93,468 | $93,468 | $186,485 | $196,283 | $— | $— | 83,670 | $83,670 | $12 |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,107,221 |
Investments in affiliated issuers, at value | 83,670 |
Total Investments | 2,190,891 |
Foreign currency, at value | 16,185 |
Dividends receivable — unaffiliated issuers | 2,358 |
Dividends receivable — affiliated issuers | 2 |
Receivable from Adviser (Note 3) | 13,374 |
Receivable for foreign taxes recoverable | 2,752 |
TOTAL ASSETS | 2,225,562 |
LIABILITIES | |
Advisory fee payable | 1,395 |
Custodian fees payable | 13,044 |
Administration fees payable | 93 |
Transfer agent fees payable | 369 |
Registration and filing fees payable | 4,978 |
Professional fees payable | 25,286 |
Printing and postage fees payable | 6,414 |
Accrued expenses and other liabilities | 6,294 |
TOTAL LIABILITIES | 57,873 |
NET ASSETS | $2,167,689 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,999,662 |
Total distributable earnings (loss) | 168,027 |
NET ASSETS | $2,167,689 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $2,167,689 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $ 10.84 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,775,378 |
Investments in affiliated issuers | 83,670 |
Total cost of investments | $1,859,048 |
Foreign currency, at cost | $ 16,127 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $ 35,573 |
Dividend income — affiliated issuers | 12 |
Foreign taxes withheld | (3,128) |
TOTAL INVESTMENT INCOME (LOSS) | 32,457 |
EXPENSES | |
Advisory fee | 8,177 |
Administration fees | 545 |
Custodian fees | 24,354 |
Trustees’ fees and expenses | 10,513 |
Transfer agent fees | 909 |
Registration and filing fees | 15,459 |
Professional fees | 21,235 |
Printing and postage fees | 5,804 |
Insurance expense | 3 |
Miscellaneous expenses | 1,098 |
TOTAL EXPENSES | 88,097 |
Expenses waived/reimbursed by the Adviser | (79,920) |
NET EXPENSES | 8,177 |
NET INVESTMENT INCOME (LOSS) | $ 24,280 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 90,636 |
Foreign currency transactions | (551) |
Net realized gain (loss) | 90,085 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 22,856 |
Foreign currency translations | (391) |
Net change in unrealized appreciation/depreciation | 22,465 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 112,550 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $136,830 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 24,280 | $ 29,479 | |
Net realized gain (loss) | 90,085 | (42,351) | |
Net change in unrealized appreciation/depreciation | 22,465 | 159,951 | |
Net increase (decrease) in net assets resulting from operations | 136,830 | 147,079 | |
Distributions to shareholders | — | (30,860) | |
Contribution from Adviser (Note 3) | — | 7,560 | |
Net increase (decrease) in net assets during the period | 136,830 | 123,779 | |
Net assets at beginning of period | 2,030,859 | 1,907,080 | |
NET ASSETS AT END OF PERIOD | $2,167,689 | $2,030,859 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | — | |
Shares redeemed | — | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $10.15 | $ 9.54 | $ 8.08 | $ 12.56 | $ 11.25 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.12 | 0.15 | 0.18 | 0.21 | 0.24 | 0.02 | |||||
Net realized and unrealized gain (loss) | 0.57 | 0.57 | 1.47 | (2.66) | 2.56 | 1.44 | |||||
Total from investment operations | 0.69 | 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 | $10.84 | $10.15 | $ 9.54 | $ 8.08 | $12.56 | $ 11.25 | |||||
Total return (b) | 6.80% | 8.01%(c) | 20.39% | (19.32)% | 25.03% | 14.57% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,168 | $2,031 | $1,907 | $ 1,617 | $2,512 | $2,250 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 8.08%(d) | 11.20% | 12.74% | 7.58% | 7.26% | 7.76%(d) | |||||
Net expenses | 0.75%(d) | 0.75% | 0.75% | 0.75% | 0.75% | 0.75%(d) | |||||
Net investment income (loss) | 2.23%(d) | 1.70% | 2.09% | 1.76% | 1.86% | 0.44%(d) | |||||
Portfolio turnover rate | 15%(e) | 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 | $331,701 | $315,402 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,881,591 | $382,062 | $72,762 | $309,300 |
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% | $1,068.00 | $3.85 | $1,021.10 | $3.76 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Advisers with respect to the Fund and (b) affiliates of the Advisers that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Advisers, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Advisers and their affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Advisers; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Advisers to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Advisers' technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Advisers; and |
• | Information regarding the Advisers’ risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and Sub-Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Advisers, State Street and the Distributor with respect to the Fund providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Target Retirement Fund |
State Street Target Retirement 2020 Fund |
State Street Target Retirement 2025 Fund |
State Street Target Retirement 2030 Fund |
State Street Target Retirement 2035 Fund |
State Street Target Retirement 2040 Fund |
State Street Target Retirement 2045 Fund |
State Street Target Retirement 2050 Fund |
State Street Target Retirement 2055 Fund |
State Street Target Retirement 2060 Fund |
State Street Target Retirement 2065 Fund |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
9 | |
10 | |
11 | |
Schedules of Investments (Unaudited) | |
12 | |
14 | |
16 | |
18 | |
20 | |
22 | |
24 | |
26 | |
28 | |
30 | |
32 | |
34 | |
43 | |
65 | |
72 |
% of Net Assets | |||
Domestic Fixed Income | 46.8% | ||
Domestic Equity | 18.5 | ||
Inflation Linked | 18.0 | ||
International Equity | 11.4 | ||
Real Estate | 5.0 | ||
Short Term Investments | 3.8 | ||
Liabilities in Excess of Other Assets | (3.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 38.1% | ||
Domestic Equity | 23.8 | ||
Inflation Linked | 18.0 | ||
International Equity | 14.9 | ||
Real Estate | 5.0 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 31.7% | ||
Domestic Fixed Income | 31.4 | ||
International Equity | 21.2 | ||
Inflation Linked | 12.2 | ||
Real Estate | 3.2 | ||
Short Term Investments | 1.4 | ||
Liabilities in Excess of Other Assets | (1.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 38.6% | ||
Domestic Fixed Income | 29.6 | ||
International Equity | 27.8 | ||
Inflation Linked | 3.0 | ||
Real Estate | 0.7 | ||
Short Term Investments | 4.0 | ||
Liabilities in Excess of Other Assets | (3.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 43.0% | ||
International Equity | 31.6 | ||
Domestic Fixed Income | 25.1 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 46.9% | ||
International Equity | 34.5 | ||
Domestic Fixed Income | 18.3 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||||
Domestic Equity | 49.8% | ||||
International Equity | 36.6 | ||||
Domestic Fixed Income | 13.3 | ||||
Short Term Investments | 0.3 | ||||
Liabilities in Excess of Other Assets | (0.0)* | ||||
TOTAL | 100.0% | ||||
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Domestic Equity | 51.8% | ||
International Equity | 38.1 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 1.6 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.8% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 2.1 | ||
Liabilities in Excess of Other Assets | (1.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.7% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 0.4 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||||
Domestic Equity | 51.6% | ||||
International Equity | 38.0 | ||||
Domestic Fixed Income | 9.8 | ||||
Short Term Investments | 0.6 | ||||
Liabilities in Excess of Other Assets | (0.0)* | ||||
TOTAL | 100.0% | ||||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 18.5% | ||||||
State Street Equity 500 Index II Portfolio | 242,264 | $ 96,185,805 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 48,005 | 18,032,182 | ||||
114,217,987 | ||||||
DOMESTIC FIXED INCOME — 46.8% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 392,727 | 43,184,261 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 788,811 | 24,689,784 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 3,182,553 | 97,513,424 | ||||
State Street Aggregate Bond Index Portfolio | 1,181,468 | 123,487,075 | ||||
288,874,544 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 5,263,299 | 111,239,824 | ||||
INTERNATIONAL EQUITY — 11.4% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 552,960 | 70,513,394 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF | 594,786 | 30,625,531 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $551,115,408) | 615,471,280 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 3.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 2,659,041 | $ 2,659,041 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 20,650,526 | 20,650,526 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,309,567) | $ 23,309,567 | |||||
TOTAL INVESTMENTS—103.5% (Cost $574,424,975) | 638,780,847 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(3.5)% | (21,639,628) | |||||
NET ASSETS—100.0% | $ 617,141,219 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(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 | $615,471,280 | $— | $— | $615,471,280 | ||||
Short-Term Investments | 23,309,567 | — | — | 23,309,567 | ||||
TOTAL INVESTMENTS | $638,780,847 | $— | $— | $638,780,847 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 4,412,037 | $ 92,233,634 | $ 31,628,451 | $ 13,801,618 | $ 1,251,053 | $ (71,696) | 5,263,299 | $ 111,239,824 | $1,203,458 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 329,346 | 35,878,953 | 38,277,737 | 31,398,324 | 2,200,484 | (1,774,589) | 392,727 | 43,184,261 | 736,319 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 580,432 | 25,806,007 | 8,138,124 | 7,786,332 | 305,305 | 4,162,427 | 594,786 | 30,625,531 | 349,252 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 651,140 | 20,445,796 | 7,451,181 | 3,133,824 | 115,374 | (188,743) | 788,811 | 24,689,784 | 116,604 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 2,631,962 | 80,827,553 | 33,927,755 | 17,025,339 | 643,819 | (860,364) | 3,182,553 | 97,513,424 | 70,186 | ||||||||
State Street Aggregate Bond Index Portfolio | 954,590 | 102,360,710 | 39,230,672 | 15,496,639 | 1,009,367 | (3,617,035) | 1,181,468 | 123,487,075 | 944,080 | ||||||||
State Street Equity 500 Index II Portfolio | 232,684 | 80,222,366 | 24,072,632 | 21,369,816 | 7,644,869 | 5,615,754 | 242,264 | 96,185,805 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 505,235 | 58,814,413 | 20,273,520 | 14,620,435 | 3,684,109 | 2,361,787 | 552,960 | 70,513,394 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,550,043 | 1,550,043 | 161,212,100 | 160,103,102 | — | — | 2,659,041 | 2,659,041 | 572 | ||||||||
State Street Navigator Securities Lending Portfolio II | 36,692,913 | 36,692,913 | 321,503,154 | 337,545,541 | — | — | 20,650,526 | 20,650,526 | 73,874 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 46,069 | 15,098,214 | 4,495,000 | 3,875,000 | 1,604,103 | 709,865 | 48,005 | 18,032,182 | — | ||||||||
Total | $549,930,602 | $690,210,326 | $626,155,970 | $18,458,483 | $ 6,337,406 | $638,780,847 | $3,494,345 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 23.8% | ||||||
State Street Equity 500 Index II Portfolio | 479,194 | $ 190,254,417 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 103,347 | 38,820,181 | ||||
229,074,598 | ||||||
DOMESTIC FIXED INCOME — 38.1% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 613,524 | 67,463,099 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 615,138 | 19,253,819 | ||||
SPDR Portfolio Short Term Treasury ETF | 2,451,942 | 75,127,503 | ||||
State Street Aggregate Bond Index Portfolio | 1,962,190 | 205,088,148 | ||||
366,932,569 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 8,222,436 | 173,781,185 | ||||
INTERNATIONAL EQUITY — 14.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,127,225 | 143,743,714 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 929,087 | 47,838,689 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $833,791,718) | 961,370,755 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 615,634 | $ 615,634 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 4,430,844 | 4,430,844 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,046,478) | $ 5,046,478 | |||||
TOTAL INVESTMENTS—100.3% (Cost $838,838,196) | 966,417,233 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.3)% | (3,113,954) | |||||
NET ASSETS—100.0% | $ 963,303,279 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(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 | $961,370,755 | $— | $— | $961,370,755 | ||||
Short-Term Investments | 5,046,478 | — | — | 5,046,478 | ||||
TOTAL INVESTMENTS | $966,417,233 | $— | $— | $966,417,233 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,423,377 | $155,185,696 | $ 28,254,223 | $ 11,496,480 | $ 941,309 | $ 896,437 | 8,222,436 | $173,781,185 | $1,862,103 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 553,744 | 60,324,871 | 20,151,725 | 13,643,169 | 128,140 | 501,532 | 613,524 | 67,463,099 | 1,153,545 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 975,660 | 43,377,844 | 6,024,266 | 8,573,338 | 247,311 | 6,762,606 | 929,087 | 47,838,689 | 541,435 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 486,701 | 15,282,412 | 4,992,637 | 969,333 | 16,847 | (68,744) | 615,138 | 19,253,819 | 84,136 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 1,936,201 | 59,460,733 | 26,047,217 | 10,227,035 | 216,302 | (369,714) | 2,451,942 | 75,127,503 | 49,960 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,695,732 | 181,833,361 | 42,174,570 | 14,360,057 | 642,227 | (5,201,953) | 1,962,190 | 205,088,148 | 1,566,816 | ||||||||
State Street Equity 500 Index II Portfolio | 510,053 | 175,850,802 | 22,891,095 | 35,399,800 | 10,493,316 | 16,419,004 | 479,194 | 190,254,417 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,146,664 | 133,483,175 | 17,839,973 | 20,476,240 | 2,436,473 | 10,460,333 | 1,127,225 | 143,743,714 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,639,920 | 2,639,920 | 119,440,254 | 121,464,540 | — | — | 615,634 | 615,634 | 488 | ||||||||
State Street Navigator Securities Lending Portfolio II | 46,474,866 | 46,474,866 | 424,956,360 | 467,000,382 | — | — | 4,430,844 | 4,430,844 | 170,959 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 111,145 | 36,425,544 | 4,160,000 | 7,049,438 | 3,122,261 | 2,161,814 | 103,347 | 38,820,181 | — | ||||||||
Total | $910,339,224 | $716,932,320 | $710,659,812 | $18,244,186 | $31,561,315 | $966,417,233 | $5,429,442 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 31.7% | ||||||
State Street Equity 500 Index II Portfolio | 1,034,962 | $ 410,910,870 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 252,518 | 94,853,291 | ||||
505,764,161 | ||||||
DOMESTIC FIXED INCOME — 31.4% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 944,590 | 103,867,116 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 519,586 | 16,824,195 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 952,374 | 39,333,046 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 166,809 | 5,221,122 | ||||
SPDR Portfolio Short Term Treasury ETF | 575,766 | 17,641,470 | ||||
State Street Aggregate Bond Index Portfolio | 3,056,742 | 319,490,627 | ||||
502,377,576 | ||||||
INFLATION LINKED — 12.2% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 9,199,119 | 194,423,380 | ||||
INTERNATIONAL EQUITY — 21.2% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,662,796 | 339,559,804 | ||||
REAL ESTATE — 3.2% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 1,001,244 | 51,554,054 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,367,903,593) | 1,593,678,975 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 5,896,040 | $ 5,896,040 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 16,209,723 | 16,209,723 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,105,763) | $ 22,105,763 | |||||
TOTAL INVESTMENTS—101.1% (Cost $1,390,009,356) | 1,615,784,738 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.1)% | (18,276,622) | |||||
NET ASSETS—100.0% | $ 1,597,508,116 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(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 | $1,593,678,975 | $— | $— | $1,593,678,975 | ||||
Short-Term Investments | 22,105,763 | — | — | 22,105,763 | ||||
TOTAL INVESTMENTS | $1,615,784,738 | $— | $— | $1,615,784,738 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 6,914,446 | $ 144,546,494 | $ 53,867,088 | $ 5,893,035 | $ 385,067 | $ 1,517,766 | 9,199,119 | $ 194,423,380 | $1,948,844 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 754,771 | 82,224,753 | 45,735,209 | 25,070,633 | 41,010 | 936,777 | 944,590 | 103,867,116 | 1,675,174 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 872,313 | 38,783,036 | 8,248,818 | 2,294,517 | 115,416 | 6,701,301 | 1,001,244 | 51,554,054 | 541,680 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 17,392,081 | 700,292 | 4,626 | 127,780 | 519,586 | 16,824,195 | 20,154 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,137,775 | 51,347,786 | 17,518,679 | 24,458,422 | 1,965,797 | (7,040,794) | 952,374 | 39,333,046 | 313,264 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 84,693 | 2,659,360 | 2,571,519 | — | — | (9,757) | 166,809 | 5,221,122 | 17,475 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 266,523 | 8,184,921 | 9,681,330 | 199,900 | (536) | (24,345) | 575,766 | 17,641,470 | 8,577 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,365,286 | 253,629,634 | 83,631,267 | 11,411,405 | 468,761 | (6,827,630) | 3,056,742 | 319,490,627 | 2,318,130 | ||||||||
State Street Equity 500 Index II Portfolio | 983,103 | 338,944,393 | 70,122,689 | 53,728,525 | 15,916,709 | 39,655,604 | 1,034,962 | 410,910,870 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,431,053 | 282,998,878 | 63,277,869 | 35,549,726 | 4,029,864 | 24,802,919 | 2,662,796 | 339,559,804 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,728,591 | 5,728,591 | 228,460,398 | 228,292,949 | — | — | 5,896,040 | 5,896,040 | 1,021 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,703,196 | 1,703,196 | 533,626,531 | 519,120,004 | — | — | 16,209,723 | 16,209,723 | 197,540 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 242,534 | 79,485,731 | 16,357,329 | 13,135,000 | 4,759,689 | 7,385,542 | 252,518 | 94,853,291 | — | ||||||||
Total | $1,290,236,773 | $1,150,490,807 | $919,854,408 | $27,686,403 | $67,225,163 | $1,615,784,738 | $7,041,859 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 38.6% | ||||||
State Street Equity 500 Index II Portfolio | 1,427,845 | $ 566,897,443 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 396,103 | 148,788,274 | ||||
715,685,717 | ||||||
DOMESTIC FIXED INCOME — 29.6% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 886,475 | 97,476,791 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,461,196 | 47,313,527 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,596,921 | 107,252,837 | ||||
State Street Aggregate Bond Index Portfolio | 2,851,229 | 298,010,419 | ||||
550,053,574 | ||||||
INFLATION LINKED — 3.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 2,602,053 | 54,994,390 | ||||
INTERNATIONAL EQUITY — 27.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,044,968 | 515,814,302 | ||||
REAL ESTATE — 0.7% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 272,587 | 14,035,505 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,554,070,523) | 1,850,583,488 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 5,067,653 | $ 5,067,653 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 69,307,608 | 69,307,608 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $74,375,261) | $ 74,375,261 | |||||
TOTAL INVESTMENTS—103.7% (Cost $1,628,445,784) | 1,924,958,749 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(3.7)% | (69,372,685) | |||||
NET ASSETS—100.0% | $ 1,855,586,064 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(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 | $1,850,583,488 | $— | $— | $1,850,583,488 | ||||
Short-Term Investments | 74,375,261 | — | — | 74,375,261 | ||||
TOTAL INVESTMENTS | $1,924,958,749 | $— | $— | $1,924,958,749 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,358,366 | $ 28,396,642 | $ 26,939,242 | $ 798,926 | $ 44,994 | $ 412,438 | 2,602,053 | $ 54,994,390 | $ 465,754 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 667,628 | 72,731,394 | 48,897,105 | 25,053,455 | 220,778 | 680,969 | 886,475 | 97,476,791 | 1,501,013 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 161,817 | 7,194,384 | 5,641,448 | 201,128 | 58,340 | 1,342,461 | 272,587 | 14,035,505 | 115,947 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 47,766,248 | 799,825 | 3,672 | 343,432 | 1,461,196 | 47,313,527 | 53,117 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,797,054 | 126,231,047 | 40,473,882 | 47,309,033 | 3,623,774 | (15,766,833) | 2,596,921 | 107,252,837 | 786,505 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,129,289 | 228,323,641 | 82,245,140 | 6,900,000 | 251,495 | (5,909,857) | 2,851,229 | 298,010,419 | 2,101,002 | ||||||||
State Street Equity 500 Index II Portfolio | 1,287,822 | 444,002,348 | 105,851,260 | 56,425,000 | 17,064,054 | 56,404,781 | 1,427,845 | 566,897,443 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,503,715 | 407,867,498 | 99,471,075 | 33,265,865 | 4,504,623 | 37,236,971 | 4,044,968 | 515,814,302 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,707,162 | 3,707,162 | 255,853,504 | 254,493,013 | — | — | 5,067,653 | 5,067,653 | 1,359 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,251,125 | 1,251,125 | 497,920,444 | 429,863,961 | — | — | 69,307,608 | 69,307,608 | 212,723 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 361,330 | 118,418,561 | 29,255,530 | 17,175,000 | 5,757,212 | 12,531,971 | 396,103 | 148,788,274 | — | ||||||||
Total | $1,438,123,802 | $1,240,314,878 | $872,285,206 | $31,528,942 | $ 87,276,333 | $1,924,958,749 | $5,237,420 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 43.0% | ||||||
State Street Equity 500 Index II Portfolio | 1,359,723 | $ 539,850,930 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 431,050 | 161,915,107 | ||||
701,766,037 | ||||||
DOMESTIC FIXED INCOME — 25.1% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 425,748 | 46,815,250 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,513,469 | 49,006,126 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,702,994 | 111,633,652 | ||||
State Street Aggregate Bond Index Portfolio | 1,937,074 | 202,463,006 | ||||
409,918,034 | ||||||
INTERNATIONAL EQUITY — 31.6% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,043,627 | 515,643,321 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,341,549,578) | 1,627,327,392 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 4,830,093 | 4,830,093 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 4,439,831 | $ 4,439,831 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,269,924) | $ 9,269,924 | ||||
TOTAL INVESTMENTS—100.2% (Cost $1,350,819,502) | 1,636,597,316 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)% | (3,939,575) | ||||
NET ASSETS—100.0% | $ 1,632,657,741 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,627,327,392 | $— | $— | $1,627,327,392 | ||||
Short-Term Investments | 9,269,924 | — | — | 9,269,924 | ||||
TOTAL INVESTMENTS | $1,636,597,316 | $— | $— | $1,636,597,316 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 292,411 | $ 31,855,254 | $ 15,033,125 | $ 499,490 | $ 5,139 | $ 421,222 | 425,748 | $ 46,815,250 | $ 677,762 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 49,253,795 | 599,860 | 2,753 | 349,438 | 1,513,469 | 49,006,126 | 53,717 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,739,335 | 123,626,189 | 51,171,973 | 51,481,970 | 4,672,878 | (16,355,418) | 2,702,994 | 111,633,652 | 784,899 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,407,952 | 150,974,679 | 59,067,259 | 3,900,000 | 159,397 | (3,838,329) | 1,937,074 | 202,463,006 | 1,401,894 | ||||||||
State Street Equity 500 Index II Portfolio | 1,225,187 | 422,407,676 | 93,577,594 | 46,179,999 | 13,903,660 | 56,141,999 | 1,359,723 | 539,850,930 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,473,501 | 404,350,298 | 95,157,268 | 25,633,613 | 3,684,648 | 38,084,720 | 4,043,627 | 515,643,321 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,053,164 | 4,053,164 | 213,408,274 | 212,631,345 | — | — | 4,830,093 | 4,830,093 | 1,213 | ||||||||
State Street Navigator Securities Lending Portfolio II | 299,700 | 299,700 | 310,412,738 | 306,272,607 | — | — | 4,439,831 | 4,439,831 | 105,668 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 392,510 | 128,637,225 | 28,515,000 | 15,050,000 | 4,745,456 | 15,067,426 | 431,050 | 161,915,107 | — | ||||||||
Total | $1,266,204,185 | $915,597,026 | $662,248,884 | $27,173,931 | $ 89,871,058 | $1,636,597,316 | $3,025,153 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 46.9% | ||||||
State Street Equity 500 Index II Portfolio | 1,299,327 | $ 515,871,737 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 472,926 | 177,645,083 | ||||
693,516,820 | ||||||
DOMESTIC FIXED INCOME — 18.3% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,371,146 | 44,397,708 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,449,180 | 101,151,134 | ||||
State Street Aggregate Bond Index Portfolio | 1,204,486 | 125,892,873 | ||||
271,441,715 | ||||||
INTERNATIONAL EQUITY — 34.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,995,408 | 509,494,473 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,197,213,584) | 1,474,453,008 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 3,995,360 | 3,995,360 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 3,097,962 | $ 3,097,962 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,093,322) | $ 7,093,322 | ||||
TOTAL INVESTMENTS—100.2% (Cost $1,204,306,906) | 1,481,546,330 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)% | (2,995,895) | ||||
NET ASSETS—100.0% | $ 1,478,550,435 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(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 | $1,474,453,008 | $— | $— | $1,474,453,008 | ||||
Short-Term Investments | 7,093,322 | — | — | 7,093,322 | ||||
TOTAL INVESTMENTS | $1,481,546,330 | $— | $— | $1,481,546,330 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 44,685,951 | $ 599,860 | $ 2,753 | $ 308,864 | 1,371,146 | $ 44,397,708 | $ 48,047 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,444,829 | 110,335,133 | 49,929,795 | 48,499,349 | 3,129,279 | (13,743,724) | 2,449,180 | 101,151,134 | 708,555 | ||||||||
State Street Aggregate Bond Index Portfolio | 837,846 | 89,842,189 | 40,874,259 | 2,600,001 | 106,412 | (2,329,986) | 1,204,486 | 125,892,873 | 852,135 | ||||||||
State Street Equity 500 Index II Portfolio | 1,145,732 | 395,014,109 | 93,326,038 | 38,462,929 | 11,580,762 | 54,413,757 | 1,299,327 | 515,871,737 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,358,134 | 390,920,341 | 97,296,333 | 19,259,501 | 2,657,269 | 37,880,031 | 3,995,408 | 509,494,473 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,613,762 | 4,613,762 | 206,317,993 | 206,936,395 | — | — | 3,995,360 | 3,995,360 | 916 | ||||||||
State Street Navigator Securities Lending Portfolio II | 2,010,200 | 2,010,200 | 62,049,833 | 60,962,071 | — | — | 3,097,962 | 3,097,962 | 4,008 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 421,641 | 138,184,457 | 32,300,000 | 14,375,000 | 4,543,870 | 16,991,756 | 472,926 | 177,645,083 | — | ||||||||
Total | $1,130,920,191 | $626,780,202 | $391,695,106 | $22,020,345 | $ 93,520,698 | $1,481,546,330 | $1,613,661 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 49.8% | ||||||
State Street Equity 500 Index II Portfolio | 1,080,331 | $ 428,923,992 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 455,505 | 171,101,188 | ||||
600,025,180 | ||||||
DOMESTIC FIXED INCOME — 13.3% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,116,261 | 36,144,531 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,995,126 | 82,398,704 | ||||
State Street Aggregate Bond Index Portfolio | 403,775 | 42,202,566 | ||||
160,745,801 | ||||||
INTERNATIONAL EQUITY — 36.6% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,458,011 | 440,965,554 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $968,528,209) | 1,201,736,535 | |||||
SHORT-TERM INVESTMENT — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) (Cost $4,029,599) | 4,029,599 | 4,029,599 | ||||
TOTAL INVESTMENTS—100.0% (Cost $972,557,808) | 1,205,766,134 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.0)%(d) | (212,697) | |||||
NET ASSETS—100.0% | $ 1,205,553,437 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(d) | Amount is less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,201,736,535 | $— | $— | $1,201,736,535 | ||||
Short-Term Investment | 4,029,599 | — | — | 4,029,599 | ||||
TOTAL INVESTMENTS | $1,205,766,134 | $— | $— | $1,205,766,134 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 36,389,139 | $ 499,994 | $ 2,217 | $ 253,169 | 1,116,261 | $ 36,144,531 | $ 39,298 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,884,220 | 85,034,849 | 43,260,757 | 37,822,097 | 2,069,026 | (10,143,831) | 1,995,126 | 82,398,704 | 565,416 | ||||||||
State Street Aggregate Bond Index Portfolio | 242,176 | 25,968,587 | 17,469,033 | 630,000 | 43,668 | (648,722) | 403,775 | 42,202,566 | 263,399 | ||||||||
State Street Equity 500 Index II Portfolio | 900,809 | 310,571,868 | 93,181,703 | 28,904,342 | 8,568,069 | 45,506,694 | 1,080,331 | 428,923,992 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,752,509 | 320,419,519 | 100,369,296 | 14,343,117 | 2,045,419 | 32,474,437 | 3,458,011 | 440,965,554 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,087,329 | 4,087,329 | 207,565,093 | 207,622,823 | — | — | 4,029,599 | 4,029,599 | 906 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 13,553,250 | 13,553,250 | — | — | — | — | 483 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 384,176 | 125,905,953 | 37,724,644 | 12,610,000 | 3,950,920 | 16,129,671 | 455,505 | 171,101,188 | — | ||||||||
Total | $871,988,105 | $549,512,915 | $315,985,623 | $16,679,319 | $ 83,571,418 | $1,205,766,134 | $869,502 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 51.8% | ||||||
State Street Equity 500 Index II Portfolio | 778,056 | $ 308,911,518 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 364,765 | 137,016,515 | ||||
445,928,033 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 798,683 | 25,861,356 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,426,623 | 58,919,530 | ||||
84,780,886 | ||||||
INTERNATIONAL EQUITY — 38.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,570,259 | 327,759,483 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $690,345,253) | 858,468,402 | |||||
SHORT-TERM INVESTMENTS — 1.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 2,827,726 | 2,827,726 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 11,236,829 | 11,236,829 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,064,555) | $ 14,064,555 | |||||
TOTAL INVESTMENTS—101.3% (Cost $704,409,808) | 872,532,957 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.3)% | (11,177,976) | |||||
NET ASSETS—100.0% | $ 861,354,981 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $858,468,402 | $— | $— | $858,468,402 | ||||
Short-Term Investments | 14,064,555 | — | — | 14,064,555 | ||||
TOTAL INVESTMENTS | $872,532,957 | $— | $— | $872,532,957 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 26,032,287 | $ 349,937 | $ 1,606 | $ 177,400 | 798,683 | $ 25,861,356 | $ 27,559 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,325,876 | 59,836,784 | 31,499,276 | 26,696,536 | 509,008 | (6,229,002) | 1,426,623 | 58,919,530 | 399,316 | ||||||||
State Street Equity 500 Index II Portfolio | 637,545 | 219,806,474 | 69,068,406 | 18,311,841 | 5,425,346 | 32,923,133 | 778,056 | 308,911,518 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,997,969 | 232,583,582 | 79,896,048 | 9,735,393 | 1,221,516 | 23,793,730 | 2,570,259 | 327,759,483 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,538,129 | 2,538,129 | 141,889,597 | 141,600,000 | — | — | 2,827,726 | 2,827,726 | 670 | ||||||||
State Street Navigator Securities Lending Portfolio II | 27,600 | 27,600 | 93,348,181 | 82,138,952 | — | — | 11,236,829 | 11,236,829 | 3,546 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 297,327 | 97,442,759 | 31,270,628 | 7,419,999 | 2,041,394 | 13,681,733 | 364,765 | 137,016,515 | — | ||||||||
Total | $612,235,328 | $473,004,423 | $286,252,658 | $9,198,870 | $64,346,994 | $872,532,957 | $431,091 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 51.8% | ||||||
State Street Equity 500 Index II Portfolio | 458,593 | $ 182,075,314 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 215,024 | 80,769,374 | ||||
262,844,688 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 470,369 | 15,230,548 | ||||
SPDR Portfolio Long Term Treasury ETF | 840,461 | 34,711,040 | ||||
49,941,588 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,514,963 | 193,188,111 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $414,426,091) | 505,974,387 | |||||
SHORT-TERM INVESTMENTS — 2.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 1,730,880 | 1,730,880 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 8,633,196 | 8,633,196 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,364,076) | $ 10,364,076 | |||||
TOTAL INVESTMENTS—101.7% (Cost $424,790,167) | 516,338,463 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.7)% | (8,423,414) | |||||
NET ASSETS—100.0% | $ 507,915,049 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $505,974,387 | $— | $— | $505,974,387 | ||||
Short-Term Investments | 10,364,076 | — | — | 10,364,076 | ||||
TOTAL INVESTMENTS | $516,338,463 | $— | $— | $516,338,463 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 15,355,649 | $ 229,946 | $ 1,056 | $ 103,789 | 470,369 | $ 15,230,548 | $ 16,130 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 720,811 | 32,530,201 | 19,629,024 | 14,357,819 | (360,711) | (2,729,655) | 840,461 | 34,711,040 | 228,766 | ||||||||
State Street Equity 500 Index II Portfolio | 346,647 | 119,513,323 | 50,822,989 | 10,360,000 | 2,664,441 | 19,434,561 | 458,593 | 182,075,314 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,085,984 | 126,419,462 | 57,162,899 | 4,686,374 | 645,332 | 13,646,792 | 1,514,963 | 193,188,111 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,901,285 | 1,901,285 | 98,960,402 | 99,130,807 | — | — | 1,730,880 | 1,730,880 | 436 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 56,189,676 | 47,556,480 | — | — | 8,633,196 | 8,633,196 | 2,675 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 161,610 | 52,964,533 | 23,098,238 | 4,210,000 | 1,769,143 | 7,147,460 | 215,024 | 80,769,374 | — | ||||||||
Total | $333,328,804 | $321,218,877 | $180,531,426 | $4,719,261 | $37,602,947 | $516,338,463 | $248,007 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 51.7% | ||||||
State Street Equity 500 Index II Portfolio | 210,714 | $ 83,659,667 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 98,777 | 37,103,786 | ||||
120,763,453 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 216,010 | 6,994,404 | ||||
SPDR Portfolio Long Term Treasury ETF | 386,086 | 15,945,352 | ||||
22,939,756 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 696,048 | 88,759,991 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $194,081,054) | 232,463,200 | |||||
SHORT-TERM INVESTMENT — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) (Cost $869,842) | 869,842 | 869,842 | ||||
TOTAL INVESTMENTS—99.9% (Cost $194,950,896) | 233,333,042 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1% | 229,443 | |||||
NET ASSETS—100.0% | $ 233,562,485 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2021. |
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 | $232,463,200 | $— | $— | $232,463,200 | ||||
Short-Term Investment | 869,842 | — | — | 869,842 | ||||
TOTAL INVESTMENTS | $233,333,042 | $— | $— | $233,333,042 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 7,028,512 | $ 79,973 | $ 367 | $ 45,498 | 216,010 | $ 6,994,404 | $ 7,179 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 305,095 | 13,768,937 | 8,707,248 | 5,175,128 | (583,227) | (772,478) | 386,086 | 15,945,352 | 102,439 | ||||||||
State Street Equity 500 Index II Portfolio | 146,610 | 50,546,808 | 27,738,536 | 4,432,498 | 1,551,174 | 8,255,647 | 210,714 | 83,659,667 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 459,410 | 53,479,873 | 30,650,837 | 1,570,000 | 247,981 | 5,951,300 | 696,048 | 88,759,991 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 755,775 | 755,775 | 51,546,863 | 51,432,796 | — | — | 869,842 | 869,842 | 210 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 21,895,388 | 21,895,388 | — | — | — | — | 1,213 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 68,264 | 22,372,292 | 12,430,000 | 1,635,000 | 539,130 | 3,397,364 | 98,777 | 37,103,786 | — | ||||||||
Total | $140,923,685 | $159,997,384 | $86,220,783 | $1,755,425 | $16,877,331 | $233,333,042 | $ 111,041 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 51.6% | ||||||
State Street Equity 500 Index II Portfolio | 18,746 | $ 7,442,809 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 8,788 | 3,301,068 | ||||
10,743,877 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 19,201 | 621,729 | ||||
SPDR Portfolio Long Term Treasury ETF | 34,314 | 1,417,168 | ||||
2,038,897 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 61,933 | 7,897,689 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $19,572,341) | 20,680,463 | |||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) (Cost $123,980) | 123,980 | 123,980 | ||||
TOTAL INVESTMENTS—100.0% (Cost $19,696,321) | 20,804,443 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.0)%(d) | (565) | |||||
NET ASSETS—100.0% | $ 20,803,878 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(d) | Amount shown represents less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $20,680,463 | $— | $— | $20,680,463 | ||||
Short-Term Investment | 123,980 | — | — | 123,980 | ||||
TOTAL INVESTMENTS | $20,804,443 | $— | $— | $20,804,443 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 641,573 | $ 22,106 | $ 68 | $ 2,194 | 19,201 | $ 621,729 | $ 409 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 8,004 | 361,220 | 1,743,916 | 679,787 | (64,793) | 56,612 | 34,314 | 1,417,168 | 4,768 | ||||||||
State Street Equity 500 Index II Portfolio | 3,843 | 1,324,993 | 6,060,652 | 436,549 | 83,068 | 410,645 | 18,746 | 7,442,809 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,042 | 1,401,751 | 6,532,737 | 304,665 | 70,521 | 197,345 | 61,933 | 7,897,689 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 48,118 | 48,118 | 11,210,179 | 11,134,317 | — | — | 123,980 | 123,980 | 23 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,784 | 584,792 | 2,668,000 | 158,056 | 44,287 | 162,045 | 8,788 | 3,301,068 | — | ||||||||
Total | $3,720,874 | $28,857,057 | $12,735,480 | $133,151 | $828,841 | $20,804,443 | $5,200 |
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* | $638,780,847 | $966,417,233 | $1,615,784,738 | $1,924,958,749 | |||
Cash | — | 810,572 | — | — | |||
Receivable for investments sold | 8,697,690 | 21,004,463 | 33,912,817 | 29,817,881 | |||
Receivable for fund shares sold | 628,867 | 698,399 | 1,011,670 | 1,575,210 | |||
Dividends receivable — affiliated issuers | 2,204 | 6,996 | 15,369 | 23,231 | |||
Securities lending income receivable — unaffiliated issuers | 20,159 | 3,029 | 16,720 | 276 | |||
Securities lending income receivable — affiliated issuers | 15,737 | 53,045 | 66,784 | 77,076 | |||
Receivable from Adviser | 93,355 | 84,609 | 97,131 | 153,734 | |||
TOTAL ASSETS | 648,238,859 | 989,078,346 | 1,650,905,229 | 1,956,606,157 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 20,650,526 | 4,430,844 | 16,209,723 | 69,307,608 | |||
Payable for investments purchased | 10,136,877 | 20,545,811 | 36,637,005 | 31,294,782 | |||
Payable for fund shares repurchased | 91,656 | 654,041 | 347,254 | 189,206 | |||
Advisory fee payable | 25,241 | 39,439 | 64,907 | 74,821 | |||
Custodian fees payable | 12,064 | 12,045 | 11,921 | 11,831 | |||
Administration fees payable | 25,651 | 39,826 | 65,231 | 75,115 | |||
Trustees’ fees and expenses payable | — | — | — | — | |||
Transfer agent fees payable | 133,202 | 19,143 | 24,238 | 27,496 | |||
Sub-transfer agent fee payable | 158 | 83 | 232 | 245 | |||
Registration and filing fees payable | 351 | 1,803 | 2,272 | 3,909 | |||
Professional fees payable | 18,284 | 19,097 | 19,420 | 19,483 | |||
Printing and postage fees payable | 2,162 | 6,421 | 6,506 | 7,324 | |||
Accrued expenses and other liabilities | 1,468 | 6,514 | 8,404 | 8,273 | |||
TOTAL LIABILITIES | 31,097,640 | 25,775,067 | 53,397,113 | 101,020,093 | |||
NET ASSETS | $617,141,219 | $963,303,279 | $ 1,597,508,116 | $1,855,586,064 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $535,413,773 | $805,989,175 | $1,321,884,810 | $1,501,276,251 | |||
Total distributable earnings (loss) | 81,727,446 | 157,314,104 | 275,623,306 | 354,309,813 | |||
NET ASSETS | $617,141,219 | $963,303,279 | $ 1,597,508,116 | $1,855,586,064 | |||
Class I | |||||||
Net Assets | $ 25,488,082 | $ 49,558,738 | $ 92,598,494 | $ 102,329,938 | |||
Shares Outstanding | 2,027,205 | 3,824,987 | 6,625,788 | 6,944,666 | |||
Net asset value, offering and redemption price per share | $ 12.57 | $ 12.96 | $ 13.98 | $ 14.74 | |||
Class K | |||||||
Net Assets | $591,653,137 | $913,744,541 | $1,504,909,622 | $1,753,256,126 | |||
Shares Outstanding | 47,087,713 | 70,398,495 | 107,369,989 | 118,683,396 | |||
Net asset value, offering and redemption price per share | $ 12.56 | $ 12.98 | $ 14.02 | $ 14.77 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 574,424,975 | 838,838,196 | 1,390,009,356 | 1,628,445,784 | |||
* Includes investments in securities on loan, at value | $ 41,992,586 | $ 9,485,656 | $ 30,152,857 | $ 69,432,158 |
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 | ||||||
$1,636,597,316 | $1,481,546,330 | $1,205,766,134 | $872,532,957 | $516,338,463 | $233,333,042 | $20,804,443 | ||||||
— | — | — | — | — | — | — | ||||||
18,800,000 | 10,800,000 | 7,400,000 | 3,690,000 | 2,090,000 | 1,020,000 | 55,000 | ||||||
2,168,699 | 1,640,739 | 1,933,423 | 1,386,101 | 1,223,645 | 848,881 | 71,337 | ||||||
15,370 | 14,274 | 11,467 | 7,707 | 1,443 | 30 | 4 | ||||||
285 | — | 30 | 20 | 1,091 | — | — | ||||||
35,891 | 727 | 483 | 1,379 | — | — | — | ||||||
125,725 | 102,068 | 94,636 | 72,670 | 66,188 | 44,687 | 69,171 | ||||||
1,657,743,286 | 1,494,104,138 | 1,215,206,173 | 877,690,834 | 519,720,830 | 235,246,640 | 20,999,955 | ||||||
4,439,831 | 3,097,962 | — | 11,236,829 | 8,633,196 | — | — | ||||||
20,352,739 | 11,731,374 | 8,983,159 | 4,809,171 | 2,805,483 | 1,421,014 | 137,704 | ||||||
85,476 | 531,542 | 501,186 | 150,475 | 250,841 | 178,601 | 21,627 | ||||||
65,980 | 59,631 | 48,663 | 34,553 | 20,393 | 9,326 | 798 | ||||||
11,822 | 11,838 | 11,824 | 11,816 | 11,842 | 11,878 | 11,930 | ||||||
66,204 | 59,834 | 48,790 | 34,617 | 20,456 | 9,390 | 798 | ||||||
— | — | — | — | — | 4 | 22 | ||||||
29,221 | 29,767 | 31,433 | 31,540 | 30,356 | 29,198 | 2,644 | ||||||
— | — | — | — | 71 | 65 | 209 | ||||||
349 | 1,464 | 367 | 1,240 | 364 | 1,925 | 2,407 | ||||||
19,255 | 19,069 | 18,792 | 18,511 | 18,855 | 19,602 | 10,961 | ||||||
7,984 | 5,840 | 4,667 | 4,872 | 13,153 | 2,996 | 6,815 | ||||||
6,684 | 5,382 | 3,855 | 2,229 | 771 | 156 | 162 | ||||||
25,085,545 | 15,553,703 | 9,652,736 | 16,335,853 | 11,805,781 | 1,684,155 | 196,077 | ||||||
$1,632,657,741 | $1,478,550,435 | $1,205,553,437 | $861,354,981 | $507,915,049 | $233,562,485 | $20,803,878 | ||||||
$1,301,580,519 | $1,161,357,129 | $ 942,930,939 | $675,167,393 | $406,758,734 | $191,488,636 | $19,493,355 | ||||||
331,077,222 | 317,193,306 | 262,622,498 | 186,187,588 | 101,156,315 | 42,073,849 | 1,310,523 | ||||||
$1,632,657,741 | $1,478,550,435 | $1,205,553,437 | $861,354,981 | $507,915,049 | $233,562,485 | $20,803,878 | ||||||
$ 70,934,756 | $ 67,673,555 | $ 33,732,654 | $ 30,759,402 | $ 12,395,740 | $ 5,185,112 | $ 160,435 | ||||||
4,624,374 | 4,319,937 | 2,105,861 | 1,925,031 | 763,391 | 319,851 | 10,616 | ||||||
$ 15.34 | $ 15.67 | $ 16.02 | $ 15.98 | $ 16.24 | $ 16.21 | $ 15.11 | ||||||
$1,561,722,985 | $1,410,876,880 | $1,171,820,783 | $830,595,579 | $495,519,309 | $228,377,373 | $20,643,443 | ||||||
101,374,831 | 89,908,095 | 73,103,276 | 51,906,512 | 30,536,814 | 14,076,231 | 1,364,567 | ||||||
$ 15.41 | $ 15.69 | $ 16.03 | $ 16.00 | $ 16.23 | $ 16.22 | $ 15.13 | ||||||
1,350,819,502 | 1,204,306,906 | 972,557,808 | 704,409,808 | 424,790,167 | 194,950,896 | 19,696,321 | ||||||
$ 4,383,386 | $ 3,046,329 | $ — | $ 10,951,749 | $ 8,407,305 | $ — | $ — |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||
INVESTMENT INCOME | |||||||
Dividend income — affiliated issuers | $ 3,420,471 | $ 5,258,483 | $ 6,844,319 | $ 5,024,697 | |||
Unaffiliated securities lending income | 52,534 | 4,868 | 41,665 | 4,024 | |||
Affiliated securities lending income | 73,874 | 170,959 | 197,540 | 212,723 | |||
TOTAL INVESTMENT INCOME (LOSS) | 3,546,879 | 5,434,310 | 7,083,524 | 5,241,444 | |||
EXPENSES | |||||||
Advisory fee | 145,866 | 230,228 | 365,127 | 412,131 | |||
Administration fees | 145,866 | 230,228 | 365,127 | 412,131 | |||
Sub-transfer agent fee | |||||||
Class I | 20,975 | 38,787 | 57,969 | 65,611 | |||
Custodian fees | 24,453 | 24,676 | 24,280 | 24,085 | |||
Trustees’ fees and expenses | 13,851 | 15,845 | 18,596 | 19,556 | |||
Transfer agent fees | 160,489 | 59,266 | 79,598 | 90,409 | |||
Registration and filing fees | 38,959 | 38,160 | 40,867 | 40,464 | |||
Professional fees | 17,105 | 18,980 | 20,211 | 20,673 | |||
Printing and postage fees | 14,257 | 9,752 | 19,530 | 22,600 | |||
Insurance expense | 773 | 1,281 | 1,757 | 1,900 | |||
Miscellaneous expenses | 2,120 | 1,547 | 1,991 | 2,295 | |||
TOTAL EXPENSES | 584,714 | 668,750 | 995,053 | 1,111,855 | |||
Expenses waived/reimbursed by the Adviser | (655,343) | (712,385) | (924,670) | (835,233) | |||
NET EXPENSES | (70,629) | (43,635) | 70,383 | 276,622 | |||
NET INVESTMENT INCOME (LOSS) | $ 3,617,508 | $ 5,477,945 | $ 7,013,141 | $ 4,964,822 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 18,458,483 | 18,244,186 | 27,686,403 | 31,528,942 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | 6,337,406 | 31,561,315 | 67,225,163 | 87,276,333 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 24,795,889 | 49,805,501 | 94,911,566 | 118,805,275 | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $28,413,397 | $55,283,446 | $101,924,707 | $123,770,097 |
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 | ||||||
$ 2,919,485 | $ 1,609,653 | $ 869,019 | $ 427,545 | $ 245,332 | $ 109,828 | $ 5,200 | ||||||
1,900 | 25 | 15 | — | 38 | 39 | — | ||||||
105,668 | 4,008 | 483 | 3,546 | 2,675 | 1,213 | — | ||||||
3,027,053 | 1,613,686 | 869,517 | 431,091 | 248,045 | 111,080 | 5,200 | ||||||
363,908 | 328,590 | 263,545 | 186,304 | 106,925 | 47,750 | 2,444 | ||||||
363,908 | 328,590 | 263,545 | 186,304 | 106,925 | 47,750 | 2,444 | ||||||
47,111 | 49,144 | 22,370 | 23,346 | 8,664 | 3,197 | 147 | ||||||
23,964 | 23,950 | 23,958 | 23,967 | 23,972 | 24,014 | 24,085 | ||||||
18,446 | 17,680 | 16,095 | 14,444 | 12,679 | 11,461 | 10,543 | ||||||
99,859 | 100,806 | 106,774 | 108,071 | 104,875 | 105,654 | 48,718 | ||||||
43,573 | 42,757 | 44,699 | 39,318 | 38,694 | 35,979 | 35,295 | ||||||
20,134 | 19,747 | 18,973 | 18,197 | 16,939 | 16,362 | 9,826 | ||||||
13,947 | 20,568 | 19,382 | 16,827 | 22,627 | 10,247 | 8,214 | ||||||
1,629 | 1,443 | 1,117 | 745 | 389 | 156 | 2 | ||||||
2,106 | 2,001 | 1,701 | 1,176 | 957 | 1,294 | 1,543 | ||||||
998,585 | 935,276 | 782,159 | 618,699 | 443,646 | 303,864 | 143,261 | ||||||
(666,899) | (570,028) | (510,475) | (420,228) | (334,473) | (255,304) | (141,404) | ||||||
331,686 | 365,248 | 271,684 | 198,471 | 109,173 | 48,560 | 1,857 | ||||||
$ 2,695,367 | $ 1,248,438 | $ 597,833 | $ 232,620 | $ 138,872 | $ 62,520 | $ 3,343 | ||||||
27,173,931 | 22,020,345 | 16,679,319 | 9,198,870 | 4,719,261 | 1,755,425 | 133,151 | ||||||
89,871,058 | 93,520,698 | 83,571,418 | 64,346,994 | 37,602,947 | 16,877,331 | 828,841 | ||||||
117,044,989 | 115,541,043 | 100,250,737 | 73,545,864 | 42,322,208 | 18,632,756 | 961,992 | ||||||
$119,740,356 | $116,789,481 | $100,848,570 | $73,778,484 | $42,461,080 | $18,695,276 | $ 965,335 |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | ||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 3,617,508 | $ 9,157,193 | $ 5,477,945 | $ 16,300,917 | |||
Net realized gain (loss) | 18,458,483 | 4,862,403 | 18,244,186 | 14,052,930 | |||
Net change in unrealized appreciation/depreciation | 6,337,406 | 53,493,534 | 31,561,315 | 51,209,116 | |||
Net increase (decrease) in net assets resulting from operations | 28,413,397 | 67,513,130 | 55,283,446 | 81,562,963 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (345,325) | — | (1,577,020) | |||
Class K | — | (7,847,441) | — | (31,592,022) | |||
Total distributions to shareholders | — | (8,192,766) | — | (33,169,042) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 4,306,542 | 22,072,370 | 9,412,760 | 39,357,657 | |||
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 | — | 1,577,020 | |||
Cost of shares redeemed | (1,682,404) | (1,368,139) | (3,525,811) | (2,692,400) | |||
Net increase (decrease) from capital share transactions | 2,624,138 | 21,115,683 | 5,886,949 | 38,242,277 | |||
Class K | |||||||
Proceeds from sale of shares sold | 79,514,254 | 171,166,360 | 170,888,657 | 211,425,786 | |||
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 | 119,576,117 | — | — | |||
Reinvestment of distributions | — | 7,827,465 | — | 31,548,475 | |||
Cost of shares redeemed | (125,925,596) | (85,211,638) | (130,876,109) | (252,638,819) | |||
Net increase (decrease) from capital share transactions | 73,164,775 | 213,358,304 | 40,012,548 | (9,664,558) | |||
Net increase (decrease) in net assets from beneficial interest transactions | 75,788,913 | 234,473,987 | 45,899,497 | 28,577,719 | |||
Net increase (decrease) in net assets during the period | 104,202,310 | 293,794,351 | 101,182,943 | 76,971,640 | |||
Net assets at beginning of period | 512,938,909 | 219,144,558 | 862,120,336 | 785,148,696 | |||
NET ASSETS AT END OF PERIOD | $ 617,141,219 | $512,938,909 | $ 963,303,279 | $ 862,120,336 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 347,350 | 1,893,325 | 735,926 | 3,279,118 | |||
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 | — | 129,264 | |||
Shares redeemed | (138,056) | (117,871) | (281,276) | (223,781) | |||
Net increase (decrease) from share transactions | 209,294 | 1,810,812 | 454,650 | 3,184,601 | |||
Class K | |||||||
Shares sold | 16,297,396 | 16,407,034 | 13,679,909 | 18,436,114 | |||
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 | — | 2,583,823 | |||
Shares redeemed | (10,226,606) | (7,713,029) | (10,407,471) | (22,606,597) | |||
Net increase (decrease) from share transactions | 6,070,790 | 21,164,354 | 3,272,438 | (1,586,660) |
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | |||||
$ 7,013,141 | $ 23,743,388 | $ 4,964,822 | $ 24,501,256 | $ 2,695,367 | $ 20,124,275 | |||||
27,686,403 | 32,260,174 | 31,528,942 | 40,672,761 | 27,173,931 | 29,700,797 | |||||
67,225,163 | 90,346,412 | 87,276,333 | 128,400,822 | 89,871,058 | 127,686,302 | |||||
101,924,707 | 146,349,974 | 123,770,097 | 193,574,839 | 119,740,356 | 177,511,374 | |||||
— | (2,700,654) | — | (3,268,395) | — | (2,145,820) | |||||
— | (55,486,221) | — | (64,236,287) | — | (52,763,736) | |||||
— | (58,186,875) | — | (67,504,682) | — | (54,909,556) | |||||
30,480,180 | 56,424,959 | 28,852,560 | 63,258,080 | 17,816,901 | 45,493,926 | |||||
— | — | — | — | — | — | |||||
— | 2,700,654 | — | 3,268,395 | — | 2,145,821 | |||||
(2,292,529) | (2,712,029) | (2,085,458) | (1,700,614) | (855,804) | (1,481,320) | |||||
28,187,651 | 56,413,584 | 26,767,102 | 64,825,861 | 16,961,097 | 46,158,427 | |||||
329,015,349 | 329,308,524 | 403,027,117 | 358,927,216 | 334,802,115 | 319,670,456 | |||||
— | — | — | — | — | — | |||||
— | 55,400,772 | — | 64,052,106 | — | 52,565,459 | |||||
(149,712,424) | (278,400,579) | (134,969,298) | (252,053,876) | (104,188,277) | (184,215,092) | |||||
179,302,925 | 106,308,717 | 268,057,819 | 170,925,446 | 230,613,838 | 188,020,823 | |||||
207,490,576 | 162,722,301 | 294,824,921 | 235,751,307 | 247,574,935 | 234,179,250 | |||||
309,415,283 | 250,885,400 | 418,595,018 | 361,821,464 | 367,315,291 | 356,781,068 | |||||
1,288,092,833 | 1,037,207,433 | 1,436,991,046 | 1,075,169,582 | 1,265,342,450 | 908,561,382 | |||||
$ 1,597,508,116 | $1,288,092,833 | $1,855,586,064 | $1,436,991,046 | $1,632,657,741 | $1,265,342,450 | |||||
2,217,146 | 4,415,804 | 1,998,768 | 4,752,369 | 1,184,263 | 3,360,339 | |||||
— | — | — | — | — | — | |||||
— | 206,947 | — | 238,918 | — | 151,648 | |||||
(169,046) | (214,398) | (146,732) | (130,145) | (57,252) | (109,770) | |||||
2,048,100 | 4,408,353 | 1,852,036 | 4,861,142 | 1,127,011 | 3,402,217 | |||||
24,543,011 | 27,204,784 | 28,529,426 | 28,912,861 | 22,850,205 | 25,184,188 | |||||
— | — | — | — | — | — | |||||
— | 4,238,774 | — | 4,671,926 | — | 3,701,793 | |||||
(11,029,969) | (24,262,408) | (9,506,768) | (21,285,976) | (7,047,830) | (15,506,619) | |||||
13,513,042 | 7,181,150 | 19,022,658 | 12,298,811 | 15,802,375 | 13,379,362 |
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | ||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 1,248,438 | $ 16,995,817 | $ 597,833 | $ 12,854,598 | |||
Net realized gain (loss) | 22,020,345 | 29,813,326 | 16,679,319 | 18,590,135 | |||
Net change in unrealized appreciation/depreciation | 93,520,698 | 121,835,590 | 83,571,418 | 106,296,339 | |||
Net increase (decrease) in net assets resulting from operations | 116,789,481 | 168,644,733 | 100,848,570 | 137,741,072 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (2,254,749) | — | (892,914) | |||
Class K | — | (47,647,713) | — | (32,999,187) | |||
Total distributions to shareholders | — | (49,902,462) | — | (33,892,101) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 12,439,441 | 46,742,899 | 8,617,900 | 21,016,069 | |||
Reinvestment of distributions | — | 2,254,749 | — | 892,915 | |||
Cost of shares redeemed | (807,309) | (1,703,229) | (409,957) | (1,210,540) | |||
Net increase (decrease) from capital share transactions | 11,632,132 | 47,294,419 | 8,207,943 | 20,698,444 | |||
Class K | |||||||
Proceeds from sale of shares sold | 322,958,627 | 278,923,160 | 304,720,379 | 242,253,293 | |||
Reinvestment of distributions | — | 47,515,072 | — | 32,902,700 | |||
Cost of shares redeemed | (100,587,322) | (145,091,691) | (78,636,030) | (117,740,815) | |||
Net increase (decrease) from capital share transactions | 222,371,305 | 181,346,541 | 226,084,349 | 157,415,178 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 234,003,437 | 228,640,960 | 234,292,292 | 178,113,622 | |||
Net increase (decrease) in net assets during the period | 350,792,918 | 347,383,231 | 335,140,862 | 281,962,593 | |||
Net assets at beginning of period | 1,127,757,517 | 780,374,286 | 870,412,575 | 588,449,982 | |||
NET ASSETS AT END OF PERIOD | $1,478,550,435 | $1,127,757,517 | $1,205,553,437 | $ 870,412,575 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 811,157 | 3,418,786 | 551,121 | 1,532,464 | |||
Reinvestment of distributions | — | 157,235 | — | 61,284 | |||
Shares redeemed | (53,267) | (124,559) | (26,810) | (87,798) | |||
Net increase (decrease) from share transactions | 757,890 | 3,451,462 | 524,311 | 1,505,950 | |||
Class K | |||||||
Shares sold | 21,640,144 | 22,215,701 | 20,098,193 | 19,592,095 | |||
Reinvestment of distributions | — | 3,311,155 | — | 2,258,250 | |||
Shares redeemed | (6,696,025) | (12,114,713) | (5,123,629) | (9,911,551) | |||
Net increase (decrease) from share transactions | 14,944,119 | 13,412,143 | 14,974,564 | 11,938,794 |
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | |||||
$ 232,620 | $ 8,949,996 | $ 138,872 | $ 4,852,612 | $ 62,520 | $ 2,028,581 | |||||
9,198,870 | 12,820,553 | 4,719,261 | 6,412,119 | 1,755,425 | 2,347,811 | |||||
64,346,994 | 75,443,786 | 37,602,947 | 40,048,846 | 16,877,331 | 16,728,742 | |||||
73,778,484 | 97,214,335 | 42,461,080 | 51,313,577 | 18,695,276 | 21,105,134 | |||||
— | (948,192) | — | (261,233) | — | (67,966) | |||||
— | (23,295,939) | — | (9,529,649) | — | (2,725,775) | |||||
— | (24,244,131) | — | (9,790,882) | — | (2,793,741) | |||||
4,831,503 | 22,225,844 | 2,875,304 | 8,179,430 | 1,463,535 | 3,061,050 | |||||
— | 948,192 | — | 259,902 | — | 65,517 | |||||
(724,880) | (1,090,661) | (428,267) | (372,802) | (146,946) | (125,458) | |||||
4,106,623 | 22,083,375 | 2,447,037 | 8,066,530 | 1,316,589 | 3,001,109 | |||||
233,019,897 | 197,996,802 | 166,546,738 | 134,127,162 | 93,913,110 | 76,516,272 | |||||
— | 23,204,210 | — | 9,502,968 | — | 2,713,511 | |||||
(61,121,876) | (85,798,218) | (36,454,559) | (56,144,533) | (21,212,334) | (34,228,340) | |||||
171,898,021 | 135,402,794 | 130,092,179 | 87,485,597 | 72,700,776 | 45,001,443 | |||||
176,004,644 | 157,486,169 | 132,539,216 | 95,552,127 | 74,017,365 | 48,002,552 | |||||
249,783,128 | 230,456,373 | 175,000,296 | 137,074,822 | 92,712,641 | 66,313,945 | |||||
611,571,853 | 381,115,480 | 332,914,753 | 195,839,931 | 140,849,844 | 74,535,899 | |||||
$861,354,981 | $ 611,571,853 | $507,915,049 | $332,914,753 | $233,562,485 | $140,849,844 | |||||
313,704 | 1,636,647 | 183,598 | 597,938 | 94,003 | 227,030 | |||||
— | 65,483 | — | 17,656 | — | 4,460 | |||||
(46,674) | (79,668) | (27,438) | (27,401) | (9,497) | (9,164) | |||||
267,030 | 1,622,462 | 156,160 | 588,193 | 84,506 | 222,326 | |||||
15,368,215 | 15,939,478 | 10,840,066 | 10,621,756 | 6,091,436 | 6,170,154 | |||||
— | 1,601,395 | — | 646,901 | — | 184,718 | |||||
(4,003,119) | (7,203,634) | (2,341,926) | (4,681,287) | (1,365,152) | (2,940,767) | |||||
11,365,096 | 10,337,239 | 8,498,140 | 6,587,370 | 4,726,284 | 3,414,105 |
State Street Target Retirement 2065 Fund | |||
Six Months Ended 6/30/21 (Unaudited) | For the Period 3/30/20*- 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,343 | $ 50,368 | |
Net realized gain (loss) | 133,151 | 179,636 | |
Net change in unrealized appreciation/depreciation | 828,841 | 279,281 | |
Net increase (decrease) in net assets resulting from operations | 965,335 | 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 | 9,134 | 100,000 | |
Cost of shares redeemed | (171) | — | |
Net increase (decrease) from capital share transactions | 8,963 | 100,000 | |
Class K | |||
Proceeds from sale of shares sold | 17,868,495 | 3,894,813 | |
Reinvestment of distributions | — | 151,366 | |
Cost of shares redeemed | (1,733,145) | (797,137) | |
Net increase (decrease) from capital share transactions | 16,135,350 | 3,249,042 | |
Net increase (decrease) in net assets from beneficial interest transactions | 16,144,313 | 3,349,042 | |
Net increase (decrease) in net assets during the period | 17,109,648 | 3,694,230 | |
Net assets at beginning of period | 3,694,230 | — | |
NET ASSETS AT END OF PERIOD | $20,803,878 | $3,694,230 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 628 | 10,000 | |
Shares redeemed | (12) | — | |
Net increase (decrease) from share transactions | 616 | 10,000 | |
Class K | |||
Shares sold | 1,224,487 | 311,069 | |
Reinvestment of distributions | — | 11,024 | |
Shares redeemed | (119,786) | (62,227) | |
Net increase (decrease) from share transactions | 1,104,701 | 259,866 |
* | For the period March 30, 2020 (commencement of investment operations) through December 31, 2020. (See Note 1) |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 11.99 | $ 11.05 | $10.02 | $10.73 | $10.12 | $ 9.79 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.38 | 0.29 | 0.28 | 0.19 | 0.19 | |||||
Net realized and unrealized gain (loss) | 0.52 | 0.75 | 1.11 | (0.55) | 0.71 | 0.32 | |||||
Total from investment operations | 0.58 | 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 | $ 12.57 | $ 11.99 | $ 11.05 | $10.02 | $10.73 | $10.12 | |||||
Total return (b) | 4.84% | 10.25% | 13.98% | (2.50)%(c) | 8.92% | 5.27% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $25,488 | $21,801 | $ 78 | $ 108 | $ 139 | $ 612 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.38%(e) | 0.24% | 0.24% | 0.25% | 0.36% | 0.66% | |||||
Net expenses (d) | 0.16%(e) | 0.02% | (0.03)%(f) | (0.03)%(f) | (0.05)%(f) | (0.03)%(f) | |||||
Net investment income (loss) | 1.05%(e) | 3.26% | 2.64% | 2.62% | 1.78% | 1.89% | |||||
Portfolio turnover rate | 22%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | $ 9.78 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.08 | 0.26 | 0.32 | 0.29 | 0.28 | 0.23 | |||||
Net realized and unrealized gain (loss) | 0.51 | 0.87 | 1.08 | (0.56) | 0.60 | 0.29 | |||||
Total from investment operations | 0.59 | 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 | $ 12.56 | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | |||||
Total return (b) | 4.93% | 10.29% | 14.00% | (2.50)%(c) | 8.83% | 5.28% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $591,653 | $491,138 | $219,066 | $200,840 | $135,420 | $55,499 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.19%(e) | 0.19% | 0.24% | 0.24% | 0.36% | 0.66% | |||||
Net expenses (d) | (0.03)%(e)(f) | (0.03)%(f) | (0.03)%(f) | (0.04)%(f) | (0.02)%(f) | (0.04)%(f) | |||||
Net investment income (loss) | 1.25%(e) | 2.29% | 2.92% | 2.69% | 2.61% | 2.23% | |||||
Portfolio turnover rate | 22%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 12.22 | $ 11.39 | $10.29 | $ 11.34 | $10.27 | $ 9.75 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.40 | 0.32 | 0.43 | 0.25 | 0.16 | |||||
Net realized and unrealized gain (loss) | 0.68 | 0.92 | 1.48 | (0.90) | 1.13 | 0.54 | |||||
Total from investment operations | 0.74 | 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 | $ 12.96 | $ 12.22 | $ 11.39 | $10.29 | $ 11.34 | $10.27 | |||||
Total return (b) | 6.06% | 11.57% | 17.53% | (4.17)%(c) | 13.38% | 7.34% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $49,559 | $41,182 | $ 2,116 | $1,798 | $ 680 | $ 797 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.32%(e) | 0.19% | 0.15% | 0.16% | 0.15% | 0.30% | |||||
Net expenses (d) | 0.17%(e) | 0.03% | 0.01% | 0.02% | 0.01% | 0.07% | |||||
Net investment income (loss) | 1.00%(e) | 3.39% | 2.83% | 3.85% | 2.29% | 1.54% | |||||
Portfolio turnover rate | 13%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | $ 9.74 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.07 | 0.24 | 0.33 | 0.29 | 0.29 | 0.27 | |||||
Net realized and unrealized gain (loss) | 0.68 | 1.08 | 1.48 | (0.76) | 1.08 | 0.45 | |||||
Total from investment operations | 0.75 | 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 | $ 12.98 | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | |||||
Total return (b) | 6.13% | 11.68% | 17.55% | (4.16)%(c) | 13.38% | 7.45% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $913,745 | $820,938 | $783,033 | $847,142 | $775,643 | $235,727 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.14% | 0.14% | 0.15% | 0.15% | 0.24% | |||||
Net expenses (d) | (0.02)%(e)(f) | (0.03)%(f) | (0.01)%(f) | 0.01% | 0.02% | 0.01% | |||||
Net investment income (loss) | 1.20%(e) | 2.13% | 2.88% | 2.60% | 2.67% | 2.60% | |||||
Portfolio turnover rate | 13%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 13.06 | $ 11.92 | $10.53 | $ 11.74 | $10.33 | $ 9.74 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.05 | 0.50 | 0.37 | 0.23 | 0.26 | 0.15 | |||||
Net realized and unrealized gain (loss) | 0.87 | 1.26 | 1.81 | (0.87) | 1.45 | 0.63 | |||||
Total from investment operations | 0.92 | 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 | $ 13.98 | $ 13.06 | $ 11.92 | $10.53 | $ 11.74 | $10.33 | |||||
Total return (b) | 7.04% | 14.66% | 20.76% | (5.48)%(c) | 16.54% | 8.01% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $92,598 | $59,792 | $2,019 | $1,155 | $2,232 | $ 2,110 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.30%(e) | 0.19% | 0.15% | 0.15% | 0.15% | 0.33% | |||||
Net expenses (d) | 0.17%(e) | 0.04% | 0.02% | 0.05% | 0.03% | 0.08% | |||||
Net investment income (loss) | 0.77%(e) | 3.96% | 3.10% | 1.98% | 2.36% | 1.53% | |||||
Portfolio turnover rate | 12%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | $ 9.75 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.07 | 0.27 | 0.33 | 0.31 | 0.30 | 0.29 | |||||
Net realized and unrealized gain (loss) | 0.86 | 1.50 | 1.85 | (0.94) | 1.41 | 0.49 | |||||
Total from investment operations | 0.93 | 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 | $ 14.02 | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | |||||
Total return (b) | 7.10% | 14.84% | 20.63% | (5.38)%(c) | 16.52% | 8.00% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,504,910 | $1,228,301 | $1,035,188 | $1,007,169 | $830,080 | $206,696 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.14% | 0.14% | 0.14% | 0.15% | 0.28% | |||||
Net expenses (d) | 0.00%(e)(f) | (0.01)%(g) | 0.01% | 0.04% | 0.04% | 0.04% | |||||
Net investment income (loss) | 0.97%(e) | 2.24% | 2.83% | 2.63% | 2.63% | 2.81% | |||||
Portfolio turnover rate | 12%(h) | 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) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 13.70 | $ 12.26 | $10.67 | $ 11.98 | $10.37 | $ 9.76 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.53 | 0.38 | 0.29 | 0.25 | 0.14 | |||||
Net realized and unrealized gain (loss) | 1.01 | 1.58 | 2.03 | (1.05) | 1.64 | 0.65 | |||||
Total from investment operations | 1.04 | 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 | $ 14.74 | $ 13.70 | $12.26 | $10.67 | $ 11.98 | $10.37 | |||||
Total return (b) | 7.59% | 17.26% | 22.55% | (6.24)% | 18.27% | 8.10% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $102,330 | $69,750 | $2,837 | $1,768 | $1,716 | $1,522 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.29%(d) | 0.19% | 0.15% | 0.15% | 0.15% | 0.30% | |||||
Net expenses (c) | 0.19%(d) | 0.08% | 0.04% | 0.07% | 0.06% | 0.08% | |||||
Net investment income (loss) | 0.43%(d) | 4.00% | 3.12% | 2.44% | 2.25% | 1.39% | |||||
Portfolio turnover rate | 11%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | $ 9.76 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.27 | 0.33 | 0.29 | 0.28 | 0.25 | |||||
Net realized and unrealized gain (loss) | 1.01 | 1.86 | 2.07 | (1.04) | 1.62 | 0.55 | |||||
Total from investment operations | 1.05 | 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 | $ 14.77 | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | |||||
Total return (b) | 7.65% | 17.24% | 22.52% | (6.22)% | 18.35% | 8.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,753,256 | $1,367,241 | $1,072,332 | $960,339 | $778,969 | $225,549 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.13%(d) | 0.14% | 0.14% | 0.14% | 0.15% | 0.26% | |||||
Net expenses (c) | 0.03%(d) | 0.03% | 0.03% | 0.06% | 0.06% | 0.05% | |||||
Net investment income (loss) | 0.61%(d) | 2.13% | 2.75% | 2.43% | 2.46% | 2.48% | |||||
Portfolio turnover rate | 11%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.16 | $ 12.54 | $10.80 | $12.18 | $10.43 | $ 9.77 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.56 | 0.36 | 0.30 | 0.13 | 0.11 | |||||
Net realized and unrealized gain (loss) | 1.17 | 1.71 | 2.19 | (1.14) | 1.91 | 0.74 | |||||
Total from investment operations | 1.18 | 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 | $ 15.34 | $ 14.16 | $12.54 | $10.80 | $12.18 | $10.43 | |||||
Total return (b) | 8.33% | 18.05% | 23.62% | (6.88)%(c) | 19.56% | 8.61% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $70,935 | $49,518 | $1,193 | $ 442 | $ 371 | $ 840 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.30%(e) | 0.20% | 0.21% | 0.16% | 0.17% | 0.36% | |||||
Net expenses (d) | 0.21%(e) | 0.10% | 0.12% | 0.07% | 0.07% | 0.09% | |||||
Net investment income (loss) | 0.20%(e) | 4.14% | 2.95% | 2.49% | 1.10% | 1.08% | |||||
Portfolio turnover rate | 10%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | $ 9.78 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.26 | 0.32 | 0.28 | 0.27 | 0.27 | |||||
Net realized and unrealized gain (loss) | 1.17 | 2.03 | 2.24 | (1.12) | 1.79 | 0.58 | |||||
Total from investment operations | 1.20 | 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 | $ 15.41 | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | |||||
Total return (b) | 8.44% | 18.19% | 23.61% | (6.85)%(c) | 19.73% | 8.60% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,561,723 | $1,215,824 | $907,369 | $796,187 | $584,717 | $165,008 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.14% | 0.15% | 0.15% | 0.17% | 0.33% | |||||
Net expenses (d) | 0.04%(e) | 0.04% | 0.05% | 0.07% | 0.08% | 0.06% | |||||
Net investment income (loss) | 0.38%(e) | 2.03% | 2.60% | 2.30% | 2.34% | 2.64% | |||||
Portfolio turnover rate | 10%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.35 | $ 12.65 | $10.79 | $12.26 | $10.39 | $ 9.71 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.00(b) | 0.58 | 0.29 | 0.31 | 0.24 | 0.09 | |||||
Net realized and unrealized gain (loss) | 1.32 | 1.79 | 2.37 | (1.23) | 1.91 | 0.78 | |||||
Total from investment operations | 1.32 | 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 | $ 15.67 | $ 14.35 | $12.65 | $10.79 | $12.26 | $10.39 | |||||
Total return (c) | 9.20% | 18.70% | 24.64% | (7.46)%(d) | 20.59% | 9.00% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $67,674 | $51,116 | $1,398 | $1,247 | $ 912 | $ 708 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.31%(f) | 0.20% | 0.17% | 0.19% | 0.17% | 0.38% | |||||
Net expenses (e) | 0.22%(f) | 0.10% | 0.07% | 0.09% | 0.07% | 0.10% | |||||
Net investment income (loss) | 0.02%(f) | 4.25% | 2.33% | 2.50% | 2.14% | 0.86% | |||||
Portfolio turnover rate | 9%(g) | 19% | 32% | 11% | 6% | 16% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.46)%. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | $ 9.72 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.25 | 0.32 | 0.28 | 0.26 | 0.24 | |||||
Net realized and unrealized gain (loss) | 1.32 | 2.12 | 2.35 | (1.21) | 1.89 | 0.63 | |||||
Total from investment operations | 1.33 | 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 | $ 15.69 | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | |||||
Total return (b) | 9.26% | 18.79% | 24.66% | (7.52)%(c) | 20.69% | 8.89% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,410,877 | $1,076,641 | $778,976 | $636,762 | $458,132 | $143,526 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.15% | 0.16% | 0.16% | 0.17% | 0.32% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | |||||
Net investment income (loss) | 0.20%(e) | 1.94% | 2.63% | 2.24% | 2.30% | 2.31% | |||||
Portfolio turnover rate | 9%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.58 | $ 12.72 | $10.77 | $12.29 | $10.36 | $ 9.64 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.58 | 0.29 | 0.33 | 0.20 | 0.15 | |||||
Net realized and unrealized gain (loss) | 1.44 | 1.87 | 2.45 | (1.31) | 2.02 | 0.75 | |||||
Total from investment operations | 1.44 | 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 | $ 16.02 | $ 14.58 | $12.72 | $10.77 | $12.29 | $10.36 | |||||
Total return (c) | 9.88% | 19.26% | 25.45% | (7.96)%(d) | 21.45% | 9.31% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $33,733 | $23,059 | $ 962 | $ 787 | $ 762 | $ 853 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.31%(f) | 0.21% | 0.21% | 0.20% | 0.21% | 0.59% | |||||
Net expenses (e) | 0.22%(f) | 0.10% | 0.09% | 0.08% | 0.06% | 0.06% | |||||
Net investment income (loss) | (0.06)%(f) | 4.27% | 2.34% | 2.68% | 1.73% | 1.46% | |||||
Portfolio turnover rate | 9%(g) | 18% | 32% | 11% | 5% | 17% |
(a) | Net investment income per share is calculated using the average shares method. |
(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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.96)%. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | $ 9.63 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.25 | 0.32 | 0.28 | 0.28 | 0.27 | |||||
Net realized and unrealized gain (loss) | 1.44 | 2.21 | 2.42 | (1.26) | 1.94 | 0.64 | |||||
Total from investment operations | 1.45 | 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 | $ 16.03 | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | |||||
Total return (b) | 9.95% | 19.28% | 25.49% | (7.94)%(c) | 21.45% | 9.31% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,171,821 | $847,354 | $587,488 | $465,425 | $300,444 | $76,304 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.16% | 0.17% | 0.19% | 0.21% | 0.57% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | |||||
Net investment income (loss) | 0.12%(e) | 1.93% | 2.62% | 2.29% | 2.39% | 2.62% | |||||
Portfolio turnover rate | 9%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.48 | $ 12.60 | $10.70 | $12.24 | $10.33 | $ 9.62 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.01) | 0.61 | 0.28 | 0.37 | 0.15 | 0.08 | |||||
Net realized and unrealized gain (loss) | 1.51 | 1.87 | 2.47 | (1.37) | 2.06 | 0.80 | |||||
Total from investment operations | 1.50 | 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 | $ 15.98 | $ 14.48 | $12.60 | $10.70 | $12.24 | $10.33 | |||||
Total return (b) | 10.36% | 19.67% | 25.76% | (8.14)% | 21.30% | 9.34% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $30,759 | $24,016 | $ 448 | $ 374 | $ 240 | $ 366 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.33%(d) | 0.24% | 0.25% | 0.25% | 0.25% | 0.97% | |||||
Net expenses (c) | 0.22%(d) | 0.10% | 0.09% | 0.08% | 0.06% | 0.12% | |||||
Net investment income (loss) | (0.11)%(d) | 4.48% | 2.32% | 3.05% | 1.34% | 0.76% | |||||
Portfolio turnover rate | 8%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | $ 9.61 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.25 | 0.34 | 0.28 | 0.27 | 0.26 | |||||
Net realized and unrealized gain (loss) | 1.50 | 2.24 | 2.42 | (1.28) | 1.94 | 0.63 | |||||
Total from investment operations | 1.51 | 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 | $ 16.00 | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | |||||
Total return (b) | 10.42% | 19.76% | 25.81% | (8.13)% | 21.42% | 9.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $830,596 | $587,556 | $380,668 | $300,431 | $212,217 | $48,016 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.16%(d) | 0.19% | 0.21% | 0.23% | 0.25% | 0.90% | |||||
Net expenses (c) | 0.05%(d) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | |||||
Net investment income (loss) | 0.07%(d) | 1.98% | 2.74% | 2.30% | 2.37% | 2.61% | |||||
Portfolio turnover rate | 8%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.72 | $12.68 | $10.70 | $12.25 | $10.32 | $ 9.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.01) | 0.63 | 0.33 | 0.31 | 0.11 | 0.16 | |||||
Net realized and unrealized gain (loss) | 1.53 | 1.86 | 2.41 | (1.29) | 2.11 | 0.73 | |||||
Total from investment operations | 1.52 | 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 | $ 16.24 | $14.72 | $12.68 | $10.70 | $12.25 | $10.32 | |||||
Total return (b) | 10.33% | 19.60% | 25.65% | (7.93)%(c) | 21.60% | 9.33% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,396 | $8,940 | $ 241 | $ 130 | $ 105 | $ 271 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.37%(e) | 0.32% | 0.30% | 0.40% | 0.52% | 2.09% | |||||
Net expenses (d) | 0.22%(e) | 0.09% | 0.05% | 0.07% | 0.06% | 0.04% | |||||
Net investment income (loss) | (0.10)%(e) | 4.61% | 2.69% | 2.53% | 0.95% | 1.58% | |||||
Portfolio turnover rate | 8%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | $ 9.59 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.26 | 0.35 | 0.30 | 0.31 | 0.26 | |||||
Net realized and unrealized gain (loss) | 1.52 | 2.23 | 2.39 | (1.28) | 1.90 | 0.63 | |||||
Total from investment operations | 1.53 | 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 | $ 16.23 | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | |||||
Total return (b) | 10.41% | 19.65% | 25.70% | (7.94)%(c) | 21.53% | 9.34% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $495,519 | $323,975 | $195,598 | $132,520 | $81,529 | $18,718 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.20%(e) | 0.27% | 0.30% | 0.40% | 0.51% | 2.09% | |||||
Net expenses (d) | 0.05%(e) | 0.04% | 0.05% | 0.07% | 0.07% | 0.05% | |||||
Net investment income (loss) | 0.07%(e) | 2.05% | 2.86% | 2.49% | 2.67% | 2.61% | |||||
Portfolio turnover rate | 8%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $14.69 | $12.53 | $10.28 | $ 11.91 | $10.09 | $ 9.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.01) | 0.59 | 0.29 | 0.30 | 0.15 | 0.15 | |||||
Net realized and unrealized gain (loss) | 1.53 | 1.87 | 2.37 | (1.27) | 2.01 | 0.71 | |||||
Total from investment operations | 1.52 | 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 | $16.21 | $14.69 | $12.53 | $10.28 | $ 11.91 | $10.09 | |||||
Total return (b) | 10.35% | 19.61% | 25.86% | (8.13)% | 21.45% | 9.09% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $5,185 | $3,458 | $ 163 | $ 121 | $ 103 | $ 170 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.47%(d) | 0.54% | 0.85% | 1.56% | 3.13% | 11.36% | |||||
Net expenses (c) | 0.20%(d) | 0.09% | 0.04% | 0.06% | 0.06% | 0.05% | |||||
Net investment income (loss) | (0.09)%(d) | 4.41% | 2.42% | 2.55% | 1.31% | 1.51% | |||||
Portfolio turnover rate | 7%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | $ 10.08 | $ 9.49 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.27 | 0.39 | 0.34 | 0.33 | 0.29 | |||||
Net realized and unrealized gain (loss) | 1.52 | 2.19 | 2.27 | (1.31) | 1.84 | 0.57 | |||||
Total from investment operations | 1.53 | 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 | $ 16.22 | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | $10.08 | |||||
Total return (b) | 10.42% | 19.63% | 25.87% | (8.13)% | 21.57% | 8.98% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $228,377 | $137,392 | $74,373 | $25,829 | $12,141 | $3,344 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.31%(d) | 0.49% | 0.84% | 1.56% | 3.07% | 11.36% | |||||
Net expenses (c) | 0.05%(d) | 0.04% | 0.04% | 0.06% | 0.07% | 0.06% | |||||
Net investment income (loss) | 0.07%(d) | 2.12% | 3.33% | 2.87% | 2.94% | 2.91% | |||||
Portfolio turnover rate | 7%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class I | |||
Six Months Ended 6/30/21 (Unaudited) | For the Period 3/30/20*- 12/31/20 | ||
Net asset value, beginning of period | $13.69 | $10.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | (0.01) | 0.19 | |
Net realized and unrealized gain (loss) | 1.43 | 4.13 | |
Total from investment operations | 1.42 | 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 | $ 15.11 | $13.69 | |
Total return (b) | 10.37% | 43.15% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 160 | $ 137 | |
Ratios to Average Net Assets: | |||
Total expenses (c) | 3.13%(d) | 12.01%(d) | |
Net expenses (c) | 0.24%(d) | 0.22%(d) | |
Net investment income (loss) | (0.12)%(d) | 2.08%(d) | |
Portfolio turnover rate | 16%(e) | 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 | |||
Six Months Ended 6/30/21 (Unaudited) | For the Period 3/30/20*- 12/31/20 | ||
Net asset value, beginning of period | $ 13.69 | $10.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.01 | 0.45 | |
Net realized and unrealized gain (loss) | 1.43 | 3.88 | |
Total from investment operations | 1.44 | 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 | $ 15.13 | $13.69 | |
Total return (b) | 10.52% | 43.34% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $20,643 | $3,557 | |
Ratios to Average Net Assets: | |||
Total expenses (c) | 2.93%(d) | 11.81%(d) | |
Net expenses (c) | 0.03%(d) | 0.02%(d) | |
Net investment income (loss) | 0.07%(d) | 4.70%(d) | |
Portfolio turnover rate | 16%(e) | 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 | $207,495,071 | $128,507,325 | |
State Street Target Retirement 2020 Fund | 172,535,706 | 122,194,890 | |
State Street Target Retirement 2025 Fund | 388,403,877 | 172,441,454 | |
State Street Target Retirement 2030 Fund | 486,540,932 | 187,928,233 | |
State Street Target Retirement 2035 Fund | 391,776,014 | 143,344,931 | |
State Street Target Retirement 2040 Fund | 358,412,376 | 123,796,639 | |
State Street Target Retirement 2045 Fund | 328,394,571 | 94,809,551 | |
State Street Target Retirement 2050 Fund | 237,766,646 | 62,513,709 | |
State Street Target Retirement 2055 Fund | 166,068,799 | 33,844,139 | |
State Street Target Retirement 2060 Fund | 86,555,133 | 12,892,599 | |
State Street Target Retirement 2065 Fund | 17,646,879 | 1,601,164 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 578,745,837 | $ 60,035,010 | $ — | $ 60,035,010 | |||
State Street Target Retirement 2020 Fund | 843,497,853 | 123,050,340 | 130,960 | 122,919,380 | |||
State Street Target Retirement 2025 Fund | 1,393,196,803 | 224,822,588 | 2,234,653 | 222,587,935 | |||
State Street Target Retirement 2030 Fund | 1,630,196,498 | 300,383,270 | 5,621,019 | 294,762,251 | |||
State Street Target Retirement 2035 Fund | 1,353,054,891 | 288,501,594 | 4,959,169 | 283,542,425 | |||
State Street Target Retirement 2040 Fund | 1,205,053,113 | 281,739,152 | 5,245,935 | 276,493,217 | |||
State Street Target Retirement 2045 Fund | 973,154,949 | 236,530,261 | 3,919,076 | 232,611,185 | |||
State Street Target Retirement 2050 Fund | 704,674,685 | 170,619,962 | 2,761,690 | 167,858,272 | |||
State Street Target Retirement 2055 Fund | 424,790,167 | 92,972,128 | 1,423,832 | 91,548,296 | |||
State Street Target Retirement 2060 Fund | 195,237,992 | 38,905,418 | 810,368 | 38,095,050 | |||
State Street Target Retirement 2065 Fund | 19,424,299 | 1,380,144 | — | 1,380,144 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 41,992,586 | $ 20,650,526 | $ 22,221,571 | $ 42,872,097 | ||||
State Street Target Retirement 2020 Fund | 9,485,656 | 4,430,844 | 5,252,709 | 9,683,553 | ||||
State Street Target Retirement 2025 Fund | 30,152,857 | 16,209,723 | 14,566,724 | 30,776,447 | ||||
State Street Target Retirement 2030 Fund | 69,432,158 | 69,307,608 | 1,596,906 | 70,904,514 | ||||
State Street Target Retirement 2035 Fund | 4,383,386 | 4,439,831 | 35,134 | 4,474,965 | ||||
State Street Target Retirement 2040 Fund | 3,046,329 | 3,097,962 | — | 3,097,962 | ||||
State Street Target Retirement 2050 Fund | 10,951,749 | 11,236,829 | — | 11,236,829 | ||||
State Street Target Retirement 2055 Fund | 8,407,305 | 8,633,196 | — | 8,633,196 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
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 | $20,650,526 | $— | $— | $— | $20,650,526 | $20,650,526 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 4,430,844 | — | — | — | 4,430,844 | 4,430,844 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 16,209,723 | — | — | — | 16,209,723 | 16,209,723 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 69,307,608 | — | — | — | 69,307,608 | 69,307,608 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 4,439,831 | — | — | — | 4,439,831 | 4,439,831 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 3,097,962 | — | — | — | 3,097,962 | 3,097,962 | |||||||
State Street Target Retirement 2050 Fund | Mutual Funds and Exchange Traded Products | 11,236,829 | — | — | — | 11,236,829 | 11,236,829 | |||||||
State Street Target Retirement 2055 Fund | Mutual Funds and Exchange Traded Products | 8,633,196 | — | — | — | 8,633,196 | 8,633,196 |
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 |
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 | 0.16% | $1,048.40 | $ 0.81 | $1,024.00 | $ 0.80 | ||||
Class K | (0.03) | 1,049.30 | (0.15) | 1,024.90 | (0.15) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.17 | 1,060.60 | 0.87 | 1,024.00 | 0.85 | ||||
Class K | (0.02) | 1,061.30 | (0.10) | 1,024.90 | (0.10) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.17 | 1,070.40 | 0.87 | 1,024.00 | 0.85 | ||||
Class K | 0.00(c) | 1,071.00 | 0.00(c) | 1,024.80 | 0.00(c) | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.19 | 1,075.90 | 0.98 | 1,023.90 | 0.95 | ||||
Class K | 0.03 | 1,076.50 | 0.15 | 1,024.60 | 0.15 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.21 | 1,083.30 | 1.08 | 1,023.80 | 1.05 | ||||
Class K | 0.04 | 1,084.40 | 0.21 | 1,024.60 | 0.20 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class I | 0.22 | 1,092.00 | 1.14 | 1,023.70 | 1.10 | ||||
Class K | 0.05 | 1,092.60 | 0.26 | 1,024.50 | 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 | 0.22% | $1,098.80 | $ 1.14 | $1,023.70 | $ 1.10 | ||||
Class K | 0.05 | 1,099.50 | 0.26 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.22 | 1,103.60 | 1.15 | 1,023.70 | 1.10 | ||||
Class K | 0.05 | 1,104.20 | 0.26 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.22 | 1,103.30 | 1.15 | 1,023.70 | 1.10 | ||||
Class K | 0.05 | 1,104.10 | 0.26 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.20 | 1,103.50 | 1.04 | 1,023.80 | 1.00 | ||||
Class K | 0.05 | 1,104.20 | 0.26 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2065 Fund | |||||||||
Class I | 0.24 | 1,103.70 | 1.25 | 1,023.60 | 1.20 | ||||
Class K | 0.03 | 1,105.20 | 0.16 | 1,024.60 | 0.15 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
(c) | Amount is less than $0.005 per share. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street China Equity Select Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
14 |
% of Net Assets | |||
Common Stocks | 95.8% | ||
Short-Term Investment | 3.7 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Consumer Discretionary | 38.0% | ||
Communication Services | 23.2 | ||
Financials | 12.8 | ||
Health Care | 8.6 | ||
Consumer Staples | 7.0 | ||
TOTAL | 89.6% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 95.8% | ||||||
AUTOMOBILES — 4.1% | ||||||
NIO, Inc. ADR (a) | 5,100 | $ 271,320 | ||||
XPeng, Inc. ADR (a) | 1,700 | 75,514 | ||||
346,834 | ||||||
BANKS — 7.0% | ||||||
China Construction Bank Corp. Class H | 371,000 | 291,895 | ||||
China Merchants Bank Co., Ltd. Class H | 35,100 | 299,436 | ||||
591,331 | ||||||
BEVERAGES — 6.1% | ||||||
Kweichow Moutai Co., Ltd. Class A | 800 | 254,666 | ||||
Wuliangye Yibin Co., Ltd. Class A (a) | 5,600 | 258,199 | ||||
512,865 | ||||||
BIOTECHNOLOGY — 2.1% | ||||||
BeiGene, Ltd. ADR (a) | 270 | 92,661 | ||||
Innovent Biologics, Inc. (a) (b) | 7,000 | 81,620 | ||||
174,281 | ||||||
CAPITAL MARKETS — 2.0% | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 2,800 | 166,864 | ||||
DIVERSIFIED CONSUMER SERVICES — 1.1% | ||||||
Gaotu Techedu, Inc. ADR (a) | 1,900 | 28,063 | ||||
TAL Education Group ADR (a) | 2,642 | 66,658 | ||||
94,721 | ||||||
ENTERTAINMENT — 5.1% | ||||||
NetEase, Inc. ADR | 3,000 | 345,750 | ||||
NetEase, Inc. | 3,700 | 83,807 | ||||
429,557 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0% | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 1,100 | 81,732 | ||||
HOUSEHOLD DURABLES — 3.0% | ||||||
Gree Electric Appliances, Inc. of Zhuhai Class A | 11,300 | 91,123 | ||||
Midea Group Co., Ltd. Class A | 15,100 | 166,802 | ||||
257,925 | ||||||
HOUSEHOLD PRODUCTS — 0.9% | ||||||
Blue Moon Group Holdings, Ltd. (b) | 56,400 | 79,743 | ||||
INSURANCE — 3.9% | ||||||
AIA Group, Ltd. | 10,800 | 134,203 | ||||
Ping An Insurance Group Co. of China, Ltd. Class H | 19,600 | 191,940 | ||||
326,143 | ||||||
INTERACTIVE MEDIA & SERVICES — 18.1% | ||||||
Baidu, Inc. ADR (a) | 950 | 193,705 | ||||
Tencent Holdings, Ltd. | 17,700 | 1,331,058 | ||||
1,524,763 |
Security Description | Shares | Value | ||||
INTERNET & DIRECT MARKETING RETAIL — 24.4% | ||||||
Alibaba Group Holding, Ltd. ADR (a) | 683 | $ 154,891 | ||||
Alibaba Group Holding, Ltd. (a) | 32,000 | 906,533 | ||||
JD.com, Inc. ADR (a) | 7,277 | 580,777 | ||||
Meituan Class B (a) (b) | 10,200 | 420,827 | ||||
2,063,028 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 4.5% | ||||||
Pharmaron Beijing Co., Ltd. Class H (b) | 3,100 | 82,631 | ||||
WuXi AppTec Co., Ltd. Class H (b) | 3,952 | 92,263 | ||||
Wuxi Biologics Cayman, Inc. (a) (b) | 11,000 | 201,562 | ||||
376,456 | ||||||
PHARMACEUTICALS — 1.1% | ||||||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 8,640 | 90,895 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.0% | ||||||
Longfor Group Holdings, Ltd. (b) | 30,000 | 168,043 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.8% | ||||||
SG Micro Corp. Class A | 1,800 | 70,411 | ||||
SOFTWARE — 1.3% | ||||||
Venustech Group, Inc. Class A | 24,600 | 110,457 | ||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.0% | ||||||
Xiaomi Corp. Class B (a) (b) | 48,800 | 169,666 | ||||
TEXTILES, APPAREL & LUXURY GOODS — 5.3% | ||||||
ANTA Sports Products, Ltd. | 16,000 | 376,623 | ||||
Shenzhou International Group Holdings, Ltd. | 2,800 | 70,705 | ||||
447,328 | ||||||
TOTAL COMMON STOCKS (Cost $5,362,649) | 8,083,043 | |||||
SHORT-TERM INVESTMENT — 3.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $313,223) | 313,223 | 313,223 | ||||
TOTAL INVESTMENTS — 99.5% (Cost $5,675,872) | 8,396,266 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 44,684 | |||||
NET ASSETS — 100.0% | $ 8,440,950 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 15.4% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
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 | $8,083,043 | $— | $— | $8,083,043 | ||||
Short-Term Investment | 313,223 | — | — | 313,223 | ||||
TOTAL INVESTMENTS | $8,396,266 | $— | $— | $8,396,266 |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $1,106,535 | $793,312 | $— | $— | 313,223 | $313,223 | $42 |
ASSETS | |
Investments in unaffiliated issuers, at value | $8,083,043 |
Investments in affiliated issuers, at value | 313,223 |
Total Investments | 8,396,266 |
Foreign currency, at value | 85,739 |
Dividends receivable — unaffiliated issuers | 5,283 |
Dividends receivable — affiliated issuers | 7 |
Receivable from Adviser | 10,027 |
TOTAL ASSETS | 8,497,322 |
LIABILITIES | |
Advisory fee payable | 6,131 |
Custodian fees payable | 12,949 |
Administration fees payable | 341 |
Trustees’ fees and expenses payable | 26 |
Transfer agent fees payable | 15 |
Registration and filing fees payable | 290 |
Professional fees payable | 19,552 |
Printing and postage fees payable | 16,920 |
Accrued expenses and other liabilities | 148 |
TOTAL LIABILITIES | 56,372 |
NET ASSETS | $8,440,950 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $5,001,374 |
Total distributable earnings (loss) | 3,439,576 |
NET ASSETS | $8,440,950 |
Class K | |
Net Assets | $8,440,950 |
Shares Outstanding | 500,100 |
Net asset value, offering and redemption price per share | $ 16.88 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $5,362,649 |
Investments in affiliated issuers | 313,223 |
Total cost of investments | $5,675,872 |
Foreign currency, at cost | $ 86,095 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 26,536 |
Dividend income — affiliated issuers | 42 |
Foreign taxes withheld | (1,209) |
TOTAL INVESTMENT INCOME (LOSS) | 25,369 |
EXPENSES | |
Advisory fee | 38,186 |
Administration fees | 2,121 |
Custodian fees | 26,391 |
Trustees’ fees and expenses | 10,566 |
Transfer agent fees | 558 |
Registration and filing fees | 2,257 |
Professional fees and expenses | 17,937 |
Printing and postage fees | 3,848 |
Insurance expense | 11 |
Miscellaneous expenses | 579 |
TOTAL EXPENSES | 102,454 |
Expenses waived/reimbursed by the Adviser | (64,268) |
NET EXPENSES | 38,186 |
NET INVESTMENT INCOME (LOSS) | $ (12,817) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 494,721 |
Foreign currency transactions | 2,194 |
Net realized gain (loss) | 496,915 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (77,053) |
Foreign currency translations | (1,323) |
Net change in unrealized appreciation/depreciation | (78,376) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 418,539 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $405,722 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (12,817) | $ 12,503 | |
Net realized gain (loss) | 496,915 | 989,674 | |
Net change in unrealized appreciation/depreciation | (78,376) | 1,901,451 | |
Net increase (decrease) in net assets resulting from operations | 405,722 | 2,903,628 | |
Distributions to shareholders | — | (765,600) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 1,647 | — | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,647 | — | |
Net increase (decrease) in net assets during the period | 407,369 | 2,138,028 | |
Net assets at beginning of period | 8,033,581 | 5,895,553 | |
NET ASSETS AT END OF PERIOD | $8,440,950 | $8,033,581 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 100 | — | |
Net increase (decrease) from share transactions | 100 | — |
Class K | |||||
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | For the Period 5/30/19*- 12/31/19 | |||
Net asset value, beginning of period | $16.07 | $ 11.79 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | (0.03) | 0.03 | 0.09 | ||
Net realized and unrealized gain (loss) | 0.84 | 5.78 | 1.78 | ||
Total from investment operations | 0.81 | 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 | $16.88 | $16.07 | $ 11.79 | ||
Total return (b) | 5.04% | 49.76% | 18.71% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $8,441 | $8,034 | $5,896 | ||
Ratios to average net assets: | |||||
Total expenses | 2.41%(c) | 3.13% | 5.35%(c) | ||
Net expenses | 0.90%(c) | 0.90% | 0.90%(c) | ||
Net investment income (loss) | (0.30)%(c) | 0.18% | 1.32%(c) | ||
Portfolio turnover rate | 13%(d) | 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 period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street China Equity Select Fund | Class K | May 30, 2019 | Non-Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street China Equity Select Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street China Equity Select Fund | $1,020,459 | $1,255,549 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $5,676,594 | $2,919,455 | $199,783 | $2,719,672 |
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% | $1,050.40 | $4.58 | $1,020.30 | $4.51 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
18 |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 94.9% | ||
Short-Term Investment | 2.3 | ||
Other Assets in Excess of Liabilities | 2.8 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 94.9% | ||||||
UNITED STATES — 94.9% | ||||||
State Street International Developed Equity Portfolio, (a) (Cost: $2,929,239,750) | $ 3,948,326,027 | |||||
SHORT-TERM INVESTMENT — 2.3% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.05% (b)(c) (Cost $95,287,599) | 95,261,352 | 95,289,930 | ||||
TOTAL INVESTMENTS — 97.2% (Cost $3,024,527,349) | 4,043,615,957 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.8% | 115,688,114 | |||||
NET ASSETS — 100.0% | $ 4,159,304,071 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2021. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank of Montreal | USD 298,497,186 | GBP 216,075,273 | 07/02/2021 | $ 35 | ||||
Bank of Montreal | USD 472,830,010 | JPY 52,479,402,805 | 07/02/2021 | — | ||||
Bank of Montreal | GBP 208,678,774 | USD 296,646,685 | 07/02/2021 | 8,367,359 | ||||
Bank of Montreal | EUR 556,896,657 | USD 681,278,412 | 07/02/2021 | 20,854,337 | ||||
Bank of Montreal | CHF 904,000 | USD 1,009,345 | 07/02/2021 | 31,360 | ||||
Bank of Montreal | GBP 1,447,000 | USD 2,041,103 | 07/02/2021 | 42,144 | ||||
Bank of Montreal | CHF 1,198,000 | USD 1,333,272 | 07/02/2021 | 37,227 | ||||
Bank of Montreal | GBP 7,888,000 | USD 10,897,509 | 08/03/2021 | (335) | ||||
Bank of Montreal | EUR 32,872,000 | USD 39,007,230 | 08/03/2021 | (1,440) | ||||
Bank of Montreal | JPY 52,479,402,805 | USD 472,951,028 | 08/03/2021 | (3,671) | ||||
Bank of Montreal | GBP 216,075,273 | USD 298,521,602 | 08/03/2021 | (2,036) | ||||
Barclays Capital | USD 1,979,402 | GBP 1,416,000 | 07/02/2021 | (23,269) | ||||
BNP Paribas S.A. | USD 1,277,372 | CHF 1,172,000 | 07/02/2021 | (9,454) | ||||
BNP Paribas S.A. | USD 3,102,641 | JPY 344,070,000 | 07/02/2021 | (2,632) | ||||
Citibank N.A. | USD 681,634,160 | EUR 574,782,157 | 07/02/2021 | 340 | ||||
Citibank N.A. | USD 512,477 | SEK 4,349,000 | 07/02/2021 | (3,949) | ||||
Citibank N.A. | JPY 52,508,019,805 | USD 480,086,492 | 07/02/2021 | 6,998,648 | ||||
Citibank N.A. | EUR 574,782,157 | USD 682,070,995 | 08/03/2021 | (13,682) | ||||
Citibank N.A. | CHF 24,131,000 | USD 26,127,188 | 08/03/2021 | (873) | ||||
Goldman Sachs Capital Markets L.P. | HKD 3,454,000 | USD 445,061 | 07/02/2021 | 293 | ||||
HSBC Bank USA | USD 4,501,797 | EUR 3,768,000 | 07/02/2021 | (33,324) | ||||
HSBC Bank USA | USD 298,497,187 | GBP 216,075,274 | 07/02/2021 | 35 | ||||
HSBC Bank USA | USD 472,830,010 | JPY 52,479,402,805 | 07/02/2021 | — | ||||
HSBC Bank USA | JPY 52,479,402,805 | USD 472,949,323 | 08/03/2021 | (5,376) | ||||
HSBC Bank USA | GBP 216,075,274 | USD 298,520,955 | 08/03/2021 | (2,684) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
JP Morgan Chase Bank, N.A. | NOK 7,806,000 | USD 938,265 | 07/02/2021 | $ 31,140 | ||||
JP Morgan Chase Bank, N.A. | CHF 18,449,000 | USD 20,528,838 | 07/02/2021 | 569,948 | ||||
JP Morgan Chase Bank, N.A. | GBP 13,670,000 | USD 19,432,069 | 07/02/2021 | 547,645 | ||||
JP Morgan Chase Bank, N.A. | EUR 32,783,000 | USD 40,104,001 | 07/02/2021 | 1,226,622 | ||||
JP Morgan Chase Bank, N.A. | DKK 21,777,000 | USD 3,581,219 | 07/02/2021 | 108,318 | ||||
JP Morgan Chase Bank, N.A. | SEK 85,842,000 | USD 10,353,659 | 07/02/2021 | 316,183 | ||||
JP Morgan Chase Bank, N.A. | ILS 4,117,000 | USD 1,267,454 | 07/02/2021 | 3,989 | ||||
Morgan Stanley Bank, N.A. | USD 435,406 | HKD 3,381,000 | 07/02/2021 | (38) | ||||
Morgan Stanley Bank, N.A. | EUR 3,849,000 | USD 4,658,954 | 07/02/2021 | 94,422 | ||||
Royal Bank of Canada | GBP 208,678,773 | USD 296,642,510 | 07/02/2021 | 8,363,185 | ||||
Royal Bank of Canada | EUR 556,896,657 | USD 681,262,818 | 07/02/2021 | 20,838,744 | ||||
Royal Bank of Canada | AUD 1,304,000 | USD 1,003,895 | 07/02/2021 | 24,917 | ||||
Royal Bank of Canada | USD 3,292,681 | HKD 25,569,000 | 08/03/2021 | 7 | ||||
Royal Bank of Canada | AUD 15,268,000 | USD 11,463,459 | 08/03/2021 | (827) | ||||
Royal Bank of Canada | JPY 3,846,587,000 | USD 34,662,439 | 08/03/2021 | (3,760) | ||||
Royal Bank of Canada | NZD 832,000 | USD 581,337 | 08/03/2021 | 12 | ||||
Standard Chartered Bank | AUD 984,000 | USD 761,315 | 07/02/2021 | 22,577 | ||||
Toronto Dominion Bank | USD 681,634,160 | EUR 574,782,157 | 07/02/2021 | 340 | ||||
Toronto Dominion Bank | JPY 52,508,019,805 | USD 480,080,347 | 07/02/2021 | 6,992,503 | ||||
Toronto Dominion Bank | EUR 2,907,000 | USD 3,542,058 | 07/02/2021 | 94,645 | ||||
Toronto Dominion Bank | EUR 574,782,157 | USD 682,071,569 | 08/03/2021 | (13,107) | ||||
UBS AG | USD 967,943 | AUD 1,276,000 | 07/02/2021 | (9,986) | ||||
UBS AG | GBP 1,092,000 | USD 1,541,787 | 07/02/2021 | 33,244 | ||||
UBS AG | JPY 265,431,000 | USD 2,421,924 | 07/02/2021 | 30,438 | ||||
UBS AG | JPY 351,463,000 | USD 3,203,824 | 07/02/2021 | 37,205 | ||||
UBS AG | SEK 4,443,000 | USD 533,455 | 07/02/2021 | 13,937 | ||||
Westpac Banking Corp. | USD 292,398,394 | AUD 389,475,050 | 07/02/2021 | 73 | ||||
Westpac Banking Corp. | USD 387,067,205 | CHF 357,785,571 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 101,517,182 | DKK 636,568,566 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 132,507,418 | HKD 1,029,038,035 | 07/02/2021 | 683 | ||||
Westpac Banking Corp. | USD 14,042,711 | ILS 45,758,174 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 3,017,933 | JPY 330,058,000 | 07/02/2021 | (44,169) | ||||
Westpac Banking Corp. | USD 25,634,560 | NOK 220,590,520 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 634,046 | NZD 871,000 | 07/02/2021 | (25,435) | ||||
Westpac Banking Corp. | USD 9,508,996 | NZD 13,608,581 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 154,764,069 | SEK 1,323,565,531 | 07/02/2021 | — | ||||
Westpac Banking Corp. | USD 43,354,634 | SGD 58,277,299 | 07/02/2021 | — | ||||
Westpac Banking Corp. | ILS 41,641,174 | USD 12,820,164 | 07/02/2021 | 40,918 | ||||
Westpac Banking Corp. | NZD 14,479,581 | USD 10,540,266 | 07/02/2021 | 422,659 | ||||
Westpac Banking Corp. | CHF 338,406,571 | USD 376,563,779 | 07/02/2021 | 10,461,576 | ||||
Westpac Banking Corp. | SEK 1,237,629,531 | USD 149,282,858 | 07/02/2021 | 4,567,256 | ||||
Westpac Banking Corp. | HKD 999,397,035 | USD 128,772,181 | 07/02/2021 | 80,919 | ||||
Westpac Banking Corp. | HKD 29,568,000 | USD 3,809,738 | 07/02/2021 | 2,299 | ||||
Westpac Banking Corp. | AUD 373,293,050 | USD 288,982,948 | 07/02/2021 | 8,733,121 | ||||
Westpac Banking Corp. | NOK 212,784,520 | USD 25,578,106 | 07/02/2021 | 850,671 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Westpac Banking Corp. | AUD 15,170,000 | USD 11,743,491 | 07/02/2021 | $ 354,611 | ||||
Westpac Banking Corp. | SGD 58,277,299 | USD 44,113,610 | 07/02/2021 | 758,976 | ||||
Westpac Banking Corp. | DKK 614,791,566 | USD 101,108,303 | 07/02/2021 | 3,064,022 | ||||
Westpac Banking Corp. | NOK 9,125,000 | USD 1,060,639 | 08/03/2021 | 63 | ||||
Westpac Banking Corp. | DKK 41,131,000 | USD 6,562,669 | 08/03/2021 | (658) | ||||
Westpac Banking Corp. | SEK 25,372,000 | USD 2,967,791 | 08/03/2021 | 165 | ||||
Westpac Banking Corp. | ILS 45,758,174 | USD 14,045,987 | 08/03/2021 | (477) | ||||
Westpac Banking Corp. | AUD 389,475,050 | USD 292,441,236 | 08/03/2021 | (3,968) | ||||
Westpac Banking Corp. | CHF 357,785,571 | USD 387,389,908 | 08/03/2021 | (5,683) | ||||
Westpac Banking Corp. | DKK 636,568,566 | USD 101,575,498 | 08/03/2021 | (2,572) | ||||
Westpac Banking Corp. | NOK 220,590,520 | USD 25,638,255 | 08/03/2021 | (418) | ||||
Westpac Banking Corp. | HKD 1,029,038,035 | USD 132,513,646 | 08/03/2021 | (2,325) | ||||
Westpac Banking Corp. | NZD 13,608,581 | USD 9,508,247 | 08/03/2021 | (169) | ||||
Westpac Banking Corp. | SGD 58,277,299 | USD 43,350,958 | 08/03/2021 | (337) | ||||
Westpac Banking Corp. | SEK 1,323,565,531 | USD 154,806,607 | 08/03/2021 | (3,703) | ||||
Total | $104,799,454 | |||||||
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) | 1,798 | 09/17/2021 | $209,633,138 | $207,138,590 | $(2,494,548) |
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 | $3,948,326,027 | $— | $— | $3,948,326,027 | ||||
Short-Term Investment | 95,289,930 | — | — | 95,289,930 | ||||
TOTAL INVESTMENTS | $4,043,615,957 | $— | $— | $4,043,615,957 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | 105,019,811 | — | — | 105,019,811 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ 105,019,811 | $— | $— | $ 105,019,811 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,148,635,768 | $— | $— | $4,148,635,768 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | (220,357) | — | — | (220,357) | ||||
Futures Contracts | (2,494,548) | — | — | (2,494,548) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ (2,714,905) | $— | $— | $ (2,714,905) |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 115,888,798 | $115,911,975 | $210,505,505 | $231,124,021 | $8,212 | $(11,741) | 95,261,352 | $95,289,930 | $31,375 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,948,326,027 |
Investment in affiliated issuers, at value | 95,289,930 |
Total Investments | 4,043,615,957 |
Foreign currency, at value | 39,732 |
Net cash at broker | 7,984,066 |
Receivable for fund shares sold | 7,337,638 |
Unrealized appreciation on forward foreign currency exchange contracts | 105,019,811 |
Dividends receivable — affiliated issuers | 3,809 |
Receivable from Adviser | 172,908 |
Receivable for foreign taxes recoverable | 133,777 |
Prepaid expenses and other assets | 377,165 |
TOTAL ASSETS | 4,164,684,863 |
LIABILITIES | |
Payable for fund shares repurchased | 1,829,444 |
Payable to broker – accumulated variation margin on open futures contracts | 2,489,896 |
Unrealized depreciation on forward foreign currency exchange contracts | 220,357 |
Advisory fee payable | 480,029 |
Custodian fees payable | 34,633 |
Administration fees payable | 171,449 |
Transfer agent fees payable | 2,281 |
Registration and filing fees payable | 4,290 |
Professional fees payable | 19,896 |
Printing and postage fees payable | 15,627 |
Accrued expenses and other liabilities | 112,890 |
TOTAL LIABILITIES | 5,380,792 |
NET ASSETS | $4,159,304,071 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,289,808,561 |
Total distributable earnings (loss) | 869,495,510 |
NET ASSETS | $4,159,304,071 |
Class K | |
Net Assets | $4,159,304,071 |
Shares Outstanding | 35,119,562 |
Net asset value, offering and redemption price per share | $ 118.43 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $2,929,239,750 |
Investment in affiliated issuers | 95,287,599 |
Total cost of investments | $3,024,527,349 |
Foreign currency, at cost | $ 40,960 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $ 69,245,319 |
Dividend income — affiliated issuers | 31,375 |
Securities Lending income allocated from affiliated Portfolio | 171,603 |
Expenses allocated from affiliated Portfolio | (2,655,380) |
Foreign taxes withheld allocated from affiliated Portfolio | (6,044,776) |
TOTAL INVESTMENT INCOME (LOSS) | 60,748,141 |
EXPENSES | |
Advisory fee | 2,726,272 |
Administration fees | 973,669 |
Custodian fees | 98,714 |
Trustees’ fees and expenses | 10,500 |
Transfer agent fees | 12,945 |
Registration and filing fees | 58,782 |
Professional fees and expenses | 22,210 |
Printing and postage fees | 26,372 |
Insurance expense | 6,067 |
Miscellaneous expenses | 318,249 |
TOTAL EXPENSES | 4,253,780 |
Expenses waived/reimbursed by the Adviser | (3,014,486) |
NET EXPENSES | 1,239,294 |
NET INVESTMENT INCOME (LOSS) | $ 59,508,847 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 1,837,489 |
Foreign currency transactions allocated from affiliated Portfolio | (21,945) |
Futures contracts allocated from affiliated Portfolio | 13,246,070 |
Investments - affiliated issuers | 8,212 |
Forward foreign currency exchange contracts | (37,149,551) |
Foreign currency transactions | 4,410 |
Futures contracts | 15,322,548 |
Net realized gain (loss) | (6,752,767) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 248,940,247 |
Foreign currency transactions allocated from affiliated Portfolio | (861,361) |
Future contracts allocated from affiliated Portfolio | (4,351,760) |
Investments - affiliated issuers | (11,741) |
Forward foreign currency exchange contracts | 181,086,833 |
Foreign currency translations | (13,240) |
Futures contracts | (2,426,922) |
Net change in unrealized appreciation/depreciation | 422,362,056 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 415,609,289 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 475,118,136 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 59,508,847 | $ 77,153,536 | |
Net realized gain (loss) | (6,752,767) | (284,824,338) | |
Net change in unrealized appreciation/depreciation | 422,362,056 | 264,915,530 | |
Net increase (decrease) in net assets resulting from operations | 475,118,136 | 57,244,728 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (73,489,711) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 474,492,214 | 1,036,070,604 | |
Reinvestment of distributions | — | 72,834,788 | |
Cost of shares redeemed | (474,515,385) | (1,181,194,756) | |
Net increase (decrease) in net assets from beneficial interest transactions | (23,171) | (72,289,364) | |
Net increase (decrease) in net assets during the period | 475,094,965 | (88,534,347) | |
Net assets at beginning of period | 3,684,209,106 | 3,772,743,453 | |
NET ASSETS AT END OF PERIOD | $4,159,304,071 | $ 3,684,209,106 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 4,224,896 | 11,157,983 | |
Reinvestment of distributions | — | 688,289 | |
Shares redeemed | (4,242,749) | (12,869,024) | |
Net increase (decrease) from share transactions | (17,853) | (1,022,752) |
(a) | On April 17, 2020, the State Street Hedged International Developed Equity Index Fund underwent a 1-for-10 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 8. |
Class K | |||||||||||
Six Months Ended 6/30/21 (Unaudited) | 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 | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | $ 90.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (c) | 1.71 | 2.15 | 3.10 | 2.90 | 2.70 | 2.40 | |||||
Net realized and unrealized gain (loss) | 11.87 | 0.53 | 18.60 | (12.60) | 12.70 | 3.40 | |||||
Total from investment operations | 13.58 | 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 | $ 118.43 | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | |||||
Total return (d) | 12.96% | 2.45% | 24.82% | (9.25)% | 16.85% | 6.27% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,159,304 | $3,684,209 | $3,772,743 | $2,922,844 | $2,894,400 | $2,113,394 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.35%(e) | 0.36% | 0.36% | 0.36% | 0.35% | 0.34% | |||||
Net expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 3.06%(e) | 2.23% | 3.08% | 2.85% | 2.69% | 2.79% | |||||
Portfolio turnover rate (f) | 4%(g) | 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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding affiliated Portfolio. |
(g) | Not annualized. |
Fund | Classes | Commencement of Operations: | Diversification Classification |
State Street Hedged International Developed Equity Index Fund | Class K | May 29, 2015 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $105,019,811 | $— | $— | $— | $105,019,811 |
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 | $— | $220,357 | $— | $ — | $— | $ 220,357 | |||||
Futures Contracts | — | — | — | 2,489,896 | — | 2,489,896 |
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 | $— | $(37,149,551) | $— | $ — | $— | $(37,149,551) | |||||
Futures Contracts | — | — | — | 15,322,548 | — | 15,322,548 |
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 | $— | $181,086,833 | $— | $ — | $— | $181,086,833 | |||||
Futures Contracts | — | — | — | (2,426,922) | — | (2,426,922) |
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 Montreal | $ 29,332,462 | $ (7,482) | $— | $ 29,324,980 | ||||
Citibank N.A. | 6,998,988 | (18,504) | — | 6,980,484 | ||||
Goldman Sachs Capital Markets L.P. | 293 | — | — | 293 | ||||
HSBC Bank USA | 35 | (35) | — | — | ||||
JP Morgan Chase Bank, N.A. | 2,803,845 | — | — | 2,803,845 | ||||
Morgan Stanley Bank, N.A. | 94,422 | (38) | — | 94,384 | ||||
Royal Bank of Canada | 29,226,865 | (4,587) | — | 29,222,278 | ||||
Standard Chartered Bank | 22,577 | — | — | 22,577 | ||||
Toronto Dominion Bank | 7,087,488 | (13,107) | — | 7,074,381 | ||||
UBS AG | 114,824 | (9,986) | — | 104,838 | ||||
Westpac Banking Corp. | 29,338,012 | (89,914) | — | 29,248,098 | ||||
$105,019,811 | $(143,653) | $— | $104,876,158 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of Montreal | $ (7,482) | $ 7,482 | $— | $ — | ||||
Barclays Capital | (23,269) | — | — | (23,269) | ||||
BNP Paribas S.A. | (12,086) | — | — | (12,086) | ||||
Citibank N.A. | (18,504) | 18,504 | — | — | ||||
HSBC Bank USA | (41,384) | 35 | — | (41,349) | ||||
Morgan Stanley Bank, N.A. | (38) | 38 | — | — | ||||
Royal Bank of Canada | (4,587) | 4,587 | — | — | ||||
Toronto Dominion Bank | (13,107) | 13,107 | — | — | ||||
UBS AG | (9,986) | 9,986 | — | — | ||||
Westpac Banking Corp. | (89,914) | 89,914 | — | — | ||||
$(220,357) | $143,653 | $— | $(76,704) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,025,983,764 | $1,119,937,099 | $— | $1,119,937,099 |
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% | $1,129.60 | $1.06 | $1,023.80 | $1.00 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
2 | |
14 | |
15 | |
16 | |
17 | |
18 | |
25 |
Description | Market Value | % of Net Assets | ||
Nestle SA | 81,465,470 | 2.1% | ||
ASML Holding NV | 65,410,887 | 1.7 | ||
Roche Holding AG | 60,128,127 | 1.5 | ||
LVMH Moet Hennessy Louis Vuitton SE | 49,432,752 | 1.3 | ||
Novartis AG | 45,997,479 | 1.2 | ||
TOTAL | 302,434,715 | 7.8% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.5% | |||||
AUSTRALIA — 8.0% | |||||
Afterpay, Ltd. (a) | 50,626 | $ 4,491,344 | |||
AGL Energy, Ltd. | 138,573 | 853,076 | |||
Ampol, Ltd. | 51,429 | 1,089,197 | |||
APA Group Stapled Security | 266,666 | 1,781,776 | |||
Aristocrat Leisure, Ltd. (b) | 132,362 | 4,281,888 | |||
ASX, Ltd. | 43,582 | 2,542,609 | |||
Aurizon Holdings, Ltd. | 422,789 | 1,180,761 | |||
AusNet Services, Ltd. | 394,080 | 517,747 | |||
Australia & New Zealand Banking Group, Ltd. | 640,970 | 13,546,015 | |||
BHP Group PLC | 479,041 | 14,095,728 | |||
BHP Group, Ltd. | 667,718 | 24,347,627 | |||
BlueScope Steel, Ltd. | 107,733 | 1,776,137 | |||
Brambles, Ltd. | 344,056 | 2,954,953 | |||
Cochlear, Ltd. | 15,354 | 2,901,005 | |||
Coles Group, Ltd. | 306,786 | 3,936,163 | |||
Commonwealth Bank of Australia | 401,729 | 30,120,604 | |||
Computershare, Ltd. | 114,093 | 1,447,575 | |||
Crown Resorts, Ltd. (a) | 91,949 | 822,156 | |||
CSL, Ltd. | 103,589 | 22,179,073 | |||
Dexus REIT | 242,238 | 1,940,449 | |||
Domino's Pizza Enterprises, Ltd. | 13,471 | 1,218,760 | |||
Endeavour Group, Ltd. (a) | 286,777 | 1,354,224 | |||
Evolution Mining, Ltd. | 377,056 | 1,273,837 | |||
Fortescue Metals Group, Ltd. | 380,172 | 6,661,567 | |||
Glencore PLC | 2,279,646 | 9,745,253 | |||
Goodman Group REIT | 382,635 | 6,081,364 | |||
GPT Group REIT | 413,810 | 1,522,273 | |||
Insurance Australia Group, Ltd. | 548,279 | 2,123,962 | |||
LendLease Corp., Ltd. Stapled Security | 151,641 | 1,304,658 | |||
Macquarie Group, Ltd. | 78,533 | 9,222,904 | |||
Magellan Financial Group, Ltd. | 30,659 | 1,239,709 | |||
Medibank Pvt, Ltd. | 647,264 | 1,535,550 | |||
Mirvac Group REIT | 845,804 | 1,854,163 | |||
National Australia Bank, Ltd. | 749,371 | 14,751,121 | |||
Newcrest Mining, Ltd. | 187,615 | 3,560,738 | |||
Northern Star Resources, Ltd. | 248,376 | 1,823,660 | |||
Oil Search, Ltd. | 449,817 | 1,286,638 | |||
Orica, Ltd. | 92,163 | 918,862 | |||
Origin Energy, Ltd. | 392,018 | 1,327,327 | |||
Qantas Airways, Ltd. (a) | 205,549 | 719,112 | |||
QBE Insurance Group, Ltd. | 343,146 | 2,779,687 | |||
Ramsay Health Care, Ltd. | 42,271 | 1,997,716 | |||
REA Group, Ltd. | 11,311 | 1,435,358 | |||
Reece, Ltd. | 64,655 | 1,146,024 | |||
Rio Tinto PLC | 254,527 | 20,917,658 | |||
Rio Tinto, Ltd. | 84,231 | 8,008,263 | |||
Santos, Ltd. | 434,404 | 2,312,254 |
Security Description | Shares | Value | |||
Scentre Group REIT | 1,216,077 | $ 2,501,538 | |||
SEEK, Ltd. | 76,262 | 1,897,388 | |||
Sonic Healthcare, Ltd. | 101,699 | 2,931,861 | |||
South32, Ltd. | 1,131,824 | 2,489,671 | |||
Stockland REIT | 553,225 | 1,935,455 | |||
Suncorp Group, Ltd. | 284,230 | 2,370,715 | |||
Sydney Airport Stapled Security (a) | 302,380 | 1,314,399 | |||
Tabcorp Holdings, Ltd. | 481,417 | 1,872,176 | |||
Telstra Corp., Ltd. | 974,160 | 2,749,879 | |||
Transurban Group Stapled Security | 630,934 | 6,740,378 | |||
Treasury Wine Estates, Ltd. | 174,633 | 1,531,315 | |||
Vicinity Centres REIT | 796,496 | 923,863 | |||
Washington H Soul Pattinson & Co., Ltd. (b) | 29,041 | 735,400 | |||
Wesfarmers, Ltd. | 259,634 | 11,519,788 | |||
Westpac Banking Corp. | 833,306 | 16,146,856 | |||
WiseTech Global, Ltd. | 35,073 | 840,751 | |||
Woodside Petroleum, Ltd. | 216,810 | 3,615,125 | |||
Woolworths Group, Ltd. | 286,777 | 8,209,308 | |||
315,254,391 | |||||
AUSTRIA — 0.2% | |||||
Erste Group Bank AG | 65,346 | 2,397,660 | |||
OMV AG | 34,411 | 1,957,561 | |||
Raiffeisen Bank International AG | 34,387 | 778,889 | |||
Verbund AG | 15,343 | 1,412,863 | |||
Voestalpine AG | 26,238 | 1,068,512 | |||
7,615,485 | |||||
BELGIUM — 0.8% | |||||
Ageas SA/NV | 38,086 | 2,113,779 | |||
Anheuser-Busch InBev SA/NV | 173,208 | 12,490,828 | |||
Elia Group SA (b) | 6,832 | 721,084 | |||
Etablissements Franz Colruyt NV | 12,414 | 694,279 | |||
Groupe Bruxelles Lambert SA | 25,073 | 2,805,114 | |||
KBC Group NV | 56,404 | 4,300,997 | |||
Proximus SADP | 40,640 | 785,096 | |||
Sofina SA | 3,463 | 1,494,044 | |||
Solvay SA | 17,518 | 2,227,038 | |||
UCB SA | 27,486 | 2,873,634 | |||
Umicore SA | 46,251 | 2,824,728 | |||
33,330,621 | |||||
BRAZIL — 0.1% | |||||
Yara International ASA | 40,982 | 2,158,351 | |||
CHILE — 0.1% | |||||
Antofagasta PLC | 91,520 | 1,814,907 | |||
CHINA — 0.5% | |||||
BOC Hong Kong Holdings, Ltd. | 842,500 | 2,858,654 |
Security Description | Shares | Value | |||
Budweiser Brewing Co. APAC, Ltd. (b)(c) | 393,700 | $ 1,242,060 | |||
Chow Tai Fook Jewellery Group, Ltd. | 444,800 | 1,016,083 | |||
ESR Cayman, Ltd. (a)(c) | 442,400 | 1,492,545 | |||
Futu Holdings, Ltd. ADR (a) | 11,100 | 1,987,899 | |||
Prosus NV (a) | 110,777 | 10,834,126 | |||
Wilmar International, Ltd. | 440,800 | 1,475,673 | |||
20,907,040 | |||||
DENMARK — 2.5% | |||||
Ambu A/S Class B | 37,433 | 1,439,283 | |||
AP Moller - Maersk A/S Class A | 700 | 1,944,646 | |||
AP Moller - Maersk A/S Class B | 1,421 | 4,084,733 | |||
Carlsberg AS Class B | 22,912 | 4,271,416 | |||
Chr. Hansen Holding A/S | 24,085 | 2,173,990 | |||
Coloplast A/S Class B | 26,423 | 4,336,026 | |||
Danske Bank A/S | 161,421 | 2,840,709 | |||
Demant A/S (a) | 26,480 | 1,490,689 | |||
DSV Panalpina A/S | 47,052 | 10,974,085 | |||
Genmab A/S (a) | 15,033 | 6,151,722 | |||
GN Store Nord A/S | 28,479 | 2,487,947 | |||
Novo Nordisk A/S Class B | 392,095 | 32,853,053 | |||
Novozymes A/S Class B | 46,292 | 3,489,682 | |||
Orsted A/S (c) | 43,326 | 6,080,309 | |||
Pandora A/S | 22,173 | 2,980,893 | |||
ROCKWOOL International A/S Class B | 1,854 | 902,674 | |||
Tryg A/S | 80,083 | 1,966,140 | |||
Vestas Wind Systems A/S | 230,189 | 8,986,495 | |||
99,454,492 | |||||
FINLAND — 1.3% | |||||
Elisa Oyj | 33,812 | 2,017,715 | |||
Fortum Oyj | 104,227 | 2,875,002 | |||
Kesko Oyj Class B | 60,749 | 2,244,117 | |||
Kone Oyj Class B | 78,456 | 6,401,222 | |||
Neste Oyj | 96,626 | 5,917,367 | |||
Nokia Oyj (a) | 1,270,136 | 6,801,494 | |||
Nordea Bank Abp | 732,904 | 8,163,612 | |||
Orion Oyj Class B | 23,073 | 991,883 | |||
Sampo Oyj Class A | 110,927 | 5,098,816 | |||
Stora Enso Oyj Class R | 132,563 | 2,418,623 | |||
UPM-Kymmene Oyj | 122,973 | 4,652,097 | |||
Wartsila OYJ Abp | 105,287 | 1,562,622 | |||
49,144,570 | |||||
FRANCE — 10.4% | |||||
Accor SA (a) | 42,276 | 1,578,755 | |||
Adevinta ASA (a) | 60,938 | 1,168,453 | |||
Aeroports de Paris (a) | 6,603 | 860,181 | |||
Air Liquide SA | 107,257 | 18,781,782 | |||
Airbus SE (a) | 133,210 | 17,130,681 | |||
Alstom SA (a) | 61,921 | 3,127,475 | |||
Amundi SA (c) | 13,764 | 1,213,595 | |||
Arkema SA | 16,060 | 2,015,021 |
Security Description | Shares | Value | |||
Atos SE | 23,181 | $ 1,410,255 | |||
AXA SA | 435,994 | 11,057,019 | |||
BioMerieux | 8,992 | 1,045,035 | |||
BNP Paribas SA | 254,774 | 15,973,964 | |||
Bollore SA | 188,302 | 1,009,350 | |||
Bouygues SA | 50,447 | 1,865,946 | |||
Bureau Veritas SA (a) | 64,040 | 2,026,215 | |||
Capgemini SE | 36,552 | 7,022,220 | |||
Carrefour SA | 135,532 | 2,665,665 | |||
Cie de Saint-Gobain | 113,646 | 7,485,285 | |||
Cie Generale des Etablissements Michelin SCA | 38,584 | 6,154,288 | |||
CNP Assurances | 44,447 | 756,384 | |||
Covivio REIT | 11,839 | 1,012,556 | |||
Credit Agricole SA | 282,163 | 3,953,168 | |||
Danone SA | 148,388 | 10,447,542 | |||
Dassault Aviation SA | 605 | 711,730 | |||
Dassault Systemes SE | 30,008 | 7,277,440 | |||
Edenred | 54,766 | 3,120,705 | |||
Eiffage SA | 17,761 | 1,807,187 | |||
Electricite de France SA | 103,834 | 1,418,536 | |||
Engie SA | 415,211 | 5,689,178 | |||
EssilorLuxottica SA | 65,297 | 12,052,100 | |||
Eurazeo SE | 7,897 | 688,332 | |||
Faurecia SE (d) | 27,851 | 1,366,390 | |||
Faurecia SE (d) | 4,239 | 207,365 | |||
Gecina SA REIT | 9,903 | 1,517,321 | |||
Getlink SE | 95,283 | 1,485,900 | |||
Hermes International | 7,160 | 10,431,253 | |||
Iliad SA | 3,166 | 463,313 | |||
Ipsen SA | 9,549 | 993,356 | |||
Kering SA | 17,149 | 14,988,376 | |||
Klepierre SA REIT | 44,201 | 1,139,043 | |||
La Francaise des Jeux SAEM (c) | 21,241 | 1,248,906 | |||
Legrand SA | 60,701 | 6,425,412 | |||
L'Oreal SA | 57,324 | 25,547,096 | |||
LVMH Moet Hennessy Louis Vuitton SE | 63,033 | 49,432,752 | |||
Natixis SA | 221,885 | 1,052,534 | |||
Orange SA | 454,337 | 5,180,548 | |||
Orpea SA (a) | 12,027 | 1,529,688 | |||
Pernod Ricard SA | 47,662 | 10,580,992 | |||
Publicis Groupe SA | 51,474 | 3,292,662 | |||
Remy Cointreau SA | 4,727 | 975,961 | |||
Renault SA (a) | 41,712 | 1,686,058 | |||
Safran SA | 77,675 | 10,770,066 | |||
Sanofi | 257,769 | 27,010,628 | |||
Sartorius Stedim Biotech | 6,218 | 2,941,461 | |||
SCOR SE (a) | 33,341 | 1,060,439 | |||
SEB SA | 6,154 | 1,112,220 | |||
Societe Generale SA | 186,017 | 5,484,058 | |||
Sodexo SA (a) | 20,862 | 1,947,058 | |||
Suez SA | 75,713 | 1,800,251 | |||
Teleperformance | 13,084 | 5,311,237 |
Security Description | Shares | Value | |||
Thales SA | 23,415 | $ 2,389,147 | |||
TotalEnergies SE | 565,170 | 25,572,833 | |||
Ubisoft Entertainment SA (a) | 21,613 | 1,513,246 | |||
Unibail-Rodamco-Westfield REIT (a) | 30,212 | 2,615,117 | |||
Valeo SA | 53,270 | 1,602,697 | |||
Veolia Environnement SA | 120,108 | 3,627,849 | |||
Vinci SA | 120,799 | 12,891,572 | |||
Vivendi SE | 158,903 | 5,338,595 | |||
Wendel SE | 6,806 | 915,279 | |||
Worldline SA (a)(c) | 54,668 | 5,117,744 | |||
411,092,466 | |||||
GERMANY — 9.1% | |||||
adidas AG | 42,839 | 15,946,998 | |||
Allianz SE | 93,844 | 23,404,215 | |||
Aroundtown SA | 214,113 | 1,670,772 | |||
BASF SE | 208,073 | 16,394,329 | |||
Bayer AG | 222,880 | 13,535,496 | |||
Bayerische Motoren Werke AG | 76,032 | 8,052,761 | |||
Bayerische Motoren Werke AG Preference Shares | 12,415 | 1,116,000 | |||
Bechtle AG | 6,283 | 1,167,201 | |||
Beiersdorf AG | 22,225 | 2,681,788 | |||
Brenntag SE | 35,734 | 3,323,202 | |||
Carl Zeiss Meditec AG | 8,952 | 1,729,907 | |||
Commerzbank AG (a) | 228,232 | 1,619,091 | |||
Continental AG (a) | 25,377 | 3,731,128 | |||
Covestro AG (c) | 42,971 | 2,775,245 | |||
Daimler AG | 193,809 | 17,306,817 | |||
Deutsche Bank AG (a) | 459,685 | 5,988,916 | |||
Deutsche Boerse AG | 43,094 | 7,522,685 | |||
Deutsche Lufthansa AG (a)(b) | 64,206 | 722,587 | |||
Deutsche Post AG | 223,172 | 15,180,887 | |||
Deutsche Telekom AG | 755,484 | 15,958,286 | |||
Deutsche Wohnen SE | 78,496 | 4,801,502 | |||
E.ON SE | 510,151 | 5,901,057 | |||
Evonik Industries AG | 48,315 | 1,620,353 | |||
Fresenius Medical Care AG & Co. KGaA | 49,013 | 4,071,043 | |||
Fresenius SE & Co. KGaA | 96,890 | 5,055,109 | |||
Fuchs Petrolub SE Preference Shares | 15,262 | 742,430 | |||
GEA Group AG | 34,919 | 1,414,581 | |||
Hannover Rueck SE | 14,101 | 2,359,528 | |||
HeidelbergCement AG | 33,201 | 2,848,249 | |||
HelloFresh SE (a) | 36,737 | 3,571,576 | |||
Henkel AG & Co. KGaA Preference Shares | 41,512 | 4,383,360 | |||
Henkel AG & Co. KGaA | 23,494 | 2,163,449 | |||
Infineon Technologies AG | 294,565 | 11,814,165 | |||
Just Eat Takeaway.com NV (a)(c) | 41,927 | 3,871,794 | |||
KION Group AG | 17,206 | 1,833,966 | |||
Knorr-Bremse AG | 16,134 | 1,855,932 |
Security Description | Shares | Value | |||
LANXESS AG | 20,037 | $ 1,373,913 | |||
LEG Immobilien SE | 17,450 | 2,513,282 | |||
Merck KGaA | 29,082 | 5,576,768 | |||
MTU Aero Engines AG | 12,036 | 2,981,734 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 31,922 | 8,742,917 | |||
Nemetschek SE | 13,024 | 996,522 | |||
Porsche Automobil Holding SE Preference Shares | 34,064 | 3,650,229 | |||
Puma SE | 24,763 | 2,952,797 | |||
Rational AG | 1,178 | 1,067,301 | |||
RWE AG | 148,697 | 5,388,946 | |||
SAP SE | 237,370 | 33,453,130 | |||
Sartorius AG Preference Shares | 5,852 | 3,046,612 | |||
Scout24 AG (c) | 19,326 | 1,629,979 | |||
Siemens AG | 174,006 | 27,572,997 | |||
Siemens Energy AG (a) | 90,243 | 2,720,429 | |||
Siemens Healthineers AG (c) | 62,865 | 3,852,829 | |||
Symrise AG | 28,935 | 4,031,899 | |||
TeamViewer AG (a)(c) | 33,621 | 1,264,713 | |||
Telefonica Deutschland Holding AG | 255,715 | 674,737 | |||
Uniper SE | 20,430 | 752,520 | |||
United Internet AG | 23,175 | 947,622 | |||
Volkswagen AG | 7,600 | 2,494,755 | |||
Volkswagen AG Preference Shares | 42,170 | 10,561,991 | |||
Vonovia SE | 120,047 | 7,761,675 | |||
Zalando SE (a)(c) | 44,475 | 5,377,142 | |||
359,523,844 | |||||
HONG KONG — 2.6% | |||||
AIA Group, Ltd. | 2,749,400 | 34,164,592 | |||
Bank of East Asia, Ltd. | 339,039 | 629,544 | |||
CK Asset Holdings, Ltd. | 471,899 | 3,257,053 | |||
CK Infrastructure Holdings, Ltd. | 153,000 | 912,186 | |||
CLP Holdings, Ltd. | 365,500 | 3,614,595 | |||
Hang Lung Properties, Ltd. | 450,000 | 1,092,862 | |||
Hang Seng Bank, Ltd. | 170,100 | 3,397,247 | |||
Henderson Land Development Co., Ltd. | 323,436 | 1,532,665 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 586,990 | 594,862 | |||
HKT Trust & HKT, Ltd. Stapled Security | 919,000 | 1,252,023 | |||
Hong Kong & China Gas Co., Ltd. | 2,489,995 | 3,866,845 | |||
Hong Kong Exchanges & Clearing, Ltd. | 274,830 | 16,378,287 | |||
Hongkong Land Holdings, Ltd. | 254,100 | 1,209,516 | |||
Jardine Matheson Holdings, Ltd. | 47,100 | 3,010,632 | |||
Link REIT | 463,018 | 4,486,579 |
Security Description | Shares | Value | |||
Melco Resorts & Entertainment, Ltd. ADR (a) | 52,823 | $ 875,277 | |||
MTR Corp., Ltd. | 346,101 | 1,927,525 | |||
New World Development Co., Ltd. | 349,269 | 1,814,741 | |||
Power Assets Holdings, Ltd. | 316,000 | 1,938,925 | |||
Sino Land Co., Ltd. | 732,759 | 1,154,924 | |||
Sun Hung Kai Properties, Ltd. | 290,000 | 4,320,583 | |||
Swire Pacific, Ltd. Class A | 113,500 | 769,494 | |||
Swire Properties, Ltd. | 294,600 | 878,203 | |||
Techtronic Industries Co., Ltd. | 305,500 | 5,334,355 | |||
WH Group, Ltd. (c) | 2,056,809 | 1,848,674 | |||
Wharf Real Estate Investment Co., Ltd. | 371,000 | 2,156,963 | |||
Xinyi Glass Holdings, Ltd. | 418,000 | 1,703,574 | |||
104,122,726 | |||||
IRELAND — 0.7% | |||||
CRH PLC | 179,063 | 9,024,914 | |||
Flutter Entertainment PLC (a) | 38,303 | 6,936,176 | |||
Kerry Group PLC Class A | 36,348 | 5,077,782 | |||
Kingspan Group PLC | 34,336 | 3,242,868 | |||
Smurfit Kappa Group PLC | 56,403 | 3,060,142 | |||
27,341,882 | |||||
ISRAEL — 0.6% | |||||
Azrieli Group, Ltd. | 9,439 | 664,800 | |||
Bank Hapoalim BM (a) | 243,316 | 1,953,398 | |||
Bank Leumi Le-Israel BM (a) | 315,202 | 2,395,090 | |||
Check Point Software Technologies, Ltd. (a) | 25,910 | 3,008,928 | |||
Elbit Systems, Ltd. | 6,111 | 791,420 | |||
ICL Group, Ltd. | 162,743 | 1,104,265 | |||
Israel Discount Bank, Ltd. Class A (a) | 258,897 | 1,233,108 | |||
Mizrahi Tefahot Bank, Ltd. (a) | 33,833 | 1,042,453 | |||
Nice, Ltd. (a) | 14,292 | 3,492,187 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a)(b) | 166,228 | 1,645,657 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 71,135 | 708,403 | |||
Wix.com, Ltd. (a) | 12,700 | 3,686,556 | |||
21,726,265 | |||||
ITALY — 2.0% | |||||
Amplifon SpA | 28,656 | 1,415,059 | |||
Assicurazioni Generali SpA | 245,378 | 4,919,252 | |||
Atlantia SpA (a) | 109,746 | 1,987,358 | |||
Davide Campari-Milano NV | 126,872 | 1,699,418 | |||
DiaSorin SpA | 5,764 | 1,090,267 | |||
Enel SpA | 1,847,104 | 17,155,853 | |||
Eni SpA | 578,703 | 7,048,139 | |||
Ferrari NV | 28,263 | 5,831,977 | |||
FinecoBank Banca Fineco SpA (a) | 135,677 | 2,365,222 |
Security Description | Shares | Value | |||
Infrastrutture Wireless Italiane SpA (c) | 77,345 | $ 872,474 | |||
Intesa Sanpaolo SpA | 3,764,983 | 10,400,974 | |||
Mediobanca Banca di Credito Finanziario SpA (a) | 138,135 | 1,613,572 | |||
Moncler SpA | 43,096 | 2,916,198 | |||
Nexi SpA (a)(c) | 97,740 | 2,145,493 | |||
Poste Italiane SpA (c) | 121,311 | 1,604,070 | |||
Prysmian SpA | 60,742 | 2,177,587 | |||
Recordati Industria Chimica e Farmaceutica SpA | 22,652 | 1,294,798 | |||
Snam SpA | 474,615 | 2,743,875 | |||
Telecom Italia SpA (d) | 2,216,193 | 1,100,946 | |||
Telecom Italia SpA (d) | 1,340,681 | 710,374 | |||
Terna SPA | 315,092 | 2,348,128 | |||
UniCredit SpA | 488,693 | 5,766,436 | |||
79,207,470 | |||||
JAPAN — 22.6% | |||||
ABC-Mart, Inc. | 8,800 | 505,055 | |||
Acom Co., Ltd. | 91,400 | 398,573 | |||
Advantest Corp. | 45,000 | 4,058,474 | |||
Aeon Co., Ltd. | 148,900 | 4,004,563 | |||
AGC, Inc. (b) | 45,000 | 1,889,359 | |||
Aisin Corp. | 37,200 | 1,592,035 | |||
Ajinomoto Co., Inc. | 110,500 | 2,871,268 | |||
ANA Holdings, Inc. (a) | 39,200 | 922,519 | |||
Asahi Group Holdings, Ltd. (b) | 102,600 | 4,798,600 | |||
Asahi Intecc Co., Ltd. | 43,800 | 1,048,138 | |||
Asahi Kasei Corp. | 290,300 | 3,192,280 | |||
Astellas Pharma, Inc. | 425,900 | 7,423,223 | |||
Azbil Corp. | 28,400 | 1,178,322 | |||
Bandai Namco Holdings, Inc. | 45,400 | 3,152,926 | |||
Bridgestone Corp. (b) | 127,000 | 5,784,170 | |||
Brother Industries, Ltd. | 53,900 | 1,076,640 | |||
Canon, Inc. (b) | 226,200 | 5,121,548 | |||
Capcom Co., Ltd. | 40,600 | 1,188,846 | |||
Casio Computer Co., Ltd. | 41,000 | 685,981 | |||
Central Japan Railway Co. | 33,400 | 5,070,637 | |||
Chiba Bank, Ltd. | 135,500 | 816,736 | |||
Chubu Electric Power Co., Inc. | 153,000 | 1,872,007 | |||
Chugai Pharmaceutical Co., Ltd. | 151,700 | 6,016,609 | |||
Concordia Financial Group, Ltd. | 242,100 | 887,780 | |||
Cosmos Pharmaceutical Corp. (b) | 3,900 | 572,754 | |||
CyberAgent, Inc. | 88,800 | 1,908,172 | |||
Dai Nippon Printing Co., Ltd. | 58,500 | 1,238,098 | |||
Daifuku Co., Ltd. | 22,600 | 2,054,545 | |||
Dai-ichi Life Holdings, Inc. | 241,500 | 4,425,723 | |||
Daiichi Sankyo Co., Ltd. | 390,500 | 8,424,653 | |||
Daikin Industries, Ltd. | 56,600 | 10,550,987 | |||
Daito Trust Construction Co., Ltd. | 15,100 | 1,652,987 |
Security Description | Shares | Value | |||
Daiwa House Industry Co., Ltd. | 129,000 | $ 3,876,160 | |||
Daiwa House REIT Investment Corp. | 452 | 1,333,724 | |||
Daiwa Securities Group, Inc. | 327,300 | 1,799,133 | |||
Denso Corp. | 97,600 | 6,664,658 | |||
Dentsu Group, Inc. (b) | 47,400 | 1,697,585 | |||
Disco Corp. | 6,400 | 1,957,654 | |||
East Japan Railway Co. | 69,800 | 4,985,175 | |||
Eisai Co., Ltd. | 56,500 | 5,561,424 | |||
ENEOS HoldingS, Inc. | 701,100 | 2,936,673 | |||
FANUC Corp. | 43,600 | 10,525,831 | |||
Fast Retailing Co., Ltd. | 13,300 | 10,021,434 | |||
Fuji Electric Co., Ltd. | 30,600 | 1,430,886 | |||
FUJIFILM Holdings Corp. | 80,200 | 5,953,399 | |||
Fujitsu, Ltd. | 44,300 | 8,302,009 | |||
GLP J-Reit | 977 | 1,686,577 | |||
GMO Payment Gateway, Inc. | 9,000 | 1,173,349 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 862,078 | |||
Hamamatsu Photonics KK | 32,300 | 1,949,815 | |||
Hankyu Hanshin Holdings, Inc. | 50,400 | 1,555,275 | |||
Harmonic Drive Systems, Inc. | 8,900 | 490,747 | |||
Hikari Tsushin, Inc. | 4,800 | 843,752 | |||
Hino Motors, Ltd. | 63,000 | 554,563 | |||
Hirose Electric Co., Ltd. | 7,210 | 1,055,613 | |||
Hisamitsu Pharmaceutical Co., Inc. | 11,400 | 561,834 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 758,591 | |||
Hitachi Metals, Ltd. (a) | 53,700 | 1,027,649 | |||
Hitachi, Ltd. | 220,000 | 12,608,523 | |||
Honda Motor Co., Ltd. | 367,800 | 11,764,033 | |||
Hoshizaki Corp. | 11,500 | 978,106 | |||
Hoya Corp. | 85,400 | 11,333,832 | |||
Hulic Co., Ltd. (b) | 65,600 | 738,805 | |||
Ibiden Co., Ltd. | 24,300 | 1,311,442 | |||
Idemitsu Kosan Co., Ltd. | 47,840 | 1,156,453 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 925,074 | |||
Inpex Corp. (b) | 226,600 | 1,692,507 | |||
Isuzu Motors, Ltd. | 127,300 | 1,682,576 | |||
Ito En, Ltd. | 11,600 | 688,747 | |||
ITOCHU Corp. | 273,600 | 7,888,278 | |||
Itochu Techno-Solutions Corp. | 22,200 | 688,062 | |||
Japan Airlines Co., Ltd. (a) | 28,300 | 612,202 | |||
Japan Exchange Group, Inc. | 120,400 | 2,679,413 | |||
Japan Metropolitan Fund Invest REIT | 1,658 | 1,798,569 | |||
Japan Post Bank Co., Ltd. | 94,700 | 796,064 | |||
Japan Post Holdings Co., Ltd. | 354,500 | 2,907,481 | |||
Japan Post Insurance Co., Ltd. | 55,900 | 1,034,495 | |||
Japan Real Estate Investment Corp. REIT | 281 | 1,729,192 | |||
Japan Tobacco, Inc. (b) | 271,300 | 5,129,499 |
Security Description | Shares | Value | |||
JFE Holdings, Inc. | 117,800 | $ 1,380,825 | |||
JSR Corp. | 43,400 | 1,313,848 | |||
Kajima Corp. | 98,500 | 1,248,667 | |||
Kakaku.com, Inc. | 33,100 | 1,000,545 | |||
Kansai Electric Power Co., Inc. | 159,100 | 1,518,754 | |||
Kansai Paint Co., Ltd. | 37,800 | 964,157 | |||
Kao Corp. | 111,200 | 6,847,932 | |||
KDDI Corp. | 366,300 | 11,435,530 | |||
Keio Corp. | 22,700 | 1,335,535 | |||
Keisei Electric Railway Co., Ltd. | 26,300 | 840,017 | |||
Keyence Corp. | 44,000 | 22,227,948 | |||
Kikkoman Corp. | 33,200 | 2,192,594 | |||
Kintetsu Group Holdings Co., Ltd. (a) | 38,900 | 1,366,880 | |||
Kirin Holdings Co., Ltd. (b) | 187,100 | 3,651,307 | |||
Kobayashi Pharmaceutical Co., Ltd. (b) | 11,200 | 957,636 | |||
Kobe Bussan Co., Ltd. | 30,400 | 958,645 | |||
Koei Tecmo Holdings Co., Ltd. | 13,520 | 660,225 | |||
Koito Manufacturing Co., Ltd. | 22,500 | 1,400,802 | |||
Komatsu, Ltd. | 202,700 | 5,041,475 | |||
Konami Holdings Corp. | 20,700 | 1,243,977 | |||
Kose Corp. | 7,100 | 1,118,191 | |||
Kubota Corp. (b) | 227,000 | 4,595,630 | |||
Kurita Water Industries, Ltd. | 23,800 | 1,142,932 | |||
Kyocera Corp. | 72,900 | 4,511,012 | |||
Kyowa Kirin Co., Ltd. (b) | 63,500 | 2,254,167 | |||
Lasertec Corp. (b) | 17,300 | 3,365,231 | |||
Lawson, Inc. | 12,000 | 555,726 | |||
Lion Corp. (b) | 53,300 | 903,781 | |||
Lixil Corp. | 58,000 | 1,501,342 | |||
M3, Inc. | 101,800 | 7,441,242 | |||
Makita Corp. | 51,600 | 2,431,462 | |||
Marubeni Corp. | 362,400 | 3,154,470 | |||
Mazda Motor Corp. (a) | 126,500 | 1,189,891 | |||
McDonald's Holdings Co. Japan, Ltd. (b) | 16,000 | 706,370 | |||
Medipal Holdings Corp. | 46,900 | 896,674 | |||
MEIJI Holdings Co., Ltd. | 27,200 | 1,629,696 | |||
Mercari, Inc. (a)(b) | 21,800 | 1,158,843 | |||
MINEBEA MITSUMI, Inc. | 79,200 | 2,097,205 | |||
MISUMI Group, Inc. | 63,200 | 2,141,022 | |||
Mitsubishi Chemical Holdings Corp. | 282,700 | 2,377,696 | |||
Mitsubishi Corp. | 282,000 | 7,693,450 | |||
Mitsubishi Electric Corp. | 418,100 | 6,074,297 | |||
Mitsubishi Estate Co., Ltd. | 273,800 | 4,431,766 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 762,054 | |||
Mitsubishi HC Capital, Inc. | 165,100 | 885,075 | |||
Mitsubishi Heavy Industries, Ltd. | 73,400 | 2,161,858 | |||
Mitsubishi UFJ Financial Group, Inc. | 2,770,700 | 14,980,603 |
Security Description | Shares | Value | |||
Mitsui & Co., Ltd. | 355,700 | $ 8,013,585 | |||
Mitsui Chemicals, Inc. | 41,300 | 1,427,025 | |||
Mitsui Fudosan Co., Ltd. | 211,300 | 4,898,413 | |||
Miura Co., Ltd. | 19,600 | 850,293 | |||
Mizuho Financial Group, Inc. | 541,540 | 7,745,696 | |||
MonotaRO Co., Ltd. | 57,200 | 1,355,401 | |||
MS&AD Insurance Group Holdings, Inc. | 98,800 | 2,855,666 | |||
Murata Manufacturing Co., Ltd. | 130,800 | 9,995,906 | |||
Nabtesco Corp. (b) | 24,800 | 938,463 | |||
NEC Corp. | 56,200 | 2,896,333 | |||
Nexon Co., Ltd. | 105,500 | 2,353,527 | |||
NGK Insulators, Ltd. | 63,900 | 1,073,156 | |||
NH Foods, Ltd. | 21,000 | 817,371 | |||
Nidec Corp. | 101,600 | 11,785,746 | |||
Nihon M&A Center, Inc. | 69,400 | 1,801,436 | |||
Nintendo Co., Ltd. | 25,400 | 14,788,251 | |||
Nippon Building Fund, Inc. REIT (b) | 347 | 2,166,601 | |||
Nippon Express Co., Ltd. | 17,100 | 1,303,415 | |||
Nippon Paint Holdings Co., Ltd. (b) | 165,000 | 2,241,824 | |||
Nippon Prologis REIT, Inc. | 499 | 1,589,301 | |||
Nippon Sanso Holdings Corp. | 34,900 | 715,986 | |||
Nippon Shinyaku Co., Ltd. | 11,200 | 889,017 | |||
Nippon Steel Corp. | 190,200 | 3,210,557 | |||
Nippon Telegraph & Telephone Corp. | 288,500 | 7,523,770 | |||
Nippon Yusen KK | 36,900 | 1,871,763 | |||
Nissan Chemical Corp. | 28,900 | 1,416,488 | |||
Nissan Motor Co., Ltd. (a) | 525,100 | 2,608,232 | |||
Nisshin Seifun Group, Inc. | 46,800 | 685,197 | |||
Nissin Foods Holdings Co., Ltd. | 15,300 | 1,102,802 | |||
Nitori Holdings Co., Ltd. | 18,500 | 3,276,962 | |||
Nitto Denko Corp. | 36,000 | 2,688,891 | |||
Nomura Holdings, Inc. | 709,300 | 3,628,620 | |||
Nomura Real Estate Holdings, Inc. | 30,100 | 764,229 | |||
Nomura Real Estate Master Fund, Inc. REIT | 944 | 1,514,789 | |||
Nomura Research Institute, Ltd. | 78,400 | 2,595,910 | |||
NSK, Ltd. | 85,800 | 725,887 | |||
NTT Data Corp. | 146,900 | 2,293,699 | |||
Obayashi Corp. | 143,500 | 1,141,639 | |||
Obic Co., Ltd. | 15,700 | 2,929,516 | |||
Odakyu Electric Railway Co., Ltd. | 62,300 | 1,575,041 | |||
Oji Holdings Corp. | 182,000 | 1,046,184 | |||
Olympus Corp. | 269,800 | 5,367,316 | |||
Omron Corp. | 41,800 | 3,317,939 | |||
Ono Pharmaceutical Co., Ltd. | 82,700 | 1,847,133 | |||
Oracle Corp. Japan | 7,900 | 605,009 | |||
Oriental Land Co., Ltd. | 45,100 | 6,432,408 | |||
ORIX Corp. | 287,800 | 4,860,628 |
Security Description | Shares | Value | |||
Orix JREIT, Inc. | 644 | $ 1,240,537 | |||
Osaka Gas Co., Ltd. | 85,000 | 1,584,512 | |||
Otsuka Corp. | 24,100 | 1,265,907 | |||
Otsuka Holdings Co., Ltd. (b) | 88,200 | 3,661,027 | |||
Pan Pacific International Holdings Corp. | 88,400 | 1,836,656 | |||
Panasonic Corp. | 508,300 | 5,887,194 | |||
PeptiDream, Inc. (a) | 21,300 | 1,045,905 | |||
Persol Holdings Co., Ltd. | 41,200 | 814,794 | |||
Pigeon Corp. (b) | 25,300 | 713,479 | |||
Pola Orbis Holdings, Inc. (b) | 20,800 | 549,844 | |||
Rakuten Group, Inc. | 199,300 | 2,251,754 | |||
Recruit Holdings Co., Ltd. | 307,500 | 15,154,744 | |||
Renesas Electronics Corp. (a) | 295,100 | 3,193,217 | |||
Resona Holdings, Inc. | 468,000 | 1,801,330 | |||
Ricoh Co., Ltd. | 145,300 | 1,632,481 | |||
Rinnai Corp. | 7,700 | 733,300 | |||
Rohm Co., Ltd. | 20,800 | 1,924,642 | |||
Ryohin Keikaku Co., Ltd. | 56,200 | 1,179,800 | |||
Santen Pharmaceutical Co., Ltd. | 78,900 | 1,087,639 | |||
SBI Holdings, Inc. | 54,100 | 1,280,969 | |||
SCSK Corp. | 11,000 | 656,095 | |||
Secom Co., Ltd. | 46,700 | 3,552,886 | |||
Seiko Epson Corp. | 62,200 | 1,095,043 | |||
Sekisui Chemical Co., Ltd. | 81,000 | 1,385,882 | |||
Sekisui House, Ltd. | 145,600 | 2,989,004 | |||
Seven & i Holdings Co., Ltd. | 170,800 | 8,151,433 | |||
SG Holdings Co., Ltd. | 73,800 | 1,936,926 | |||
Sharp Corp. (b) | 52,900 | 873,644 | |||
Shimadzu Corp. | 52,700 | 2,039,341 | |||
Shimano, Inc. | 16,900 | 4,012,208 | |||
Shimizu Corp. | 125,300 | 961,849 | |||
Shin-Etsu Chemical Co., Ltd. | 80,400 | 13,459,159 | |||
Shionogi & Co., Ltd. | 61,300 | 3,198,381 | |||
Shiseido Co., Ltd. | 92,200 | 6,787,694 | |||
Shizuoka Bank, Ltd. (b) | 103,100 | 797,936 | |||
SMC Corp. | 13,000 | 7,689,432 | |||
Softbank Corp. | 659,900 | 8,641,902 | |||
SoftBank Group Corp. | 283,700 | 19,873,570 | |||
Sohgo Security Services Co., Ltd. | 15,800 | 720,317 | |||
Sompo Holdings, Inc. | 74,600 | 2,759,777 | |||
Sony Group Corp. | 285,700 | 27,838,954 | |||
Square Enix Holdings Co., Ltd. | 18,900 | 938,274 | |||
Stanley Electric Co., Ltd. | 26,500 | 767,614 | |||
Subaru Corp. | 136,900 | 2,703,094 | |||
SUMCO Corp. (b) | 61,500 | 1,509,933 | |||
Sumitomo Chemical Co., Ltd. | 354,200 | 1,879,663 | |||
Sumitomo Corp. | 273,700 | 3,669,390 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 776,070 | |||
Sumitomo Electric Industries, Ltd. | 174,500 | 2,576,858 |
Security Description | Shares | Value | |||
Sumitomo Metal Mining Co., Ltd. | 55,000 | $ 2,143,211 | |||
Sumitomo Mitsui Financial Group, Inc. | 296,900 | 10,245,310 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 74,900 | 2,380,820 | |||
Sumitomo Realty & Development Co., Ltd. | 73,200 | 2,618,290 | |||
Suntory Beverage & Food, Ltd. (b) | 29,500 | 1,111,001 | |||
Suzuki Motor Corp. | 81,000 | 3,430,769 | |||
Sysmex Corp. | 39,000 | 4,638,256 | |||
T&D Holdings, Inc. | 119,000 | 1,539,634 | |||
Taisei Corp. | 44,200 | 1,449,572 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 434,228 | |||
Takeda Pharmaceutical Co., Ltd. | 359,117 | 12,033,121 | |||
TDK Corp. | 28,500 | 3,463,961 | |||
Terumo Corp. | 148,700 | 6,031,601 | |||
THK Co., Ltd. (b) | 24,600 | 734,742 | |||
TIS, Inc. | 51,100 | 1,306,160 | |||
Tobu Railway Co., Ltd. | 41,600 | 1,076,450 | |||
Toho Co., Ltd. | 23,800 | 982,107 | |||
Toho Gas Co., Ltd. | 17,900 | 877,340 | |||
Tohoku Electric Power Co., Inc. | 96,500 | 756,420 | |||
Tokio Marine Holdings, Inc. | 141,700 | 6,521,341 | |||
Tokyo Century Corp. | 9,800 | 527,129 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 351,200 | 1,044,202 | |||
Tokyo Electron, Ltd. | 34,100 | 14,771,853 | |||
Tokyo Gas Co., Ltd. | 88,000 | 1,662,636 | |||
Tokyu Corp. | 110,800 | 1,508,413 | |||
TOPPAN, INC. | 59,400 | 955,302 | |||
Toray Industries, Inc. | 303,500 | 2,021,055 | |||
Toshiba Corp. (b) | 91,100 | 3,943,918 | |||
Tosoh Corp. | 54,900 | 947,729 | |||
TOTO, Ltd. | 32,800 | 1,699,252 | |||
Toyo Suisan Kaisha, Ltd. | 19,300 | 743,378 | |||
Toyota Industries Corp. | 34,100 | 2,952,527 | |||
Toyota Motor Corp. | 481,800 | 42,150,446 | |||
Toyota Tsusho Corp. | 47,600 | 2,251,554 | |||
Trend Micro, Inc. | 32,100 | 1,683,233 | |||
Tsuruha Holdings, Inc. | 8,200 | 953,798 | |||
Unicharm Corp. | 89,700 | 3,612,569 | |||
United Urban Investment Corp. REIT | 602 | 871,623 | |||
USS Co., Ltd. | 53,400 | 932,419 | |||
Welcia Holdings Co., Ltd. | 21,000 | 686,819 | |||
West Japan Railway Co. | 37,200 | 2,122,937 | |||
Yakult Honsha Co., Ltd. | 29,300 | 1,660,483 | |||
Yamada Holdings Co., Ltd. | 160,900 | 743,686 | |||
Yamaha Corp. | 31,400 | 1,705,937 | |||
Yamaha Motor Co., Ltd. (b) | 63,400 | 1,725,092 | |||
Yamato Holdings Co., Ltd. | 65,200 | 1,856,311 | |||
Yaskawa Electric Corp. | 56,200 | 2,749,491 |
Security Description | Shares | Value | |||
Yokogawa Electric Corp. | 54,700 | $ 818,110 | |||
Z Holdings Corp. | 592,500 | 2,972,376 | |||
ZOZO, Inc. | 27,700 | 942,134 | |||
893,447,961 | |||||
JORDAN — 0.0% (e) | |||||
Hikma Pharmaceuticals PLC | 37,237 | 1,258,248 | |||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal SA | 158,813 | 4,868,497 | |||
Eurofins Scientific SE (a) | 30,946 | 3,537,772 | |||
8,406,269 | |||||
MACAU — 0.2% | |||||
Galaxy Entertainment Group, Ltd. (a) | 483,000 | 3,865,443 | |||
Sands China, Ltd. (a) | 553,200 | 2,329,383 | |||
SJM Holdings, Ltd. (a) | 457,000 | 499,026 | |||
Wynn Macau, Ltd. (a) | 316,800 | 498,503 | |||
7,192,355 | |||||
NETHERLANDS — 4.8% | |||||
ABN AMRO Bank NV (a)(c) | 90,661 | 1,095,792 | |||
Adyen NV (a)(c) | 4,488 | 10,966,644 | |||
Aegon NV | 410,480 | 1,703,273 | |||
Akzo Nobel NV | 42,537 | 5,256,333 | |||
Argenx SE (a) | 10,057 | 3,042,476 | |||
ASM International NV | 10,513 | 3,453,462 | |||
ASML Holding NV | 95,197 | 65,410,887 | |||
EXOR NV | 24,121 | 1,932,561 | |||
Heineken Holding NV | 25,625 | 2,581,520 | |||
Heineken NV | 58,187 | 7,052,209 | |||
ING Groep NV | 885,980 | 11,704,622 | |||
JDE Peet's NV (a) | 17,251 | 626,014 | |||
Koninklijke Ahold Delhaize NV | 242,398 | 7,206,621 | |||
Koninklijke DSM NV | 39,125 | 7,303,102 | |||
Koninklijke KPN NV | 765,637 | 2,391,591 | |||
Koninklijke Philips NV | 210,782 | 10,446,100 | |||
Koninklijke Vopak NV | 18,008 | 817,923 | |||
NN Group NV | 70,234 | 3,313,298 | |||
Randstad NV | 25,994 | 1,988,296 | |||
Royal Dutch Shell PLC Class A | 928,810 | 18,563,959 | |||
Royal Dutch Shell PLC Class B | 840,217 | 16,238,444 | |||
Wolters Kluwer NV | 59,771 | 6,005,163 | |||
189,100,290 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (a)(b) | 166,643 | 749,885 | |||
Auckland International Airport, Ltd. (a) | 272,054 | 1,382,010 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 131,099 | 2,850,761 | |||
Mercury NZ, Ltd. | 166,846 | 777,613 | |||
Meridian Energy, Ltd. | 305,752 | 1,138,724 | |||
Ryman Healthcare, Ltd. | 94,456 | 866,595 | |||
Spark New Zealand, Ltd. | 432,285 | 1,449,884 |
Security Description | Shares | Value | |||
Xero, Ltd. (a) | 29,370 | $ 3,022,991 | |||
12,238,463 | |||||
NORWAY — 0.5% | |||||
DNB ASA | 217,000 | 4,730,767 | |||
Equinor ASA | 226,820 | 4,801,988 | |||
Gjensidige Forsikring ASA | 43,976 | 969,954 | |||
Mowi ASA | 96,866 | 2,465,213 | |||
Norsk Hydro ASA | 297,037 | 1,896,436 | |||
Orkla ASA | 173,932 | 1,772,630 | |||
Schibsted ASA Class A | 17,399 | 840,309 | |||
Schibsted ASA Class B | 24,544 | 1,022,809 | |||
Telenor ASA | 155,677 | 2,625,010 | |||
21,125,116 | |||||
POLAND — 0.0% (e) | |||||
InPost SA (a) | 44,483 | 892,887 | |||
PORTUGAL — 0.1% | |||||
EDP - Energias de Portugal SA | 636,398 | 3,373,530 | |||
Galp Energia SGPS SA | 106,082 | 1,151,347 | |||
Jeronimo Martins SGPS SA | 58,599 | 1,068,796 | |||
5,593,673 | |||||
RUSSIA — 0.1% | |||||
Coca-Cola HBC AG (a) | 42,572 | 1,537,322 | |||
Evraz PLC | 126,311 | 1,032,995 | |||
2,570,317 | |||||
SAUDI ARABIA — 0.1% | |||||
Delivery Hero SE (a)(c) | 34,927 | 4,614,182 | |||
SINGAPORE — 1.0% | |||||
Ascendas Real Estate Investment Trust | 747,915 | 1,641,385 | |||
CapitaLand Integrated Commercial Trust REIT | 1,007,891 | 1,567,097 | |||
CapitaLand, Ltd. | 615,482 | 1,698,734 | |||
City Developments, Ltd. | 96,600 | 523,891 | |||
DBS Group Holdings, Ltd. | 410,357 | 9,100,388 | |||
Genting Singapore, Ltd. | 1,319,900 | 819,905 | |||
Keppel Corp., Ltd. | 337,300 | 1,372,587 | |||
Mapletree Commercial Trust REIT | 493,800 | 793,489 | |||
Mapletree Logistics Trust REIT | 666,832 | 1,016,966 | |||
Oversea-Chinese Banking Corp., Ltd. | 754,066 | 6,703,681 | |||
Singapore Airlines, Ltd. (a) | 298,049 | 1,075,389 | |||
Singapore Exchange, Ltd. | 182,300 | 1,516,228 | |||
Singapore Technologies Engineering, Ltd. | 346,900 | 998,738 | |||
Singapore Telecommunications, Ltd. | 1,811,900 | 3,086,781 | |||
United Overseas Bank, Ltd. | 268,090 | 5,149,594 | |||
UOL Group, Ltd. | 95,932 | 520,982 | |||
Venture Corp., Ltd. | 61,500 | 878,898 | |||
38,464,733 |
Security Description | Shares | Value | |||
SOUTH AFRICA — 0.3% | |||||
Anglo American PLC | 293,958 | $ 11,664,887 | |||
SPAIN — 2.5% | |||||
ACS Actividades de Construccion y Servicios SA | 57,937 | 1,552,103 | |||
Aena SME SA (a)(c) | 16,681 | 2,735,852 | |||
Amadeus IT Group SA (a) | 103,582 | 7,286,748 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,529,049 | 9,479,933 | |||
Banco Santander SA (a) | 3,956,518 | 15,106,013 | |||
CaixaBank SA | 1,015,829 | 3,124,920 | |||
Cellnex Telecom SA (c) | 117,322 | 7,474,183 | |||
EDP Renovaveis SA | 64,093 | 1,485,195 | |||
Enagas SA | 57,883 | 1,337,518 | |||
Endesa SA (b) | 72,976 | 1,770,655 | |||
Ferrovial SA | 108,722 | 3,191,104 | |||
Grifols SA (b) | 66,280 | 1,795,258 | |||
Iberdrola SA | 1,317,615 | 16,063,121 | |||
Industria de Diseno Textil SA | 250,285 | 8,818,318 | |||
Naturgy Energy Group SA | 64,019 | 1,645,949 | |||
Red Electrica Corp. SA (b) | 102,455 | 1,902,105 | |||
Repsol SA (b) | 332,454 | 4,160,993 | |||
Siemens Gamesa Renewable Energy SA (a) | 53,578 | 1,789,235 | |||
Telefonica SA | 1,266,821 | 5,920,658 | |||
96,639,861 | |||||
SWEDEN — 3.4% | |||||
Alfa Laval AB | 68,956 | 2,437,445 | |||
Assa Abloy AB Class B | 225,531 | 6,798,512 | |||
Atlas Copco AB Class A | 152,110 | 9,319,953 | |||
Atlas Copco AB Class B | 87,420 | 4,599,896 | |||
Boliden AB | 62,314 | 2,397,211 | |||
Electrolux AB Class B | 48,614 | 1,348,913 | |||
Embracer Group AB (a) | 57,040 | 1,544,028 | |||
Epiroc AB Class A | 152,332 | 3,473,365 | |||
Epiroc AB Class B | 92,670 | 1,819,885 | |||
EQT AB | 56,904 | 2,066,660 | |||
Essity AB Class B | 138,577 | 4,598,628 | |||
Evolution AB (c) | 39,228 | 6,203,346 | |||
Fastighets AB Balder Class B (a) | 23,305 | 1,463,350 | |||
H & M Hennes & Mauritz AB Class B (a) | 163,087 | 3,871,151 | |||
Hexagon AB Class B | 455,066 | 6,747,118 | |||
Husqvarna AB Class B | 101,271 | 1,346,388 | |||
ICA Gruppen AB | 22,934 | 1,068,107 | |||
Industrivarden AB Class A | 24,590 | 956,900 | |||
Industrivarden AB Class C | 35,307 | 1,293,026 | |||
Investment AB Latour Class B | 30,644 | 1,006,160 | |||
Investor AB Class B | 417,733 | 9,634,751 | |||
Kinnevik AB Class B (a) | 54,272 | 2,174,142 | |||
L E Lundbergforetagen AB Class B | 17,802 | 1,149,449 | |||
Lundin Energy AB | 44,516 | 1,576,147 |
Security Description | Shares | Value | |||
Nibe Industrier AB Class B | 317,066 | $ 3,337,439 | |||
Sandvik AB | 256,784 | 6,563,611 | |||
Securitas AB Class B | 76,709 | 1,211,787 | |||
Sinch AB (a)(c) | 120,870 | 2,035,194 | |||
Skandinaviska Enskilda Banken AB Class A | 364,332 | 4,709,565 | |||
Skanska AB Class B | 74,574 | 1,979,420 | |||
SKF AB Class B | 84,434 | 2,151,292 | |||
Svenska Cellulosa AB SCA Class B | 141,992 | 2,328,581 | |||
Svenska Handelsbanken AB Class A | 346,035 | 3,906,987 | |||
Swedbank AB Class A | 208,854 | 3,888,836 | |||
Swedish Match AB | 366,720 | 3,129,415 | |||
Tele2 AB Class B (b) | 108,904 | 1,484,797 | |||
Telefonaktiebolaget LM Ericsson Class B | 661,751 | 8,322,812 | |||
Telia Co. AB | 574,818 | 2,552,760 | |||
Volvo AB Class A | 44,538 | 1,105,098 | |||
Volvo AB Class B (b) | 323,005 | 7,776,609 | |||
135,378,734 | |||||
SWITZERLAND — 9.5% | |||||
ABB, Ltd. | 393,652 | 13,368,028 | |||
Adecco Group AG | 33,927 | 2,307,190 | |||
Alcon, Inc. | 114,094 | 7,995,899 | |||
Baloise Holding AG | 10,935 | 1,707,060 | |||
Banque Cantonale Vaudoise | 7,830 | 703,925 | |||
Barry Callebaut AG | 838 | 1,949,153 | |||
Chocoladefabriken Lindt & Spruengli AG (d) | 244 | 2,429,837 | |||
Chocoladefabriken Lindt & Spruengli AG (d) | 24 | 2,515,930 | |||
Cie Financiere Richemont SA | 117,899 | 14,278,999 | |||
Clariant AG | 53,896 | 1,072,847 | |||
Credit Suisse Group AG | 561,354 | 5,885,912 | |||
EMS-Chemie Holding AG | 1,712 | 1,683,570 | |||
Geberit AG | 8,239 | 6,185,824 | |||
Givaudan SA | 2,120 | 9,868,946 | |||
Holcim, Ltd. | 119,047 | 7,147,843 | |||
Julius Baer Group, Ltd. | 50,226 | 3,280,842 | |||
Kuehne + Nagel International AG | 12,317 | 4,218,707 | |||
Logitech International SA | 38,502 | 4,669,307 | |||
Lonza Group AG | 16,935 | 12,014,900 | |||
Nestle SA | 653,555 | 81,465,470 | |||
Novartis AG | 504,243 | 45,997,479 | |||
Partners Group Holding AG | 5,182 | 7,856,951 | |||
Roche Holding AG Bearer Shares | 7,111 | 2,891,019 | |||
Roche Holding AG | 159,459 | 60,128,127 | |||
Schindler Holding AG (d) | 9,092 | 2,783,617 | |||
Schindler Holding AG (d) | 4,860 | 1,421,695 | |||
SGS SA | 1,377 | 4,251,591 | |||
Sika AG | 32,483 | 10,630,289 | |||
Sonova Holding AG | 12,256 | 4,614,148 | |||
STMicroelectronics NV | 151,893 | 5,512,879 |
Security Description | Shares | Value | |||
Straumann Holding AG | 2,365 | $ 3,773,868 | |||
Swatch Group AG (d) | 6,518 | 2,238,128 | |||
Swatch Group AG (d) | 13,415 | 886,013 | |||
Swiss Life Holding AG | 7,121 | 3,463,625 | |||
Swiss Prime Site AG | 16,514 | 1,640,055 | |||
Swisscom AG | 5,823 | 3,327,429 | |||
Temenos AG | 15,104 | 2,428,143 | |||
UBS Group AG | 831,993 | 12,745,195 | |||
Vifor Pharma AG | 10,886 | 1,410,287 | |||
Zurich Insurance Group AG | 34,130 | 13,705,908 | |||
376,456,635 | |||||
TAIWAN — 0.0% (e) | |||||
Sea, Ltd. ADR (a) | 3,100 | 851,260 | |||
UNITED KINGDOM — 11.7% | |||||
3i Group PLC | 225,508 | 3,654,224 | |||
Admiral Group PLC | 46,217 | 2,007,333 | |||
Ashtead Group PLC | 101,543 | 7,524,436 | |||
Associated British Foods PLC | 80,678 | 2,469,790 | |||
AstraZeneca PLC | 298,834 | 35,845,532 | |||
Auto Trader Group PLC (a)(c) | 214,211 | 1,874,369 | |||
AVEVA Group PLC | 25,570 | 1,309,802 | |||
Aviva PLC | 903,736 | 5,067,524 | |||
BAE Systems PLC | 727,740 | 5,247,857 | |||
Barclays PLC | 3,987,645 | 9,426,544 | |||
Barratt Developments PLC | 226,275 | 2,173,109 | |||
Berkeley Group Holdings PLC | 27,613 | 1,752,808 | |||
BP PLC | 4,604,623 | 20,037,330 | |||
British American Tobacco PLC | 493,386 | 19,084,469 | |||
British Land Co. PLC REIT | 195,810 | 1,338,713 | |||
BT Group PLC (a) | 2,007,643 | 5,380,510 | |||
Bunzl PLC | 78,737 | 2,598,545 | |||
Burberry Group PLC (a) | 89,298 | 2,548,633 | |||
CK Hutchison Holdings, Ltd. | 603,500 | 4,701,578 | |||
CNH Industrial NV | 237,472 | 3,921,533 | |||
Coca-Cola Europacific Partners PLC (d) | 24,266 | 1,425,616 | |||
Coca-Cola European Partners PLC (d) | 23,700 | 1,405,884 | |||
Compass Group PLC (a) | 410,059 | 8,621,766 | |||
Croda International PLC | 32,385 | 3,296,315 | |||
DCC PLC | 23,338 | 1,907,980 | |||
Diageo PLC | 530,294 | 25,354,412 | |||
Direct Line Insurance Group PLC | 313,441 | 1,234,059 | |||
Entain PLC (a) | 135,800 | 3,274,574 | |||
Experian PLC | 210,063 | 8,084,737 | |||
GlaxoSmithKline PLC | 1,141,149 | 22,375,996 | |||
Halma PLC | 85,146 | 3,166,464 | |||
Hargreaves Lansdown PLC | 78,784 | 1,729,407 | |||
HSBC Holdings PLC | 4,600,760 | 26,522,422 | |||
Imperial Brands PLC | 214,401 | 4,611,589 | |||
Informa PLC (a) | 354,199 | 2,454,370 |
Security Description | Shares | Value | |||
InterContinental Hotels Group PLC (a) | 40,626 | $ 2,699,506 | |||
Intertek Group PLC | 35,767 | 2,732,391 | |||
J Sainsbury PLC | 424,217 | 1,592,842 | |||
JD Sports Fashion PLC | 114,726 | 1,456,507 | |||
Johnson Matthey PLC | 41,585 | 1,765,365 | |||
Kingfisher PLC | 485,075 | 2,442,540 | |||
Land Securities Group PLC REIT | 168,381 | 1,571,048 | |||
Legal & General Group PLC | 1,348,671 | 4,799,402 | |||
Lloyds Banking Group PLC | 15,982,833 | 10,308,913 | |||
London Stock Exchange Group PLC | 74,344 | 8,185,392 | |||
M&G PLC | 578,262 | 1,828,545 | |||
Melrose Industries PLC | 1,075,500 | 2,304,398 | |||
Mondi PLC | 112,574 | 2,956,347 | |||
National Grid PLC | 807,217 | 10,268,118 | |||
Natwest Group PLC | 1,072,932 | 3,011,835 | |||
Next PLC (a) | 29,174 | 3,166,159 | |||
Ocado Group PLC (a) | 107,997 | 2,988,325 | |||
Pearson PLC | 177,492 | 2,035,130 | |||
Persimmon PLC | 73,144 | 2,988,905 | |||
Phoenix Group Holdings PLC | 126,470 | 1,181,752 | |||
Prudential PLC | 592,554 | 11,243,249 | |||
Reckitt Benckiser Group PLC | 161,649 | 14,285,143 | |||
RELX PLC (d) | 328,431 | 8,706,715 | |||
RELX PLC (d) | 107,309 | 2,860,755 | |||
Rentokil Initial PLC | 407,362 | 2,785,614 | |||
Rolls-Royce Holdings PLC (a) | 1,924,370 | 2,629,710 | |||
Sage Group PLC | 253,546 | 2,396,487 | |||
Schroders PLC | 29,656 | 1,439,216 | |||
Segro PLC REIT | 270,316 | 4,087,170 | |||
Severn Trent PLC | 55,915 | 1,931,867 | |||
Smith & Nephew PLC | 198,406 | 4,282,625 | |||
Smiths Group PLC | 90,381 | 1,985,224 | |||
Spirax-Sarco Engineering PLC | 16,478 | 3,099,255 | |||
SSE PLC | 233,444 | 4,838,981 | |||
St James's Place PLC | 124,600 | 2,542,341 | |||
Standard Chartered PLC | 600,229 | 3,822,550 | |||
Standard Life Aberdeen PLC | 508,523 | 1,903,773 | |||
Taylor Wimpey PLC | 844,503 | 1,854,372 | |||
Tesco PLC | 1,736,093 | 5,347,068 | |||
Unilever PLC | 597,610 | 34,925,673 | |||
United Utilities Group PLC | 148,328 | 1,996,621 | |||
Vodafone Group PLC | 6,101,056 | 10,226,905 | |||
Whitbread PLC (a) | 47,598 | 2,052,848 | |||
Wm Morrison Supermarkets PLC | 581,857 | 1,982,991 | |||
WPP PLC | 277,941 | 3,740,554 | |||
460,681,357 | |||||
UNITED STATES — 1.3% | |||||
CyberArk Software, Ltd. (a) | 8,100 | 1,055,187 | |||
Ferguson PLC | 51,615 | 7,166,007 |
Security Description | Shares | Value | |||
James Hardie Industries PLC CDI | 103,737 | $ 3,525,654 | |||
QIAGEN NV (a) | 52,113 | 2,519,002 | |||
Schneider Electric SE | 122,787 | 19,319,956 | |||
Stellantis NV (d) | 201,298 | 3,948,419 | |||
Stellantis NV (d) | 261,841 | 5,140,305 | |||
Swiss Re AG | 69,687 | 6,293,580 | |||
Tenaris SA | 105,028 | 1,144,889 | |||
50,112,999 | |||||
TOTAL COMMON STOCKS (Cost $2,830,292,355) | 3,849,384,737 |
RIGHTS — 0.0% (e) | |||
SPAIN — 0.0% (e) | |||
ACS Actividades de Construccion y Servicios SA (expiring 07/09/21) (a) (Cost: $87,641) | 57,937 | 81,075 | |
SHORT-TERM INVESTMENTS — 3.1% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.05% (f) (g) | 62,800,132 | 62,818,972 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 61,180,836 | 61,180,836 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $123,995,276) | 123,999,808 | ||
TOTAL INVESTMENTS — 100.6% (Cost $2,954,375,272) | 3,973,465,620 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | (25,123,963) | ||
NET ASSETS — 100.0% | $ 3,948,341,657 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.0% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(e) | Amount shown represents less than 0.05% of net assets. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2021. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 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) | 874 | 09/17/2021 | $103,235,027 | $100,689,170 | $(2,545,857) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,849,384,737 | $— | $— | $3,849,384,737 | ||||
Rights | 81,075 | — | — | 81,075 | ||||
Short-Term Investments | 123,999,808 | — | — | 123,999,808 | ||||
TOTAL INVESTMENTS | $3,973,465,620 | $— | $— | $3,973,465,620 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (2,545,857) | — | — | (2,545,857) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (2,545,857) | $— | $— | $ (2,545,857) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Financials | 16.5% | |
Industrials | 15.1 | |
Consumer Discretionary | 12.7 | |
Health Care | 12.1 | |
Consumer Staples | 10.3 | |
Information Technology | 8.9 | |
Materials | 7.7 | |
Communication Services | 4.8 | |
Utilities | 3.3 | |
Energy | 3.1 | |
Real Estate | 3.0 | |
Short-Term Investments | 3.1 | |
Liabilities in Excess of Other Assets | (0.6) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/20 | Value at 12/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 66,248,210 | $66,261,459 | $282,206,023 | $285,657,872 | $4,830 | $4,532 | 62,800,132 | $ 62,818,972 | $ 22,658 | ||||||||
State Street Navigator Securities Lending Portfolio II | 23,014,357 | 23,014,357 | 266,597,910 | 228,431,431 | — | — | 61,180,836 | 61,180,836 | 139,990 | ||||||||
Total | $89,275,816 | $548,803,933 | $514,089,303 | $4,830 | $4,532 | $123,999,808 | $162,648 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,849,465,812 |
Investments in affiliated issuers, at value | 123,999,808 |
Total Investments | 3,973,465,620 |
Foreign currency, at value | 14,464,493 |
Net cash at broker | 7,995,396 |
Dividends receivable — unaffiliated issuers | 5,047,470 |
Dividends receivable — affiliated issuers | 2,915 |
Securities lending income receivable — unaffiliated issuers | 4,777 |
Securities lending income receivable — affiliated issuers | 21,433 |
Receivable for foreign taxes recoverable | 11,731,646 |
TOTAL ASSETS | 4,012,733,750 |
LIABILITIES | |
Payable upon return of securities loaned | 61,180,836 |
Payable to broker – accumulated variation margin on open futures contracts | 2,543,340 |
Advisory fee payable | 493,894 |
Custodian fees payable | 124,286 |
Professional fees payable | 29,431 |
Printing and postage fees payable | 216 |
Accrued expenses and other liabilities | 20,090 |
TOTAL LIABILITIES | 64,392,093 |
NET ASSETS | $3,948,341,657 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,830,379,996 |
Investments in affiliated issuers | 123,995,276 |
Total cost of investments | $2,954,375,272 |
Foreign currency, at cost | $ 14,611,703 |
* Includes investments in securities on loan, at value | $ 80,512,417 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 69,231,456 |
Dividend income — affiliated issuers | 22,658 |
Unaffiliated securities lending income | 31,614 |
Affiliated securities lending income | 139,990 |
Foreign taxes withheld | (6,023,399) |
TOTAL INVESTMENT INCOME (LOSS) | 63,402,319 |
EXPENSES | |
Advisory fee | 2,314,753 |
Custodian fees | 242,001 |
Trustees’ fees and expenses | 32,973 |
Professional fees and expenses | 36,526 |
Printing and postage fees | 7,159 |
Insurance expense | 456 |
Miscellaneous expenses | 21,525 |
TOTAL EXPENSES | 2,655,393 |
NET INVESTMENT INCOME (LOSS) | $ 60,746,926 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,824,455 |
Investments — affiliated issuers | 4,830 |
Foreign currency transactions | (13,734) |
Futures contracts | 13,246,122 |
Net realized gain (loss) | 15,061,673 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 248,936,706 |
Investments — affiliated issuers | 4,532 |
Foreign currency translations | (861,364) |
Futures contracts | (4,351,777) |
Net change in unrealized appreciation/depreciation | 243,728,097 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 258,789,770 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $319,536,696 |
Six Months Ended 6/30/21 (Unaudited) | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 60,746,926 | $ 79,376,253 | |
Net realized gain (loss) | 15,061,673 | (107,404,189) | |
Net change in unrealized appreciation/depreciation | 243,728,097 | 278,860,646 | |
Net increase (decrease) in net assets resulting from operations | 319,536,696 | 250,832,710 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 228,439,169 | 768,794,916 | |
Withdrawals | (255,456,583) | (1,090,211,334) | |
Net increase (decrease) in net assets from capital transactions | (27,017,414) | (321,416,418) | |
Net increase (decrease) in net assets during the period | 292,519,282 | (70,583,708) | |
Net assets at beginning of period | 3,655,822,375 | 3,726,406,083 | |
NET ASSETS AT END OF PERIOD | $3,948,341,657 | $ 3,655,822,375 |
Six Months Ended 6/30/21 (Unaudited) | 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) | 8.87% | 7.96% | 22.11% | (13.83)% | 25.25% | 1.00% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,948,342 | $3,655,822 | $3,726,406 | $2,809,510 | $2,855,669 | $1,981,065 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.14%(b) | 0.14% | 0.15% | 0.15% | 0.14% | 0.15%(b) | |||||
Net investment income (loss) | 3.21%(b) | 2.35% | 3.17% | 2.96% | 2.80% | 2.57%(b) | |||||
Portfolio turnover rate | 4%(c) | 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. |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $2,543,340 | $— | $2,543,340 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | 13,246,122 | $— | 13,246,122 |
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 | $— | $— | $— | (4,351,777) | $— | (4,351,777) |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $203,704,666 | $159,256,798 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,030,285,432 | $940,634,331 | $— | $940,634,331 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 80,512,417 | $ 61,180,836 | $ 24,199,302 | $ 85,380,138 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
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 | $61,180,836 | $— | $— | $— | $61,180,836 | $61,180,836 |
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% | $1,088.70 | $0.73 | $1,024.10 | $0.70 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the State Street Hedged International Developed Equity Index Fund (the “Fund”), which gains all of its investment exposure to the constituents of its benchmark index by investing in the Portfolio: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, and transfer agent of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 24-25, 2021; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Institutional Investment Trust |
State Street U.S. Core Equity Fund |
State Street Income Fund |
Page | |
Fund Information, Understanding Your Fund’s Expenses and Schedule of Investments | |
1 | |
7 | |
Financial Statements | |
32 | |
34 | |
35 | |
36 | |
37 | |
46 | |
51 |
Sector Allocation |
Portfolio Composition as a % of Fair Value of $6,805,616 (in thousands) as of June 30, 2021 (a) |
Top Ten Largest Holdings | |
as of June 30, 2021 (as a % of Fair Value) (a) | |
Microsoft Corp. | 6.20% |
Amazon.com Inc. | 4.88% |
Apple Inc. | 4.73% |
Alphabet Inc., Class A | 3.53% |
Facebook Inc., Class A | 2.98% |
Visa Inc., Class A | 2.78% |
JPMorgan Chase & Co. | 2.70% |
salesforce.com Inc. | 1.91% |
QUALCOMM Inc. | 1.78% |
Lowe's Companies Inc. | 1.71% |
(a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street U.S. Core Equity Fund | 1 |
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||
Account value at the | |||
beginning of the period January 1, 2021 | $1,000.00 | $1,000.00 | |
Account value at the end of the period June 30, 2021 | $1,156.80 | $1,024.10 | |
Expenses Paid During Period* | $ 0.75 | $ 0.70 |
* | Expenses are equal to the Fund's annualized expense ratio of 0.14% (for the period January 1, 2021 - June 30, 2021), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
2 | State Street U.S. Core Equity Fund |
Number of Shares | Fair Value | |
Common Stock - 98.6% † | ||
Aerospace & Defense - 0.6% | ||
Raytheon Technologies Corp. | 464,582 | $ 39,633,490 |
Air Freight & Logistics - 0.4% | ||
United Parcel Service Inc., Class B | 134,836 | 28,041,843 |
Apparel Retail - 1.3% | ||
Ross Stores Inc. | 719,704 | 89,243,296 |
Application Software - 3.5% | ||
Adobe Inc. (a) | 85,123 | 49,851,434 |
Intuit Inc. | 30,663 | 15,030,083 |
salesforce.com Inc. (a) | 530,835 | 129,667,065 |
Splunk Inc. (a) | 319,209 | 46,151,237 |
240,699,819 | ||
Asset Management & Custody Banks - 0.2% | ||
The Blackstone Group Inc. | 142,813 | 13,872,855 |
Auto Parts & Equipment - 0.1% | ||
Magna International, Inc. | 47,795 | 4,427,729 |
Automotive Retail - 0.6% | ||
O'Reilly Automotive Inc. (a) | 68,670 | 38,881,641 |
Biotechnology - 1.1% | ||
Biogen Inc. (a) | 54,258 | 18,787,918 |
BioMarin Pharmaceutical Inc. (a) | 275,859 | 23,017,675 |
Vertex Pharmaceuticals Inc. (a) | 168,180 | 33,910,133 |
75,715,726 | ||
Building Products - 1.0% | ||
Allegion PLC | 172,532 | 24,033,707 |
Trane Technologies PLC | 254,905 | 46,938,207 |
70,971,914 | ||
Cable & Satellite - 1.5% | ||
Charter Communications Inc., Class A (a) | 88,196 | 63,629,004 |
Comcast Corp., Class A | 756,531 | 43,137,398 |
106,766,402 | ||
Communications Equipment - 0.2% | ||
Cisco Systems Inc. | 276,915 | 14,676,495 |
Number of Shares | Fair Value | |
Construction Materials - 0.8% | ||
Martin Marietta Materials Inc. | 154,948 | $ 54,512,256 |
Data Processing & Outsourced Services - 4.8% | ||
Fidelity National Information Services Inc. | 151,604 | 21,477,738 |
Mastercard Inc., Class A | 216,878 | 79,179,989 |
PayPal Holdings Inc. (a) | 151,733 | 44,227,135 |
Visa Inc., Class A | 809,989 | 189,391,628 |
334,276,490 | ||
Diversified Banks - 2.7% | ||
JPMorgan Chase & Co. | 1,179,974 | 183,533,156 |
Diversified Support Services - 1.1% | ||
Cintas Corp. | 108,833 | 41,574,206 |
IAA Inc. (a) | 605,585 | 33,028,606 |
74,602,812 | ||
Electric Utilities - 0.8% | ||
NextEra Energy Inc. | 745,229 | 54,610,381 |
Electronic Components - 2.3% | ||
Amphenol Corp., Class A | 912,531 | 62,426,246 |
Corning Inc. | 2,353,064 | 96,240,317 |
158,666,563 | ||
Electronic Equipment & Instruments - 0.6% | ||
Keysight Technologies Inc. (a) | 253,595 | 39,157,604 |
Environmental & Facilities Services - 1.4% | ||
Waste Management Inc. | 679,692 | 95,231,646 |
Financial Exchanges & Data - 1.7% | ||
CME Group Inc. | 273,885 | 58,249,862 |
MSCI Inc. | 24,314 | 12,961,307 |
S&P Global Inc. | 66,015 | 27,095,857 |
Tradeweb Markets Inc., Class A | 186,909 | 15,805,025 |
114,112,051 | ||
Footwear - 0.8% | ||
NIKE Inc., Class B | 362,180 | 55,953,188 |
Healthcare Equipment - 3.9% | ||
Becton Dickinson & Co. | 208,753 | 50,766,642 |
Boston Scientific Corp. (a) | 1,895,535 | 81,053,077 |
Edwards Lifesciences Corp. (a) | 256,152 | 26,529,663 |
State Street U.S. Core Equity Fund | 3 |
Number of Shares | Fair Value | |
Medtronic PLC | 405,693 | $ 50,358,672 |
Tandem Diabetes Care Inc. (a) | 179,853 | 17,517,682 |
Zimmer Biomet Holdings Inc. | 252,083 | 40,539,988 |
266,765,724 | ||
Healthcare Services - 0.6% | ||
Cigna Corp. | 180,431 | 42,774,777 |
Home Improvement Retail - 2.0% | ||
Lowe's Companies Inc. | 600,582 | 116,494,891 |
The Home Depot Inc. | 68,369 | 21,802,190 |
138,297,081 | ||
Hotels, Resorts & Cruise Lines - 0.9% | ||
Marriott International Inc., Class A (a) | 477,771 | 65,225,297 |
Household Products - 1.3% | ||
Colgate-Palmolive Co. | 311,414 | 25,333,529 |
The Procter & Gamble Co. | 487,870 | 65,828,299 |
91,161,828 | ||
Hypermarkets & Super Centers - 0.4% | ||
Walmart Inc. | 177,124 | 24,978,026 |
Industrial Conglomerates - 1.6% | ||
Honeywell International Inc. | 504,917 | 110,753,544 |
Industrial Gases - 1.4% | ||
Air Products & Chemicals Inc. | 341,865 | 98,347,723 |
Industrial Machinery - 1.3% | ||
Parker-Hannifin Corp. | 191,280 | 58,744,001 |
Xylem Inc. | 234,705 | 28,155,212 |
86,899,213 | ||
Insurance Brokers - 0.3% | ||
Marsh & McLennan Companies Inc. | 126,768 | 17,833,722 |
Integrated Oil & Gas - 0.9% | ||
Chevron Corp. | 331,879 | 34,761,006 |
Exxon Mobil Corp. | 406,795 | 25,660,629 |
60,421,635 | ||
Interactive Home Entertainment - 0.2% | ||
Activision Blizzard Inc. | 182,430 | 17,411,119 |
Number of Shares | Fair Value | |
Interactive Media & Services - 8.1% | ||
Alphabet Inc., Class C (a) | 45,572 | $ 114,218,015 |
Alphabet Inc., Class A (a) | 98,295 | 240,015,748 |
Facebook Inc., Class A (a) | 583,846 | 203,009,093 |
557,242,856 | ||
Internet & Direct Marketing Retail - 4.8% | ||
Amazon.com Inc. (a) | 96,635 | 332,439,862 |
Investment Banking & Brokerage - 0.4% | ||
The Charles Schwab Corp. | 384,940 | 28,027,481 |
IT Consulting & Other Services - 0.4% | ||
Accenture PLC, Class A | 83,377 | 24,578,706 |
Life & Health Insurance - 0.1% | ||
Lincoln National Corp. | 156,250 | 9,818,750 |
Life Sciences Tools & Services - 1.0% | ||
IQVIA Holdings Inc. (a) | 281,353 | 68,177,459 |
Managed Healthcare - 1.9% | ||
Humana Inc. | 92,928 | 41,141,084 |
UnitedHealth Group Inc. | 230,996 | 92,500,038 |
133,641,122 | ||
Movies & Entertainment - 2.2% | ||
Netflix Inc. (a) | 97,829 | 51,674,256 |
The Walt Disney Co. (a) | 575,187 | 101,100,619 |
152,774,875 | ||
Multi-Line Insurance - 0.3% | ||
American International Group Inc. | 387,959 | 18,466,848 |
Multi-Sector Holdings - 1.2% | ||
Berkshire Hathaway Inc., Class B (a) | 288,065 | 80,059,025 |
Multi-Utilities - 1.5% | ||
Sempra Energy | 781,396 | 103,519,342 |
Oil & Gas Equipment & Services - 0.3% | ||
Schlumberger N.V. | 598,255 | 19,150,143 |
Oil & Gas Exploration & Production - 1.4% | ||
ConocoPhillips | 1,229,030 | 74,847,927 |
Pioneer Natural Resources Co. | 144,160 | 23,428,883 |
98,276,810 |
4 | State Street U.S. Core Equity Fund |
Number of Shares | Fair Value | |
Packaged Foods & Meats - 1.5% | ||
Mondelez International Inc., Class A | 1,607,041 | $ 100,343,640 |
Personal Products - 0.4% | ||
The Estee Lauder Companies Inc., Class A | 97,247 | 30,932,326 |
Pharmaceuticals - 3.5% | ||
Bristol-Myers Squibb Co. | 779,004 | 52,053,048 |
Elanco Animal Health Inc. (a) | 360,490 | 12,505,398 |
Johnson & Johnson | 257,885 | 42,483,975 |
Merck & Company Inc. | 1,407,612 | 109,469,985 |
Viatris Inc. | 1,985,414 | 28,371,566 |
244,883,972 | ||
Property & Casualty Insurance - 1.0% | ||
Chubb Ltd. | 433,846 | 68,955,483 |
Railroads - 0.6% | ||
Union Pacific Corp. | 198,460 | 43,647,308 |
Regional Banks - 3.1% | ||
First Republic Bank | 493,219 | 92,315,800 |
Regions Financial Corp. | 4,007,840 | 80,878,211 |
SVB Financial Group (a) | 73,403 | 40,843,632 |
214,037,643 | ||
Restaurants - 0.6% | ||
McDonald's Corp. | 176,917 | 40,866,058 |
Semiconductor Equipment - 1.6% | ||
Applied Materials Inc. | 780,293 | 111,113,723 |
Semiconductors - 4.7% | ||
NVIDIA Corp. | 127,040 | 101,644,704 |
QUALCOMM Inc. | 848,489 | 121,274,533 |
Texas Instruments Inc. | 545,593 | 104,917,534 |
327,836,771 |
Number of Shares | Fair Value | |
Soft Drinks - 0.8% | ||
PepsiCo Inc. | 381,459 | $ 56,520,780 |
Specialized REITs - 1.3% | ||
American Tower Corp. | 324,040 | 87,536,166 |
Specialty Chemicals - 0.5% | ||
DuPont de Nemours Inc. | 237,429 | 18,379,379 |
Ecolab Inc. | 43,331 | 8,924,886 |
PPG Industries Inc. | 59,541 | 10,108,275 |
37,412,540 | ||
Systems Software - 6.9% | ||
Microsoft Corp. | 1,557,776 | 422,001,518 |
Oracle Corp. | 303,070 | 23,590,969 |
ServiceNow Inc. (a) | 58,574 | 32,189,342 |
477,781,829 | ||
Technology Hardware, Storage & Peripherals - 4.7% | ||
Apple Inc. | 2,349,926 | 321,845,865 |
Trading Companies & Distributors - 1.1% | ||
United Rentals Inc. (a) | 248,519 | 79,280,046 |
Trucking - 0.1% | ||
Lyft Inc., Class A (a) | 92,674 | 5,604,923 |
Wireless Telecommunication Services - 0.3% | ||
T-Mobile US Inc. (a) | 154,573 | 22,386,808 |
Total Common Stock (Cost $3,851,192,974) | 6,805,616,206 | |
Total Investments (Cost $3,851,192,974) | 6,805,616,206 | |
Other Assets and Liabilities, net - 1.4% | 99,139,633 | |
NET ASSETS - 100.0% | $ 6,904,755,839 |
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
S&P 500 Emini Index Futures | September 2021 | 236 | $ 49,986,801 | $ 50,605,480 | $ 618,679 |
State Street U.S. Core Equity Fund | 5 |
(a) | Non-income producing security. |
† | Percentages are based on net assets as of June 30, 2021. |
Abbreviations: |
REIT - Real Estate Investment Trust |
Investments | Level 1 | Level 2 | Level 3 | Total | |||
Investments in Securities | |||||||
Common Stock | $ 6,805,616,206 | $ — | $ — | $ 6,805,616,206 | |||
Total Investments in Securities | $ 6,805,616,206 | $ — | $ — | $ 6,805,616,206 | |||
Other Financial Instruments | |||||||
Long Futures Contracts - Unrealized Appreciation | $ 618,679 | $ — | $ — | $ 618,679 | |||
Total Other Financial Instruments | $ 618,679 | $ — | $ — | $ 618,679 |
6 | State Street U.S. Core Equity Fund |
Sector Allocation |
Portfolio Composition as a % of Fair Value of $1,903,225 (in thousands) as of June 30, 2021 (a) |
Quality Ratings | ||
as of June 30, 2021 as a % of Fair Value (a)* | ||
Moody’s / S&P / Rating | Percentage of Fair Value | |
Aaa / AAA | 7.40% | |
Aa / AA | 50.88% | |
A / A | 8.07% | |
Baa / BBB | 27.34% | |
Ba / BB and lower | 4.48% | |
NR / Other | 1.83% | |
100.00% |
(a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
State Street Income Fund | 7 |
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||
Account value at the | |||
beginning of the period January 1, 2021 | $1,000.00 | $1,000.00 | |
Account value at the end of the period June 30, 2021 | $ 990.00 | $1,024.00 | |
Expenses Paid During Period* | $ 0.84 | $ 0.85 |
* | Expenses are equal to the Fund's annualized expense ratio of 0.17% (for the period January 1, 2021 - June 30, 2021), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 | State Street Income Fund |
Principal Amount | Fair Value | |
Bonds and Notes - 97.8% † | ||
U.S. Treasuries - 24.0% | ||
U.S. Treasury Bonds | ||
1.13%, 05/15/40 (a) | $ 31,285,000 | $ 27,012,642 |
1.25%, 05/15/50 (a) | 13,925,000 | 11,368,457 |
2.25%, 08/15/46 (a) | 14,668,000 | 15,160,753 |
3.00%, 08/15/48 (a) | 32,000,000 | 38,190,000 |
U.S. Treasury Notes | ||
0.13%, 07/15/23 - 12/15/23 | 24,362,000 | 24,248,123 |
0.25%, 07/31/25 (a) | 47,219,000 | 46,322,577 |
0.75%, 04/30/26 | 53,726,000 | 53,457,370 |
0.75%, 01/31/28 (a) | 127,316,000 | 123,954,062 |
1.38%, 01/31/22 | 58,061,000 | 58,505,530 |
1.63%, 05/15/31 | 54,597,000 | 55,450,078 |
2.63%, 02/15/29 (a) | 11,129,000 | 12,203,644 |
465,873,236 | ||
Agency Mortgage Backed - 23.2% | ||
Federal Home Loan Mortgage Corp. | ||
3.00%, 04/01/43 - 10/01/49 (a) | 55,393,587 | 58,634,121 |
4.50%, 06/01/33 - 02/01/35 (a) | 48,077 | 53,589 |
5.00%, 07/01/35 (a) | 462,632 | 526,259 |
5.50%, 01/01/38 - 04/01/39 (a) | 825,879 | 964,849 |
6.00%, 06/01/33 - 11/01/37 (a) | 1,692,183 | 1,977,714 |
6.50%, 07/01/29 (a) | 13,124 | 14,177 |
7.00%, 01/01/27 - 08/01/36 (a) | 378,268 | 441,198 |
7.50%, 01/01/28 - 09/01/33 (a) | 28,962 | 31,903 |
8.00%, 11/01/30 (a) | 2,376 | 2,694 |
8.50%, 04/01/30 (a) | 5,512 | 6,966 |
Federal National Mortgage Assoc. | ||
2.50%, 02/01/51 (a) | 65,937,301 | 68,547,226 |
2.50%, 03/01/51 | 19,816,157 | 20,583,153 |
3.00%, 03/01/50 (a) | 11,169,358 | 11,683,244 |
3.50%, 08/01/45 - 01/01/48 (a) | 24,328,236 | 26,052,916 |
4.00%, 01/01/41 - 01/01/50 (a) | 30,801,941 | 33,340,209 |
4.50%, 07/01/33 - 12/01/48 (a) | 14,618,660 | 16,060,112 |
5.00%, 03/01/34 - 05/01/39 (a) | 1,235,645 | 1,404,271 |
5.50%, 12/01/32 - 01/01/39 (a) | 4,251,272 | 4,917,077 |
6.00%, 09/01/21 - 05/01/41 (a) | 7,749,831 | 9,065,787 |
6.50%, 10/01/28 - 08/01/36 (a) | 269,374 | 302,111 |
Principal Amount | Fair Value | |
7.00%, 10/01/32 - 02/01/34 (a) | $ 39,111 | $ 43,435 |
7.50%, 11/01/22 - 03/01/33 (a) | 153,050 | 172,821 |
8.00%, 06/01/24 - 10/01/31 (a) | 55,539 | 60,391 |
8.50%, 04/01/30 (a) | 12,058 | 14,536 |
9.00%, 03/01/22 - 12/01/22 (a) | 2,271 | 2,286 |
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | ||
1.85%, 04/01/37 (a)(b) | 14,933 | 15,236 |
Federal National Mortgage Assoc. TBA | ||
2.00%, 07/01/36 - 07/01/51 (c) | 82,164,083 | 84,531,733 |
Government National Mortgage Assoc. | ||
3.00%, 12/20/42 - 05/20/45 (a) | 59,415,406 | 63,105,259 |
3.50%, 08/20/48 (a) | 11,388,547 | 12,021,273 |
4.00%, 01/20/41 - 04/20/43 (a) | 7,213,486 | 7,914,787 |
4.50%, 08/15/33 - 03/20/41 (a) | 2,799,429 | 3,125,455 |
5.00%, 08/15/33 (a) | 152,066 | 170,213 |
6.00%, 04/15/27 - 09/15/36 (a) | 525,589 | 605,665 |
6.50%, 01/15/24 - 09/15/36 (a) | 369,777 | 411,353 |
7.00%, 03/15/26 - 10/15/36 (a) | 263,780 | 297,825 |
7.50%, 11/15/22 - 11/15/31 (a) | 82,651 | 87,176 |
8.00%, 12/15/29 - 05/15/30 (a) | 1,068 | 1,194 |
9.00%, 12/15/21 (a) | 50 | 49 |
Government National Mortgage Assoc. 1.50% + 1 year CMT | ||
2.00%, 01/20/24 - 03/20/24 (a)(b) | 670 | 677 |
2.13%, 11/20/21 - 10/20/25 (a)(b) | 3,516 | 3,551 |
2.25%, 08/20/23 - 09/20/24 (a)(b) | 1,073 | 1,082 |
2.88%, 04/20/24 (a)(b) | 517 | 524 |
Government National Mortgage Assoc. TBA | ||
2.50%, 07/01/51 (c) | 23,737,000 | 24,552,129 |
451,748,226 |
State Street Income Fund | 9 |
Principal Amount | Fair Value | |
Agency Collateralized Mortgage Obligations - 0.8% | ||
Federal Home Loan Mortgage Corp. | ||
0.08%, 09/25/43 (a)(b)(d) | $ 4,300,655 | $ 16,662 |
2.51%, 07/25/29 (a) | 6,504,000 | 7,003,850 |
4.05%, 09/25/28 (a)(b) | 2,313,000 | 2,717,602 |
Federal Home Loan Mortgage Corp. REMIC | ||
3.50%, 11/15/30 (a)(d) | 477,996 | 14,534 |
5.50%, 06/15/33 (a)(d) | 146,055 | 23,691 |
7.50%, 07/15/27 (a)(d) | 6,087 | 916 |
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | ||
6.53%, 08/15/25 (a)(b)(d) | 62,377 | 598 |
Federal Home Loan Mortgage Corp. STRIPS | ||
1.47%, 08/01/27 (a)(e)(f) | 4,050 | 3,855 |
8.00%, 02/01/23 - 07/01/24 (a)(d) | 8,237 | 682 |
Federal National Mortgage Assoc. REMIC | ||
1.11%, 12/25/42 (a)(b)(d) | 612,174 | 20,273 |
5.00%, 02/25/40 - 09/25/40 (a)(d) | 430,931 | 47,071 |
8.00%, 05/25/22 (a)(d) | 2 | 7 |
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | ||
5.91%, 07/25/38 (a)(b)(d) | 184,550 | 25,454 |
Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | ||
6.46%, 11/25/41 (a)(b)(d) | 21,282,237 | 4,424,377 |
Federal National Mortgage Assoc. STRIPS | ||
1.87%, 12/25/34 (a)(e)(f) | 136,909 | 122,172 |
4.50%, 08/25/35 - 01/25/36 (a)(d) | 322,154 | 43,270 |
5.00%, 03/25/38 - 05/25/38 (a)(d) | 196,839 | 37,006 |
5.50%, 12/25/33 (a)(d) | 54,513 | 10,499 |
6.00%, 01/25/35 (a)(d) | 217,649 | 35,212 |
7.50%, 11/25/23 (a)(d) | 22,014 | 1,487 |
8.00%, 08/25/23 - 07/25/24 (a)(d) | 14,843 | 1,297 |
8.50%, 07/25/22 (a)(d) | 845 | 14 |
8.50%, 07/25/22 (a)(d)** | 6 | — |
9.00%, 05/25/22 (a)(d) | 265 | 2 |
14,550,531 |
Principal Amount | Fair Value | |
Asset Backed - 1.4% | ||
American Express Credit Account Master Trust | ||
3.18%, 04/15/24 (a) | $ 5,865,000 | $ 5,900,713 |
CarMax Auto Owner Trust 2018-3 | ||
3.13%, 06/15/23 (a) | 598,809 | 604,225 |
Chase Funding Trust 2004-1 | ||
4.99%, 11/25/33 (a)(g) | 412,860 | 412,860 |
Enterprise Fleet Financing 2019-1 LLC | ||
3.07%, 10/20/24 (a)(h) | 4,214,000 | 4,342,799 |
Ford Credit Auto Owner Trust 2020-B | ||
0.56%, 10/15/24 (a) | 8,079,000 | 8,108,132 |
Nissan Auto Lease Trust 2019-A | ||
2.76%, 03/15/22 (a) | 26,978 | 27,001 |
Nissan Auto Lease Trust 2020-A | ||
1.80%, 05/16/22 (a) | 262,298 | 262,619 |
Santander Retail Auto Lease Trust 2019-B | ||
2.30%, 01/20/23 (a)(h) | 7,276,021 | 7,337,978 |
Securitized Term Auto Receivables Trust 2018-1 | ||
3.30%, 11/25/22 (a)(h) | 814,666 | 819,303 |
27,815,630 | ||
Corporate Notes - 38.0% | ||
3M Co. | ||
3.13%, 09/19/46 (a) | 843,000 | 893,310 |
7-Eleven Inc. | ||
0.95%, 02/10/26 (a)(h) | 2,956,000 | 2,901,905 |
Abbott Laboratories | ||
3.75%, 11/30/26 (a) | 569,000 | 643,630 |
4.90%, 11/30/46 (a) | 463,000 | 631,856 |
AbbVie Inc. | ||
2.60%, 11/21/24 (a) | 1,094,000 | 1,153,995 |
2.95%, 11/21/26 (a) | 1,191,000 | 1,280,373 |
3.20%, 05/14/26 - 11/21/29 (a) | 1,680,000 | 1,822,478 |
3.25%, 10/01/22 (a) | 746,000 | 766,836 |
3.45%, 03/15/22 (a) | 1,638,000 | 1,665,699 |
4.05%, 11/21/39 (a) | 496,000 | 575,782 |
4.25%, 11/21/49 (a) | 737,000 | 883,656 |
4.63%, 10/01/42 (a) | 92,000 | 113,727 |
4.70%, 05/14/45 (a) | 173,000 | 215,845 |
4.88%, 11/14/48 (a) | 165,000 | 213,951 |
5.00%, 12/15/21 (a) | 1,633,000 | 1,648,513 |
Advance Auto Parts Inc. | ||
3.90%, 04/15/30 (a) | 1,993,000 | 2,228,393 |
10 | State Street Income Fund |
Principal Amount | Fair Value | |
AEP Texas Inc. | ||
3.45%, 05/15/51 (a) | $ 1,285,000 | $ 1,328,896 |
Aetna Inc. | ||
3.50%, 11/15/24 (a) | 568,000 | 614,491 |
Aircastle Ltd. | ||
4.25%, 06/15/26 (a) | 877,000 | 951,922 |
Alcoa Nederland Holding BV | ||
5.50%, 12/15/27 (a)(h) | 1,047,000 | 1,134,226 |
Alcon Finance Corp. | ||
2.60%, 05/27/30 (a)(h) | 358,000 | 365,880 |
3.80%, 09/23/49 (a)(h) | 200,000 | 222,346 |
Alexandria Real Estate Equities Inc. | ||
1.88%, 02/01/33 (a) | 503,000 | 476,074 |
4.70%, 07/01/30 (a) | 303,000 | 361,055 |
Alibaba Group Holding Ltd. | ||
3.40%, 12/06/27 (a) | 300,000 | 327,741 |
4.00%, 12/06/37 (a) | 450,000 | 504,742 |
4.20%, 12/06/47 (a) | 339,000 | 391,175 |
Ally Financial Inc. | ||
5.75%, 11/20/25 (a) | 829,000 | 950,880 |
Alphabet Inc. | ||
1.10%, 08/15/30 (a) | 497,000 | 472,090 |
Altria Group Inc. | ||
3.40%, 05/06/30 - 02/04/41 (a) | 656,000 | 646,657 |
4.00%, 02/04/61 (a) | 248,000 | 239,030 |
4.25%, 08/09/42 (a) | 68,000 | 71,040 |
4.45%, 05/06/50 (a) | 329,000 | 350,086 |
4.50%, 05/02/43 (a) | 230,000 | 248,313 |
Amazon.com Inc. | ||
1.50%, 06/03/30 (a) | 370,000 | 362,556 |
2.50%, 06/03/50 (a) | 455,000 | 429,752 |
2.70%, 06/03/60 (a) | 353,000 | 336,353 |
2.88%, 05/12/41 (a) | 775,000 | 800,102 |
3.25%, 05/12/61 (a) | 581,000 | 615,064 |
4.25%, 08/22/57 (a) | 149,000 | 190,648 |
Amcor Flexibles North America Inc. | ||
2.69%, 05/25/31 (a) | 1,257,000 | 1,281,499 |
Ameren Corp. | ||
2.50%, 09/15/24 (a) | 1,616,000 | 1,702,181 |
3.65%, 02/15/26 (a) | 386,000 | 423,315 |
America Movil SAB de C.V. | ||
3.13%, 07/16/22 (a) | 1,469,000 | 1,508,957 |
4.38%, 04/22/49 (a) | 300,000 | 370,632 |
American Campus Communities Operating Partnership LP | ||
4.13%, 07/01/24 (a) | 331,000 | 360,764 |
American Electric Power Company Inc. | ||
2.30%, 03/01/30 (a) | 424,000 | 426,493 |
3.25%, 03/01/50 (a) | 353,000 | 352,485 |
Principal Amount | Fair Value | |
American International Group Inc. | ||
4.25%, 03/15/29 (a) | $ 525,000 | $ 605,950 |
4.50%, 07/16/44 (a) | 501,000 | 608,129 |
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | ||
5.75%, 04/01/48 (a)(b) | 151,000 | 171,870 |
American Tower Corp. | ||
1.50%, 01/31/28 (a) | 1,438,000 | 1,400,670 |
2.90%, 01/15/30 (a) | 506,000 | 531,948 |
3.70%, 10/15/49 (a) | 286,000 | 309,955 |
3.80%, 08/15/29 (a) | 622,000 | 693,741 |
American Water Capital Corp. | ||
2.95%, 09/01/27 (a) | 457,000 | 493,597 |
Amgen Inc. | ||
2.45%, 02/21/30 (a) | 211,000 | 217,520 |
3.15%, 02/21/40 | 849,000 | 882,960 |
3.38%, 02/21/50 (a) | 231,000 | 243,425 |
4.56%, 06/15/48 (a) | 416,000 | 523,033 |
4.66%, 06/15/51 (a) | 173,000 | 223,426 |
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||
3.65%, 02/01/26 (a) | 1,028,000 | 1,136,454 |
4.70%, 02/01/36 (a) | 256,000 | 313,976 |
4.90%, 02/01/46 (a) | 560,000 | 708,350 |
Anheuser-Busch InBev Worldwide Inc. | ||
3.50%, 06/01/30 (a) | 567,000 | 630,169 |
4.00%, 04/13/28 (a) | 182,000 | 207,218 |
4.35%, 06/01/40 (a) | 552,000 | 656,886 |
4.38%, 04/15/38 (a) | 894,000 | 1,065,416 |
4.50%, 06/01/50 (a) | 437,000 | 532,873 |
4.60%, 04/15/48 (a) | 323,000 | 394,893 |
4.75%, 04/15/58 (a) | 252,000 | 315,713 |
5.55%, 01/23/49 (a) | 587,000 | 807,102 |
Anthem Inc. | ||
2.88%, 09/15/29 (a) | 283,000 | 301,098 |
3.30%, 01/15/23 (a) | 532,000 | 555,068 |
3.60%, 03/15/51 (a) | 310,000 | 340,665 |
3.70%, 09/15/49 (a) | 283,000 | 314,634 |
ANZ New Zealand International Ltd. | ||
3.45%, 01/21/28 (a)(h) | 887,000 | 981,377 |
Apollo Management Holdings LP | ||
2.65%, 06/05/30 (a)(h) | 428,000 | 434,566 |
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | �� | |
4.95%, 01/14/50 (b)(h) | 476,000 | 493,631 |
State Street Income Fund | 11 |
Principal Amount | Fair Value | |
Apple Inc. | ||
2.20%, 09/11/29 (a) | $ 565,000 | $ 587,798 |
2.65%, 02/08/51 (a) | 867,000 | 850,518 |
2.80%, 02/08/61 (a) | 619,000 | 605,481 |
2.95%, 09/11/49 (a) | 373,000 | 386,752 |
3.35%, 02/09/27 (a) | 273,000 | 303,041 |
3.45%, 02/09/45 (a) | 949,000 | 1,064,351 |
3.85%, 08/04/46 (a) | 854,000 | 1,014,364 |
Applied Materials Inc. | ||
4.35%, 04/01/47 (a) | 323,000 | 411,554 |
Aptiv PLC | ||
4.40%, 10/01/46 (a) | 386,000 | 450,601 |
Archer-Daniels-Midland Co. | ||
2.50%, 08/11/26 (a) | 334,000 | 355,232 |
Ares Capital Corp. | ||
2.88%, 06/15/28 | 1,937,000 | 1,964,467 |
3.25%, 07/15/25 (a) | 3,612,000 | 3,800,546 |
Arthur J Gallagher & Co. | ||
2.50%, 05/20/31 (a) | 3,096,000 | 3,128,972 |
3.50%, 05/20/51 (a) | 970,000 | 1,017,113 |
Ascension Health | ||
4.85%, 11/15/53 (a) | 632,000 | 887,821 |
Astrazeneca Finance LLC | ||
1.75%, 05/28/28 | 1,247,000 | 1,246,389 |
2.25%, 05/28/31 | 506,000 | 513,054 |
AstraZeneca PLC | ||
3.00%, 05/28/51 | 588,000 | 604,505 |
4.00%, 01/17/29 (a) | 259,000 | 297,705 |
4.38%, 08/17/48 (a) | 140,000 | 176,571 |
AT&T Inc. | ||
1.70%, 03/25/26 (a) | 4,864,000 | 4,916,239 |
2.30%, 06/01/27 (a) | 893,000 | 924,148 |
2.75%, 06/01/31 (a) | 1,786,000 | 1,856,708 |
3.30%, 02/01/52 (a) | 604,000 | 588,284 |
3.85%, 06/01/60 (a) | 834,000 | 879,745 |
4.35%, 03/01/29 (a) | 858,000 | 993,152 |
4.45%, 04/01/24 (a) | 513,000 | 560,535 |
4.50%, 05/15/35 (a) | 612,000 | 718,231 |
4.55%, 03/09/49 (a) | 331,000 | 388,478 |
4.75%, 05/15/46 (a) | 196,000 | 238,116 |
4.80%, 06/15/44 (a) | 414,000 | 497,810 |
4.85%, 03/01/39 (a) | 799,000 | 971,384 |
5.25%, 03/01/37 (a) | 415,000 | 523,452 |
5.35%, 12/15/43 (a) | 457,000 | 571,168 |
5.45%, 03/01/47 (a) | 398,000 | 525,189 |
Athene Holding Ltd. | ||
4.13%, 01/12/28 (a) | 437,000 | 488,391 |
6.15%, 04/03/30 (a) | 854,000 | 1,078,602 |
Avangrid Inc. | ||
3.15%, 12/01/24 (a) | 959,000 | 1,027,051 |
Baidu, Inc. | ||
2.38%, 10/09/30 (a) | 765,000 | 767,532 |
Principal Amount | Fair Value | |
Bain Capital Specialty Finance Inc. | ||
2.95%, 03/10/26 (a) | $ 1,290,000 | $ 1,321,270 |
Bank of America Corp. | ||
3.25%, 10/21/27 (a) | 315,000 | 341,693 |
4.18%, 11/25/27 (a) | 1,075,000 | 1,203,656 |
4.25%, 10/22/26 (a) | 1,062,000 | 1,198,998 |
Bank of America Corp. (1.73% fixed rate until 07/22/26; 0.96% + SOFR thereafter) | ||
1.73%, 07/22/27 (a)(b) | 1,363,000 | 1,374,258 |
Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | ||
2.09%, 06/14/29 (b) | 1,937,000 | 1,952,825 |
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | ||
2.59%, 04/29/31 (a)(b) | 2,414,000 | 2,484,996 |
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | ||
3.12%, 01/20/23 (a)(b) | 600,000 | 609,042 |
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | ||
3.37%, 01/23/26 (a)(b) | 456,000 | 491,481 |
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | ||
3.42%, 12/20/28 (a)(b) | 516,000 | 562,610 |
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | ||
3.56%, 04/23/27 (a)(b) | 1,418,000 | 1,552,483 |
Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | ||
3.71%, 04/24/28 (a)(b) | 1,140,000 | 1,260,578 |
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | ||
3.95%, 01/23/49 (a)(b) | 243,000 | 281,149 |
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | ||
4.24%, 04/24/38 (a)(b) | 711,000 | 845,009 |
12 | State Street Income Fund |
Principal Amount | Fair Value | |
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | ||
4.27%, 07/23/29 (a)(b) | $ 256,000 | $ 294,205 |
Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | ||
4.30%, 12/31/99 (a)(b) | 1,136,000 | 1,173,568 |
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | ||
4.44%, 01/20/48 (a)(b) | 359,000 | 444,955 |
Barclays PLC | ||
4.38%, 01/12/26 (a) | 911,000 | 1,020,712 |
4.84%, 05/09/28 (a) | 276,000 | 309,755 |
Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | ||
2.65%, 06/24/31 (b) | 1,619,000 | 1,638,622 |
Barclays PLC (2.85% fixed rate until 05/07/25; 2.71% + SOFR thereafter) | ||
2.85%, 05/07/26 (a)(b) | 1,320,000 | 1,394,356 |
Barclays PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) | ||
4.97%, 05/16/29 (a)(b) | 507,000 | 594,087 |
Barrick North America Finance LLC | ||
5.70%, 05/30/41 (a) | 95,000 | 130,721 |
BAT Capital Corp. | ||
2.73%, 03/25/31 (a) | 864,000 | 851,014 |
4.39%, 08/15/37 (a) | 636,000 | 686,187 |
4.54%, 08/15/47 (a) | 287,000 | 302,627 |
4.70%, 04/02/27 (a) | 542,000 | 612,346 |
4.91%, 04/02/30 (a) | 567,000 | 651,630 |
BAT International Finance PLC | ||
1.67%, 03/25/26 (a) | 552,000 | 552,684 |
Baxter International Inc. | ||
3.95%, 04/01/30 (a) | 248,000 | 285,478 |
Bayer US Finance II LLC | ||
3.88%, 12/15/23 (a)(h) | 608,000 | 651,235 |
Baylor Scott & White Holdings | ||
2.84%, 11/15/50 (a) | 134,000 | 134,421 |
Becton Dickinson & Co. | ||
2.89%, 06/06/22 (a) | 664,000 | 678,488 |
3.70%, 06/06/27 (a) | 493,000 | 548,004 |
3.73%, 12/15/24 (a) | 30,000 | 32,676 |
4.67%, 06/06/47 (a) | 64,000 | 79,755 |
4.69%, 12/15/44 (a) | 74,000 | 92,277 |
Principal Amount | Fair Value | |
Berkshire Hathaway Energy Co. | ||
3.25%, 04/15/28 (a) | $ 281,000 | $ 308,799 |
3.70%, 07/15/30 (a) | 634,000 | 718,538 |
3.80%, 07/15/48 (a) | 248,000 | 281,691 |
4.25%, 10/15/50 (a) | 541,000 | 663,888 |
6.13%, 04/01/36 (a) | 252,000 | 355,098 |
Berkshire Hathaway Finance Corp. | ||
1.45%, 10/15/30 (a) | 574,000 | 561,010 |
2.85%, 10/15/50 (a) | 426,000 | 424,692 |
4.25%, 01/15/49 (a) | 364,000 | 452,059 |
Berry Global Inc. | ||
4.88%, 07/15/26 (a)(h) | 1,462,000 | 1,546,650 |
BHP Billiton Finance USA Ltd. | ||
5.00%, 09/30/43 (a) | 148,000 | 201,076 |
Biogen Inc. | ||
2.25%, 05/01/30 (a) | 269,000 | 269,716 |
3.15%, 05/01/50 (a) | 174,000 | 171,103 |
Block Financial LLC | ||
2.50%, 07/15/28 | 750,000 | 752,857 |
3.88%, 08/15/30 (a) | 263,000 | 284,385 |
BNP Paribas S.A. (2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter) | ||
2.82%, 11/19/25 (a)(b)(h) | 1,007,000 | 1,059,243 |
BNP Paribas S.A. (5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter) | ||
5.13%, 12/31/99 (a)(b)(h) | 600,000 | 642,564 |
Boardwalk Pipelines LP | ||
4.80%, 05/03/29 (a) | 557,000 | 645,970 |
Boston Scientific Corp. | ||
4.70%, 03/01/49 (a) | 240,000 | 307,195 |
BP Capital Markets America Inc. | ||
3.00%, 02/24/50 (a) | 682,000 | 662,420 |
3.02%, 01/16/27 (a) | 1,399,000 | 1,509,115 |
3.38%, 02/08/61 (a) | 1,162,000 | 1,167,729 |
BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | ||
4.38%, 12/31/99 (a)(b) | 1,086,000 | 1,158,795 |
BP Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | ||
4.88%, 12/31/99 (a)(b) | 853,000 | 936,125 |
Bristol-Myers Squibb Co. | ||
1.45%, 11/13/30 (a) | 615,000 | 594,545 |
2.35%, 11/13/40 (a) | 340,000 | 327,240 |
3.20%, 06/15/26 (a) | 453,000 | 497,308 |
State Street Income Fund | 13 |
Principal Amount | Fair Value | |
3.40%, 07/26/29 (a) | $ 541,000 | $ 606,028 |
3.45%, 11/15/27 (a) | 35,000 | 39,030 |
4.13%, 06/15/39 (a) | 442,000 | 534,382 |
4.25%, 10/26/49 (a) | 442,000 | 558,264 |
4.35%, 11/15/47 (a) | 59,000 | 74,791 |
4.55%, 02/20/48 (a) | 155,000 | 202,311 |
5.00%, 08/15/45 (a) | 111,000 | 151,888 |
Brixmor Operating Partnership LP | ||
2.25%, 04/01/28 (a) | 1,161,000 | 1,161,639 |
3.90%, 03/15/27 (a) | 231,000 | 253,890 |
Broadcom Inc. | ||
3.15%, 11/15/25 (a) | 334,000 | 358,255 |
3.42%, 04/15/33 (a)(h) | 807,000 | 850,885 |
3.47%, 04/15/34 (a)(h) | 40,000 | 42,336 |
4.15%, 11/15/30 (a) | 857,000 | 961,700 |
4.30%, 11/15/32 (a) | 568,000 | 646,736 |
Brown-Forman Corp. | ||
4.00%, 04/15/38 (a) | 142,000 | 167,238 |
Bunge Limited Finance Corp. | ||
3.75%, 09/25/27 (a) | 202,000 | 222,739 |
Burlington Northern Santa Fe LLC | ||
4.15%, 12/15/48 (a) | 501,000 | 614,617 |
4.55%, 09/01/44 (a) | 755,000 | 962,323 |
C&W Senior Financing DAC | ||
7.50%, 10/15/26 (a)(h) | 500,000 | 525,090 |
Cameron LNG LLC | ||
3.30%, 01/15/35 (a)(h) | 276,000 | 296,242 |
Canadian Natural Resources Ltd. | ||
3.85%, 06/01/27 (a) | 625,000 | 688,394 |
4.95%, 06/01/47 (a) | 122,000 | 152,175 |
Cantor Fitzgerald LP | ||
4.88%, 05/01/24 (a)(h) | 1,731,000 | 1,896,466 |
Capital One Financial Corp. | ||
3.75%, 07/28/26 (a) | 1,058,000 | 1,167,112 |
4.75%, 07/15/21 (a) | 1,470,000 | 1,472,381 |
Cardinal Health Inc. | ||
2.62%, 06/15/22 (a) | 259,000 | 264,196 |
3.08%, 06/15/24 (a) | 280,000 | 297,086 |
Carrier Global Corp. | ||
2.72%, 02/15/30 (a) | 538,000 | 557,771 |
3.58%, 04/05/50 (a) | 538,000 | 571,071 |
Caterpillar Inc. | ||
3.25%, 09/19/49 - 04/09/50 (a) | 822,000 | 908,033 |
Celulosa Arauco y Constitucion S.A. | ||
4.20%, 01/29/30 (a)(h) | 541,000 | 585,346 |
Centene Corp. | ||
3.38%, 02/15/30 (a) | 1,097,000 | 1,146,508 |
4.25%, 12/15/27 (a) | 3,230,000 | 3,407,424 |
5.38%, 08/15/26 (a)(h) | 4,892,000 | 5,112,629 |
Principal Amount | Fair Value | |
CenterPoint Energy Inc. | ||
2.65%, 06/01/31 (a) | $ 893,000 | $ 911,217 |
Charter Communications Operating LLC/Charter Communications Operating Capital | ||
3.50%, 06/01/41 (a) | 775,000 | 780,254 |
3.70%, 04/01/51 (a) | 1,162,000 | 1,156,376 |
4.46%, 07/23/22 (a) | 1,014,000 | 1,049,622 |
4.80%, 03/01/50 (a) | 285,000 | 328,351 |
4.91%, 07/23/25 (a) | 214,000 | 242,650 |
5.05%, 03/30/29 (a) | 990,000 | 1,170,279 |
5.75%, 04/01/48 (a) | 308,000 | 393,054 |
Cheniere Corpus Christi Holdings LLC | ||
5.88%, 03/31/25 (a) | 1,415,000 | 1,623,302 |
7.00%, 06/30/24 (a) | 2,333,000 | 2,671,728 |
Chevron Corp. | ||
2.24%, 05/11/30 (a) | 295,000 | 304,225 |
2.98%, 05/11/40 (a) | 416,000 | 435,007 |
3.08%, 05/11/50 (a) | 282,000 | 291,988 |
Chevron USA Inc. | ||
3.85%, 01/15/28 (a) | 1,032,000 | 1,176,511 |
3.90%, 11/15/24 (a) | 322,000 | 353,067 |
4.20%, 10/15/49 (a) | 285,000 | 350,692 |
5.05%, 11/15/44 (a) | 111,000 | 148,962 |
Choice Hotels International Inc. | ||
3.70%, 01/15/31 (a) | 629,000 | 680,911 |
Chubb INA Holdings Inc. | ||
4.35%, 11/03/45 (a) | 401,000 | 507,052 |
Cigna Corp. | ||
2.40%, 03/15/30 (a) | 534,000 | 545,235 |
3.25%, 04/15/25 (a) | 438,000 | 472,068 |
3.40%, 03/01/27 - 03/15/51 (a) | 810,000 | 864,897 |
3.75%, 07/15/23 (a) | 187,000 | 199,097 |
3.88%, 10/15/47 (a) | 148,000 | 165,482 |
4.13%, 11/15/25 (a) | 863,000 | 967,328 |
4.38%, 10/15/28 (a) | 270,000 | 314,264 |
4.80%, 08/15/38 (a) | 237,000 | 295,188 |
4.90%, 12/15/48 (a) | 120,000 | 155,100 |
Cisco Systems Inc. | ||
5.90%, 02/15/39 (a) | 296,000 | 430,822 |
Citadel Finance LLC | ||
3.38%, 03/09/26 (a)(h) | 3,500,000 | 3,511,130 |
Citigroup Inc. | ||
4.13%, 07/25/28 (a) | 3,428,000 | 3,865,687 |
4.45%, 09/29/27 (a) | 630,000 | 719,523 |
4.65%, 07/23/48 (a) | 750,000 | 982,380 |
Citigroup Inc. (0.98% fixed rate until 05/01/24; 0.67% + SOFR thereafter) | ||
0.98%, 05/01/25 (a)(b) | 775,000 | 776,930 |
14 | State Street Income Fund |
Principal Amount | Fair Value | |
Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | ||
1.68%, 05/15/24 (a)(b) | $ 3,628,000 | $ 3,704,805 |
Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | ||
2.56%, 05/01/32 (a)(b) | 860,000 | 876,134 |
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | ||
2.88%, 07/24/23 (a)(b) | 231,000 | 236,884 |
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | ||
2.98%, 11/05/30 (a)(b) | 524,000 | 555,817 |
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | ||
3.88%, 01/24/39 (a)(b) | 248,000 | 284,630 |
Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | ||
4.70%, 12/31/99 (a)(b) | 1,659,000 | 1,710,495 |
CME Group Inc. | ||
3.75%, 06/15/28 (a) | 310,000 | 353,456 |
CMS Energy Corp. | ||
4.88%, 03/01/44 (a) | 839,000 | 1,072,225 |
CNA Financial Corp. | ||
3.45%, 08/15/27 (a) | 234,000 | 256,389 |
3.90%, 05/01/29 (a) | 552,000 | 620,779 |
CNH Industrial Capital LLC | ||
1.95%, 07/02/23 (a) | 1,168,000 | 1,197,434 |
CNOOC Finance 2014 ULC | ||
4.25%, 04/30/24 (a) | 2,095,000 | 2,272,845 |
CNOOC Petroleum North America ULC | ||
6.40%, 05/15/37 (a) | 540,000 | 708,755 |
Comcast Corp. | ||
2.65%, 08/15/62 (a) | 419,000 | 382,405 |
2.80%, 01/15/51 (a) | 476,000 | 458,098 |
3.10%, 04/01/25 (a) | 605,000 | 652,650 |
3.20%, 07/15/36 (a) | 518,000 | 554,597 |
3.25%, 11/01/39 (a) | 832,000 | 885,340 |
3.45%, 02/01/50 (a) | 405,000 | 438,708 |
3.97%, 11/01/47 (a) | 576,000 | 671,967 |
4.15%, 10/15/28 (a) | 567,000 | 656,541 |
4.60%, 08/15/45 (a) | 269,000 | 337,998 |
4.70%, 10/15/48 (a) | 275,000 | 356,529 |
CommonSpirit Health | ||
4.35%, 11/01/42 | 1,029,000 | 1,202,561 |
Conagra Brands Inc. | ||
5.30%, 11/01/38 (a) | 259,000 | 329,419 |
Principal Amount | Fair Value | |
5.40%, 11/01/48 (a) | $ 226,000 | $ 302,078 |
ConocoPhillips | ||
3.75%, 10/01/27 (a)(h) | 163,000 | 183,086 |
4.30%, 08/15/28 (a)(h) | 548,000 | 635,653 |
4.88%, 10/01/47 (a)(h) | 273,000 | 358,564 |
ConocoPhillips Co. | ||
4.30%, 11/15/44 (a) | 522,000 | 629,078 |
Consolidated Edison Company of New York Inc. | ||
2.90%, 12/01/26 (a) | 636,000 | 679,013 |
3.35%, 04/01/30 (a) | 244,000 | 268,637 |
3.88%, 06/15/47 (a) | 292,000 | 327,688 |
3.95%, 04/01/50 (a) | 406,000 | 461,744 |
Constellation Brands Inc. | ||
3.15%, 08/01/29 (a) | 1,167,000 | 1,254,397 |
3.70%, 12/06/26 (a) | 545,000 | 606,236 |
4.50%, 05/09/47 (a) | 420,000 | 507,902 |
Continental Resources Inc. | ||
3.80%, 06/01/24 (a) | 4,052,000 | 4,285,030 |
4.50%, 04/15/23 (a) | 2,697,000 | 2,812,809 |
Corning Inc. | ||
4.38%, 11/15/57 (a) | 284,000 | 338,443 |
Corporate Nacional del Cobre de Chile | ||
3.15%, 01/15/51 (a)(h) | 1,200,000 | 1,159,200 |
Corporate Office Properties LP | ||
2.25%, 03/15/26 (a) | 783,000 | 804,885 |
2.75%, 04/15/31 (a) | 488,000 | 491,787 |
Credit Suisse AG | ||
2.95%, 04/09/25 (a) | 1,080,000 | 1,157,296 |
Credit Suisse Group AG | ||
3.80%, 06/09/23 (a) | 937,000 | 992,320 |
4.28%, 01/09/28 (a)(h) | 593,000 | 659,855 |
Credit Suisse Group AG (3.09% fixed rate until 11/05/29; 1.73% + SOFR thereafter) | ||
3.09%, 05/14/32 (a)(b)(h) | 1,246,000 | 1,283,829 |
Crown Castle International Corp. | ||
3.30%, 07/01/30 (a) | 1,565,000 | 1,680,935 |
4.15%, 07/01/50 (a) | 237,000 | 270,490 |
5.20%, 02/15/49 (a) | 366,000 | 475,566 |
CSX Corp. | ||
4.50%, 03/15/49 - 08/01/54 (a) | 833,000 | 1,046,989 |
CubeSmart LP | ||
4.38%, 02/15/29 (a) | 843,000 | 964,358 |
Cummins Inc. | ||
1.50%, 09/01/30 (a) | 578,000 | 557,678 |
2.60%, 09/01/50 (a) | 578,000 | 550,441 |
CVS Health Corp. | ||
3.00%, 08/15/26 (a) | 592,000 | 638,395 |
State Street Income Fund | 15 |
Principal Amount | Fair Value | |
3.25%, 08/15/29 (a) | $ 491,000 | $ 533,943 |
3.63%, 04/01/27 (a) | 556,000 | 615,192 |
3.75%, 04/01/30 (a) | 405,000 | 454,029 |
3.88%, 07/20/25 (a) | 312,000 | 344,492 |
4.25%, 04/01/50 (a) | 296,000 | 351,832 |
4.30%, 03/25/28 (a) | 124,000 | 142,451 |
4.78%, 03/25/38 (a) | 362,000 | 445,274 |
5.00%, 12/01/24 (a) | 723,000 | 812,891 |
5.13%, 07/20/45 (a) | 352,000 | 456,875 |
5.30%, 12/05/43 (a) | 596,000 | 788,133 |
Dell International LLC/EMC Corp. | ||
4.00%, 07/15/24 | 925,000 | 1,005,512 |
5.45%, 06/15/23 | 479,000 | 519,595 |
6.02%, 06/15/26 | 173,000 | 207,488 |
8.35%, 07/15/46 | 164,000 | 268,312 |
Deutsche Bank AG | ||
3.30%, 11/16/22 (a) | 875,000 | 905,459 |
3.70%, 05/30/24 (a) | 347,000 | 372,140 |
Deutsche Telekom AG | ||
3.63%, 01/21/50 (a)(h) | 309,000 | 327,515 |
Deutsche Telekom International Finance BV | ||
2.49%, 09/19/23 (a)(h) | 758,000 | 788,108 |
Devon Energy Corp. | ||
5.00%, 06/15/45 (a) | 187,000 | 220,058 |
DH Europe Finance II Sarl | ||
2.60%, 11/15/29 (a) | 508,000 | 531,917 |
3.25%, 11/15/39 (a) | 289,000 | 309,990 |
3.40%, 11/15/49 (a) | 145,000 | 159,500 |
Diamondback Energy Inc. | ||
2.88%, 12/01/24 (a) | 884,000 | 934,459 |
3.13%, 03/24/31 (a) | 775,000 | 805,806 |
3.25%, 12/01/26 (a) | 486,000 | 520,856 |
3.50%, 12/01/29 (a) | 416,000 | 445,885 |
4.40%, 03/24/51 (a) | 383,000 | 432,629 |
Digital Realty Trust LP | ||
3.60%, 07/01/29 (a) | 909,000 | 1,010,635 |
Discover Bank | ||
2.70%, 02/06/30 (a) | 535,000 | 560,134 |
Discovery Communications LLC | ||
2.95%, 03/20/23 (a) | 948,000 | 986,280 |
3.95%, 03/20/28 (a) | 407,000 | 453,146 |
4.95%, 05/15/42 (a) | 145,000 | 172,115 |
5.00%, 09/20/37 (a) | 187,000 | 226,451 |
Dollar General Corp. | ||
3.50%, 04/03/30 (a) | 331,000 | 364,037 |
4.13%, 04/03/50 (a) | 493,000 | 577,821 |
Dollar Tree Inc. | ||
4.00%, 05/15/25 (a) | 596,000 | 657,763 |
Dominion Energy Inc. | ||
3.07%, 08/15/24 (a)(g) | 650,000 | 689,552 |
Principal Amount | Fair Value | |
3.38%, 04/01/30 (a) | $ 835,000 | $ 910,367 |
Dover Corp. | ||
2.95%, 11/04/29 (a) | 571,000 | 613,722 |
DTE Energy Co. | ||
2.85%, 10/01/26 (a) | 268,000 | 285,699 |
3.85%, 12/01/23 (a) | 373,000 | 399,073 |
Duke Energy Carolinas LLC | ||
3.95%, 03/15/48 (a) | 332,000 | 389,622 |
Duke Energy Corp. | ||
2.55%, 06/15/31 | 1,162,000 | 1,178,245 |
3.30%, 06/15/41 | 1,162,000 | 1,189,435 |
3.50%, 06/15/51 | 1,162,000 | 1,201,403 |
3.75%, 09/01/46 (a) | 1,774,000 | 1,891,421 |
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | ||
4.88%, 12/31/99 (b) | 1,119,000 | 1,194,264 |
Duke Energy Progress LLC | ||
4.15%, 12/01/44 (a) | 316,000 | 381,621 |
Duke Realty LP | ||
3.05%, 03/01/50 (a) | 251,000 | 247,807 |
3.25%, 06/30/26 (a) | 331,000 | 359,214 |
DuPont de Nemours Inc. | ||
5.42%, 11/15/48 (a) | 208,000 | 288,856 |
Duquesne Light Holdings Inc. | ||
3.62%, 08/01/27 (a)(h) | 876,000 | 951,721 |
Eastman Chemical Co. | ||
4.65%, 10/15/44 (a) | 566,000 | 687,667 |
Eaton Corp. | ||
3.10%, 09/15/27 (a) | 351,000 | 381,895 |
Ecolab Inc. | ||
1.30%, 01/30/31 (a) | 580,000 | 548,245 |
Edison International | ||
4.95%, 04/15/25 (a) | 1,209,000 | 1,339,790 |
5.75%, 06/15/27 (a) | 167,000 | 190,246 |
EI du Pont de Nemours & Co. | ||
2.30%, 07/15/30 (a) | 428,000 | 438,880 |
Electronic Arts Inc. | ||
1.85%, 02/15/31 (a) | 718,000 | 694,306 |
Eli Lilly & Co. | ||
3.95%, 03/15/49 (a) | 512,000 | 621,507 |
Emera US Finance LP | ||
2.64%, 06/15/31 (h) | 1,290,000 | 1,298,411 |
Emerson Electric Co. | ||
1.80%, 10/15/27 (a) | 373,000 | 381,956 |
2.75%, 10/15/50 (a) | 285,000 | 284,980 |
Empower Finance 2020 LP | ||
1.36%, 09/17/27 (a)(h) | 860,000 | 849,069 |
1.78%, 03/17/31 (a)(h) | 663,000 | 636,294 |
Enbridge Energy Partners LP | ||
5.50%, 09/15/40 (a) | 79,000 | 101,800 |
16 | State Street Income Fund |
Principal Amount | Fair Value | |
Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | ||
5.75%, 07/15/80 (a)(b) | $ 1,444,000 | $ 1,614,897 |
Enel Finance International N.V. | ||
3.63%, 05/25/27 (a)(h) | 795,000 | 874,110 |
Energy Transfer LP | ||
4.25%, 03/15/23 (a) | 697,000 | 731,501 |
4.50%, 04/15/24 (a) | 555,000 | 604,467 |
4.95%, 06/15/28 (a) | 185,000 | 214,532 |
5.30%, 04/01/44 - 04/15/47 (a) | 943,000 | 1,097,311 |
5.35%, 05/15/45 (a) | 775,000 | 896,900 |
6.13%, 12/15/45 (a) | 151,000 | 192,221 |
6.50%, 02/01/42 (a) | 436,000 | 565,985 |
Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | ||
6.75%, 12/31/99 (a)(b) | 2,488,000 | 2,501,087 |
Energy Transfer LP/Regency Energy Finance Corp. | ||
4.50%, 11/01/23 (a) | 354,000 | 379,467 |
Enterprise Products Operating LLC | ||
4.25%, 02/15/48 (a) | 816,000 | 938,596 |
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | ||
5.25%, 08/16/77 (a)(b) | 265,000 | 277,564 |
EOG Resources Inc. | ||
4.15%, 01/15/26 (a) | 367,000 | 413,257 |
4.38%, 04/15/30 (a) | 634,000 | 751,468 |
4.95%, 04/15/50 (a) | 288,000 | 384,759 |
5.10%, 01/15/36 (a) | 232,000 | 288,016 |
Equinix Inc. | ||
1.25%, 07/15/25 (a) | 974,000 | 976,805 |
2.15%, 07/15/30 (a) | 810,000 | 804,638 |
Equinor ASA | ||
3.25%, 11/18/49 (a) | 435,000 | 460,517 |
ERP Operating LP | ||
4.50%, 07/01/44 (a) | 192,000 | 241,928 |
Eversource Energy | ||
3.45%, 01/15/50 (a) | 565,000 | 596,939 |
Exelon Corp. | ||
3.50%, 06/01/22 (a) | 575,000 | 589,657 |
4.05%, 04/15/30 (a) | 854,000 | 972,305 |
4.45%, 04/15/46 (a) | 532,000 | 645,369 |
4.70%, 04/15/50 (a) | 568,000 | 717,197 |
Exxon Mobil Corp. | ||
2.61%, 10/15/30 (a) | 1,709,000 | 1,802,602 |
3.45%, 04/15/51 (a) | 889,000 | 967,383 |
Principal Amount | Fair Value | |
FedEx Corp. | ||
4.10%, 02/01/45 (a) | $ 1,253,000 | $ 1,432,104 |
Fidelity National Information Services Inc. | ||
1.15%, 03/01/26 | 1,608,000 | 1,595,297 |
1.65%, 03/01/28 (a) | 654,000 | 650,050 |
3.10%, 03/01/41 (a) | 151,000 | 155,133 |
FirstEnergy Transmission LLC | ||
4.55%, 04/01/49 (a)(h) | 741,000 | 859,493 |
Fiserv Inc. | ||
3.50%, 07/01/29 (a) | 380,000 | 418,312 |
4.40%, 07/01/49 (a) | 226,000 | 272,246 |
Florida Power & Light Co. | ||
2.85%, 04/01/25 (a) | 1,303,000 | 1,392,425 |
4.13%, 02/01/42 (a) | 312,000 | 380,219 |
Flowers Foods Inc. | ||
2.40%, 03/15/31 (a) | 695,000 | 696,362 |
Ford Motor Co. | ||
4.35%, 12/08/26 (a) | 525,000 | 563,556 |
Ford Motor Credit Company LLC | ||
3.10%, 05/04/23 (a) | 1,436,000 | 1,465,122 |
3.22%, 01/09/22 (a) | 354,000 | 357,621 |
3.34%, 03/28/22 (a) | 1,106,000 | 1,121,794 |
3.81%, 01/09/24 (a) | 945,000 | 987,610 |
5.88%, 08/02/21 (a) | 2,613,000 | 2,622,668 |
Fox Corp. | ||
3.50%, 04/08/30 (a) | 577,000 | 635,917 |
GA Global Funding Trust | ||
1.63%, 01/15/26 (a)(h) | 1,045,000 | 1,057,624 |
General Dynamics Corp. | ||
4.25%, 04/01/50 (a) | 434,000 | 555,876 |
General Mills Inc. | ||
3.00%, 02/01/51 (a)(h) | 453,000 | 456,420 |
General Motors Co. | ||
5.20%, 04/01/45 (a) | 83,000 | 102,779 |
5.40%, 10/02/23 - 04/01/48 (a) | 398,000 | 472,968 |
6.13%, 10/01/25 (a) | 1,090,000 | 1,290,331 |
6.80%, 10/01/27 (a) | 459,000 | 577,840 |
General Motors Financial Company Inc. | ||
1.25%, 01/08/26 (a) | 2,179,000 | 2,164,531 |
2.35%, 01/08/31 (a) | 570,000 | 562,294 |
3.45%, 01/14/22 - 04/10/22 (a) | 2,450,000 | 2,488,574 |
4.20%, 11/06/21 (a) | 2,704,000 | 2,739,882 |
5.25%, 03/01/26 (a) | 449,000 | 518,730 |
Georgia-Pacific LLC | ||
1.75%, 09/30/25 (a)(h) | 1,451,000 | 1,487,377 |
3.60%, 03/01/25 (a)(h) | 2,312,000 | 2,514,369 |
Gilead Sciences Inc. | ||
1.65%, 10/01/30 (a) | 336,000 | 324,919 |
2.60%, 10/01/40 (a) | 433,000 | 417,100 |
State Street Income Fund | 17 |
Principal Amount | Fair Value | |
2.80%, 10/01/50 (a) | $ 626,000 | $ 601,373 |
2.95%, 03/01/27 (a) | 96,000 | 103,320 |
3.50%, 02/01/25 (a) | 315,000 | 341,321 |
3.65%, 03/01/26 (a) | 316,000 | 348,523 |
4.15%, 03/01/47 (a) | 211,000 | 248,294 |
GlaxoSmithKline Capital Inc. | ||
3.38%, 05/15/23 (a) | 698,000 | 736,948 |
3.63%, 05/15/25 (a) | 660,000 | 728,158 |
GlaxoSmithKline Capital PLC | ||
3.38%, 06/01/29 (a) | 647,000 | 719,179 |
Glencore Finance Canada Ltd. | ||
4.25%, 10/25/22 (a)(h) | 1,403,000 | 1,468,408 |
4.95%, 11/15/21 (a)(h) | 556,000 | 565,035 |
Glencore Funding LLC | ||
3.88%, 04/27/51 (a)(h) | 1,161,000 | 1,218,435 |
Graphic Packaging International LLC | ||
1.51%, 04/15/26 (a)(h) | 1,281,000 | 1,274,377 |
Gray Oak Pipeline LLC | ||
2.00%, 09/15/23 (a)(h) | 1,827,000 | 1,864,289 |
2.60%, 10/15/25 (a)(h) | 1,315,000 | 1,352,780 |
Grupo Televisa SAB | ||
5.00%, 05/13/45 (a) | 382,000 | 455,409 |
Halliburton Co. | ||
3.80%, 11/15/25 (a) | 23,000 | 25,418 |
5.00%, 11/15/45 (a) | 251,000 | 306,466 |
HCA Inc. | ||
3.50%, 09/01/30 - 07/15/51 | 2,814,000 | 2,944,244 |
5.38%, 02/01/25 | 1,610,000 | 1,815,983 |
Health Care Service Corp. | ||
2.20%, 06/01/30 (a)(h) | 790,000 | 793,057 |
3.20%, 06/01/50 (a)(h) | 286,000 | 295,836 |
Healthcare Trust of America Holdings LP | ||
2.00%, 03/15/31 (a) | 466,000 | 451,195 |
Hess Corp. | ||
5.60%, 02/15/41 (a) | 122,000 | 152,577 |
5.80%, 04/01/47 (a) | 78,000 | 101,824 |
Hewlett Packard Enterprise Co. | ||
6.35%, 10/15/45 (a) | 134,000 | 180,946 |
Highwoods Realty LP | ||
4.13%, 03/15/28 (a) | 342,000 | 383,553 |
4.20%, 04/15/29 (a) | 832,000 | 936,241 |
Honeywell International Inc. | ||
2.70%, 08/15/29 (a) | 650,000 | 697,378 |
Hormel Foods Corp. | ||
1.80%, 06/11/30 (a) | 1,155,000 | 1,146,649 |
HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | ||
2.01%, 09/22/28 (a)(b) | 2,145,000 | 2,152,164 |
Principal Amount | Fair Value | |
HSBC Holdings PLC (2.80% fixed rate until 05/24/31; 1.19% + SOFR thereafter) | ||
2.80%, 05/24/32 (a)(b) | $ 630,000 | $ 646,695 |
HSBC Holdings PLC (4.00% fixed rate until 03/09/26; 3.22% + 5 year CMT Rate thereafter) | ||
4.00%, 12/31/99 (a)(b) | 924,000 | 940,484 |
HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) | ||
4.29%, 09/12/26 (a)(b) | 1,577,000 | 1,755,122 |
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | ||
6.00%, 12/31/99 (a)(b) | 801,000 | 889,046 |
HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) | ||
6.50%, 12/31/99 (a)(b) | 1,024,000 | 1,173,903 |
Huntington Bancshares Inc. | ||
2.55%, 02/04/30 (a) | 1,134,000 | 1,181,957 |
Huntsman International LLC | ||
2.95%, 06/15/31 (a) | 568,000 | 577,730 |
Hyundai Capital America | ||
1.30%, 01/08/26 (a)(h) | 2,179,000 | 2,151,348 |
3.10%, 04/05/22 (a)(h) | 485,000 | 493,822 |
Imperial Brands Finance PLC | ||
3.13%, 07/26/24 (a)(h) | 844,000 | 888,302 |
3.50%, 02/11/23 - 07/26/26 (a)(h) | 2,689,000 | 2,796,482 |
Indiana Michigan Power Co. | ||
3.25%, 05/01/51 (a) | 578,000 | 605,195 |
ING Groep N.V. | ||
4.10%, 10/02/23 (a) | 2,303,000 | 2,482,127 |
ING Groep N.V. (1.06% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | ||
1.06%, 04/01/27 (a)(b) | 2,042,000 | 2,062,563 |
Ingredion Inc. | ||
3.90%, 06/01/50 (a) | 289,000 | 324,449 |
Intel Corp. | ||
2.45%, 11/15/29 (a) | 1,092,000 | 1,150,171 |
2.60%, 05/19/26 (a) | 745,000 | 796,733 |
2.88%, 05/11/24 (a) | 423,000 | 449,729 |
3.10%, 02/15/60 (a) | 520,000 | 531,222 |
Intercontinental Exchange Inc. | ||
1.85%, 09/15/32 (a) | 289,000 | 274,322 |
2.65%, 09/15/40 (a) | 194,000 | 185,914 |
18 | State Street Income Fund |
Principal Amount | Fair Value | |
International Business Machines Corp. | ||
3.45%, 02/19/26 (a) | $ 807,000 | $ 890,863 |
4.15%, 05/15/39 (a) | 572,000 | 679,656 |
4.25%, 05/15/49 (a) | 227,000 | 280,776 |
International Paper Co. | ||
4.40%, 08/15/47 (a) | 419,000 | 524,135 |
Interstate Power & Light Co. | ||
3.40%, 08/15/25 (a) | 2,014,000 | 2,179,108 |
ITC Holdings Corp. | ||
2.95%, 05/14/30 (a)(h) | 1,426,000 | 1,503,189 |
JAB HOLDINGS BV | ||
2.20%, 11/23/30 (a)(h) | 498,000 | 485,162 |
Jabil Inc. | ||
3.95%, 01/12/28 (a) | 441,000 | 490,361 |
Jefferies Group LLC | ||
5.13%, 01/20/23 (a) | 422,000 | 451,249 |
John Deere Capital Corp. | ||
2.45%, 01/09/30 (a) | 1,390,000 | 1,462,766 |
Johnson & Johnson | ||
3.63%, 03/03/37 (a) | 285,000 | 332,259 |
Johnson Controls International PLC | ||
4.50%, 02/15/47 (a) | 181,000 | 227,046 |
JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | ||
1.58%, 04/22/27 (b) | 1,608,000 | 1,616,635 |
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | ��� | |
2.96%, 05/13/31 (a)(b) | 930,000 | 977,421 |
JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | ||
3.16%, 04/22/42 (a)(b) | 775,000 | 806,961 |
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | ||
3.88%, 07/24/38 (a)(b) | 612,000 | 704,742 |
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | ||
3.90%, 01/23/49 (a)(b) | 620,000 | 720,459 |
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | ||
3.96%, 01/29/27 (a)(b) | 1,022,000 | 1,137,966 |
Principal Amount | Fair Value | |
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | ||
4.01%, 04/23/29 (a)(b) | $ 421,000 | $ 476,854 |
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | ||
4.03%, 07/24/48 (a)(b) | 409,000 | 481,757 |
JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | ||
4.49%, 03/24/31 (a)(b) | 2,300,000 | 2,725,937 |
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | ||
4.60%, 12/31/99 (a)(b) | 1,446,000 | 1,497,174 |
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | ||
6.10%, 10/29/49 (a)(b) | 1,231,000 | 1,345,988 |
Kaiser Foundation Hospitals | ||
3.00%, 06/01/51 | 794,000 | 819,019 |
3.27%, 11/01/49 (a) | 846,000 | 919,001 |
Keurig Dr Pepper Inc. | ||
3.20%, 05/01/30 (a) | 636,000 | 689,125 |
3.80%, 05/01/50 (a) | 482,000 | 542,959 |
4.50%, 11/15/45 (a) | 246,000 | 300,093 |
4.60%, 05/25/28 (a) | 125,000 | 146,800 |
KeyCorp | ||
2.25%, 04/06/27 (a) | 1,698,000 | 1,761,200 |
Kinder Morgan Energy Partners LP | ||
4.70%, 11/01/42 (a) | 104,000 | 120,978 |
5.00%, 03/01/43 (a) | 221,000 | 265,699 |
6.38%, 03/01/41 (a) | 187,000 | 258,572 |
Kinder Morgan Inc. | ||
5.05%, 02/15/46 (a) | 175,000 | 212,327 |
KLA Corp. | ||
3.30%, 03/01/50 (a) | 566,000 | 601,369 |
4.10%, 03/15/29 (a) | 1,137,000 | 1,310,904 |
4.65%, 11/01/24 (a) | 703,000 | 784,984 |
Kohl's Corp. | ||
3.38%, 05/01/31 (a) | 1,426,000 | 1,477,222 |
5.55%, 07/17/45 (a) | 557,000 | 667,932 |
Kreditanstalt fuer Wiederaufbau | ||
2.00%, 10/04/22 (a) | 1,948,000 | 1,992,297 |
L3Harris Technologies Inc. | ||
3.85%, 12/15/26 (a) | 459,000 | 515,328 |
State Street Income Fund | 19 |
Principal Amount | Fair Value | |
Lear Corp. | ||
4.25%, 05/15/29 (a) | $ 377,000 | $ 425,739 |
Leidos Inc. | ||
2.95%, 05/15/23 | 1,447,000 | 1,504,417 |
3.63%, 05/15/25 | 428,000 | 464,821 |
4.38%, 05/15/30 | 1,183,000 | 1,342,208 |
Liberty Mutual Group Inc. | ||
3.95%, 05/15/60 (a)(h) | 287,000 | 315,224 |
Life Storage LP | ||
2.20%, 10/15/30 (a) | 804,000 | 794,087 |
Lincoln National Corp. | ||
4.35%, 03/01/48 (a) | 309,000 | 369,184 |
Lloyds Banking Group PLC | ||
3.75%, 01/11/27 (a) | 372,000 | 410,539 |
Lloyds Banking Group PLC (2.44% fixed rate until 02/05/25; 1.00% + 1 year CMT Rate thereafter) | ||
2.44%, 02/05/26 (a)(b) | 800,000 | 835,024 |
Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter) | ||
2.91%, 11/07/23 (a)(b) | 982,000 | 1,012,648 |
Lockheed Martin Corp. | ||
3.55%, 01/15/26 (a) | 408,000 | 451,028 |
3.80%, 03/01/45 (a) | 161,000 | 187,739 |
4.50%, 05/15/36 (a) | 520,000 | 653,682 |
Lowe's Companies Inc. | ||
1.30%, 04/15/28 (a) | 378,000 | 368,709 |
1.70%, 10/15/30 (a) | 289,000 | 277,229 |
3.00%, 10/15/50 (a) | 576,000 | 567,458 |
3.70%, 04/15/46 (a) | 206,000 | 226,293 |
4.05%, 05/03/47 (a) | 343,000 | 395,208 |
LYB International Finance II BV | ||
3.50%, 03/02/27 (a) | 131,000 | 142,952 |
LYB International Finance III LLC | ||
1.25%, 10/01/25 (a) | 453,000 | 452,447 |
3.63%, 04/01/51 (a) | 289,000 | 306,008 |
3.80%, 10/01/60 (a) | 288,000 | 304,091 |
Marathon Oil Corp. | ||
3.85%, 06/01/25 (a) | 221,000 | 240,722 |
Marvell Technology Inc. | ||
1.65%, 04/15/26 (a)(h) | 2,590,000 | 2,589,042 |
2.45%, 04/15/28 (a)(h) | 1,295,000 | 1,319,864 |
2.95%, 04/15/31 (a)(h) | 1,127,000 | 1,168,485 |
Masco Corp. | ||
3.50%, 11/15/27 (a) | 165,000 | 181,325 |
McCormick & Company Inc. | ||
1.85%, 02/15/31 (a) | 409,000 | 395,405 |
3.25%, 11/15/25 (a) | 4,113,000 | 4,459,315 |
Principal Amount | Fair Value | |
McDonald's Corp. | ||
3.60%, 07/01/30 (a) | $ 853,000 | $ 959,216 |
3.63%, 09/01/49 (a) | 346,000 | 383,337 |
Medtronic Inc. | ||
4.63%, 03/15/45 (a) | 67,000 | 87,887 |
Memorial Sloan-Kettering Cancer Center | ||
4.13%, 07/01/52 (a) | 860,000 | 1,086,644 |
Merck & Company Inc. | ||
2.45%, 06/24/50 (a) | 710,000 | 669,267 |
2.75%, 02/10/25 (a) | 822,000 | 875,816 |
4.00%, 03/07/49 (a) | 192,000 | 234,799 |
MetLife Inc. | ||
4.72%, 12/15/44 (a) | 327,000 | 424,963 |
Microchip Technology Inc. | ||
2.67%, 09/01/23 | 3,618,000 | 3,767,568 |
Micron Technology Inc. | ||
2.50%, 04/24/23 (a) | 1,036,000 | 1,070,602 |
Microsoft Corp. | ||
2.40%, 08/08/26 (a) | 405,000 | 431,592 |
2.68%, 06/01/60 (a) | 234,000 | 232,980 |
2.92%, 03/17/52 (a) | 1,730,000 | 1,835,080 |
3.04%, 03/17/62 (a) | 436,000 | 466,189 |
3.45%, 08/08/36 (a) | 149,000 | 172,198 |
3.50%, 02/12/35 (a) | 410,000 | 475,264 |
Mitsubishi UFJ Financial Group Inc. | ||
2.80%, 07/18/24 (a) | 2,310,000 | 2,445,366 |
Mizuho Financial Group Inc. (3.92% fixed rate until 09/11/23; 1.00% + 3 month USD LIBOR thereafter) | ||
3.92%, 09/11/24 (a)(b) | 1,310,000 | 1,402,944 |
Molson Coors Beverage Co. | ||
2.10%, 07/15/21 (a) | 702,000 | 702,470 |
4.20%, 07/15/46 (a) | 183,000 | 203,688 |
Morgan Stanley | ||
3.63%, 01/20/27 (a) | 404,000 | 448,363 |
3.95%, 04/23/27 (a) | 802,000 | 895,898 |
4.35%, 09/08/26 (a) | 1,143,000 | 1,295,339 |
4.38%, 01/22/47 (a) | 428,000 | 536,451 |
5.00%, 11/24/25 (a) | 3,267,000 | 3,768,158 |
Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | ||
2.80%, 01/25/52 (a)(b) | 762,000 | 748,429 |
Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | ||
3.62%, 04/01/31 (a)(b) | 710,000 | 793,027 |
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | ||
3.97%, 07/22/38 (a)(b) | 382,000 | 448,181 |
20 | State Street Income Fund |
Principal Amount | Fair Value | |
MPLX LP | ||
2.65%, 08/15/30 (a) | $ 658,000 | $ 665,087 |
3.38%, 03/15/23 (a) | 342,000 | 357,486 |
5.20%, 12/01/47 (a) | 202,000 | 246,577 |
MPLX LP (1.22% fixed rate until 08/02/21; 1.10% + 3 month USD LIBOR thereafter) | ||
1.22%, 09/09/22 (a)(b) | 1,372,000 | 1,372,768 |
Mylan Inc. | ||
5.20%, 04/15/48 (a) | 260,000 | 319,262 |
National Retail Properties Inc. | ||
4.00%, 11/15/25 (a) | 533,000 | 590,772 |
Natwest Group PLC (3.75% fixed rate until 11/01/24; 2.10% + 5 year CMT Rate thereafter) | ||
3.75%, 11/01/29 (a)(b) | 575,000 | 611,737 |
Natwest Group PLC (4.52% fixed rate until 06/25/23; 1.55% + 3 month USD LIBOR thereafter) | ||
4.52%, 06/25/24 (a)(b) | 953,000 | 1,023,084 |
NewMarket Corp. | ||
2.70%, 03/18/31 (a) | 587,000 | 587,980 |
Newmont Corp. | ||
4.88%, 03/15/42 (a) | 329,000 | 417,991 |
NextEra Energy Capital Holdings Inc. | ||
3.25%, 04/01/26 (a) | 987,000 | 1,070,352 |
NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | ||
5.65%, 05/01/79 (a)(b) | 519,000 | 604,677 |
NGPL PipeCo LLC | ||
3.25%, 07/15/31 (a)(h) | 917,000 | 945,510 |
NIKE Inc. | ||
3.38%, 03/27/50 (a) | 281,000 | 317,198 |
Nippon Life Insurance Co. (3.40% fixed rate until 01/23/30; 2.61% + 5 year CMT Rate thereafter) | ||
3.40%, 01/23/50 (a)(b)(h) | 786,000 | 813,565 |
NiSource Inc. | ||
3.60%, 05/01/30 (a) | 582,000 | 644,338 |
3.95%, 03/30/48 (a) | 169,000 | 193,142 |
Nomura Holdings Inc. | ||
2.65%, 01/16/25 (a) | 820,000 | 861,230 |
3.10%, 01/16/30 (a) | 589,000 | 618,114 |
Nordstrom Inc. | ||
4.00%, 03/15/27 (a) | 1,934,000 | 2,012,656 |
4.25%, 08/01/31 (a)(h) | 387,000 | 404,078 |
Principal Amount | Fair Value | |
Norfolk Southern Corp. | ||
3.95%, 10/01/42 (a) | $ 358,000 | $ 411,868 |
NOV Inc. | ||
3.60%, 12/01/29 (a) | 850,000 | 888,828 |
Novant Health Inc. | ||
3.32%, 11/01/61 (a) | 554,000 | 587,578 |
Novartis Capital Corp. | ||
2.20%, 08/14/30 (a) | 849,000 | 878,002 |
3.00%, 11/20/25 (a) | 71,000 | 77,026 |
Nucor Corp. | ||
3.95%, 05/01/28 (a) | 495,000 | 564,191 |
Nutrien Ltd. | ||
4.90%, 06/01/43 (a) | 355,000 | 448,649 |
NVIDIA Corp. | ||
2.85%, 04/01/30 (a) | 287,000 | 310,735 |
3.50%, 04/01/50 (a) | 377,000 | 426,342 |
NXP BV/NXP Funding LLC/NXP USA Inc. | ||
2.50%, 05/11/31 (a)(h) | 527,000 | 534,346 |
2.70%, 05/01/25 (a)(h) | 725,000 | 764,367 |
3.25%, 05/11/41 (a)(h) | 390,000 | 399,898 |
Occidental Petroleum Corp. | ||
2.90%, 08/15/24 (a) | 481,000 | 491,837 |
Oklahoma Gas & Electric Co. | ||
3.25%, 04/01/30 (a) | 476,000 | 517,783 |
Oncor Electric Delivery Company LLC | ||
3.80%, 09/30/47 (a) | 190,000 | 222,319 |
ONEOK Inc. | ||
4.35%, 03/15/29 (a) | 529,000 | 597,299 |
Oracle Corp. | ||
1.65%, 03/25/26 (a) | 1,056,000 | 1,070,647 |
2.30%, 03/25/28 (a) | 390,000 | 400,464 |
2.40%, 09/15/23 (a) | 301,000 | 312,248 |
2.65%, 07/15/26 (a) | 591,000 | 623,759 |
2.88%, 03/25/31 (a) | 564,000 | 587,282 |
2.95%, 04/01/30 (a) | 854,000 | 900,090 |
3.60%, 04/01/50 (a) | 568,000 | 583,597 |
3.65%, 03/25/41 (a) | 621,000 | 659,589 |
3.80%, 11/15/37 (a) | 179,000 | 196,254 |
3.95%, 03/25/51 (a) | 626,000 | 684,030 |
4.00%, 07/15/46 - 11/15/47 (a) | 853,000 | 928,823 |
4.10%, 03/25/61 (a) | 736,000 | 815,657 |
Orbia Advance Corp. SAB de C.V. | ||
1.88%, 05/11/26 (a)(h) | 4,042,000 | 4,068,798 |
2.88%, 05/11/31 (a)(h) | 1,291,000 | 1,299,069 |
Otis Worldwide Corp. | ||
2.06%, 04/05/25 (a) | 894,000 | 929,233 |
2.57%, 02/15/30 (a) | 350,000 | 362,694 |
3.36%, 02/15/50 (a) | 333,000 | 350,699 |
Ovintiv Exploration Inc. | ||
5.63%, 07/01/24 (a) | 4,004,000 | 4,456,132 |
State Street Income Fund | 21 |
Principal Amount | Fair Value | |
Owens Corning | ||
4.40%, 01/30/48 (a) | $ 245,000 | $ 289,159 |
Pacific Gas & Electric Co. | ||
2.10%, 08/01/27 (a) | 476,000 | 462,401 |
2.50%, 02/01/31 (a) | 853,000 | 800,336 |
3.00%, 06/15/28 | 807,000 | 810,607 |
3.30%, 08/01/40 (a) | 853,000 | 775,744 |
3.50%, 08/01/50 (a) | 371,000 | 330,201 |
4.30%, 03/15/45 (a) | 570,000 | 548,682 |
PacifiCorp | ||
2.70%, 09/15/30 (a) | 518,000 | 544,055 |
6.25%, 10/15/37 (a) | 807,000 | 1,150,475 |
Parker-Hannifin Corp. | ||
3.25%, 06/14/29 (a) | 511,000 | 558,973 |
PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.82% + 5 year CMT Rate thereafter) | ||
4.50%, 10/01/50 (a)(b) | 1,154,000 | 1,204,984 |
PayPal Holdings Inc. | ||
2.65%, 10/01/26 (a) | 750,000 | 804,397 |
3.25%, 06/01/50 (a) | 429,000 | 466,632 |
PepsiCo Inc. | ||
1.63%, 05/01/30 (a) | 548,000 | 540,799 |
2.63%, 07/29/29 (a) | 734,000 | 785,938 |
3.45%, 10/06/46 (a) | 187,000 | 209,904 |
Petroleos Mexicanos | ||
5.35%, 02/12/28 (a) | 434,000 | 426,982 |
5.63%, 01/23/46 (a) | 293,000 | 239,138 |
6.35%, 02/12/48 (a) | 471,000 | 400,779 |
6.49%, 01/23/27 (a) | 490,000 | 516,509 |
6.50%, 03/13/27 (a) | 1,170,000 | 1,233,800 |
7.69%, 01/23/50 (a) | 879,000 | 846,037 |
Pfizer Inc. | ||
2.70%, 05/28/50 (a) | 1,009,000 | 1,005,993 |
3.45%, 03/15/29 (a) | 282,000 | 317,244 |
3.60%, 09/15/28 (a) | 650,000 | 736,190 |
3.90%, 03/15/39 (a) | 320,000 | 381,389 |
4.13%, 12/15/46 (a) | 219,000 | 271,775 |
4.40%, 05/15/44 (a) | 130,000 | 166,734 |
Philip Morris International Inc. | ||
1.50%, 05/01/25 (a) | 549,000 | 560,139 |
2.10%, 05/01/30 (a) | 290,000 | 289,272 |
3.38%, 08/15/29 (a) | 421,000 | 465,365 |
4.13%, 03/04/43 (a) | 163,000 | 186,276 |
Phillips 66 | ||
2.15%, 12/15/30 (a) | 2,975,000 | 2,926,775 |
Phillips 66 Partners LP | ||
3.15%, 12/15/29 (a) | 1,612,000 | 1,694,228 |
3.75%, 03/01/28 (a) | 220,000 | 240,973 |
4.68%, 02/15/45 (a) | 308,000 | 352,478 |
Pioneer Natural Resources Co. | ||
1.13%, 01/15/26 (a) | 1,699,000 | 1,682,027 |
Principal Amount | Fair Value | |
2.15%, 01/15/31 (a) | $ 496,000 | $ 486,745 |
Plains All American Pipeline LP/PAA Finance Corp. | ||
3.55%, 12/15/29 (a) | 824,000 | 869,056 |
3.65%, 06/01/22 (a) | 1,021,000 | 1,041,890 |
PPL Capital Funding Inc. | ||
3.10%, 05/15/26 (a) | 629,000 | 676,445 |
Precision Castparts Corp. | ||
4.38%, 06/15/45 (a) | 331,000 | 401,655 |
Prospect Capital Corp. | ||
3.36%, 11/15/26 (a) | 1,037,000 | 1,039,126 |
Prudential Financial Inc. | ||
3.94%, 12/07/49 (a) | 577,000 | 677,115 |
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | ||
5.70%, 09/15/48 (a)(b) | 669,000 | 783,379 |
Public Service Company of Colorado | ||
3.70%, 06/15/28 (a) | 607,000 | 685,722 |
Public Service Electric & Gas Co. | ||
2.38%, 05/15/23 (a) | 1,155,000 | 1,193,196 |
PVH Corp. | ||
4.63%, 07/10/25 (a) | 1,498,000 | 1,671,453 |
QUALCOMM Inc. | ||
1.30%, 05/20/28 (a) | 225,000 | 220,221 |
4.30%, 05/20/47 (a) | 99,000 | 124,645 |
Quest Diagnostics Inc. | ||
2.95%, 06/30/30 (a) | 210,000 | 222,545 |
Ralph Lauren Corp. | ||
1.70%, 06/15/22 (a) | 257,000 | 260,300 |
Raytheon Technologies Corp. | ||
3.13%, 05/04/27 (a) | 858,000 | 933,075 |
3.50%, 03/15/27 (a) | 443,000 | 488,842 |
3.95%, 08/16/25 (a) | 329,000 | 365,851 |
4.15%, 05/15/45 (a) | 347,000 | 411,514 |
4.45%, 11/16/38 (a) | 273,000 | 330,417 |
Realty Income Corp. | ||
3.00%, 01/15/27 (a) | 163,000 | 176,071 |
3.25%, 01/15/31 (a) | 548,000 | 598,021 |
Regeneron Pharmaceuticals Inc. | ||
1.75%, 09/15/30 (a) | 1,011,000 | 959,024 |
2.80%, 09/15/50 (a) | 451,000 | 411,132 |
Reliance Steel & Aluminum Co. | ||
2.15%, 08/15/30 (a) | 521,000 | 514,300 |
Reynolds American Inc. | ||
4.45%, 06/12/25 (a) | 35,000 | 38,803 |
Rio Tinto Finance USA PLC | ||
4.13%, 08/21/42 (a) | 212,000 | 258,367 |
22 | State Street Income Fund |
Principal Amount | Fair Value | |
Rockwell Automation Inc. | ||
4.20%, 03/01/49 (a) | $ 394,000 | $ 493,205 |
Rogers Communications Inc. | ||
5.00%, 03/15/44 (a) | 151,000 | 188,874 |
Roper Technologies Inc. | ||
2.95%, 09/15/29 (a) | 597,000 | 638,462 |
Ross Stores Inc. | ||
4.70%, 04/15/27 (a) | 218,000 | 252,629 |
Royalty Pharma PLC | ||
0.75%, 09/02/23 (a)(h) | 591,000 | 592,767 |
1.20%, 09/02/25 (a)(h) | 787,000 | 780,326 |
1.75%, 09/02/27 (a)(h) | 395,000 | 389,328 |
2.20%, 09/02/30 (a)(h) | 169,000 | 165,775 |
3.30%, 09/02/40 (a)(h) | 99,000 | 99,531 |
RPM International Inc. | ||
3.75%, 03/15/27 (a) | 314,000 | 344,728 |
Ryder System Inc. | ||
2.90%, 12/01/26 (a) | 1,454,000 | 1,557,481 |
Sabine Pass Liquefaction LLC | ||
4.20%, 03/15/28 (a) | 284,000 | 320,784 |
4.50%, 05/15/30 (a) | 325,000 | 374,982 |
5.00%, 03/15/27 (a) | 166,000 | 191,685 |
5.88%, 06/30/26 (a) | 1,078,000 | 1,275,694 |
Salesforce.com Inc. | ||
1.95%, 07/15/31 | 1,285,000 | 1,286,992 |
2.70%, 07/15/41 (c) | 965,000 | 971,051 |
2.90%, 07/15/51 | 1,608,000 | 1,624,820 |
3.05%, 07/15/61 | 805,000 | 818,057 |
Santander UK Group Holdings PLC | ||
4.75%, 09/15/25 (a)(h) | 1,003,000 | 1,125,165 |
Saudi Arabian Oil Co. | ||
3.50%, 04/16/29 (a)(h) | 1,243,000 | 1,345,585 |
4.38%, 04/16/49 (a)(h) | 256,000 | 294,495 |
Schlumberger Holdings Corp. | ||
3.90%, 05/17/28 (a)(h) | 644,000 | 719,078 |
Selective Insurance Group Inc. | ||
5.38%, 03/01/49 (a) | 249,000 | 311,982 |
Sempra Energy | ||
3.80%, 02/01/38 (a) | 216,000 | 240,944 |
4.00%, 02/01/48 (a) | 235,000 | 263,524 |
Shell International Finance BV | ||
2.38%, 08/21/22 (a) | 962,000 | 984,732 |
3.13%, 11/07/49 (a) | 958,000 | 991,578 |
3.75%, 09/12/46 (a) | 165,000 | 186,638 |
4.13%, 05/11/35 (a) | 231,000 | 274,356 |
Shire Acquisitions Investments Ireland DAC | ||
2.88%, 09/23/23 (a) | 510,000 | 533,725 |
3.20%, 09/23/26 (a) | 156,000 | 169,330 |
Principal Amount | Fair Value | |
Siemens Financieringsmaatschappij N.V. | ||
2.88%, 03/11/41 (a)(h) | $ 1,000,000 | $ 1,032,860 |
Simon Property Group LP | ||
3.38%, 06/15/27 (a) | 394,000 | 429,196 |
Skyworks Solutions Inc. | ||
1.80%, 06/01/26 (a) | 1,161,000 | 1,177,405 |
3.00%, 06/01/31 (a) | 296,000 | 303,267 |
South Jersey Industries Inc. | ||
5.02%, 04/15/31 (a) | 1,549,000 | 1,634,598 |
Southern California Edison Co. | ||
2.40%, 02/01/22 (a) | 807,000 | 813,835 |
4.00%, 04/01/47 (a) | 1,025,000 | 1,079,325 |
4.20%, 03/01/29 (a) | 778,000 | 878,844 |
Southern Company Gas Capital Corp. | ||
3.95%, 10/01/46 (a) | 557,000 | 619,662 |
4.40%, 05/30/47 (a) | 89,000 | 104,837 |
Southern Copper Corp. | ||
5.88%, 04/23/45 (a) | 525,000 | 733,824 |
Southwest Airlines Co. | ||
2.63%, 02/10/30 (a) | 855,000 | 876,939 |
Southwestern Electric Power Co. | ||
2.75%, 10/01/26 (a) | 443,000 | 469,850 |
Spectra Energy Partners LP | ||
3.38%, 10/15/26 (a) | 120,000 | 130,462 |
4.50%, 03/15/45 (a) | 90,000 | 105,712 |
Spirit Realty LP | ||
4.00%, 07/15/29 (a) | 663,000 | 736,871 |
Standard Chartered PLC (2.68% fixed rate until 06/29/31; 1.20% + 1 year CMT Rate thereafter) | ||
2.68%, 06/29/32 (b)(h) | 2,050,000 | 2,056,888 |
Standard Chartered PLC (2.82% fixed rate until 01/30/25; 1.21% + 3 month USD LIBOR thereafter) | ||
2.82%, 01/30/26 (a)(b)(h) | 1,510,000 | 1,584,790 |
Starbucks Corp. | ||
4.00%, 11/15/28 (a) | 341,000 | 392,433 |
STERIS Irish FinCo UnLtd Co. | ||
2.70%, 03/15/31 (a) | 1,720,000 | 1,753,420 |
3.75%, 03/15/51 (a) | 640,000 | 679,750 |
Stryker Corp. | ||
1.95%, 06/15/30 (a) | 1,191,000 | 1,178,042 |
2.90%, 06/15/50 (a) | 542,000 | 544,461 |
Sumitomo Mitsui Financial Group Inc. | ||
4.44%, 04/02/24 (a)(h) | 3,830,000 | 4,169,836 |
Suncor Energy Inc. | ||
4.00%, 11/15/47 (a) | 130,000 | 143,668 |
State Street Income Fund | 23 |
Principal Amount | Fair Value | |
Svenska Handelsbanken AB (1.42% fixed rate until 06/11/26; 0.63% + 1 year CMT Rate thereafter) | ||
1.42%, 06/11/27 (b)(h) | $ 2,000,000 | $ 1,994,000 |
Sysco Corp. | ||
3.25%, 07/15/27 (a) | 335,000 | 363,257 |
5.95%, 04/01/30 (a) | 111,000 | 142,622 |
6.60%, 04/01/50 (a) | 128,000 | 198,916 |
Takeda Pharmaceutical Company Ltd. | ||
2.05%, 03/31/30 (a) | 200,000 | 198,272 |
3.03%, 07/09/40 (a) | 300,000 | 303,171 |
3.18%, 07/09/50 (a) | 300,000 | 302,709 |
3.38%, 07/09/60 (a) | 300,000 | 307,665 |
Tampa Electric Co. | ||
2.40%, 03/15/31 (a) | 1,075,000 | 1,101,208 |
3.45%, 03/15/51 (a) | 775,000 | 850,617 |
4.35%, 05/15/44 (a) | 671,000 | 809,367 |
Tapestry Inc. | ||
4.13%, 07/15/27 (a) | 383,000 | 418,788 |
4.25%, 04/01/25 (a) | 4,066,000 | 4,422,304 |
Target Corp. | ||
2.50%, 04/15/26 (a) | 351,000 | 377,508 |
Teck Resources Ltd. | ||
3.90%, 07/15/30 (a) | 1,647,000 | 1,778,842 |
5.40%, 02/01/43 (a) | 342,000 | 416,748 |
Teledyne Technologies Inc. | ||
2.25%, 04/01/28 (a) | 779,000 | 793,700 |
Telefonica Emisiones S.A. | ||
4.10%, 03/08/27 (a) | 639,000 | 719,310 |
Texas Instruments Inc. | ||
3.88%, 03/15/39 (a) | 440,000 | 528,251 |
The Allstate Corp. | ||
4.20%, 12/15/46 (a) | 203,000 | 249,747 |
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | ||
5.75%, 08/15/53 (a)(b) | 951,000 | 1,032,244 |
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | ||
4.63%, 12/29/49 (a)(b) | 922,000 | 1,016,938 |
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | ||
4.65%, 12/31/99 (a)(b) | 921,000 | 943,224 |
The Boeing Co. | ||
2.20%, 02/04/26 (a) | 2,237,000 | 2,258,140 |
2.70%, 02/01/27 (a) | 1,351,000 | 1,396,029 |
2.95%, 02/01/30 (a) | 344,000 | 352,253 |
3.25%, 03/01/28 (a) | 173,000 | 182,510 |
Principal Amount | Fair Value | |
3.55%, 03/01/38 (a) | $ 234,000 | $ 239,698 |
3.75%, 02/01/50 (a) | 306,000 | 315,654 |
5.04%, 05/01/27 (a) | 1,986,000 | 2,292,718 |
5.15%, 05/01/30 (a) | 1,122,000 | 1,329,626 |
5.81%, 05/01/50 (a) | 694,000 | 936,407 |
The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | ||
4.00%, 12/31/99 (a)(b) | 1,439,000 | 1,471,608 |
The Cleveland Electric Illuminating Co. | ||
4.55%, 11/15/30 (a)(h) | 1,373,000 | 1,586,378 |
The Clorox Co. | ||
1.80%, 05/15/30 (a) | 798,000 | 784,833 |
The Coca-Cola Co. | ||
2.60%, 06/01/50 (a) | 570,000 | 548,710 |
2.75%, 06/01/60 (a) | 438,000 | 429,385 |
The Dow Chemical Co. | ||
2.10%, 11/15/30 (a) | 436,000 | 431,771 |
3.60%, 11/15/50 (a) | 436,000 | 470,034 |
4.25%, 10/01/34 (a) | 385,000 | 445,291 |
5.55%, 11/30/48 (a) | 312,000 | 437,982 |
The Estee Lauder Companies Inc. | ||
2.38%, 12/01/29 (a) | 441,000 | 460,704 |
The George Washington University | ||
4.13%, 09/15/48 | 905,000 | 1,123,114 |
The Goldman Sachs Group Inc. | ||
3.50%, 04/01/25 - 11/16/26 (a) | 2,101,000 | 2,282,585 |
3.85%, 01/26/27 (a) | 2,807,000 | 3,095,672 |
4.25%, 10/21/25 (a) | 728,000 | 814,501 |
5.15%, 05/22/45 (a) | 222,000 | 296,068 |
The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | ||
1.54%, 09/10/27 (b) | 1,937,000 | 1,931,053 |
The Goldman Sachs Group Inc. (1.99% fixed rate until 01/27/31; 1.09% + SOFR thereafter) | ||
1.99%, 01/27/32 (a)(b) | 1,332,000 | 1,293,452 |
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | ||
2.91%, 06/05/23 (a)(b) | 1,075,000 | 1,099,101 |
24 | State Street Income Fund |
Principal Amount | Fair Value | |
The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | ||
3.21%, 04/22/42 (a)(b) | $ 712,000 | $ 745,037 |
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | ||
3.81%, 04/23/29 (a)(b) | 329,000 | 367,898 |
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | ||
4.02%, 10/31/38 (a)(b) | 342,000 | 401,002 |
The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | ||
4.22%, 05/01/29 (a)(b) | 545,000 | 622,210 |
The Hartford Financial Services Group Inc. | ||
2.80%, 08/19/29 (a) | 1,231,000 | 1,296,908 |
The Hartford Financial Services Group Inc. (2.28% fixed rate until 06/28/21; 2.13% + 3 month USD LIBOR thereafter) | ||
2.28%, 02/12/67 (a)(b)(h) | 752,000 | 724,597 |
The Home Depot Inc. | ||
2.70%, 04/15/30 (a) | 327,000 | 349,877 |
3.35%, 04/15/50 (a) | 567,000 | 627,454 |
3.50%, 09/15/56 (a) | 312,000 | 352,635 |
3.90%, 12/06/28 - 06/15/47 (a) | 646,000 | 759,348 |
4.50%, 12/06/48 (a) | 254,000 | 330,164 |
The Kroger Co. | ||
2.20%, 05/01/30 (a) | 514,000 | 516,945 |
2.95%, 11/01/21 (a) | 1,192,000 | 1,199,939 |
4.65%, 01/15/48 (a) | 216,000 | 264,814 |
The Northwestern Mutual Life Insurance Co. | ||
3.45%, 03/30/51 (a)(h) | 775,000 | 827,436 |
The Southern Co. | ||
3.25%, 07/01/26 (a) | 201,000 | 218,055 |
The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | ||
3.63%, 09/15/31 (a)(b) | 771,000 | 853,119 |
The Travelers Companies Inc. | ||
2.55%, 04/27/50 (a) | 730,000 | 703,450 |
Principal Amount | Fair Value | |
The Walt Disney Co. | ||
2.65%, 01/13/31 (a) | $ 835,000 | $ 876,934 |
3.38%, 11/15/26 (a) | 127,000 | 140,067 |
3.60%, 01/13/51 (a) | 549,000 | 622,242 |
4.75%, 11/15/46 (a) | 84,000 | 109,339 |
6.65%, 11/15/37 (a) | 555,000 | 838,899 |
The Williams Companies Inc. | ||
3.75%, 06/15/27 (a) | 137,000 | 152,111 |
4.85%, 03/01/48 (a) | 284,000 | 345,671 |
4.90%, 01/15/45 (a) | 666,000 | 805,454 |
5.40%, 03/04/44 (a) | 96,000 | 121,496 |
Thermo Fisher Scientific Inc. | ||
4.13%, 03/25/25 (a) | 38,000 | 42,129 |
4.50%, 03/25/30 (a) | 200,000 | 238,154 |
Time Warner Cable LLC | ||
6.55%, 05/01/37 (a) | 251,000 | 341,280 |
T-Mobile USA Inc. | ||
3.50%, 04/15/25 (a) | 934,000 | 1,012,895 |
3.75%, 04/15/27 (a) | 1,281,000 | 1,415,620 |
3.88%, 04/15/30 (a) | 350,000 | 390,666 |
4.50%, 04/15/50 (a) | 167,000 | 198,663 |
Total Capital International S.A. | ||
3.46%, 02/19/29 (a) | 1,098,000 | 1,224,237 |
Trane Technologies Luxembourg Finance S.A. | ||
3.55%, 11/01/24 (a) | 538,000 | 580,992 |
3.80%, 03/21/29 (a) | 778,000 | 878,245 |
TransCanada PipeLines Ltd. | ||
4.25%, 05/15/28 (a) | 790,000 | 908,524 |
4.88%, 01/15/26 (a) | 179,000 | 205,757 |
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | ||
5.63%, 05/20/75 (a)(b) | 1,417,000 | 1,531,451 |
Transcontinental Gas Pipe Line Company LLC | ||
4.00%, 03/15/28 (a) | 371,000 | 420,128 |
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | ||
4.80%, 12/31/99 (a)(b) | 1,954,000 | 2,073,956 |
TSMC Global Ltd. | ||
0.75%, 09/28/25 (a)(h) | 1,849,000 | 1,811,206 |
1.25%, 04/23/26 (a)(h) | 4,041,000 | 4,018,290 |
2.25%, 04/23/31 (a)(h) | 1,291,000 | 1,300,799 |
TWDC Enterprises 18 Corp. | ||
4.13%, 06/01/44 (a) | 181,000 | 218,031 |
Tyco Electronics Group S.A. | ||
3.13%, 08/15/27 (a) | 377,000 | 406,696 |
Tyson Foods Inc. | ||
4.00%, 03/01/26 (a) | 1,396,000 | 1,556,303 |
4.55%, 06/02/47 (a) | 105,000 | 128,318 |
State Street Income Fund | 25 |
Principal Amount | Fair Value | |
UBS Group AG (2.86% fixed rate until 08/15/22; 0.95% + 3 month USD LIBOR thereafter) | ||
2.86%, 08/15/23 (a)(b)(h) | $ 890,000 | $ 912,998 |
UBS Group AG (3.13% fixed rate until 08/13/29; 1.47% + 3 month USD LIBOR thereafter) | ||
3.13%, 08/13/30 (a)(b)(h) | 1,015,000 | 1,087,765 |
UDR Inc. | ||
2.10%, 08/01/32 (a) | 721,000 | 692,802 |
3.00%, 08/15/31 (a) | 459,000 | 482,317 |
UniCredit S.p.A. (2.57% fixed rate until 09/22/25; 2.30% + 1 year CMT Rate thereafter) | ||
2.57%, 09/22/26 (a)(b)(h) | 2,140,000 | 2,168,655 |
Union Pacific Corp. | ||
3.50%, 06/08/23 (a) | 775,000 | 820,136 |
3.60%, 09/15/37 (a) | 120,000 | 134,344 |
3.80%, 04/06/71 (a)(h) | 306,000 | 338,953 |
4.10%, 09/15/67 (a) | 211,000 | 245,866 |
UnitedHealth Group Inc. | ||
2.00%, 05/15/30 (a) | 897,000 | 904,436 |
4.45%, 12/15/48 (a) | 614,000 | 785,809 |
4.75%, 07/15/45 (a) | 531,000 | 696,130 |
Utah Acquisition Sub Inc. | ||
3.95%, 06/15/26 (a) | 114,000 | 125,589 |
Vale S.A. | ||
5.63%, 09/11/42 (a) | 235,000 | 293,990 |
Valero Energy Corp. | ||
2.85%, 04/15/25 (a) | 728,000 | 771,906 |
4.00%, 04/01/29 (a) | 755,000 | 843,010 |
Ventas Realty LP | ||
3.25%, 10/15/26 (a) | 428,000 | 465,690 |
VEREIT Operating Partnership LP | ||
2.85%, 12/15/32 (a) | 538,000 | 562,651 |
Verizon Communications Inc. | ||
1.45%, 03/20/26 (a) | 1,529,000 | 1,543,128 |
2.10%, 03/22/28 (a) | 1,161,000 | 1,185,590 |
2.55%, 03/21/31 (a) | 1,075,000 | 1,099,886 |
3.00%, 03/22/27 (a) | 1,990,000 | 2,140,086 |
3.40%, 03/22/41 (a) | 775,000 | 820,903 |
3.55%, 03/22/51 (a) | 586,000 | 626,176 |
3.70%, 03/22/61 (a) | 731,000 | 784,019 |
4.40%, 11/01/34 (a) | 893,000 | 1,064,831 |
4.52%, 09/15/48 (a) | 347,000 | 428,340 |
4.67%, 03/15/55 (a) | 289,000 | 373,402 |
4.86%, 08/21/46 (a) | 1,168,000 | 1,508,799 |
5.25%, 03/16/37 (a) | 280,000 | 369,340 |
ViacomCBS Inc. | ||
2.90%, 01/15/27 (a) | 267,000 | 283,912 |
3.70%, 06/01/28 (a) | 259,000 | 288,246 |
Principal Amount | Fair Value | |
5.25%, 04/01/44 (a) | $ 95,000 | $ 121,468 |
Virginia Electric & Power Co. | ||
4.00%, 11/15/46 (a) | 567,000 | 666,582 |
Visa Inc. | ||
2.00%, 08/15/50 (a) | 419,000 | 370,346 |
2.05%, 04/15/30 (a) | 542,000 | 557,534 |
2.70%, 04/15/40 (a) | 589,000 | 609,244 |
Vistra Operations Company LLC | ||
3.55%, 07/15/24 (a)(h) | 1,814,000 | 1,917,561 |
Viterra Finance BV | ||
2.00%, 04/21/26 (a)(h) | 2,987,000 | 2,990,973 |
3.20%, 04/21/31 (a)(h) | 1,000,000 | 1,006,430 |
Vodafone Group PLC | ||
4.38%, 05/30/28 (a) | 393,000 | 457,161 |
5.25%, 05/30/48 (a) | 205,000 | 268,724 |
Volkswagen Group of America Finance LLC | ||
1.63%, 11/24/27 (a)(h) | 1,625,000 | 1,605,597 |
Vontier Corp. | ||
2.40%, 04/01/28 (a)(h) | 1,524,000 | 1,512,890 |
2.95%, 04/01/31 (a)(h) | 1,172,000 | 1,176,536 |
Vornado Realty LP | ||
2.15%, 06/01/26 (a) | 1,376,000 | 1,395,801 |
3.40%, 06/01/31 (a) | 516,000 | 532,068 |
3.50%, 01/15/25 (a) | 332,000 | 353,407 |
Vulcan Materials Co. | ||
3.90%, 04/01/27 (a) | 171,000 | 192,693 |
Walgreens Boots Alliance Inc. | ||
4.10%, 04/15/50 (a) | 62,000 | 68,326 |
Walmart Inc. | ||
3.63%, 12/15/47 (a) | 261,000 | 306,163 |
3.70%, 06/26/28 (a) | 543,000 | 618,140 |
3.95%, 06/28/38 (a) | 252,000 | 302,775 |
4.05%, 06/29/48 (a) | 343,000 | 431,569 |
WEC Energy Group Inc. | ||
3.55%, 06/15/25 (a) | 409,000 | 445,888 |
Wells Fargo & Co. | ||
4.15%, 01/24/29 (a) | 1,055,000 | 1,214,157 |
4.75%, 12/07/46 (a) | 1,189,000 | 1,502,765 |
Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | ||
1.65%, 06/02/24 (a)(b) | 942,000 | 962,281 |
Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | ||
2.19%, 04/30/26 (a)(b) | 1,130,000 | 1,173,155 |
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | ||
2.39%, 06/02/28 (a)(b) | 4,789,000 | 4,965,810 |
26 | State Street Income Fund |
Principal Amount | Fair Value | |
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | ||
3.07%, 04/30/41 (a)(b) | $ 1,189,000 | $ 1,219,248 |
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | ||
3.20%, 06/17/27 (a)(b) | 2,785,000 | 3,008,385 |
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | ||
5.88%, 12/29/49 (b) | 696,000 | 781,086 |
Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | ||
2.89%, 02/04/30 (a)(b) | 796,000 | 825,739 |
Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | ||
4.11%, 07/24/34 (a)(b) | 636,000 | 698,074 |
Willis North America Inc. | ||
3.60%, 05/15/24 (a) | 533,000 | 573,194 |
3.88%, 09/15/49 (a) | 575,000 | 650,463 |
WPP Finance 2010 | ||
3.75%, 09/19/24 (a) | 311,000 | 338,660 |
WRKCo Inc. | ||
3.00%, 09/15/24 (a) | 451,000 | 478,313 |
Xcel Energy Inc. | ||
3.40%, 06/01/30 (a) | 710,000 | 780,148 |
Zoetis Inc. | ||
3.00%, 09/12/27 (a) | 165,000 | 178,164 |
3.90%, 08/20/28 (a) | 390,000 | 444,109 |
738,412,580 | ||
Non-Agency Collateralized Mortgage Obligations - 8.8% | ||
Banc of America Commercial Mortgage Trust 2016-UBS10 | ||
5.02%, 07/15/49 (a)(b) | 2,522,000 | 2,779,519 |
BANK 2017-BNK7 | ||
3.18%, 09/15/60 (a) | 20,509,000 | 22,185,077 |
BANK 2018-BNK15 | ||
4.41%, 11/15/61 (a)(b) | 8,550,000 | 9,992,779 |
BX Commercial Mortgage Trust 2018-IND 0.75% + 1 month USD LIBOR | ||
0.82%, 11/15/35 (a)(b)(h) | 1,438,683 | 1,439,350 |
Cantor Commercial Real Estate Lending 2019-CF3 | ||
3.01%, 01/15/53 (a) | 4,022,000 | 4,332,781 |
Principal Amount | Fair Value | |
CD 2019-CD8 Mortgage Trust | ||
2.91%, 08/15/57 (a) | $ 7,323,000 | $ 7,811,129 |
CFCRE Commercial Mortgage Trust 2016-C7 | ||
4.56%, 12/10/54 (a)(b) | 2,447,000 | 2,427,336 |
Citigroup Commercial Mortgage Trust 2015-GC35 | ||
4.63%, 11/10/48 (a)(b) | 4,118,000 | 3,967,567 |
Citigroup Commercial Mortgage Trust 2015-P1 | ||
3.72%, 09/15/48 (a) | 12,152,000 | 13,324,455 |
Citigroup Commercial Mortgage Trust 2016-P5 | ||
2.94%, 10/10/49 (a) | 3,484,742 | 3,719,025 |
Citigroup Commercial Mortgage Trust 2016-P6 | ||
4.03%, 12/10/49 (a)(b) | 2,942,926 | 3,208,266 |
COMM 2012-CCRE3 Mortgage Trust | ||
3.92%, 10/15/45 (a)(h) | 1,602,000 | 1,589,101 |
COMM 2013-LC13 Mortgage Trust | ||
4.56%, 08/10/46 (a)(b)(h) | 1,375,000 | 1,471,674 |
COMM 2014-CR14 Mortgage Trust | ||
4.53%, 02/10/47 (a)(b) | 1,940,000 | 2,097,632 |
CSAIL 2015-C3 Commercial Mortgage Trust | ||
4.27%, 08/15/48 (a)(b) | 5,260,454 | 5,552,602 |
CSAIL 2016-C7 Commercial Mortgage Trust | ||
4.48%, 11/15/49 (a)(b) | 4,077,000 | 4,482,423 |
GS Mortgage Securities Trust 2012-GCJ9 | ||
2.08%, 11/10/45 (a)(b)(d) | 5,235,795 | 91,426 |
GS Mortgage Securities Trust 2014-GC22 | ||
4.85%, 06/10/47 (a)(b) | 2,433,000 | 2,533,321 |
GS Mortgage Securities Trust 2014-GC24 | ||
4.65%, 09/10/47 (a)(b) | 3,298,000 | 3,480,203 |
GS Mortgage Securities Trust 2015-GS1 | ||
4.57%, 11/10/48 (a)(b) | 3,270,000 | 2,877,363 |
GS Mortgage Securities Trust 2016-GS3 | ||
2.85%, 10/10/49 (a) | 2,912,000 | 3,105,732 |
GS Mortgage Securities Trust 2017-GS8 | ||
3.47%, 11/10/50 (a) | 7,000,045 | 7,719,864 |
GS Mortgage Securities Trust 2018-GS9 | ||
4.14%, 03/10/51 (a)(b) | 2,609,000 | 2,939,761 |
State Street Income Fund | 27 |
Principal Amount | Fair Value | |
GS Mortgage Securities Trust 2019-GC42 | ||
2.75%, 09/01/52 (a) | $ 13,110,000 | $ 13,761,018 |
GS Mortgage Securities Trust 2019-GSA1 | ||
3.05%, 11/10/52 (a) | 6,397,000 | 6,908,785 |
Impac CMB Trust 2004-5 (0.81% fixed rate until 07/25/21; 0.72% + 1 month USD LIBOR thereafter) | ||
0.81%, 10/25/34 (a)(b) | 251,317 | 249,369 |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | ||
1.63%, 12/15/47 (a)(b)(d) | 4,406,279 | 71,647 |
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||
4.17%, 07/15/45 (a)(b) | 1,010,000 | 1,064,518 |
JPMBB Commercial Mortgage Securities Trust 2015-C32 | ||
4.80%, 11/15/48 (a)(b) | 2,174,000 | 1,824,948 |
MASTR Alternative Loan Trust 2003-5 | ||
5.00%, 08/25/18 (a)(d) | 9,357 | 101 |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | ||
4.26%, 02/15/46 (a)(b) | 3,391,000 | 3,290,970 |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||
1.01%, 03/15/48 (a)(b)(d) | 27,634,222 | 700,378 |
Morgan Stanley Capital I Trust 2016-UBS12 | ||
4.03%, 12/15/49 (a)(b) | 3,468,000 | 3,416,927 |
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||
3.88%, 04/10/46 (a)(b)(h) | 8,161,000 | 8,306,197 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||
4.32%, 08/15/50 (a) | 8,162,000 | 7,824,079 |
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||
1.35%, 02/15/48 (a)(b)(d) | 21,466,404 | 798,713 |
Wells Fargo Commercial Mortgage Trust 2019-C50 | ||
4.35%, 05/15/52 (a) | 1,505,000 | 1,635,147 |
WFRBS Commercial Mortgage Trust 2012-C10 | ||
3.74%, 12/15/45 (a) | 2,166,000 | 2,080,324 |
WFRBS Commercial Mortgage Trust 2013-C17 | ||
4.26%, 12/15/46 (a) | 1,880,000 | 2,016,645 |
Principal Amount | Fair Value | |
WFRBS Commercial Mortgage Trust 2014-LC14 | ||
4.35%, 03/15/47 (a)(b) | $ 4,333,000 | $ 4,666,138 |
171,744,290 | ||
Sovereign Bonds - 1.2% | ||
Government of Chile | ||
2.55%, 01/27/32 (a) | 2,507,000 | 2,561,903 |
3.63%, 10/30/42 (a) | 150,000 | 159,543 |
3.86%, 06/21/47 (a) | 860,000 | 949,165 |
Government of Colombia | ||
2.63%, 03/15/23 (a) | 711,000 | 726,997 |
3.88%, 04/25/27 (a) | 1,185,000 | 1,257,486 |
5.00%, 06/15/45 (a) | 1,271,000 | 1,350,501 |
Government of Indonesia | ||
3.50%, 01/11/28 (a) | 578,000 | 631,055 |
4.35%, 01/11/48 (a) | 232,000 | 263,325 |
Government of Mexico | ||
3.60%, 01/30/25 (a) | 1,402,000 | 1,538,961 |
4.00%, 10/02/23 (a) | 122,000 | 132,117 |
4.60%, 02/10/48 (a) | 972,000 | 1,044,570 |
4.75%, 03/08/44 (a) | 2,068,000 | 2,286,236 |
Government of Panama | ||
3.16%, 01/23/30 (a) | 1,217,000 | 1,275,100 |
3.87%, 07/23/60 (a) | 826,000 | 843,751 |
4.50%, 05/15/47 (a) | 530,000 | 602,202 |
Government of Peru | ||
1.86%, 12/01/32 (a) | 1,230,000 | 1,142,596 |
2.78%, 12/01/60 (a) | 2,055,000 | 1,831,026 |
5.63%, 11/18/50 (a) | 884,000 | 1,218,426 |
Government of Philippines | ||
3.95%, 01/20/40 (a) | 835,000 | 927,576 |
Government of Qatar | ||
3.38%, 03/14/24 (a)(h) | 1,045,000 | 1,120,836 |
4.82%, 03/14/49 (a)(h) | 275,000 | 354,392 |
Government of Uruguay | ||
5.10%, 06/18/50 (a) | 884,133 | 1,158,011 |
23,375,775 | ||
Municipal Bonds and Notes - 0.4% | ||
American Municipal Power Inc. | ||
6.27%, 02/15/50 | 1,070,000 | 1,508,300 |
Board of Regents of the University of Texas System | ||
3.35%, 08/15/47 | 1,025,000 | 1,170,556 |
Port Authority of New York & New Jersey | ||
4.46%, 10/01/62 | 1,870,000 | 2,453,299 |
State of California | ||
4.60%, 04/01/38 | 1,840,000 | 2,151,223 |
28 | State Street Income Fund |
Principal Amount | Fair Value | |
State of Illinois | ||
5.10%, 06/01/33 | $ 745,000 | $ 876,003 |
8,159,381 | ||
FNMA (TBA) - 0.0% * | ||
Lehman TBA | ||
5.50%, (c)(i) | 1,140,372 | 29,307 |
29,307 | ||
Total Bonds and Notes (Cost $1,831,568,871) | 1,901,708,956 | |
Number of Shares | ||
Domestic Equity - 0.1% | ||
Preferred Stock - 0.1% | ||
Wells Fargo & Co. 5.85%, 3.09% + 3 month USD LIBOR (Cost $1,375,850) (b) | 55,034 | 1,516,187 |
Total Investments (Cost $1,832,944,721) | 1,903,225,143 | |
Other Assets and Liabilities, net - 2.1% | 40,671,556 | |
NET ASSETS - 100.0% | $ 1,943,896,699 |
Centrally Cleared Credit Default Swaps |
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract Annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) |
Sell Protection | |||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | $34,987 | 5.00%/ Quarterly | 06/20/25 | $3,464,596 | $(1,735,055) | $5,199,651 |
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
U.S. Long Bond Futures | September 2021 | 212 | $ 33,321,833 | $ 34,079,000 | $ 757,167 |
2 Yr. U.S. Treasury Notes Futures | September 2021 | 1,098 | 242,323,740 | 241,911,703 | (412,037) |
Ultra Long-Term U.S. Treasury Bond Futures | September 2021 | 203 | 37,877,270 | 39,115,562 | 1,238,292 |
$ 1,583,422 |
State Street Income Fund | 29 |
The Fund had the following short futures contracts open at June 30, 2021: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
10 Yr. U.S. Treasury Ultra Futures | September 2021 | 414 | (59,893,515) | (60,942,094) | $ (1,048,579) |
10 Yr. U.S. Treasury Notes Futures | September 2021 | 690 | (90,902,147) | (91,425,000) | (522,853) |
5 Yr. U.S. Treasury Notes Futures | September 2021 | 497 | (61,402,414) | (61,344,555) | 57,859 |
$ (1,513,573) | |||||
$ 69,849 |
During the period ended June 30, 2021 average notional values related to derivative contracts were as follows: | ||||||||
Purchased Put Options | Purchased Call Options | Written Put Options | Written Call Options | Long Futures Contracts | Short Futures Contracts | Credit Default Swap Contracts | Interest Rate Swap Contracts | |
Average Notional Value | $— | $— | $— | $— | $283,556,984 | $220,490,049 | $42,034,454 | $— |
(a) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
(d) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
(e) | Coupon amount represents effective yield. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. |
(g) | Step coupon bond. |
(h) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities amounted to $139,526,331 or 7.18% of the net assets of the State Street Income Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
(i) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund's Board of Trustees. Security value is determined based on level 3 inputs. |
† | Percentages are based on net assets as of June 30, 2021. |
** | Amount is less than $0.50. |
* | Less than 0.05%. |
Abbreviations: |
CMT - Constant Maturity Treasury |
LIBOR - London Interbank Offered Rate |
REMIC - Real Estate Mortgage Investment Conduit |
SOFR - Secured Overnight Financing Rate |
STRIPS - Separate Trading of Registered Interest and Principal of Security |
TBA - To Be Announced |
30 | State Street Income Fund |
Investments | Level 1 | Level 2 | Level 3 | Total | |||
Investments in Securities | |||||||
U.S. Treasuries | $ — | $ 465,873,236 | $ — | $ 465,873,236 | |||
Agency Mortgage Backed | — | 451,748,226 | — | 451,748,226 | |||
Agency Collateralized Mortgage Obligations | — | 14,550,531 | — | 14,550,531 | |||
Asset Backed | — | 27,815,630 | — | 27,815,630 | |||
Corporate Notes | — | 738,412,580 | — | 738,412,580 | |||
Non-Agency Collateralized Mortgage Obligations | — | 171,744,290 | — | 171,744,290 | |||
Sovereign Bonds | — | 23,375,775 | — | 23,375,775 | |||
Municipal Bonds and Notes | — | 8,159,381 | — | 8,159,381 | |||
FNMA (TBA) | — | — | 29,307 | 29,307 | |||
Preferred Stock | 1,516,187 | — | — | 1,516,187 | |||
Total Investments in Securities | $ 1,516,187 | $ 1,901,679,649 | $ 29,307 | $ 1,903,225,143 | |||
Other Financial Instruments | |||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ — | $ 5,199,651 | $ — | $ 5,199,651 | |||
Long Futures Contracts - Unrealized Appreciation | 1,995,459 | — | — | 1,995,459 | |||
Long Futures Contracts - Unrealized Depreciation | (412,037) | — | — | (412,037) | |||
Short Futures Contracts - Unrealized Appreciation | 57,859 | — | — | 57,859 | |||
Short Futures Contracts - Unrealized Depreciation | (1,571,432) | — | — | (1,571,432) | |||
Total Other Financial Instruments | $ 69,849 | $ 5,199,651 | $ — | $ 5,269,500 |
State Street Income Fund | 31 |
6/30/21 (a)(b) | 12/31/20 (a) | 12/31/19 (a) | 12/31/18 (a) | 12/31/17 (a) | 12/31/16 (a) | ||||||
Net asset value, beginning of period | $ 66.39 | $ 57.30 | $ 46.05 | $ 52.45 | $ 49.27 | $ 47.59 | |||||
Income/(loss) from investment operations: | |||||||||||
Net investment income | 0.35 (c) | 0.77 (c) | 0.78 (c) | 0.77 (c) | 0.76 (c) | 0.92 | |||||
Net realized and unrealized gains/(losses) on investments | 10.06 | 12.86 | 14.07 | (2.41) | 9.35 | 3.92 | |||||
Total income/(loss) from investment operations | 10.41 | 13.63 | 14.85 | (1.64) | 10.11 | 4.84 | |||||
Less distributions from: | |||||||||||
Net investment income | — | 0.81 | 0.77 | 0.81 | 0.81 | 0.91 | |||||
Net realized gains | — | 3.73 | 2.83 | 3.95 | 6.12 | 2.25 | |||||
Total distributions | — | 4.54 | 3.60 | 4.76 | 6.93 | 3.16 | |||||
Net asset value, end of period | $ 76.80 | $ 66.39 | $ 57.30 | $ 46.05 | $ 52.45 | $ 49.27 | |||||
Total Return(d) | 15.68% | 23.82% | 32.22% | (3.05)% | 20.50% | 10.13% | |||||
Ratios/Supplemental Data: | |||||||||||
Net assets, end of period (in thousands) | $6,904,756 | $6,229,783 | $5,541,415 | $4,700,274 | $5,435,513 | $4,914,567 | |||||
Ratios to average net assets: | |||||||||||
Gross expenses | 0.14% (e) | 0.14% | 0.14% | 0.14% | 0.14% | 0.16% | |||||
Net investment income | 0.99% (e) | 1.29% | 1.44% | 1.41% | 1.39% | 1.79% | |||||
Portfolio turnover rate | 20% | 37% | 31% | 40% | 77% | 38% |
Notes to Financial Highlights | |
(a) | Financial information from January 1, 2016 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street U.S. Core Equity Fund effective May 24, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
(b) | Unaudited. |
(c) | Per share values have been calculated using the average shares method. |
(d) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
(e) | Annualized for periods less than one year. |
32 | Financial Highlights |
6/30/21 (a)(b) | 12/31/20 (a) | 12/31/19 (a) | 12/31/18 (a) | 12/31/17 (a) | 12/31/16 (a) | ||||||
Net asset value, beginning of period | $ 12.42 | $ 11.85 | $ 11.14 | $ 11.55 | $ 11.38 | $ 11.36 | |||||
Income/(loss) from investment operations: | |||||||||||
Net investment income | 0.11 (c) | 0.26 (c) | 0.31 (c) | 0.32 (c) | 0.29 (c) | 0.31 | |||||
Net realized and unrealized gains/(losses) on investments | (0.24) | 0.69 | 0.72 | (0.40) | 0.16 | 0.09 | |||||
Total income/(loss) from investment operations | (0.13) | 0.95 | 1.03 | (0.08) | 0.45 | 0.40 | |||||
Less distributions from: | |||||||||||
Net investment income | 0.15 | 0.34 | 0.32 | 0.33 | 0.28 | 0.29 | |||||
Net realized gains | — | 0.04 | — | — | — | 0.09 | |||||
Total distributions | 0.15 | 0.38 | 0.32 | 0.33 | 0.28 | 0.38 | |||||
Net asset value, end of period | $ 12.14 | $ 12.42 | $ 11.85 | $ 11.14 | $ 11.55 | $ 11.38 | |||||
Total Return(d) | (1.00)% | 8.20% | 9.38% | (0.75)% | 3.99% | 3.50% | |||||
Ratios/Supplemental Data: | |||||||||||
Net assets, end of period (in thousands) | $1,943,897 | $2,084,815 | $2,024,704 | $1,992,169 | $2,329,674 | $2,427,975 | |||||
Ratios to average net assets: | |||||||||||
Gross expenses | 0.17% (e) | 0.17% | 0.17% | 0.17% | 0.16% | 0.21% | |||||
Net investment income | 1.91% (e) | 2.16% | 2.67% | 2.86% | 2.55% | 2.66% | |||||
Portfolio turnover rate | 43% (f) | 110% (g) | 422% | 223% | 297% | 242% |
Notes to Financial Highlights | |
(a) | Financial information from January 1, 2016 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street U.S. Core Equity Fund effective May 24, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
(b) | Unaudited. |
(c) | Per share values have been calculated using the average shares method. |
(d) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
(e) | Annualized for periods less than one year. |
(f) | The portfolio turnover calculated for the period ended 6/30/21 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 87%. |
(g) | The portfolio turnover calculated for the period ended 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 304%. |
Financial Highlights | 33 |
State Street U.S. Core Equity Fund | State Street Income Fund | ||
Assets | |||
Investments in securities, at fair value (cost $3,851,192,974 and $1,832,944,721, respectively) | $ 6,805,616,206 | $ 1,903,225,143 | |
Cash | 103,115,587 | 145,335,662 | |
Net cash collateral on deposit with broker for future contracts | 2,189,709 | 72,160 | |
Receivable for investments sold | 37,489,303 | 11,962,548 | |
Income receivables | 4,100,821 | 9,127,035 | |
Receivable for fund shares sold | 6,729,074,407 | 1,938,386,704 | |
Receivable for accumulated variation margin on swap contracts | — | 3,508,331 | |
Receivable for accumulated variation margin on futures contracts | 619,229 | 74,970 | |
Total assets | 13,682,205,262 | 4,011,692,553 | |
Liabilities | |||
Distribution payable to shareholders | — | 125,913 | |
Net cash collateral on swap contracts due to broker | — | 3,507,511 | |
Payable for investments purchased | 45,021,676 | 124,733,485 | |
Payable for fund shares redeemed | 6,731,370,989 | 1,938,972,018 | |
Payable to the Adviser | 673,306 | 207,605 | |
Payable for custody, fund accounting and sub-administration fees | 85,253 | 36,227 | |
Accrued other expenses | 298,199 | 213,095 | |
Total liabilities | 6,777,449,423 | 2,067,795,854 | |
Net Assets | $ 6,904,755,839 | $ 1,943,896,699 | |
Net Assets Consist of: | |||
Capital paid in | $ 3,486,450,913 | $ 1,845,723,986 | |
Total distributable earnings (loss) | 3,418,304,926 | 98,172,713 | |
Net Assets | $ 6,904,755,839 | $ 1,943,896,699 | |
Shares outstanding ($25.00 and $10.00 par value, respectively; unlimited shares authorized) | 89,901,933 | 160,147,029 | |
Net asset value per share | $ 76.80 | $ 12.14 |
34 | Statements of Assets and Liabilities |
State Street U.S. Core Equity Fund | State Street Income Fund | ||
Investment Income | |||
Income | |||
Dividend | $ 36,562,521 | $ 40,224 | |
Interest | — | 20,463,918 | |
Total income | 36,562,521 | 20,504,142 | |
Expenses | |||
Advisory and administration fees | 3,891,163 | 1,282,103 | |
Transfer agent fees | 249,491 | 229,811 | |
Trustees' fees | 720 | 398 | |
Custody, fund accounting and sub-administration fees | 237,317 | 135,481 | |
Professional fees | 28,876 | 22,968 | |
Other expenses | 131,112 | 37,210 | |
Total expenses | 4,538,679 | 1,707,971 | |
Net investment income | $ 32,023,842 | $ 18,796,171 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Realized gain (loss) on: | |||
Unaffiliated investments | $ 458,594,151 | $ 10,395,920 | |
Futures | 276,304 | 1,951,055 | |
Swap contracts | — | 3,135,575 | |
Increase (decrease) in unrealized appreciation/depreciation on: | |||
Unaffiliated investments | 463,109,262 | (55,035,443) | |
Futures | 618,679 | 662,750 | |
Swap contracts | — | (1,831,072) | |
Net realized and unrealized gain (loss) on investments | 922,598,396 | (40,721,215) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 954,622,238 | $ (21,925,044) |
Statements of Operations | 35 |
State Street U.S. Core Equity Fund | State Street Income Fund | ||||||
Six Months Ended June 30, 2021(a) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021(a) | Year Ended December 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations: | |||||||
Net investment income | $ 32,023,842 | $ 70,183,281 | $ 18,796,171 | $ 44,464,564 | |||
Net realized gain (loss) on investments, futures and swap contracts | 458,870,455 | 328,591,207 | 15,482,550 | 46,627,572 | |||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | 463,727,941 | 799,903,293 | (56,203,765) | 68,420,358 | |||
Net increase (decrease) from operations | 954,622,238 | 1,198,677,781 | (21,925,044) | 159,512,494 | |||
Distributions to shareholders: | |||||||
Total distributions | — | (400,316,279) | (25,316,398) | (64,080,587) | |||
Increase (decrease) in assets from operations and distributions | 954,622,238 | 798,361,502 | (47,241,442) | 95,431,907 | |||
Share transactions: | |||||||
Proceeds from sale of shares | 13,070,979 | 55,418,614 | 11,550,336 | 48,154,654 | |||
Value of distributions reinvested | — | 379,700,260 | 21,543,242 | 61,957,884 | |||
Cost of shares redeemed | (292,720,625) | (545,111,984) | (126,770,699) | (145,433,304) | |||
Net increase (decrease) from share transactions | (279,649,646) | (109,993,110) | (93,677,121) | (35,320,766) | |||
Total increase (decrease) in net assets | 674,972,592 | 688,368,392 | (140,918,563) | 60,111,141 | |||
Net Assets | |||||||
Beginning of period | 6,229,783,247 | 5,541,414,855 | 2,084,815,262 | 2,024,704,121 | |||
End of period | $ 6,904,755,839 | $ 6,229,783,247 | $ 1,943,896,699 | $ 2,084,815,262 | |||
Changes in Fund Shares | |||||||
Shares sold | 181,824 | 914,306 | 953,677 | 3,948,098 | |||
Issued for distributions reinvested | — | 5,739,128 | 1,779,132 | 5,055,918 | |||
Shares redeemed | (4,118,201) | (9,524,851) | (10,483,855) | (12,024,475) | |||
Net decrease in fund shares | (3,936,377) | (2,871,417) | (7,751,046) | (3,020,459) |
(a) | Unaudited. |
36 | Statements of Changes in Net Assets |
Fund | Predecessor Fund |
State Street U.S. Core Equity Fund | GE RSP U.S. Equity Fund |
State Street Income Fund | GE RSP Income Fund |
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued |
Notes to Financial Statements | 37 |
at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. | |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
• | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
38 | Notes to Financial Statements |
Notes to Financial Statements | 39 |
40 | Notes to Financial Statements |
Asset Derivatives | ||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risks | Equity Contracts Risks | Commodity Contracts Risks | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | $ 619,229 | $ — | $ 619,229 |
State Street Income Fund | ||||||
Futures Contracts | $ 74,970 | $ — | $ — | $ — | $ — | $ 74,970 |
Swap Contracts | — | — | 3,508,330 | — | — | 3,508,330 |
Realized Gain/Loss | ||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risks | Equity Contracts Risks | Commodity Contracts Risks | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | $ 276,304 | $ — | $ 276,304 |
State Street Income Fund | ||||||
Futures Contracts | $ 1,951,055 | $ — | $ — | $ — | $ — | $ 1,951,055 |
Swap Contracts | — | — | 3,135,575 | — | — | 3,135,575 |
Notes to Financial Statements | 41 |
Net Change in Unrealized Appreciation (Depreciation) | ||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risks | Equity Contracts Risks | Commodity Contracts Risks | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | $ 618,679 | $ — | $ 618,679 |
State Street Income Fund | ||||||
Futures Contracts | $ 662,750 | $ — | $ — | $ — | $ — | $ 662,750 |
Swap Contracts | — | — | (1,831,072) | — | — | (1,831,072) |
Fund | Average Daily Net Assets of the Fund | Management Fee |
State Street U.S. Core Equity Fund | All Assets | 0.12% |
State Street Income Fund | All Assets | 0.13% |
U.S. Government Obligations | Other Securities | ||||
Fund | Purchases | Sales | Purchases | Sales | |
State Street U.S. Core Equity Fund | $ — | $ — | $1,279,316,337 | $1,567,980,240 | |
State Street Income Fund | 565,109,999 | 354,980,673 | 254,186,897 | 398,365,921 |
42 | Notes to Financial Statements |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
State Street U.S. Core Equity Fund | $3,884,310,626 | $2,964,256,315 | $42,332,056 | $2,921,924,259 |
State Street Income Fund | 1,832,682,784 | 80,163,709 | 4,351,850 | 75,811,859 |
Notes to Financial Statements | 43 |
Fund | Predecessor Name | Aggregate Net Asset Value | Shares |
State Street U.S. Core Equity Fund | GE RSP U.S. Equity Fund | $6,804,387,977 | 90,696,120 |
State Street Income Fund | GE RSP Income Fund | $1,941,285,055 | 161,240,819 |
44 | Notes to Financial Statements |
Notes to Financial Statements | 45 |
46 | Advisory Agreement Renewal |
• | A comparison of each New Fund’s estimated expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A comparison of each New Fund’s contractual and estimated actual management fees to the contractual and actual management fees of the Expense Group and Expense Universe; |
• | Comparative information concerning the fees charged by the Adviser for managing comparable funds and/or other accounts, as applicable, using investment strategies and techniques similar to those to be used in managing each New Fund; and |
• | Profitability analyses for (a) the Adviser with respect to Other Funds and (b) affiliates of the Adviser that provide services to the Other Funds. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Funds as well as services provided to the Other Funds, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Funds; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources to be devoted by the Adviser to overseeing compliance by the New Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s cybersecurity and risk management processes. |
• | Information concerning the nature, extent, quality and cost of various services to be provided to the New Funds by SSGA FM in its capacity as administrator; |
Advisory Agreement Renewal | 47 |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Funds by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Funds, and the role of SSGA FM in managing the New Funds’ relationships with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Funds; |
• | Responses to a letter from Independent Counsel requesting specific information regarding the Other Funds, certain of which was applicable to the New Funds, from each of: |
○ | SSGA FM, in its capacity as the Other Funds’ Adviser and Administrator, with respect to its operations relating to the Other Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2019; and the relevant operations of other affiliated service providers to the Other Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2019; |
○ | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Other Funds with respect to its operations relating to the Other Funds; and |
○ | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds. |
48 | Advisory Agreement Renewal |
Advisory Agreement Renewal | 49 |
50 | Advisory Agreement Renewal |
Other Information | 51 |
or visit OneHR.ge.com > Retirement (or RSP) > My GE RSP
or visit www.ssga.com
52 | Shareholder Services |
(b) | Not Applicable. |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance
that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. |
(a)(2) |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: STATE STREET INSTITUTIONAL INVESTMENT TRUST
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | September 3, 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: | September 3, 2021 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 3, 2021 |