UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 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 | |
3 | |
4 | |
5 | |
7 | |
State Street Equity 500 Index II Portfolio | |
13 | |
14 | |
21 | |
22 | |
23 | |
24 | |
25 | |
33 | |
34 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Average Annual Total Return Ten Years Ended December 31, 2021 | |
State Street Equity 500 Index Fund Administrative Shares | 28.32% | 18.17% | 16.26% |
State Street Equity 500 Index Fund Service Shares | 28.19% | 18.05% | 16.15% |
State Street Equity 500 Index Fund Class R Shares | 27.74% | 17.65% | 15.73% |
State Street Equity 500 Index Fund Class A Shares(1) | 27.94% | 17.86% | 15.95% |
State Street Equity 500 Index Fund Class I Shares(2) | 28.25% | 18.16% | 16.24% |
State Street Equity 500 Index Fund Class K Shares(3) | 28.51% | 18.35% | 16.39% |
S&P 500® Index (4) | 28.71% | 18.47% | 16.55% |
(1) | NAV Performance shown for the periods prior to the inception of Class A shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class A shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(2) | NAV Performance shown for the periods prior to the inception of Class I shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class I shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(3) | NAV Performance shown for the periods prior to the inception of Class K shares on September 17, 2014, reflect the historical performance of the fund’s Administrative Shares. Had the fund’s Class K fees been reflected, the returns shown for those periods would have been higher. |
(4) | The Standard & Poor's 500 Composite Stock Price Index ("S&P 500 ® Index") is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in the S&P 500 ® Index. |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $3,363,274,332 |
Receivable for fund shares sold | 14,960,858 |
Receivable from Adviser | 54,288 |
Prepaid expenses and other assets | 4,872 |
TOTAL ASSETS | 3,378,294,350 |
LIABILITIES | |
Payable for investments purchased | 503,770 |
Payable for fund shares repurchased | 14,438,965 |
Advisory fee payable | 55,542 |
Custodian fees payable | 11,873 |
Administration fees payable | 133,196 |
Distribution fees payable | 70,658 |
Transfer agent fees payable | 14,954 |
Sub-transfer agent fee payable | 122,917 |
Registration and filing fees payable | 146,948 |
Professional fees payable | 20,241 |
Printing and postage fees payable | 21,584 |
TOTAL LIABILITIES | 15,540,648 |
NET ASSETS | $3,362,753,702 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 2,164,311,564 |
Total distributable earnings (loss) | 1,198,442,138 |
NET ASSETS | $3,362,753,702 |
Administrative Shares | |
Net Assets | $ 231,075,047 |
Shares Outstanding | 644,059 |
Net asset value, offering and redemption price per share | $ 358.78 |
Service Shares | |
Net Assets | $ 8,133,719 |
Shares Outstanding | 22,692 |
Net asset value, offering and redemption price per share | $ 358.44 |
Class R Shares | |
Net Assets | $ 39,358,942 |
Shares Outstanding | 109,770 |
Net asset value, offering and redemption price per share | $ 358.56 |
Class A Shares | |
Net Assets | $ 95,175,514 |
Shares Outstanding | 265,248 |
Net asset value, offering and redemption price per share | $ 358.82 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 378.70 |
Class I Shares | |
Net Assets | $ 38,161,942 |
Shares Outstanding | 106,328 |
Net asset value, offering and redemption price per share | $ 358.91 |
Class K Shares | |
Net Assets | $2,950,848,538 |
Shares Outstanding | 8,221,498 |
Net asset value, offering and redemption price per share | $ 358.92 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $2,185,510,026 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 7,783,736 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $ 45,211,717 |
EXPENSES | |
Advisory fee | 558,597 |
Administration fees | 1,396,492 |
Sub-transfer agent fee | |
Class A Shares | 165,102 |
Class I Shares | 60,880 |
Distribution fees | |
Administrative Shares | 372,960 |
Service Shares | 47,900 |
Class R Shares | 228,263 |
Class A Shares | 206,377 |
Custodian fees | 47,927 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 188,175 |
Registration and filing fees | 392,660 |
Professional fees | 32,882 |
Printing and postage fees | 23,493 |
Insurance expense | 7,475 |
Miscellaneous expenses | 24,479 |
TOTAL EXPENSES | 3,774,662 |
Expenses waived/reimbursed by the Adviser | (2,138,050) |
NET EXPENSES | 1,636,612 |
NET INVESTMENT INCOME (LOSS) | $ 43,575,105 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (307,034) |
Capital gain distributions from the State Street Equity 500 Index II Portfolio | 36,012,125 |
Net realized gain (loss) | 35,705,091 |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | 612,889,016 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 648,594,107 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $692,169,212 |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 43,575,105 | $ 31,009,130 | |
Net realized gain (loss) | 35,705,091 | 38,274,720 | |
Net change in unrealized appreciation/depreciation | 612,889,016 | 244,514,455 | |
Net increase (decrease) in net assets resulting from operations | 692,169,212 | 313,798,305 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | (5,886,900) | (4,135,400) | |
Service Shares | (198,578) | (364,662) | |
Class R Shares | (828,145) | (442,751) | |
Class A Shares | (2,111,087) | (943,934) | |
Class I Shares | (952,396) | (348,143) | |
Class K Shares | (78,793,757) | (32,584,762) | |
Total distributions to shareholders | (88,770,863) | (38,819,652) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from shares sold | 15,051,512 | 17,299,834 | |
Reinvestment of distributions | 5,886,900 | 4,135,400 | |
Cost of shares redeemed | (91,642,106) | (51,497,088) | |
Net increase (decrease) from capital share transactions | (70,703,694) | (30,061,854) | |
Service Shares | |||
Proceeds from shares sold | 4,479,330 | 3,437,867 | |
Reinvestment of distributions | 198,577 | 364,662 | |
Cost of shares redeemed | (24,489,397) | (4,673,129) | |
Net increase (decrease) from capital share transactions | (19,811,490) | (870,600) | |
Class R Shares | |||
Proceeds from shares sold | 3,786,593 | 5,102,099 | |
Reinvestment of distributions | 828,145 | 442,751 | |
Cost of shares redeemed | (9,563,838) | (11,825,080) | |
Net increase (decrease) from capital share transactions | (4,949,100) | (6,280,230) | |
Class A Shares | |||
Proceeds from shares sold | 17,647,656 | 19,813,744 | |
Reinvestment of distributions | 2,107,809 | 941,800 | |
Cost of shares redeemed | (10,182,286) | (17,563,046) | |
Net increase (decrease) from capital share transactions | 9,573,179 | 3,192,498 | |
Class I Shares | |||
Proceeds from shares sold | 14,432,402 | 8,350,218 | |
Reinvestment of distributions | 952,395 | 348,143 | |
Cost of shares redeemed | (5,273,666) | (4,712,625) | |
Net increase (decrease) from capital share transactions | 10,111,131 | 3,985,736 | |
Class K Shares | |||
Proceeds from shares sold | 1,129,718,594 | 936,654,587 | |
Reinvestment of distributions | 78,793,757 | 32,584,653 | |
Cost of shares redeemed | (546,574,592) | (238,194,915) | |
Net increase (decrease) from capital share transactions | 661,937,759 | 731,044,325 | |
Net increase (decrease) in net assets from beneficial interest transactions | 586,157,785 | 701,009,875 | |
Net increase (decrease) in net assets during the period | 1,189,556,134 | 975,988,528 | |
Net assets at beginning of period | 2,173,197,568 | 1,197,209,040 | |
NET ASSETS AT END OF PERIOD | $3,362,753,702 | $2,173,197,568 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 49,188 | 73,251 | |
Reinvestment of distributions | 16,341 | 14,531 | |
Shares redeemed | (279,669) | (208,496) | |
Net increase (decrease) from share transactions | (214,140) | (120,714) | |
Service Shares | |||
Shares sold | 14,110 | 14,470 | |
Reinvestment of distributions | 552 | 1,282 | |
Shares redeemed | (72,213) | (18,420) | |
Net increase (decrease) from share transactions | (57,551) | (2,668) |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | ||
Class R Shares | |||
Shares sold | 11,668 | 21,042 | |
Reinvestment of distributions | 2,300 | 1,557 | |
Shares redeemed | (29,213) | (48,388) | |
Net increase (decrease) from share transactions | (15,245) | (25,789) | |
Class A Shares | |||
Shares sold | 55,842 | 78,581 | |
Reinvestment of distributions | 5,850 | 3,309 | |
Shares redeemed | (31,121) | (72,342) | |
Net increase (decrease) from share transactions | 30,571 | 9,548 | |
Class I Shares | |||
Shares sold | 45,037 | 34,372 | |
Reinvestment of distributions | 2,643 | 1,223 | |
Shares redeemed | (15,804) | (19,742) | |
Net increase (decrease) from share transactions | 31,876 | 15,853 | |
Class K Shares | |||
Shares sold | 3,505,394 | 3,698,640 | |
Reinvestment of distributions | 218,635 | 114,453 | |
Shares redeemed | (1,703,542) | (961,943) | |
Net increase (decrease) from share transactions | 2,020,487 | 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 | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.57 | 3.58 | 3.90 | 3.40 | 3.80 | ||||
Net realized and unrealized gain (loss) | 77.70 | 41.19 | 57.30 | (13.30) | 36.60 | ||||
Total from investment operations | 81.27 | 44.77 | 61.20 | (9.90) | 40.40 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.40) | (4.11) | (4.40) | (3.90) | (4.60) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (9.35) | (4.91) | (10.60) | (9.90) | (12.50) | ||||
Net asset value, end of period | $ 358.78 | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | ||||
Total return (c) | 28.32% | 18.14% | 31.14% | (4.56)% | 21.43% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $231,075 | $246,181 | $241,794 | $213,270 | $274,650 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.25% | 0.26% | 0.27% | 0.27% | 0.26% | ||||
Net expenses (d) | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | ||||
Net investment income (loss) | 1.09% | 1.45% | 1.68% | 1.51% | 1.83% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Service Shares | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $286.59 | $246.70 | $196.20 | $216.00 | $188.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.94 | 3.33 | 3.10 | 3.20 | 1.50 | ||||
Net realized and unrealized gain (loss) | 79.89 | 41.18 | 57.70 | (13.30) | 38.70 | ||||
Total from investment operations | 80.83 | 44.51 | 60.80 | (10.10) | 40.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.03) | (3.82) | (4.10) | (3.70) | (4.40) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (8.98) | (4.62) | (10.30) | (9.70) | (12.30) | ||||
Net asset value, end of period | $358.44 | $286.59 | $246.70 | $196.20 | $216.00 | ||||
Total return (c) | 28.19% | 18.06% | 30.99% | (4.66)% | 21.33% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 8,134 | $22,997 | $20,457 | $20,897 | $27,876 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.35% | 0.36% | 0.37% | 0.37% | 0.36% | ||||
Net expenses (d) | 0.27% | 0.27% | 0.27% | 0.27% | 0.28% | ||||
Net investment income (loss) | 0.29% | 1.35% | 1.36% | 1.44% | 0.73% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class R Shares | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $286.68 | $246.80 | $196.20 | $216.10 | $188.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.52 | 2.41 | 2.90 | 2.40 | 2.90 | ||||
Net realized and unrealized gain (loss) | 77.04 | 41.07 | 57.10 | (13.30) | 36.60 | ||||
Total from investment operations | 79.56 | 43.48 | 60.00 | (10.90) | 39.50 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.73) | (2.80) | (3.20) | (3.00) | (3.60) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (7.68) | (3.60) | (9.40) | (9.00) | (11.50) | ||||
Net asset value, end of period | $358.56 | $286.68 | $246.80 | $196.20 | $216.10 | ||||
Total return (c) | 27.74% | 17.63% | 30.58% | (5.04)% | 20.96% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $39,359 | $35,839 | $37,222 | $32,099 | $42,249 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.70% | 0.71% | 0.72% | 0.72% | 0.71% | ||||
Net expenses (d) | 0.62% | 0.62% | 0.62% | 0.62% | 0.63% | ||||
Net investment income (loss) | 0.78% | 0.98% | 1.27% | 1.06% | 1.41% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class A Shares | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $286.88 | $247.00 | $196.40 | $216.30 | $188.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.49 | 3.20 | 4.20 | 6.40 | 1.60 | ||||
Net realized and unrealized gain (loss) | 76.69 | 40.72 | 56.30 | (16.60) | 38.20 | ||||
Total from investment operations | 80.18 | 43.92 | 60.50 | (10.20) | 39.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.29) | (3.24) | (3.70) | (3.70) | (3.90) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (8.24) | (4.04) | (9.90) | (9.70) | (11.80) | ||||
Net asset value, end of period | $358.82 | $286.88 | $247.00 | $196.40 | $216.30 | ||||
Total return (c) | 27.94% | 17.79% | 30.78% | (4.72)% | 21.12% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $95,176 | $67,324 | $55,604 | $31,766 | $ 6,293 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.55% | 0.56% | 0.57% | 0.38% | 0.56% | ||||
Net expenses (d) | 0.47% | 0.47% | 0.47% | 0.28% | 0.48% | ||||
Net investment income (loss) | 1.07% | 1.29% | 1.81% | 2.89% | 0.79% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class I Shares | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $286.96 | $247.10 | $196.50 | $216.30 | $188.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 4.85 | 4.39 | 3.20 | 4.40 | 8.90 | ||||
Net realized and unrealized gain (loss) | 76.26 | 40.24 | 58.10 | (14.10) | 31.40 | ||||
Total from investment operations | 81.11 | 44.63 | 61.30 | (9.70) | 40.30 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.21) | (3.97) | (4.50) | (4.10) | (4.50) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (9.16) | (4.77) | (10.70) | (10.10) | (12.40) | ||||
Net asset value, end of period | $358.91 | $286.96 | $247.10 | $196.50 | $216.30 | ||||
Total return (c) | 28.25% | 18.07% | 31.17% | (4.45)% | 21.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $38,162 | $21,365 | $14,478 | $14,496 | $16,084 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.30% | 0.31% | 0.24% | 0.15% | 0.31% | ||||
Net expenses (d) | 0.22% | 0.22% | 0.15% | 0.05% | 0.23% | ||||
Net investment income (loss) | 1.47% | 1.75% | 1.38% | 1.98% | 4.21% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class K Shares | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 5.43 | 5.92 | 5.10 | 4.70 | 4.40 | ||||
Net realized and unrealized gain (loss) | 76.42 | 39.30 | 56.60 | (14.30) | 36.40 | ||||
Total from investment operations | 81.85 | 45.22 | 61.70 | (9.60) | 40.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.95) | (4.55) | (4.80) | (4.20) | (5.00) | ||||
Net realized gains | (4.95) | (0.80) | (6.20) | (6.00) | (7.90) | ||||
Total distributions | (9.90) | (5.35) | (11.00) | (10.20) | (12.90) | ||||
Net asset value, end of period | $ 358.92 | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | ||||
Total return (c) | 28.51% | 18.32% | 31.39% | (4.42)% | 21.61% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,950,849 | $1,779,491 | $827,654 | $485,040 | $412,903 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.10% | 0.11% | 0.12% | 0.12% | 0.11% | ||||
Net expenses (d) | 0.02% | 0.02% | 0.02% | 0.02% | 0.03% | ||||
Net investment income (loss) | 1.65% | 2.37% | 2.22% | 2.08% | 2.14% | ||||
Portfolio turnover rate (e) | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
% of Net Assets | |||
Common Stocks | 98.5% | ||
Short-Term Investments | 3.4 | ||
Liabilities in Excess of Other Assets | (1.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 28.7% | ||
Health Care | 13.1 | ||
Consumer Discretionary | 12.4 | ||
Financials | 10.5 | ||
Communication Services | 10.0 | ||
TOTAL | 74.7% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.5% | ||||||
COMMUNICATION SERVICES — 10.0% | ||||||
Activision Blizzard, Inc. | 133,600 | $ 8,888,408 | ||||
Alphabet, Inc. Class A (a) | 51,967 | 150,550,478 | ||||
Alphabet, Inc. Class C (a) | 48,287 | 139,722,780 | ||||
AT&T, Inc. | 1,231,640 | 30,298,344 | ||||
Cars.com, Inc. (a) | 1 | 16 | ||||
Charter Communications, Inc. Class A (a) | 21,300 | 13,886,961 | ||||
Comcast Corp. Class A | 786,766 | 39,597,933 | ||||
Discovery, Inc. Class A (a)(b) | 33,003 | 776,891 | ||||
Discovery, Inc. Class C (a) | 50,604 | 1,158,832 | ||||
DISH Network Corp. Class A (a) | 41,418 | 1,343,600 | ||||
Electronic Arts, Inc. | 48,379 | 6,381,190 | ||||
Fox Corp. Class A | 58,266 | 2,150,015 | ||||
Fox Corp. Class B | 29,300 | 1,004,111 | ||||
Interpublic Group of Cos., Inc. | 66,966 | 2,507,877 | ||||
Live Nation Entertainment, Inc. (a) | 24,300 | 2,908,467 | ||||
Lumen Technologies, Inc. (b) | 167,478 | 2,101,849 | ||||
Match Group, Inc. (a) | 49,400 | 6,533,150 | ||||
Meta Platforms, Inc. Class A (a) | 408,893 | 137,531,160 | ||||
Netflix, Inc. (a) | 76,504 | 46,089,070 | ||||
News Corp. Class A | 71,188 | 1,588,204 | ||||
News Corp. Class B | 19,300 | 434,250 | ||||
Omnicom Group, Inc. | 36,491 | 2,673,696 | ||||
Take-Two Interactive Software, Inc. (a) | 20,200 | 3,589,944 | ||||
T-Mobile US, Inc. (a) | 100,875 | 11,699,482 | ||||
Twitter, Inc. (a) | 136,700 | 5,908,174 | ||||
Verizon Communications, Inc. | 714,415 | 37,121,003 | ||||
ViacomCBS, Inc. Class B | 104,981 | 3,168,327 | ||||
Walt Disney Co. (a) | 313,664 | 48,583,417 | ||||
708,197,629 | ||||||
CONSUMER DISCRETIONARY — 12.4% | ||||||
Advance Auto Parts, Inc. | 11,100 | 2,662,668 | ||||
Amazon.com, Inc. (a) | 75,390 | 251,375,893 | ||||
Aptiv PLC (a) | 46,919 | 7,739,289 | ||||
AutoZone, Inc. (a) | 3,576 | 7,496,691 | ||||
Bath & Body Works, Inc. | 44,821 | 3,128,058 | ||||
Best Buy Co., Inc. | 38,406 | 3,902,050 | ||||
Booking Holdings, Inc. (a) | 7,024 | 16,852,191 | ||||
BorgWarner, Inc. | 40,177 | 1,810,777 | ||||
Caesars Entertainment, Inc. (a) | 38,400 | 3,591,552 | ||||
CarMax, Inc. (a) | 27,703 | 3,607,762 | ||||
Carnival Corp. (a)(b) | 144,901 | 2,915,408 | ||||
Chipotle Mexican Grill, Inc. (a) | 4,786 | 8,367,124 | ||||
D.R. Horton, Inc. | 56,297 | 6,105,410 | ||||
Darden Restaurants, Inc. | 22,071 | 3,324,775 | ||||
Dollar General Corp. | 40,013 | 9,436,266 |
Security Description | Shares | Value | ||||
Dollar Tree, Inc. (a) | 38,426 | $ 5,399,621 | ||||
Domino's Pizza, Inc. | 6,400 | 3,611,712 | ||||
eBay, Inc. | 107,145 | 7,125,142 | ||||
Etsy, Inc. (a) | 21,900 | 4,794,786 | ||||
Expedia Group, Inc. (a) | 25,134 | 4,542,216 | ||||
Ford Motor Co. | 675,138 | 14,022,616 | ||||
Gap, Inc. | 35,834 | 632,470 | ||||
Garmin, Ltd. | 27,240 | 3,709,271 | ||||
General Motors Co. (a) | 249,823 | 14,647,122 | ||||
Genuine Parts Co. | 24,289 | 3,405,318 | ||||
Hasbro, Inc. | 21,997 | 2,238,855 | ||||
Hilton Worldwide Holdings, Inc. (a) | 49,000 | 7,643,510 | ||||
Home Depot, Inc. | 182,302 | 75,657,153 | ||||
Las Vegas Sands Corp. (a) | 58,500 | 2,201,940 | ||||
Lennar Corp. Class A | 47,606 | 5,529,913 | ||||
LKQ Corp. | 45,500 | 2,731,365 | ||||
Lowe's Cos., Inc. | 119,450 | 30,875,436 | ||||
Marriott International, Inc. Class A (a) | 47,555 | 7,857,988 | ||||
McDonald's Corp. | 128,910 | 34,556,904 | ||||
MGM Resorts International | 67,900 | 3,047,352 | ||||
Mohawk Industries, Inc. (a) | 10,431 | 1,900,320 | ||||
Newell Brands, Inc. | 63,041 | 1,376,815 | ||||
NIKE, Inc. Class B | 220,506 | 36,751,735 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 61,600 | 1,277,584 | ||||
NVR, Inc. (a) | 550 | 3,249,878 | ||||
O'Reilly Automotive, Inc. (a) | 11,580 | 8,178,143 | ||||
Penn National Gaming, Inc. (a) | 28,100 | 1,456,985 | ||||
Pool Corp. | 7,200 | 4,075,200 | ||||
PulteGroup, Inc. | 44,762 | 2,558,596 | ||||
PVH Corp. | 11,849 | 1,263,696 | ||||
Ralph Lauren Corp. | 8,179 | 972,156 | ||||
Ross Stores, Inc. | 62,756 | 7,171,756 | ||||
Royal Caribbean Cruises, Ltd. (a)(b) | 38,000 | 2,922,200 | ||||
Starbucks Corp. | 203,430 | 23,795,207 | ||||
Tapestry, Inc. | 47,428 | 1,925,577 | ||||
Target Corp. | 84,072 | 19,457,624 | ||||
Tesla, Inc. (a) | 140,600 | 148,583,268 | ||||
TJX Cos., Inc. | 206,974 | 15,713,466 | ||||
Tractor Supply Co. | 19,826 | 4,730,484 | ||||
Ulta Beauty, Inc. (a) | 9,500 | 3,917,230 | ||||
Under Armour, Inc. Class A (a) | 31,424 | 665,875 | ||||
Under Armour, Inc. Class C (a) | 34,675 | 625,537 | ||||
VF Corp. | 58,344 | 4,271,948 | ||||
Whirlpool Corp. | 11,102 | 2,605,195 | ||||
Wynn Resorts, Ltd. (a) | 17,541 | 1,491,687 | ||||
Yum! Brands, Inc. | 50,802 | 7,054,366 | ||||
874,539,132 | ||||||
CONSUMER STAPLES — 5.8% | ||||||
Altria Group, Inc. | 316,129 | 14,981,353 |
Security Description | Shares | Value | ||||
Archer-Daniels-Midland Co. | 95,632 | $ 6,463,767 | ||||
Brown-Forman Corp. Class B | 31,052 | 2,262,449 | ||||
Campbell Soup Co. | 33,782 | 1,468,166 | ||||
Church & Dwight Co., Inc. | 42,600 | 4,366,500 | ||||
Clorox Co. | 21,264 | 3,707,591 | ||||
Coca-Cola Co. | 670,800 | 39,718,068 | ||||
Colgate-Palmolive Co. | 144,923 | 12,367,729 | ||||
Conagra Brands, Inc. | 81,524 | 2,784,045 | ||||
Constellation Brands, Inc. Class A | 28,850 | 7,240,484 | ||||
Costco Wholesale Corp. | 76,255 | 43,289,963 | ||||
Estee Lauder Cos., Inc. Class A | 39,841 | 14,749,138 | ||||
General Mills, Inc. | 106,642 | 7,185,538 | ||||
Hershey Co. | 25,967 | 5,023,835 | ||||
Hormel Foods Corp. | 48,002 | 2,342,978 | ||||
J.M. Smucker Co. | 18,805 | 2,554,095 | ||||
Kellogg Co. | 43,428 | 2,797,632 | ||||
Kimberly-Clark Corp. | 59,127 | 8,450,431 | ||||
Kraft Heinz Co. | 126,818 | 4,552,766 | ||||
Kroger Co. | 117,842 | 5,333,529 | ||||
Lamb Weston Holdings, Inc. | 24,700 | 1,565,486 | ||||
McCormick & Co., Inc. | 43,184 | 4,172,006 | ||||
Molson Coors Beverage Co. Class B | 31,353 | 1,453,212 | ||||
Mondelez International, Inc. Class A | 240,115 | 15,922,026 | ||||
Monster Beverage Corp. (a) | 65,035 | 6,245,961 | ||||
PepsiCo, Inc. | 238,616 | 41,449,985 | ||||
Philip Morris International, Inc. | 268,412 | 25,499,140 | ||||
Procter & Gamble Co. | 417,926 | 68,364,335 | ||||
Sysco Corp. | 90,074 | 7,075,313 | ||||
Tyson Foods, Inc. Class A | 52,444 | 4,571,019 | ||||
Walmart, Inc. | 245,403 | 35,507,360 | ||||
Walgreens Boots Alliance, Inc. | 124,405 | 6,488,965 | ||||
409,954,865 | ||||||
ENERGY — 2.6% | ||||||
APA Corp. | 62,955 | 1,692,860 | ||||
Baker Hughes Co. | 151,779 | 3,651,803 | ||||
ChampionX Corp. (a) | 1 | 20 | ||||
Chevron Corp. | 332,617 | 39,032,605 | ||||
ConocoPhillips | 227,035 | 16,387,386 | ||||
Coterra Energy, Inc. | 137,178 | 2,606,382 | ||||
Devon Energy Corp. | 109,073 | 4,804,666 | ||||
Diamondback Energy, Inc. | 30,600 | 3,300,210 | ||||
EOG Resources, Inc. | 101,771 | 9,040,318 | ||||
Exxon Mobil Corp. | 730,675 | 44,710,003 | ||||
Halliburton Co. | 160,467 | 3,669,880 | ||||
Hess Corp. | 47,757 | 3,535,451 | ||||
Kinder Morgan, Inc. | 337,850 | 5,358,301 | ||||
Marathon Oil Corp. | 142,588 | 2,341,295 | ||||
Marathon Petroleum Corp. | 105,341 | 6,740,771 | ||||
Occidental Petroleum Corp. | 158,473 | 4,594,132 | ||||
ONEOK, Inc. | 79,596 | 4,677,061 |
Security Description | Shares | Value | ||||
Phillips 66 | 75,873 | $ 5,497,758 | ||||
Pioneer Natural Resources Co. | 39,376 | 7,161,707 | ||||
Schlumberger NV | 240,150 | 7,192,492 | ||||
Valero Energy Corp. | 70,823 | 5,319,515 | ||||
Williams Cos., Inc. | 216,358 | 5,633,962 | ||||
186,948,578 | ||||||
FINANCIALS — 10.5% | ||||||
Aflac, Inc. | 108,006 | 6,306,470 | ||||
Allstate Corp. | 51,039 | 6,004,738 | ||||
American Express Co. | 108,012 | 17,670,763 | ||||
American International Group, Inc. | 142,301 | 8,091,235 | ||||
Ameriprise Financial, Inc. | 19,744 | 5,955,975 | ||||
Aon PLC Class A | 37,898 | 11,390,623 | ||||
Arthur J Gallagher & Co. | 35,800 | 6,074,186 | ||||
Assurant, Inc. | 9,885 | 1,540,676 | ||||
Bank of America Corp. | 1,243,405 | 55,319,088 | ||||
Bank of New York Mellon Corp. | 130,094 | 7,555,860 | ||||
Berkshire Hathaway, Inc. Class B (a) | 316,384 | 94,598,816 | ||||
BlackRock, Inc. | 24,616 | 22,537,425 | ||||
Brown & Brown, Inc. | 39,700 | 2,790,116 | ||||
Capital One Financial Corp. | 73,095 | 10,605,354 | ||||
Cboe Global Markets, Inc. | 18,900 | 2,464,560 | ||||
Charles Schwab Corp. | 259,104 | 21,790,646 | ||||
Chubb, Ltd. | 74,053 | 14,315,185 | ||||
Cincinnati Financial Corp. | 25,409 | 2,894,847 | ||||
Citigroup, Inc. | 341,827 | 20,642,933 | ||||
Citizens Financial Group, Inc. | 74,200 | 3,505,950 | ||||
CME Group, Inc. | 61,863 | 14,133,221 | ||||
Comerica, Inc. | 22,727 | 1,977,249 | ||||
Discover Financial Services | 52,028 | 6,012,356 | ||||
Everest Re Group, Ltd. | 6,800 | 1,862,656 | ||||
FactSet Research Systems, Inc. | 6,500 | 3,159,065 | ||||
Fifth Third Bancorp | 119,662 | 5,211,280 | ||||
First Republic Bank | 30,700 | 6,339,857 | ||||
Franklin Resources, Inc. | 46,889 | 1,570,313 | ||||
Globe Life, Inc. | 17,212 | 1,613,109 | ||||
Goldman Sachs Group, Inc. | 58,546 | 22,396,772 | ||||
Hartford Financial Services Group, Inc. | 58,967 | 4,071,082 | ||||
Huntington Bancshares, Inc. | 251,191 | 3,873,365 | ||||
Intercontinental Exchange, Inc. | 96,885 | 13,250,961 | ||||
Invesco, Ltd. | 56,811 | 1,307,789 | ||||
JPMorgan Chase & Co. | 510,443 | 80,828,649 | ||||
KeyCorp. | 168,396 | 3,894,999 | ||||
Lincoln National Corp. | 30,082 | 2,053,397 | ||||
Loews Corp. | 33,819 | 1,953,385 | ||||
M&T Bank Corp. | 23,063 | 3,542,016 | ||||
MarketAxess Holdings, Inc. | 6,900 | 2,837,763 | ||||
Marsh & McLennan Cos., Inc. | 86,919 | 15,108,261 | ||||
MetLife, Inc. | 122,470 | 7,653,150 |
Security Description | Shares | Value | ||||
Moody's Corp. | 27,732 | $ 10,831,565 | ||||
Morgan Stanley | 247,427 | 24,287,434 | ||||
MSCI, Inc. | 14,100 | 8,638,929 | ||||
Nasdaq, Inc. | 20,875 | 4,383,959 | ||||
Northern Trust Corp. | 37,096 | 4,437,053 | ||||
People's United Financial, Inc. | 71,266 | 1,269,960 | ||||
PNC Financial Services Group, Inc. | 72,675 | 14,572,791 | ||||
Principal Financial Group, Inc. | 42,565 | 3,078,726 | ||||
Progressive Corp. | 101,949 | 10,465,065 | ||||
Prudential Financial, Inc. | 64,702 | 7,003,345 | ||||
Raymond James Financial, Inc. | 33,300 | 3,343,320 | ||||
Regions Financial Corp. | 170,846 | 3,724,443 | ||||
S&P Global, Inc. | 41,468 | 19,569,993 | ||||
Signature Bank | 10,500 | 3,396,435 | ||||
State Street Corp. (c) | 63,678 | 5,922,054 | ||||
SVB Financial Group (a) | 10,200 | 6,918,048 | ||||
Synchrony Financial | 96,876 | 4,494,078 | ||||
T Rowe Price Group, Inc. | 39,355 | 7,738,767 | ||||
Travelers Cos., Inc. | 42,106 | 6,586,642 | ||||
Truist Financial Corp. | 229,615 | 13,443,958 | ||||
US Bancorp | 232,022 | 13,032,676 | ||||
Wells Fargo & Co. | 687,803 | 33,000,788 | ||||
Willis Towers Watson PLC | 21,245 | 5,045,475 | ||||
WR Berkley Corp. | 23,800 | 1,960,882 | ||||
Zions Bancorp NA | 27,095 | 1,711,320 | ||||
745,563,847 | ||||||
HEALTH CARE — 13.1% | ||||||
Abbott Laboratories | 305,149 | 42,946,670 | ||||
AbbVie, Inc. | 305,080 | 41,307,832 | ||||
ABIOMED, Inc. (a) | 8,200 | 2,945,194 | ||||
Agilent Technologies, Inc. | 52,693 | 8,412,438 | ||||
Align Technology, Inc. (a) | 12,800 | 8,411,904 | ||||
AmerisourceBergen Corp. | 25,934 | 3,446,369 | ||||
Amgen, Inc. | 97,054 | 21,834,238 | ||||
Anthem, Inc. | 41,819 | 19,384,779 | ||||
Baxter International, Inc. | 85,779 | 7,363,269 | ||||
Becton Dickinson and Co. | 49,356 | 12,412,047 | ||||
Biogen, Inc. (a) | 25,584 | 6,138,113 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 3,700 | 2,795,609 | ||||
Bio-Techne Corp. | 6,800 | 3,517,912 | ||||
Boston Scientific Corp. (a) | 247,957 | 10,533,213 | ||||
Bristol-Myers Squibb Co. | 382,575 | 23,853,551 | ||||
Cardinal Health, Inc. | 49,333 | 2,540,156 | ||||
Catalent, Inc. (a) | 30,700 | 3,930,521 | ||||
Centene Corp. (a) | 101,304 | 8,347,450 | ||||
Cerner Corp. | 52,537 | 4,879,111 | ||||
Charles River Laboratories International, Inc. (a) | 9,100 | 3,428,698 | ||||
Cigna Corp. | 56,941 | 13,075,362 | ||||
Cooper Cos., Inc. | 8,500 | 3,560,990 | ||||
CVS Health Corp. | 227,494 | 23,468,281 |
Security Description | Shares | Value | ||||
Danaher Corp. | 109,694 | $ 36,090,423 | ||||
DaVita, Inc. (a) | 11,728 | 1,334,177 | ||||
DENTSPLY SIRONA, Inc. | 38,534 | 2,149,812 | ||||
DexCom, Inc. (a) | 16,600 | 8,913,370 | ||||
Edwards Lifesciences Corp. (a) | 107,430 | 13,917,557 | ||||
Eli Lilly & Co. | 136,972 | 37,834,406 | ||||
Gilead Sciences, Inc. | 215,852 | 15,673,014 | ||||
HCA Healthcare, Inc. | 41,100 | 10,559,412 | ||||
Henry Schein, Inc. (a) | 25,100 | 1,946,003 | ||||
Hologic, Inc. (a) | 43,000 | 3,292,080 | ||||
Humana, Inc. | 22,390 | 10,385,825 | ||||
IDEXX Laboratories, Inc. (a) | 14,900 | 9,811,054 | ||||
Illumina, Inc. (a) | 26,800 | 10,195,792 | ||||
Incyte Corp. (a) | 33,000 | 2,422,200 | ||||
Intuitive Surgical, Inc. (a) | 61,532 | 22,108,448 | ||||
IQVIA Holdings, Inc. (a) | 33,400 | 9,423,476 | ||||
Johnson & Johnson | 454,708 | 77,786,898 | ||||
Laboratory Corp. of America Holdings (a) | 16,475 | 5,176,610 | ||||
McKesson Corp. | 26,852 | 6,674,602 | ||||
Medtronic PLC | 231,993 | 23,999,676 | ||||
Merck & Co., Inc. | 435,772 | 33,397,566 | ||||
Mettler-Toledo International, Inc. (a) | 3,900 | 6,619,119 | ||||
Moderna, Inc. (a) | 60,700 | 15,416,586 | ||||
Organon & Co. | 46,067 | 1,402,740 | ||||
PerkinElmer, Inc. | 21,886 | 4,400,399 | ||||
Pfizer, Inc. | 969,133 | 57,227,304 | ||||
Quest Diagnostics, Inc. | 21,942 | 3,796,185 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 18,142 | 11,457,036 | ||||
ResMed, Inc. | 25,600 | 6,668,288 | ||||
STERIS PLC | 17,300 | 4,210,993 | ||||
Stryker Corp. | 57,794 | 15,455,272 | ||||
Teleflex, Inc. | 8,000 | 2,627,840 | ||||
Thermo Fisher Scientific, Inc. | 68,012 | 45,380,327 | ||||
UnitedHealth Group, Inc. | 162,674 | 81,685,122 | ||||
Universal Health Services, Inc. Class B | 12,600 | 1,633,716 | ||||
Vertex Pharmaceuticals, Inc. (a) | 43,652 | 9,585,979 | ||||
Viatris, Inc. | 205,314 | 2,777,898 | ||||
Waters Corp. (a) | 10,450 | 3,893,670 | ||||
West Pharmaceutical Services, Inc. | 12,800 | 6,003,328 | ||||
Zimmer Biomet Holdings, Inc. | 36,225 | 4,602,024 | ||||
Zoetis, Inc. | 81,520 | 19,893,326 | ||||
926,363,260 | ||||||
INDUSTRIALS — 7.7% | ||||||
3M Co. | 99,229 | 17,626,047 | ||||
A.O. Smith Corp. | 22,200 | 1,905,870 | ||||
Alaska Air Group, Inc. (a) | 23,100 | 1,203,510 | ||||
Allegion PLC | 15,296 | 2,025,802 | ||||
American Airlines Group, Inc. (a) | 108,900 | 1,955,844 |
Security Description | Shares | Value | |||
AMETEK, Inc. | 40,099 | $ 5,896,157 | |||
Boeing Co. (a) | 95,164 | 19,158,416 | |||
C.H. Robinson Worldwide, Inc. | 23,679 | 2,548,571 | |||
Carrier Global Corp. | 151,379 | 8,210,797 | |||
Caterpillar, Inc. | 93,124 | 19,252,456 | |||
Cintas Corp. | 15,066 | 6,676,799 | |||
Copart, Inc. (a) | 36,900 | 5,594,778 | |||
CSX Corp. | 381,565 | 14,346,844 | |||
Cummins, Inc. | 25,014 | 5,456,554 | |||
Deere & Co. | 48,583 | 16,658,625 | |||
Delta Air Lines, Inc. (a) | 114,334 | 4,468,173 | |||
Dover Corp. | 24,950 | 4,530,920 | |||
Eaton Corp. PLC | 68,525 | 11,842,490 | |||
Emerson Electric Co. | 102,579 | 9,536,770 | |||
Equifax, Inc. | 21,088 | 6,174,356 | |||
Expeditors International of Washington, Inc. | 29,476 | 3,958,332 | |||
Fastenal Co. | 99,616 | 6,381,401 | |||
FedEx Corp. | 42,650 | 11,030,996 | |||
Fortive Corp. | 63,949 | 4,878,669 | |||
Fortune Brands Home & Security, Inc. | 23,500 | 2,512,150 | |||
Generac Holdings, Inc. (a) | 11,300 | 3,976,696 | |||
General Dynamics Corp. | 40,272 | 8,395,504 | |||
General Electric Co. | 189,123 | 17,866,450 | |||
Honeywell International, Inc. | 118,678 | 24,745,550 | |||
Howmet Aerospace, Inc. | 64,286 | 2,046,223 | |||
Huntington Ingalls Industries, Inc. | 7,400 | 1,381,876 | |||
IDEX Corp. | 13,300 | 3,143,056 | |||
IHS Markit, Ltd. | 69,500 | 9,237,940 | |||
Illinois Tool Works, Inc. | 49,100 | 12,117,880 | |||
Ingersoll Rand, Inc. | 69,287 | 4,286,787 | |||
Jacobs Engineering Group, Inc. | 22,143 | 3,082,970 | |||
JB Hunt Transport Services, Inc. | 14,300 | 2,922,920 | |||
Johnson Controls International PLC | 124,008 | 10,083,090 | |||
L3Harris Technologies, Inc. | 33,621 | 7,169,342 | |||
Leidos Holdings, Inc. | 24,100 | 2,142,490 | |||
Lockheed Martin Corp. | 42,271 | 15,023,536 | |||
Masco Corp. | 42,884 | 3,011,314 | |||
Nielsen Holdings PLC | 66,225 | 1,358,275 | |||
Norfolk Southern Corp. | 41,787 | 12,440,408 | |||
Northrop Grumman Corp. | 26,125 | 10,112,204 | |||
Old Dominion Freight Line, Inc. | 16,350 | 5,859,513 | |||
Otis Worldwide Corp. | 73,989 | 6,442,222 | |||
PACCAR, Inc. | 60,139 | 5,307,868 | |||
Parker-Hannifin Corp. | 22,389 | 7,122,389 | |||
Pentair PLC | 29,504 | 2,154,677 | |||
Quanta Services, Inc. | 25,707 | 2,947,565 | |||
Raytheon Technologies Corp. | 257,901 | 22,194,960 | |||
Republic Services, Inc. | 36,189 | 5,046,556 | |||
Robert Half International, Inc. | 20,066 | 2,237,760 |
Security Description | Shares | Value | ||||
Rockwell Automation, Inc. | 20,426 | $ 7,125,610 | ||||
Rollins, Inc. | 38,125 | 1,304,256 | ||||
Roper Technologies, Inc. | 18,365 | 9,033,009 | ||||
Snap-on, Inc. | 9,140 | 1,968,573 | ||||
Southwest Airlines Co. (a) | 105,759 | 4,530,716 | ||||
Stanley Black & Decker, Inc. | 28,857 | 5,443,007 | ||||
Textron, Inc. | 38,033 | 2,936,148 | ||||
Trane Technologies PLC | 41,284 | 8,340,607 | ||||
TransDigm Group, Inc. (a) | 9,100 | 5,790,148 | ||||
Union Pacific Corp. | 110,898 | 27,938,533 | ||||
United Airlines Holdings, Inc. (a) | 54,900 | 2,403,522 | ||||
United Parcel Service, Inc. Class B | 125,691 | 26,940,609 | ||||
United Rentals, Inc. (a) | 12,500 | 4,153,625 | ||||
Verisk Analytics, Inc. | 27,600 | 6,312,948 | ||||
W.W. Grainger, Inc. | 7,557 | 3,916,340 | ||||
Waste Management, Inc. | 67,035 | 11,188,141 | ||||
Westinghouse Air Brake Technologies Corp. | 32,066 | 2,953,599 | ||||
Xylem, Inc. | 31,058 | 3,724,475 | ||||
543,693,214 | ||||||
INFORMATION TECHNOLOGY — 28.7% | ||||||
Accenture PLC Class A | 109,018 | 45,193,412 | ||||
Adobe, Inc. (a) | 82,144 | 46,580,577 | ||||
Advanced Micro Devices, Inc. (a) | 208,300 | 29,974,370 | ||||
Akamai Technologies, Inc. (a) | 27,590 | 3,229,134 | ||||
Amphenol Corp. Class A | 104,340 | 9,125,576 | ||||
Analog Devices, Inc. | 92,461 | 16,251,870 | ||||
ANSYS, Inc. (a) | 14,900 | 5,976,688 | ||||
Apple, Inc. | 2,693,996 | 478,372,871 | ||||
Applied Materials, Inc. | 155,654 | 24,493,713 | ||||
Arista Networks, Inc. (a) | 38,800 | 5,577,500 | ||||
Autodesk, Inc. (a) | 37,806 | 10,630,669 | ||||
Automatic Data Processing, Inc. | 72,552 | 17,889,872 | ||||
Broadcom, Inc. | 71,091 | 47,304,662 | ||||
Broadridge Financial Solutions, Inc. | 20,900 | 3,820,938 | ||||
Cadence Design Systems, Inc. (a) | 48,300 | 9,000,705 | ||||
CDW Corp. | 23,400 | 4,791,852 | ||||
Ceridian HCM Holding, Inc. (a) | 22,900 | 2,392,134 | ||||
Cisco Systems, Inc. | 727,990 | 46,132,726 | ||||
Citrix Systems, Inc. | 21,889 | 2,070,480 | ||||
Cognizant Technology Solutions Corp. Class A | 91,341 | 8,103,774 | ||||
Corning, Inc. | 133,226 | 4,960,004 | ||||
DXC Technology Co. (a) | 41,938 | 1,349,984 | ||||
Enphase Energy, Inc. (a) | 23,300 | 4,262,502 | ||||
EPAM Systems, Inc. (a) | 9,800 | 6,550,810 | ||||
F5, Inc. (a) | 10,241 | 2,506,075 | ||||
Fidelity National Information Services, Inc. | 104,591 | 11,416,108 |
Security Description | Shares | Value | |||
Fiserv, Inc. (a) | 103,724 | $ 10,765,514 | |||
FleetCor Technologies, Inc. (a) | 14,000 | 3,133,760 | |||
Fortinet, Inc. (a) | 23,300 | 8,374,020 | |||
Gartner, Inc. (a) | 14,600 | 4,881,072 | |||
Global Payments, Inc. | 50,868 | 6,876,336 | |||
Hewlett Packard Enterprise Co. | 227,553 | 3,588,511 | |||
HP, Inc. | 197,353 | 7,434,287 | |||
Intel Corp. | 701,736 | 36,139,404 | |||
International Business Machines Corp. | 154,495 | 20,649,802 | |||
Intuit, Inc. | 48,837 | 31,412,935 | |||
IPG Photonics Corp. (a) | 6,000 | 1,032,840 | |||
Jack Henry & Associates, Inc. | 13,200 | 2,204,268 | |||
Juniper Networks, Inc. | 54,949 | 1,962,229 | |||
Keysight Technologies, Inc. (a) | 31,500 | 6,505,065 | |||
KLA Corp. | 26,432 | 11,368,668 | |||
Lam Research Corp. | 24,277 | 17,458,805 | |||
Mastercard, Inc. Class A | 149,751 | 53,808,529 | |||
Microchip Technology, Inc. | 95,166 | 8,285,152 | |||
Micron Technology, Inc. | 192,634 | 17,943,857 | |||
Microsoft Corp. | 1,297,658 | 436,428,339 | |||
Monolithic Power Systems, Inc. | 7,400 | 3,650,642 | |||
Motorola Solutions, Inc. | 29,372 | 7,980,372 | |||
NetApp, Inc. | 40,114 | 3,690,087 | |||
NortonLifeLock, Inc. | 98,860 | 2,568,383 | |||
NVIDIA Corp. | 431,976 | 127,048,461 | |||
NXP Semiconductors NV | 45,700 | 10,409,546 | |||
Oracle Corp. | 278,035 | 24,247,432 | |||
Paychex, Inc. | 56,307 | 7,685,905 | |||
Paycom Software, Inc. (a) | 8,300 | 3,446,077 | |||
PayPal Holdings, Inc. (a) | 202,745 | 38,233,652 | |||
PTC, Inc. (a) | 19,200 | 2,326,080 | |||
Qorvo, Inc. (a) | 18,700 | 2,924,493 | |||
QUALCOMM, Inc. | 193,226 | 35,335,239 | |||
salesforce.com, Inc. (a) | 168,995 | 42,946,699 | |||
Seagate Technology Holdings PLC | 35,524 | 4,013,502 | |||
ServiceNow, Inc. (a) | 34,300 | 22,264,473 | |||
Skyworks Solutions, Inc. | 29,500 | 4,576,630 | |||
SolarEdge Technologies, Inc. (a) | 9,100 | 2,553,187 | |||
Synopsys, Inc. (a) | 26,500 | 9,765,250 | |||
TE Connectivity, Ltd. | 56,851 | 9,172,340 | |||
Teledyne Technologies, Inc. (a) | 8,390 | 3,665,507 | |||
Teradyne, Inc. | 28,600 | 4,676,958 | |||
Texas Instruments, Inc. | 159,293 | 30,021,952 | |||
Trimble, Inc. (a) | 43,400 | 3,784,046 | |||
Tyler Technologies, Inc. (a) | 7,100 | 3,819,445 | |||
VeriSign, Inc. (a) | 17,101 | 4,340,576 | |||
Visa, Inc. Class A | 289,560 | 62,750,548 | |||
Western Digital Corp. (a) | 52,753 | 3,440,023 | |||
Xilinx, Inc. | 43,060 | 9,130,012 |
Security Description | Shares | Value | ||||
Zebra Technologies Corp. Class A (a) | 9,300 | $ 5,535,360 | ||||
2,034,215,276 | ||||||
MATERIALS — 2.5% | ||||||
Air Products & Chemicals, Inc. | 38,002 | 11,562,489 | ||||
Albemarle Corp. | 20,300 | 4,745,531 | ||||
Alcoa Corp. | 1 | 60 | ||||
Amcor PLC | 267,226 | 3,209,384 | ||||
Avery Dennison Corp. | 14,070 | 3,047,140 | ||||
Ball Corp. | 56,632 | 5,451,963 | ||||
Celanese Corp. | 18,800 | 3,159,528 | ||||
CF Industries Holdings, Inc. | 38,620 | 2,733,524 | ||||
Corteva, Inc. | 127,282 | 6,017,893 | ||||
Dow, Inc. | 129,248 | 7,330,947 | ||||
DuPont de Nemours, Inc. | 90,873 | 7,340,721 | ||||
Eastman Chemical Co. | 23,136 | 2,797,374 | ||||
Ecolab, Inc. | 42,800 | 10,040,452 | ||||
FMC Corp. | 21,878 | 2,404,173 | ||||
Freeport-McMoRan, Inc. | 255,640 | 10,667,857 | ||||
International Flavors & Fragrances, Inc. | 44,476 | 6,700,309 | ||||
International Paper Co. | 67,703 | 3,180,687 | ||||
Linde PLC | 88,363 | 30,611,594 | ||||
LyondellBasell Industries NV Class A | 44,958 | 4,146,476 | ||||
Martin Marietta Materials, Inc. | 10,845 | 4,777,439 | ||||
Mosaic Co. | 62,784 | 2,466,783 | ||||
Newmont Corp. | 138,733 | 8,604,221 | ||||
Nucor Corp. | 50,948 | 5,815,714 | ||||
Packaging Corp. of America | 16,200 | 2,205,630 | ||||
PPG Industries, Inc. | 41,254 | 7,113,840 | ||||
Sealed Air Corp. | 24,923 | 1,681,555 | ||||
Sherwin-Williams Co. | 41,527 | 14,624,148 | ||||
Vulcan Materials Co. | 23,171 | 4,809,836 | ||||
Westrock Co. | 45,436 | 2,015,541 | ||||
179,262,809 | ||||||
REAL ESTATE — 2.7% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 24,100 | 5,373,336 | ||||
American Tower Corp. REIT | 78,518 | 22,966,515 | ||||
AvalonBay Communities, Inc. REIT | 24,669 | 6,231,143 | ||||
Boston Properties, Inc. REIT | 24,146 | 2,781,136 | ||||
CBRE Group, Inc. Class A (a) | 57,167 | 6,203,191 | ||||
Crown Castle International Corp. REIT | 74,358 | 15,521,489 | ||||
Digital Realty Trust, Inc. REIT | 48,700 | 8,613,569 | ||||
Duke Realty Corp. REIT | 64,800 | 4,253,472 | ||||
Equinix, Inc. REIT | 15,443 | 13,062,307 | ||||
Equity Residential REIT | 59,019 | 5,341,219 | ||||
Essex Property Trust, Inc. REIT | 11,245 | 3,960,826 | ||||
Extra Space Storage, Inc. REIT | 23,200 | 5,260,136 |
Security Description | Shares | Value | ||||
Federal Realty Investment Trust REIT | 11,800 | $ 1,608,576 | ||||
Healthpeak Properties, Inc. REIT | 96,823 | 3,494,342 | ||||
Host Hotels & Resorts, Inc. REIT (a) | 119,662 | 2,080,922 | ||||
Iron Mountain, Inc. REIT (b) | 51,081 | 2,673,069 | ||||
Kimco Realty Corp. REIT | 111,353 | 2,744,851 | ||||
Mid-America Apartment Communities, Inc. REIT | 19,800 | 4,542,912 | ||||
Prologis, Inc. REIT | 127,350 | 21,440,646 | ||||
Public Storage REIT | 26,535 | 9,938,950 | ||||
Realty Income Corp. REIT | 98,300 | 7,037,297 | ||||
Regency Centers Corp. REIT | 28,300 | 2,132,405 | ||||
SBA Communications Corp. REIT | 18,600 | 7,235,772 | ||||
Simon Property Group, Inc. REIT | 57,280 | 9,151,626 | ||||
UDR, Inc. REIT | 49,100 | 2,945,509 | ||||
Ventas, Inc. REIT | 68,197 | 3,486,231 | ||||
Vornado Realty Trust REIT | 26,468 | 1,107,950 | ||||
Welltower, Inc. REIT | 75,519 | 6,477,265 | ||||
Weyerhaeuser Co. REIT | 128,987 | 5,311,685 | ||||
192,978,347 | ||||||
UTILITIES — 2.5% | ||||||
AES Corp. | 113,136 | 2,749,205 | ||||
Alliant Energy Corp. | 44,000 | 2,704,680 | ||||
Ameren Corp. | 44,604 | 3,970,202 | ||||
American Electric Power Co., Inc. | 87,909 | 7,821,264 | ||||
American Water Works Co., Inc. | 31,000 | 5,854,660 | ||||
Atmos Energy Corp. | 24,000 | 2,514,480 | ||||
CenterPoint Energy, Inc. | 109,276 | 3,049,893 | ||||
CMS Energy Corp. | 50,455 | 3,282,098 | ||||
Consolidated Edison, Inc. | 61,252 | 5,226,021 | ||||
Dominion Energy, Inc. | 139,166 | 10,932,881 | ||||
DTE Energy Co. | 33,545 | 4,009,969 | ||||
Duke Energy Corp. | 132,292 | 13,877,431 | ||||
Edison International | 67,814 | 4,628,306 | ||||
Entergy Corp. | 35,998 | 4,055,175 | ||||
Evergy, Inc. | 38,999 | 2,675,721 | ||||
Eversource Energy | 59,517 | 5,414,857 | ||||
Exelon Corp. | 170,384 | 9,841,380 | ||||
FirstEnergy Corp. | 94,293 | 3,921,646 | ||||
NextEra Energy, Inc. | 338,456 | 31,598,252 | ||||
NiSource, Inc. | 65,304 | 1,803,043 | ||||
NRG Energy, Inc. | 40,702 | 1,753,442 |
Security Description | Shares | Value | |||
Pinnacle West Capital Corp. | 18,804 | $ 1,327,374 | |||
PPL Corp. | 133,019 | 3,998,551 | |||
Public Service Enterprise Group, Inc. | 89,988 | 6,004,899 | |||
Sempra Energy | 55,462 | 7,336,513 | |||
Southern Co. | 182,159 | 12,492,464 | |||
WEC Energy Group, Inc. | 54,682 | 5,307,982 | |||
Xcel Energy, Inc. | 93,651 | 6,340,173 | |||
174,492,562 | |||||
TOTAL COMMON STOCKS (Cost $4,018,054,415) | 6,976,209,519 |
SHORT-TERM INVESTMENTS — 3.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) | 233,022,880 | 233,022,880 | |
State Street Navigator Securities Lending Portfolio II (c) (f) | 6,637,405 | 6,637,405 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $239,660,285) | 239,660,285 | ||
TOTAL INVESTMENTS — 101.9% (Cost $4,257,714,700) | 7,215,869,804 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.9)% | (137,225,756) | ||
NET ASSETS — 100.0% | $ 7,078,644,048 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 400 | 03/18/2022 | $94,067,436 | $95,170,000 | $1,102,564 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $6,976,209,519 | $— | $— | $6,976,209,519 | ||||
Short-Term Investments | 239,660,285 | — | — | 239,660,285 | ||||
TOTAL INVESTMENTS | $7,215,869,804 | $— | $— | $7,215,869,804 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,102,564 | — | — | 1,102,564 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,102,564 | $— | $— | $ 1,102,564 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $7,216,972,368 | $— | $— | $7,216,972,368 |
(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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Corp. | 49,678 | $ 3,615,565 | $ 1,625,991 | $ 437,357 | $(66,234) | $1,184,089 | 63,678 | $ 5,922,054 | $130,761 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 132,932,599 | 132,932,599 | 1,825,327,503 | 1,725,237,222 | — | — | 233,022,880 | 233,022,880 | 56,522 | ||||||||
State Street Navigator Securities Lending Portfolio II | 3,755,880 | 3,755,880 | 60,203,517 | 57,321,992 | — | — | 6,637,405 | 6,637,405 | 50,367 | ||||||||
Total | $140,304,044 | $ 1,887,157,011 | $1,782,996,571 | $(66,234) | $1,184,089 | $245,582,339 | $237,650 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $6,970,287,465 |
Investments in affiliated issuers, at value | 245,582,339 |
Total Investments | 7,215,869,804 |
Net cash at broker | 9,593,657 |
Receivable from broker — accumulated variation margin on futures contracts | 1,103,590 |
Receivable for investments sold | 119,876,970 |
Receivable for fund shares sold | 12,320,975 |
Dividends receivable — unaffiliated issuers | 4,195,670 |
Dividends receivable — affiliated issuers | 42,782 |
Securities lending income receivable — unaffiliated issuers | 96 |
Securities lending income receivable — affiliated issuers | 987 |
Prepaid expenses and other assets | 10,616 |
TOTAL ASSETS | 7,363,015,147 |
LIABILITIES | |
Payable upon return of securities loaned | 6,637,405 |
Payable for fund shares repurchased | 277,334,804 |
Administration, custody, and transfer agent fees payable | 222,191 |
Trustees’ fees and expenses payable | 1,834 |
Registration and filing fees payable | 53,342 |
Professional fees payable | 43,229 |
Printing and postage fees payable | 13,129 |
Accrued expenses and other liabilities | 65,165 |
TOTAL LIABILITIES | 284,371,099 |
NET ASSETS | $7,078,644,048 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,140,000,324 |
Total distributable earnings (loss) | 2,938,643,724 |
NET ASSETS | $7,078,644,048 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 432.09 |
Shares outstanding (unlimited amount authorized, no par value) | 16,382,269 |
Net Assets | $7,078,644,048 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,013,583,594 |
Investments in affiliated issuers | 244,131,106 |
Total cost of investments | $4,257,714,700 |
* Includes investments in securities on loan, at value | $ 6,408,021 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 82,755,970 |
Dividend income — affiliated issuers | 187,283 |
Unaffiliated securities lending income | 5,209 |
Affiliated securities lending income | 50,367 |
Foreign taxes withheld | (11,635) |
TOTAL INVESTMENT INCOME (LOSS) | 82,987,194 |
EXPENSES | |
Administration, custody, and transfer agent fees | 796,452 |
Trustees’ fees and expenses | 68,415 |
Licensing and Registration Fees | 102,964 |
Professional fees | 94,089 |
Printing and postage fees | 19,929 |
Insurance expense | 16,808 |
Miscellaneous expenses | 41,121 |
TOTAL EXPENSES | 1,139,778 |
NET INVESTMENT INCOME (LOSS) | $ 81,847,416 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 67,696,247 |
Investments — affiliated issuers | (66,234) |
Futures contracts | 35,443,357 |
Net realized gain (loss) | 103,073,370 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 1,331,931,799 |
Investments — affiliated issuers | 1,184,089 |
Futures contracts | (2,047,166) |
Net change in unrealized appreciation/depreciation | 1,331,068,722 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,434,142,092 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,515,989,508 |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 81,847,416 | $ 62,744,062 | |
Net realized gain (loss) | 103,073,370 | 14,768,301 | |
Net change in unrealized appreciation/depreciation | 1,331,068,722 | 599,025,715 | |
Net increase (decrease) in net assets resulting from operations | 1,515,989,508 | 676,538,078 | |
Distributions to shareholders | (177,080,594) | (165,181,932) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 2,052,984,080 | 1,401,873,496 | |
Reinvestment of distributions | 177,080,594 | 165,181,932 | |
Cost of shares redeemed | (1,222,576,978) | (570,161,285) | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,007,487,696 | 996,894,143 | |
Net increase (decrease) in net assets during the period | 2,346,396,610 | 1,508,250,289 | |
Net assets at beginning of period | 4,732,247,438 | 3,223,997,149 | |
NET ASSETS AT END OF PERIOD | $ 7,078,644,048 | $4,732,247,438 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 5,317,152 | 4,588,233 | |
Reinvestment of distributions | 420,250 | 487,190 | |
Shares redeemed | (3,081,038) | (2,014,344) | |
Net increase (decrease) from share transactions | 2,656,364 | 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. |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 5.30 | 5.44 | 5.60 | 5.20 | 5.00 | ||||
Net realized and unrealized gain (loss) | 92.75 | 49.45 | 68.40 | (17.20) | 44.20 | ||||
Total from investment operations | 98.05 | 54.89 | 74.00 | (12.00) | 49.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (5.07) | (5.28) | (5.20) | (5.20) | (5.40) | ||||
Net realized gains | (5.66) | (7.24) | (1.80) | (8.80) | (8.60) | ||||
Total distributions | (10.73) | (12.52) | (7.00) | (14.00) | (14.00) | ||||
Net asset value, end of period | $ 432.09 | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | ||||
Total return (c) | 28.52% | 18.30% | 31.41% | (4.42)% | 21.66% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $7,078,644 | $4,732,247 | $3,223,997 | $2,634,533 | $2,199,181 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% | ||||
Net expenses | 0.02% | 0.02% | 0.02% | 0.02% | 0.03% | ||||
Net investment income (loss) | 1.34% | 1.79% | 2.01% | 1.93% | 1.98% | ||||
Portfolio turnover rate | 6% | 6% | 21% | 8% | 30% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at December 31, 2021 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 47.51% |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,103,590 | $— | $1,103,590 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | 35,443,357 | $— | 35,443,357 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (2,047,166) | $— | (2,047,166) |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $1,360,804,303 | $366,467,512 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $46,520,737 | $42,250,126 | $ 88,770,863 | ||
State Street Equity 500 Index II Portfolio | 98,568,567 | 78,512,027 | 177,080,594 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $ 33,291,426 | $ 5,528,226 | $ 38,819,652 | ||
State Street Equity 500 Index II Portfolio | 72,912,208 | 92,269,724 | 165,181,932 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Equity 500 Index Fund | $ — | $— | $35,796,880 | $1,162,645,258 | $1,198,442,138 | ||||
State Street Equity 500 Index II Portfolio | 1,541,310 | — | 33,383,145 | 2,903,719,269 | 2,938,643,724 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $2,200,629,074 | $1,162,645,258 | $ — | $1,162,645,258 | |||
State Street Equity 500 Index II Portfolio | 4,313,253,099 | 2,945,642,812 | 41,923,543 | 2,903,719,269 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 6,408,021 | $ 6,637,405 | $ — | $ 6,637,405 |
Remaining Contractual Maturity of the Agreements as of December 31, 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 Equity 500 Index II Portfolio | Common Stocks | $6,637,405 | $— | $— | $— | $6,637,405 | $6,637,405 |
March 1, 2022
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% | $1,115.40 | $0.91 | $1,024.30 | $0.87 | ||||
Service Shares | 0.27 | 1,114.80 | 1.44 | 1,023.80 | 1.38 | ||||
Class R Shares | 0.62 | 1,112.90 | 3.30 | 1,022.10 | 3.16 | ||||
Class A Shares | 0.47 | 1,113.70 | 2.50 | 1,022.80 | 2.40 | ||||
Class I Shares | 0.22 | 1,115.10 | 1.17 | 1,024.10 | 1.12 | ||||
Class K Shares | 0.02 | 1,116.20 | 0.11 | 1,025.10 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 1,116.00 | 0.11 | 1,025.10 | 0.10 |
(a) | Expenses are equal to the Fund’s/Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
Amount | |
State Street Equity 500 Index Fund | $42,250,126 |
State Street Equity 500 Index II Portfolio | 78,512,027 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the
Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
13 | |
19 | |
20 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $12,936,274,488 |
Receivable from Adviser | 179,966 |
Prepaid expenses and other assets | 26,331 |
TOTAL ASSETS | 12,936,480,785 |
LIABILITIES | |
Administration fees payable | 601,763 |
Shareholder servicing fee payable | 149,435 |
Distribution fees payable | 28,664 |
Transfer agent fees payable | 30,989 |
Registration and filing fees payable | 82,226 |
Professional fees payable | 21,112 |
Printing fees payable | 22,337 |
Distribution payable | 45,614 |
Accrued expenses and other liabilities | 208,599 |
TOTAL LIABILITIES | 1,190,739 |
NET ASSETS | $12,935,290,046 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $12,937,005,234 |
Total distributable earnings (loss) | (1,715,188) |
NET ASSETS | $12,935,290,046 |
Administration Class | |
Net Assets | $ 663,480,392 |
Shares Outstanding | 663,454,879 |
Net asset value, offering and redemption price per share | $ 1.0000 |
Bancroft Capital Class | |
Net Assets | $ 49,995 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Institutional Class | |
Net Assets | $ 80,593,913 |
Shares Outstanding | 80,572,038 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Investment Class | |
Net Assets | $ 6,200 |
Shares Outstanding | 6,199 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Investor Class | |
Net Assets | $ 131,789,526 |
Shares Outstanding | 131,772,063 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Opportunity Class | |
Net Assets | $ 49,997 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Premier Class | |
Net Assets | $ 11,646,151,441 |
Shares Outstanding | 11,644,534,749 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Trust Class | |
Net Assets | $ 413,168,582 |
Shares Outstanding | 413,108,966 |
Net asset value, offering and redemption price per share | $ 1.0001 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $12,936,802,001 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $26,473,282 |
Expenses allocated from affiliated Portfolio | (9,903,107) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 16,570,175 |
EXPENSES | |
Administration fees | |
Administration Class | 333,990 |
Bancroft Capital Class (a) | 6 |
Institutional Class | 53,987 |
Investment Class | 4 |
Investor Class | 56,549 |
Opportunity Class (b) | 5 |
Premier Class | 6,853,267 |
Trust Class | 277,574 |
Shareholder servicing fees | |
Administration Class | 1,335,959 |
Bancroft Capital Class (a) | 3 |
Institutional Class | 32,392 |
Investment Class | 15 |
Investor Class | 90,479 |
Opportunity Class (b) | 3 |
Trust Class | 321,986 |
Distribution fees | |
Administration Class | 333,990 |
Investment Class | 7 |
Custodian fees | 69,810 |
Trustees’ fees and expenses | 21,113 |
Transfer agent fees | 309,393 |
Registration and filing fees | 123,366 |
Professional fees and expenses | 74,518 |
Printing and postage fees | 34,999 |
Insurance expense | 55,300 |
Miscellaneous expenses | 62,105 |
TOTAL EXPENSES | 10,440,820 |
Expenses waived/reimbursed by the Adviser | (1,466,751) |
NET EXPENSES | 8,974,069 |
NET INVESTMENT INCOME (LOSS) | $ 7,596,106 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 328,885 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (1,003,186) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (674,301) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 6,921,805 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 7,596,106 | $ 113,163,375 | |
Net realized gain (loss) | 328,885 | (1,520,746) | |
Net change in unrealized appreciation/depreciation | (1,003,186) | (956,676) | |
Net increase (decrease) in net assets resulting from operations | 6,921,805 | 110,685,953 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | — | (2,508,291) | |
Bancroft Capital Class (a) | (1) | — | |
Institutional Class | (28,289) | (1,795,112) | |
Investment Class | — | (44) | |
Investor Class | (790) | (853,404) | |
Opportunity Class (b) | (1) | — | |
Premier Class | (7,534,333) | (105,085,131) | |
Trust Class | (32,775) | (3,240,782) | |
Total distributions to shareholders | (7,596,189) | (113,482,764) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 5,957,484,888 | 5,350,163,645 | |
Reinvestment of distributions | — | 967,450 | |
Shares redeemed | (5,861,507,676) | (5,396,599,634) | |
Net increase (decrease) from capital share transactions | 95,977,212 | (45,468,539) | |
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Institutional Class | |||
Shares sold | 77,199,894 | 1,039,255,767 | |
Reinvestment of distributions | 6,990 | 482,800 | |
Shares redeemed | (150,369,173) | (1,069,133,111) | |
Net increase (decrease) from capital share transactions | (73,162,289) | (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 | 408,609,297 | 838,381,570 | |
Reinvestment of distributions | 381 | 818,527 | |
Shares redeemed | (374,710,475) | (777,477,302) | |
Net increase (decrease) from capital share transactions | 33,899,203 | 61,722,795 | |
Opportunity Class (b) | |||
Shares sold | 50,001 | — | |
Net increase (decrease) from capital share transactions | 50,001 | — | |
Premier Class | |||
Shares sold | 113,078,030,118 | 163,555,047,610 | |
Reinvestment of distributions | 6,680,516 | 88,956,761 | |
Shares redeemed | (116,292,575,431) | (168,975,379,628) | |
Net increase (decrease) from capital share transactions | (3,207,864,797) | (5,331,375,257) | |
Trust Class | |||
Shares sold | 7,081,187,234 | 5,768,057,656 | |
Reinvestment of distributions | 21,904 | 2,294,758 | |
Shares redeemed | (7,120,423,609) | (5,915,232,791) | |
Net increase (decrease) from capital share transactions | (39,214,471) | (144,880,377) | |
Net increase (decrease) in net assets from beneficial interest transactions | (3,190,265,141) | (5,489,401,907) | |
Net increase (decrease) in net assets during the period | (3,190,939,525) | (5,492,198,718) | |
Net assets at beginning of period | 16,126,229,571 | 21,618,428,289 | |
NET ASSETS AT END OF PERIOD | $ 12,935,290,046 | $ 16,126,229,571 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 5,956,707,098 | 5,349,685,085 | |
Reinvestment of distributions | — | 967,416 | |
Shares redeemed | (5,860,743,263) | (5,396,179,614) | |
Net increase (decrease) from share transactions | 95,963,835 | (45,527,113) |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Institutional Class | |||
Shares sold | 77,170,375 | 1,038,965,842 | |
Reinvestment of distributions | 6,987 | 482,584 | |
Shares redeemed | (150,309,629) | (1,069,005,350) | |
Net increase (decrease) from share transactions | (73,132,267) | (29,556,924) | |
Investment Class | |||
Reinvestment of distributions | — | 22 | |
Shares redeemed | — | (6,005) | |
Net increase (decrease) from share transactions | — | (5,983) | |
Investor Class | |||
Shares sold | 408,507,253 | 838,222,166 | |
Reinvestment of distributions | 381 | 818,601 | |
Shares redeemed | (374,613,664) | (777,583,480) | |
Net increase (decrease) from share transactions | 33,893,970 | 61,457,287 | |
Opportunity Class (b) | |||
Shares sold | 50,001 | — | |
Net increase (decrease) from share transactions | 50,001 | — | |
Premier Class | |||
Shares sold | 113,051,301,766 | 163,528,835,580 | |
Reinvestment of distributions | 6,678,864 | 88,949,273 | |
Shares redeemed | (116,265,052,910) | (168,952,575,641) | |
Net increase (decrease) from share transactions | (3,207,072,280) | (5,334,790,788) | |
Trust Class | |||
Shares sold | 7,079,718,262 | 5,766,928,033 | |
Reinvestment of distributions | 21,899 | 2,294,565 | |
Shares redeemed | (7,118,962,285) | (5,914,161,983) | |
Net increase (decrease) from share transactions | (39,222,124) | (144,939,385) |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Administration Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0000(b) | 0.0039 | 0.0206 | 0.0174 | 0.0080 | ||||
Net realized and unrealized gain (loss) | (0.0001) | — | (0.0001) | (0.0001) | 0.0000(b) | ||||
Total from investment operations | (0.0001) | 0.0039 | 0.0205 | 0.0173 | 0.0080 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.0039) | (0.0203) | (0.0174) | (0.0080) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | — | (0.0039) | (0.0203) | (0.0174) | (0.0080) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | ||||
Total return (c) | (0.01)% | 0.39% | 2.07% | 1.75% | 0.80% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $663,480 | $567,550 | $613,074 | $956,750 | $831,606 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37% | 0.37% | 0.38% | 0.37% | 0.37% | ||||
Net expenses | 0.17% | 0.32% | 0.37% | 0.37% | 0.37% | ||||
Net investment income (loss) | 0.00%(d) | 0.43% | 2.06% | 1.74% | 0.80% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
Bancroft Capital Class (a) | |
For the Period 10/13/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0000(b) |
Net realized and unrealized gain (loss) | (0.0001) |
Total from investment operations | (0.0001) |
Distributions to shareholders from: | |
Net investment income | (0.0000)(b) |
Net asset value, end of period | $ 0.9999 |
Total return (c) | (0.01)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.15%(d) |
Net investment income (loss) | 0.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class (a) | |||||||
Year Ended 12/31/21 | 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) | 0.0001 | 0.0002 | 0.0009 | 0.0001 | |||
Total from investment operations | 0.0002 | 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 | $ 1.0003 | $ 1.0003 | $ 1.0002 | $ 1.0001 | |||
Total return (b) | 0.02% | 0.56% | 2.28% | 1.08% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 80,594 | $153,757 | $183,304 | $ 55 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15% | 0.15% | 0.16% | 0.15%(c) | |||
Net expenses | 0.15% | 0.15% | 0.15% | 0.15%(c) | |||
Net investment income (loss) | 0.03% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
Investment Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $1.0002 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0000 | 0.0036 | 0.0201 | 0.0164 | 0.0070 | ||||
Net realized and unrealized gain (loss) | — | — | (0.0003) | 0.0001 | (0.0001) | ||||
Total from investment operations | 0.0000(b) | 0.0036 | 0.0198 | 0.0165 | 0.0069 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.0036) | (0.0196) | (0.0164) | (0.0070) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | — | (0.0036) | (0.0196) | (0.0164) | (0.0070) | ||||
Net asset value, end of period | $1.0002 | $ 1.0002 | $ 1.0002 | $ 1.0000 | $ 0.9999 | ||||
Total return (c) | 0.00%(d) | 0.37% | 1.99% | 1.67% | 0.69% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 6 | $ 6 | $ 12 | $ 23 | $ 5,547 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.48% | 0.45% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.17% | 0.35% | 0.45% | 0.47% | 0.47% | ||||
Net investment income (loss) | (0.03)% | 0.38% | 2.01% | 1.18% | 0.70% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
Investor Class (a) | |||||||||
Year Ended 12/31/21 | 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 | $ 1.0001 | $ 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) | $131,790 | $ 97,898 | $ 36,424 | $ 40,881 | $ 34,361 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.21% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.17% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.00%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
Opportunity Class (a) | |
For the Period 10/28/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0000(b) |
Net realized and unrealized gain (loss) | (0.0001) |
Total from investment operations | (0.0001) |
Distributions to shareholders from: | |
Net investment income | (0.0000)(b) |
Net asset value, end of period | $ 0.9999 |
Total return (c) | (0.01)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.15%(d) |
Net investment income (loss) | 0.00%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Premier Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0004 | 0.0058 | 0.0223 | 0.0199 | 0.0105 | ||||
Net realized and unrealized gain (loss) | — | 0.0001 | 0.0007 | — | (0.0002) | ||||
Total from investment operations | 0.0004 | 0.0059 | 0.0230 | 0.0199 | 0.0103 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0005) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0005) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | ||||
Net asset value, end of period | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | ||||
Total return (c) | 0.04% | 0.59% | 2.32% | 2.00% | 1.05% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $11,646,151 | $14,854,601 | $20,188,261 | $9,489,591 | $8,303,222 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.13% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.06% | 0.67% | 2.23% | 2.00% | 1.06% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Trust Class(a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0001 | 0.0052 | 0.0226 | 0.0193 | 0.0099 | ||||
Net realized and unrealized gain (loss) | (0.0001) | 0.0001 | (0.0003) | 0.0001 | (0.0001) | ||||
Total from investment operations | — | 0.0053 | 0.0223 | 0.0194 | 0.0098 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | ||||
Net asset value, end of period | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | ||||
Total return (c) | (0.00)%(d) | 0.53% | 2.26% | 1.96% | 0.99% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $413,169 | $452,418 | $597,353 | $704,123 | $764,391 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.18% | ||||
Net expenses | 0.17% | 0.18% | 0.18% | 0.18% | 0.18% | ||||
Net investment income (loss) | 0.01% | 0.51% | 2.26% | 1.91% | 0.97% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Liquid Reserves Fund | Premier Class Investment Class Administration Class Trust Class Investor Class Institutional Class Bancroft Capital Class Opportunity Class Service Class | August 12, 2004 October 15, 2007 August 29, 2016 August 29, 2016 July 13, 2017 July 6, 2018 October 13, 2021 October 28, 2021 Not commenced | Diversified |
Expiration Date | Amount | |
12/31/2024 | $1,404,801 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $7,596,189 | $— | $7,596,189 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $ 113,482,764 | $ — | $ 113,482,764 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Liquid Reserves Fund | $4,185 | $(1,191,861) | $— | $(527,512) | $(1,715,188) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Institutional Liquid Reserves Fund | $1,191,861 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $12,936,802,001 | $527,512 | $1,055,025 | $(527,513) |
March 1, 2022
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 Institutional Liquid Reserves Fund | |||||||||
Administration Class | 0.16% | $ 999.80 | $0.82(a) | $1,024.40 | $0.82(a) | ||||
Bancroft Capital Class | 0.15 | 999.90 | 0.48(b) | 1,024.10 | 1.07(b) | ||||
Institutional Class | 0.15 | 1,000.00 | 0.76(a) | 1,024.40 | 0.77(a) | ||||
Investment Class | 0.22 | 1,000.00 | 1.12(a) | 1,024.10 | 1.12(a) | ||||
Investor Class | 0.16 | 999.80 | 0.82(a) | 1,024.40 | 0.82(a) | ||||
Opportunity Class | 0.15 | 999.90 | 0.28(c) | 1,024.40 | 0.77(c) | ||||
Premier Class | 0.12 | 1,000.00 | 0.61(a) | 1,024.60 | 0.61(a) | ||||
Trust Class | 0.16 | 999.90 | 0.82(a) | 1,024.40 | 0.82(a) |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 10/13/2021. |
(c) | Actual period is from commencement of operations on 10/28/2021. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 | |
17 |
% of Net Assets | |||
Certificates of Deposit | 22.7% | ||
Other Notes | 21.2 | ||
Financial Company Commercial Paper | 20.8 | ||
Asset Backed Commercial Paper | 14.1 | ||
Other Repurchase Agreements | 9.6 | ||
Treasury Repurchase Agreements | 8.5 | ||
Government Agency Repurchase Agreements | 2.1 | ||
Treasury Debt | 1.0 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
2 to 30 Days | 55.1% | ||
31 to 60 Days | 12.6 | ||
61 to 90 Days | 8.1 | ||
Over 90 Days | 24.2 | ||
Total | 100.0% | ||
Average days to maturity | 36 | ||
Weighted average life | 54 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—14.1% | ||||||||||
Alinghi Funding Co. LLC(a) | 0.160% | 01/11/2022 | 01/11/2022 | $ 67,000,000 | $ 66,997,686 | |||||
Alinghi Funding Co. LLC(a) | 0.190% | 04/20/2022 | 04/20/2022 | 40,000,000 | 39,965,411 | |||||
Anglesea Funding LLC(a) | 0.140% | 01/05/2022 | 01/05/2022 | 100,000,000 | 99,998,889 | |||||
Barton Capital SA(a) | 0.070% | 01/03/2022 | 01/03/2022 | 65,000,000 | 64,999,566 | |||||
Bennington Stark Capital Corp. LLC(a) | 0.150% | 01/10/2022 | 01/10/2022 | 74,398,000 | 74,396,098 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.180% | 03/01/2022 | 03/01/2022 | 70,000,000 | 69,976,667 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.230% | 05/03/2022 | 05/03/2022 | 100,000,000 | 99,906,383 | |||||
Ionic Capital II Trust(a) | 0.150% | 01/28/2022 | 01/28/2022 | 122,000,000 | 121,988,519 | |||||
Ionic Capital II Trust(a) | 0.180% | 02/16/2022 | 02/16/2022 | 75,000,000 | 74,983,844 | |||||
Ionic Capital II Trust(a) | 0.220% | 02/17/2022 | 02/17/2022 | 72,000,000 | 71,983,872 | |||||
Ionic Capital III Trust(a) | 0.180% | 01/27/2022 | 01/27/2022 | 40,000,000 | 39,996,490 | |||||
Lexington Parker Capital Co. LLC(a) | 0.200% | 01/19/2022 | 01/19/2022 | 105,200,000 | 105,195,059 | |||||
Lexington Parker Capital Co. LLC(a) | 0.220% | 02/24/2022 | 02/24/2022 | 95,211,000 | 95,183,799 | |||||
LMA Americas LLC(a) | 0.080% | 01/05/2022 | 01/05/2022 | 50,000,000 | 49,999,445 | |||||
Manhattan Asset Funding Co. LLC(a) | 0.220% | 01/26/2022 | 01/26/2022 | 67,000,000 | 66,994,580 | |||||
Mountcliff Funding LLC | 0.090% | 01/03/2022 | 01/03/2022 | 160,000,000 | 159,998,933 | |||||
Mountcliff Funding LLC(a) | 0.200% | 02/03/2022 | 02/03/2022 | 100,000,000 | 99,986,967 | |||||
Mountcliff Funding LLC(a) | 0.220% | 04/12/2022 | 04/12/2022 | 50,000,000 | 49,960,050 | |||||
Regatta Funding Co. LLC(a) | 0.180% | 02/01/2022 | 02/01/2022 | 150,000,000 | 149,978,133 | |||||
Ridgefield Funding Co. LLC(a) | 0.280% | 04/05/2022 | 04/05/2022 | 95,000,000 | 94,936,574 | |||||
Victory Receivables Corp.(a) | 0.250% | 03/23/2022 | 03/23/2022 | 125,000,000 | 124,932,521 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 1,822,359,486 | |||||||||
CERTIFICATES OF DEPOSIT—22.7% | ||||||||||
Bank of Montreal(a) | 0.185% | 07/05/2022 | 07/05/2022 | 100,000,000 | 99,912,760 | |||||
Bank of Montreal, SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 08/02/2022 | 50,000,000 | 49,973,574 | |||||
Bank of Montreal, SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 09/29/2022 | 100,000,000 | 99,931,344 | |||||
Bank of Nova Scotia(a) | 0.200% | 09/28/2022 | 09/28/2022 | 125,000,000 | 124,801,866 | |||||
BNP Paribas(a) | 0.180% | 06/15/2022 | 06/15/2022 | 95,000,000 | 94,972,814 | |||||
Canadian Imperial Bank of Commerce(a) | 0.270% | 01/04/2022 | 01/04/2022 | 150,000,000 | 150,003,163 | |||||
Canadian Imperial Bank of Commerce, Bloomberg Short-Term Bank Yield Index + 0.10%(b) | 0.179% | 01/24/2022 | 01/24/2022 | 22,000,000 | 22,000,000 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.30%(b) | 0.350% | 01/03/2022 | 01/06/2023 | 100,000,000 | 99,995,885 | |||||
Credit Industriel et Commercial(a) | 0.180% | 05/03/2022 | 05/03/2022 | 160,000,000 | 160,020,158 | |||||
Credit Industriel et Commercial(a) | 0.200% | 01/14/2022 | 01/14/2022 | 125,000,000 | 125,006,801 | |||||
Credit Suisse, SOFR + 0.26%(b) | 0.310% | �� | 01/03/2022 | 06/10/2022 | 150,000,000 | 150,001,338 | ||||
Mizuho Bank Ltd.(a) | 0.160% | 01/18/2022 | 01/18/2022 | 150,000,000 | 150,006,445 | |||||
Mizuho Bank Ltd.(a) | 0.170% | 04/01/2022 | 04/01/2022 | 150,000,000 | 149,980,637 | |||||
Mizuho Bank Ltd.(a) | 0.170% | 04/18/2022 | 04/18/2022 | 75,000,000 | 74,983,340 | |||||
MUFG Bank Ltd.(a) | 0.150% | 01/21/2022 | 01/21/2022 | 100,000,000 | 100,004,080 | |||||
MUFG Bank Ltd.(a) | 0.230% | 01/27/2022 | 01/27/2022 | 125,000,000 | 125,012,829 | |||||
MUFG Bank Ltd.(a) | 0.320% | 08/08/2022 | 08/08/2022 | 125,000,000 | 124,966,320 | |||||
Norinchukin Bank(a) | 0.110% | 01/05/2022 | 01/05/2022 | 150,000,000 | 150,000,896 | |||||
Norinchukin Bank(a) | 0.150% | 02/03/2022 | 02/03/2022 | 150,000,000 | 150,005,095 | |||||
Standard Chartered Bank(a) | 0.220% | 04/25/2022 | 04/25/2022 | 59,000,000 | 58,987,362 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.170% | 02/01/2022 | 02/01/2022 | 100,000,000 | 100,005,147 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.220% | 05/05/2022 | 05/05/2022 | 74,000,000 | 73,986,365 | |||||
Sumitomo Mitsui Banking Corp., 3 Month USD LIBOR + 0.04%(b) | 0.170% | 01/04/2022 | 01/04/2022 | 47,000,000 | 47,000,000 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 04/22/2022 | 109,000,000 | 109,011,187 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 04/25/2022 | 20,000,000 | 20,000,000 | |||||
Svenska Handelsbanken AB(a) | 0.150% | 03/03/2022 | 03/03/2022 | 113,000,000 | 113,002,512 | |||||
Svenska Handelsbanken AB, SOFR + 0.21%(b) | 0.260% | 01/03/2022 | 06/14/2022 | 53,000,000 | 53,006,065 | |||||
Toronto Dominion Bank(a) | 0.180% | 06/30/2022 | 06/30/2022 | 125,000,000 | 124,917,709 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Westpac Banking Corp., SOFR + 0.13%(b) | 0.180% | 01/03/2022 | 07/15/2022 | $ 31,000,000 | $ 30,991,669 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 2,932,487,361 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.8% | ||||||||||
Bank of Montreal(a) | 0.080% | 01/03/2022 | 01/03/2022 | 200,000,000 | 199,998,666 | |||||
Bank of Montreal(a) | 0.080% | 01/05/2022 | 01/05/2022 | 150,000,000 | 149,998,333 | |||||
Barclays Bank PLC(a) | 0.270% | 04/01/2022 | 04/01/2022 | 150,000,000 | 149,893,453 | |||||
Canadian Imperial Bank of Commerce(a) | 0.110% | 01/18/2022 | 01/18/2022 | 100,000,000 | 99,996,250 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.01%(b) | 0.151% | 02/03/2022 | 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 | 119,983,720 | |||||
DBS Bank Ltd.(a) | 0.220% | 05/02/2022 | 05/02/2022 | 100,000,000 | 99,908,161 | |||||
DnB Bank ASA(a) | 0.145% | 03/28/2022 | 03/28/2022 | 125,000,000 | 124,952,573 | |||||
ING U.S. Funding LLC(a) | 0.205% | 03/14/2022 | 03/14/2022 | 50,000,000 | 49,982,156 | |||||
Kreditanstalt fuer Wiederaufbau(a) | 0.140% | 03/28/2022 | 03/28/2022 | 53,000,000 | 52,978,482 | |||||
National Australia Bank Ltd., SOFR + 0.21%(b) | 0.260% | 01/03/2022 | 06/14/2022 | 73,250,000 | 73,250,000 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 0.180% | 03/01/2022 | 03/01/2022 | 50,000,000 | 49,991,667 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 0.180% | 03/02/2022 | 03/02/2022 | 100,000,000 | 99,982,208 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 0.200% | 05/18/2022 | 05/18/2022 | 100,000,000 | 99,898,033 | |||||
Royal Bank of Canada(a) | 0.240% | 04/14/2022 | 04/14/2022 | 140,000,000 | 139,905,360 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.220% | 05/13/2022 | 05/13/2022 | 100,000,000 | 99,911,703 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.240% | 06/15/2022 | 06/15/2022 | 66,000,000 | 65,920,569 | |||||
Societe Generale(a) | 0.150% | 01/03/2022 | 01/03/2022 | 87,000,000 | 86,999,493 | |||||
Societe Generale(a) | 0.155% | 01/31/2022 | 01/31/2022 | 150,000,000 | 149,989,537 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.225% | 03/15/2022 | 03/15/2022 | 100,000,000 | 99,965,672 | |||||
Toronto Dominion Bank(a) | 0.100% | 01/13/2022 | 01/13/2022 | 100,000,000 | 99,997,472 | |||||
UBS AG, SOFR + 0.19%(b) | 0.240% | 01/03/2022 | 07/13/2022 | 125,000,000 | 125,006,636 | |||||
United Overseas Bank Ltd.(a) | 0.150% | 03/16/2022 | 03/16/2022 | 100,000,000 | 99,961,458 | |||||
United Overseas Bank Ltd.(a) | 0.180% | 02/23/2022 | 02/23/2022 | 100,000,000 | 99,979,300 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.01%(b) | 0.154% | 02/07/2022 | 02/07/2022 | 75,000,000 | 75,002,180 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 2,695,453,082 | |||||||||
OTHER NOTES—21.2% | ||||||||||
ABN Amro Bank NV(a) | 0.070% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
ABN Amro Bank NV(a) | 0.080% | 01/05/2022 | 01/05/2022 | 100,000,000 | 100,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.070% | 01/03/2022 | 01/03/2022 | 345,000,000 | 345,000,000 | |||||
Bank of Nova Scotia(a) | 0.070% | 01/03/2022 | 01/03/2022 | 350,000,000 | 350,000,000 | |||||
Canadian Imperial Bank of Commerce(a) | 0.050% | 01/03/2022 | 01/03/2022 | 200,000,000 | 200,000,000 | |||||
Citibank NA(a) | 0.140% | 01/03/2022 | 01/03/2022 | 175,000,000 | 175,000,000 | |||||
Credit Agricole Corporate & Investment Bank(a) | 0.050% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
First Abu Dhabi Bank USA(a) | 0.050% | 01/03/2022 | 01/03/2022 | 233,943,000 | 233,943,000 | |||||
ING Bank NV(a) | 0.080% | 01/05/2022 | 01/05/2022 | 125,000,000 | 125,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.070% | 01/03/2022 | 01/03/2022 | 200,000,000 | 200,000,000 | |||||
National Australia Bank Ltd.(a) | 0.050% | 01/03/2022 | 01/03/2022 | 50,000,000 | 50,000,000 | |||||
National Bank Of Canada(a) | 0.060% | 01/03/2022 | 01/03/2022 | 200,000,000 | 200,000,000 | |||||
Royal Bank of Canada(a) | 0.050% | 01/03/2022 | 01/03/2022 | 175,000,000 | 175,000,000 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.050% | 01/03/2022 | 01/03/2022 | 145,000,000 | 145,000,000 | |||||
Toronto Dominion Bank(a) | 0.070% | 01/05/2022 | 01/05/2022 | 100,000,000 | 100,000,000 | |||||
Toyota Motor Credit Corp.(a) | 0.070% | 01/06/2022 | 01/06/2022 | 100,000,000 | 100,000,000 | |||||
Toyota Motor Credit Corp., SOFR + 0.28%(b) | 0.330% | 01/03/2022 | 12/14/2022 | 50,000,000 | 50,037,000 | |||||
TOTAL OTHER NOTES | 2,748,980,000 | |||||||||
TREASURY DEBT—1.0% | ||||||||||
U.S. Treasury Bill(a) | 0.065% | 05/19/2022 | 05/19/2022 | 125,000,000 | 124,956,320 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—2.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal National Mortgage Associations, 1.500% – 5.000% due 05/01/2026 – 01/01/2052, valued at $221,340,000); expected proceeds $217,001,808 | 0.100% | 01/03/2022 | 01/03/2022 | $ 217,000,000 | $ 217,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 2.000% due 12/01/2051, valued at $51,000,582); expected proceeds $50,000,208 | 0.050% | 01/03/2022 | 01/03/2022 | 50,000,000 | 50,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 267,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—8.5% | ||||||||||
Agreement with Federal Reserve Bank of New York of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 0.125% due 11/30/2023, valued at $1,100,004,589); expected proceeds $1,100,004,583 | 0.050% | 01/03/2022 | 01/03/2022 | 1,100,000,000 | 1,100,000,000 | |||||
OTHER REPURCHASE AGREEMENTS—9.6% | ||||||||||
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 $93,475,908); expected proceeds $85,001,558 | 0.220% | 01/03/2022 | 01/03/2022 | 85,000,000 | 85,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2021 (collateralized by various Common Stocks, valued at $126,360,133); expected proceeds $117,202,800(c) | 0.370% | 01/03/2022 | 02/09/2022 | 117,000,000 | 117,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/28/2021 (collateralized by various Corporate Bonds, 0.13% – 5.875% due 03/28/2022 – 01/10/2048, valued at $28,433,967); expected proceeds $27,000,682 | 0.130% | 01/04/2022 | 01/04/2022 | 27,000,000 | 27,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by a U.S. Treasury Bond, 3.000% due 02/21/2024, and various Corporate Bonds, 0.330% – 7.500% due 07/29/2022 – 12/31/2099, valued at $105,484,183); expected proceeds $100,002,333 | 0.130% | 01/05/2022 | 01/04/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by a U.S. Treasury Bond, 3.000% due 02/21/2024, U.S. Treasury Strips, 0.000% due 05/15/2025 – 11/15/2039, and various Corporate Bonds, 0.000% – 7.700% due 03/31/2022 – 05/15/2097, valued at $141,483,367); expected proceeds $133,003,362 | 0.130% | 01/06/2022 | 01/06/2022 | 133,000,000 | 133,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Common Stocks, valued at $44,280,013); expected proceeds $41,000,512 | 0.150% | 01/03/2022 | 01/03/2022 | 41,000,000 | 41,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/28/2021 (collateralized by various Common Stocks, valued at $75,600,005); expected proceeds $70,002,994 | 0.220% | 01/03/2022 | 01/04/2022 | $ 70,000,000 | $ 70,000,000 | |||||
Barclays Bank PLC Tri Party Repo Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Corporate Bonds, 0.440% – 13.500% due 03/01/2022 – 01/01/2999, valued at $143,750,399); expected proceeds $125,091,667(c) | 0.440% | 01/03/2022 | 03/01/2022 | 125,000,000 | 125,000,000 | |||||
Goldman Sachs & Co Tri Party Repo Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by various Common Stocks, and a Corporate Bond, 0.340% due 01/15/2025, valued at $162,000,713); expected proceeds $150,127,500(c) | 0.340% | 01/03/2022 | 03/30/2022 | 150,000,000 | 150,000,000 | |||||
JPM Chase Tri Party Repo JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2021 (collateralized by various Common Stocks, valued at $108,000,000); expected proceeds $100,126,667(c) | 0.380% | 01/03/2022 | 04/22/2022 | 100,000,000 | 100,000,000 | |||||
JPM Chase Tri Party Repo JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Common Stocks, and a Corporate Bond, 4.375% due 02/01/2022, valued at $43,293,423); expected proceeds $40,050,244(c) | 0.380% | 01/03/2022 | 04/29/2022 | 40,000,000 | 40,000,000 | |||||
Scotia Capital USA, Inc. Tri Party Repo Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 04/07/2021 (collateralized by various Corporate Bonds, 0.550% – 6.625% due 08/16/2023 – 02/15/2053, valued at $110,581,709); expected proceeds $100,165,611. | 0.220% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
TD Securities USA Tri Party Repo TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by U.S. Treasury Notes, 1.000% – 2.250% due 12/15/2024 – 02/15/2027, and various Corporate Bonds, 3.875% – 6.750% due 11/15/2022 – 02/15/2028, valued at $146,856,191); expected proceeds $135,004,725 | 0.180% | 01/03/2022 | 01/05/2022 | 135,000,000 | 135,000,000 | |||||
TD Securities USA Tri Party Repo TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.125% – 0.625% due 07/31/2023 – 08/15/2030, and a Corporate Bond, 5.875% due 05/01/2023, valued at $21,657,440); expected proceeds $21,000,315 | 0.180% | 01/03/2022 | 01/03/2022 | 21,000,000 | 21,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 1,244,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $12,935,763,761)(d) | 12,935,236,249 | |||||||||
Other Assets in Excess of Liabilities —0.0%(e) | 1,040,189 | |||||||||
NET ASSETS –100.0% | $ 12,936,276,438 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $532,000,000 or 4.1% of net assets as of December 31, 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 | $— | $ 1,822,359,486 | $— | $ 1,822,359,486 | ||||
Certificates of Deposit | — | 2,932,487,361 | — | 2,932,487,361 | ||||
Financial Company Commercial Paper | — | 2,695,453,082 | — | 2,695,453,082 | ||||
Other Notes | — | 2,748,980,000 | — | 2,748,980,000 | ||||
Treasury Debt | — | 124,956,320 | — | 124,956,320 | ||||
Government Agency Repurchase Agreements | — | 267,000,000 | — | 267,000,000 | ||||
Treasury Repurchase Agreements | — | 1,100,000,000 | — | 1,100,000,000 | ||||
Other Repurchase Agreements | — | 1,244,000,000 | — | 1,244,000,000 | ||||
Total Investments | $— | $12,935,236,249 | $— | $12,935,236,249 |
ASSETS | |
Investments in unaffiliated issuers, at value | $10,324,236,249 |
Repurchase agreements, at value | 2,611,000,000 |
Total Investments | 12,935,236,249 |
Cash | 617 |
Interest receivable — unaffiliated issuers | 2,133,467 |
Prepaid expenses and other assets | 2,112 |
TOTAL ASSETS | 12,937,372,445 |
LIABILITIES | |
Advisory and administrator fee payable | 585,092 |
Custody, sub-administration and transfer agent fees payable | 443,606 |
Trustees’ fees and expenses payable | 462 |
Professional fees payable | 48,131 |
Printing fees payable | 14,261 |
Accrued expenses and other liabilities | 4,455 |
TOTAL LIABILITIES | 1,096,007 |
NET ASSETS | $12,936,276,438 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $10,324,763,761 |
Repurchase agreements | 2,611,000,000 |
Total cost of investments | $12,935,763,761 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $26,472,361 |
EXPENSES | |
Advisory and administrator fee | 7,572,654 |
Custodian, sub-administrator and transfer agent fees | 1,987,266 |
Trustees’ fees and expenses | 133,584 |
Professional fees and expenses | 152,379 |
Printing and postage fees | 35,551 |
Insurance expense | 4,300 |
Miscellaneous expenses | 17,373 |
TOTAL EXPENSES | 9,903,107 |
NET INVESTMENT INCOME (LOSS) | $16,569,254 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 328,885 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (1,003,186) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (674,301) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $15,894,953 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 16,569,254 | $ 123,842,378 | |
Net realized gain (loss) | 328,885 | (1,520,746) | |
Net change in unrealized appreciation/depreciation | (1,003,186) | (956,675) | |
Net increase (decrease) in net assets resulting from operations | 15,894,953 | 121,364,957 | |
CAPITAL TRANSACTIONS | |||
Contributions | 38,249,431,278 | 54,032,428,427 | |
Withdrawals | (41,456,603,607) | (59,652,398,320) | |
Net increase (decrease) in net assets from capital transactions | (3,207,172,329) | (5,619,969,893) | |
Net increase (decrease) in net assets during the period | (3,191,277,376) | (5,498,604,936) | |
Net assets at beginning of period | 16,127,553,814 | 21,626,158,750 | |
NET ASSETS AT END OF PERIOD | $ 12,936,276,438 | $ 16,127,553,814 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 0.10% | 0.77% | 2.38% | 2.06% | 0.96% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $12,936,276 | $16,127,554 | $21,626,159 | $11,196,385 | $9,941,806 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.07% | 0.07% | 0.06% | ||||
Net investment income (loss) | 0.11% | 0.72% | 2.29% | 2.05% | 1.11% |
(a) | Results represent past performance and are not indicative of future results. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $12,935,763,761 | $219,773 | $747,285 | $(527,512) |
March 1, 2022
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% | $1,000.40 | $0.36 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
17 | |
18 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $1,302,937,283 |
Receivable from Adviser | 82,667 |
Prepaid expenses and other assets | 2,105 |
TOTAL ASSETS | 1,303,022,055 |
LIABILITIES | |
Administration fees payable | 75,255 |
Shareholder servicing fee payable | 157 |
Transfer agent fees payable | 43,973 |
Registration and filing fees payable | 53,783 |
Professional fees payable | 11,602 |
Printing and postage fees payable | 7,886 |
Distribution payable | 11,907 |
Accrued expenses and other liabilities | 376 |
TOTAL LIABILITIES | 204,939 |
NET ASSETS | $ 1,302,817,116 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,303,038,473 |
Total distributable earnings (loss) | (221,357) |
NET ASSETS | $ 1,302,817,116 |
Bancroft Capital Class | |
Net Assets | $ 49,994 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Cabrera Capital Markets Class | |
Net Assets | $ 49,998 |
Shares Outstanding | 50,003 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Institutional Class | |
Net Assets | $ 5,518,551 |
Shares Outstanding | 5,517,811 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Investor Class | |
Net Assets | $ 50,010 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Opportunity Class | |
Net Assets | $ 49,997 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Premier Class | |
Net Assets | $1,297,098,566 |
Shares Outstanding | 1,296,943,212 |
Net asset value, offering and redemption price per share | $ 1.0001 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $1,303,049,868 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $2,096,577 |
Expenses allocated from affiliated Portfolio | (964,037) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 1,132,540 |
EXPENSES | |
Administration fees | |
Bancroft Capital Class (a) | 6 |
Cabrera Capital Markets Class (b) | 5 |
Institutional Class | 5,744 |
Investor Class | 25 |
Opportunity Class (c) | 5 |
Premier Class | 646,782 |
Shareholder servicing fees | |
Bancroft Capital Class (a) | 3 |
Cabrera Capital Markets Class (b) | 3 |
Institutional Class | 3,448 |
Investor Class | 40 |
Opportunity Class (c) | 3 |
Custodian fees | 65,218 |
Trustees’ fees and expenses | 21,114 |
Transfer agent fees | 164,700 |
Registration and filing fees | 84,016 |
Professional fees and expenses | 20,991 |
Printing and postage fees | 1,988 |
Insurance expense | 3,186 |
Miscellaneous expenses | 11,129 |
TOTAL EXPENSES | 1,028,406 |
Expenses waived/reimbursed by the Adviser | (944,767) |
NET EXPENSES | 83,639 |
NET INVESTMENT INCOME (LOSS) | $1,048,901 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 26,626 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (142,771) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (116,145) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 932,756 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,048,901 | $ 4,467,362 | |
Net realized gain (loss) | 26,626 | (133,115) | |
Net change in unrealized appreciation/depreciation | (142,771) | 29,435 | |
Net increase (decrease) in net assets resulting from operations | 932,756 | 4,363,682 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Bancroft Capital Class (a) | (4) | — | |
Cabrera Capital Markets Class (b) | (4) | — | |
Institutional Class | (7,104) | (12,900) | |
Investor Class | (3) | (243) | |
Opportunity Class (c) | (3) | — | |
Premier Class | (1,044,067) | (4,456,306) | |
Total distributions to shareholders | (1,051,185) | (4,469,449) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Cabrera Capital Markets Class (b) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 3 | — | |
Net increase (decrease) from capital share transactions | 50,003 | — | |
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 | |
Opportunity Class (c) | |||
Shares sold | 50,001 | — | |
Net increase (decrease) from capital share transactions | 50,001 | — | |
Premier Class | |||
Shares sold | 3,008,027,554 | 1,281,426,291 | |
Reinvestment of distributions | 914,341 | 4,166,367 | |
Shares redeemed | (2,614,981,982) | (1,263,449,501) | |
Net increase (decrease) from capital share transactions | 393,959,913 | 22,143,157 | |
Net increase (decrease) in net assets from beneficial interest transactions | 376,604,667 | 45,119,459 | |
Net increase (decrease) in net assets during the period | 376,486,238 | 45,013,692 | |
Net assets at beginning of period | 926,330,878 | 881,317,186 | |
NET ASSETS AT END OF PERIOD | $ 1,302,817,116 | $ 926,330,878 | |
SHARES OF BENEFICIAL INTEREST: | |||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Cabrera Capital Markets Class (b) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 3 | — | |
Net increase (decrease) from share transactions | 50,003 | — | |
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 | — | 1 | |
Opportunity Class (c) | |||
Shares sold | 50,001 | — | |
Net increase (decrease) from share transactions | 50,001 | — |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
Premier Class | |||
Shares sold | 3,007,350,676 | 1,281,529,901 | |
Reinvestment of distributions | 914,125 | 4,166,376 | |
Shares redeemed | (2,614,394,177) | (1,263,838,658) | |
Net increase (decrease) from share transactions | 393,870,624 | 21,857,619 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Bancroft Capital Class (a) | |
For the Period 10/13/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0000(b) |
Net realized and unrealized gain (loss) | — |
Total from investment operations | 0.0000(b) |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 0.9999 |
Total return (c) | (0.00)%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.18%(e) |
Net expenses | 0.12%(e) |
Net investment income (loss) | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Cabrera Capital Markets Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0000(b) |
Net realized and unrealized gain (loss) | — |
Total from investment operations | 0.0000(b) |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 0.9999 |
Total return (c) | (0.00)%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.18%(e) |
Net expenses | 0.12%(e) |
Net investment income (loss) | 0.05%(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 of the Fund. Total return for periods of less than one year are 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) | |||||
Year Ended 12/31/21 | 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) | 0.0000(b) | 0.0054 | 0.0006 | ||
Net realized and unrealized gain (loss) | — | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0000(b) | 0.0056 | 0.0006 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0001) | (0.0054) | (0.0006) | ||
Net asset value, end of period | $ 1.0001 | $ 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% | 0.22% | 0.31%(d) | ||
Net expenses | 0.11% | 0.11% | 0.11%(d) | ||
Net investment income (loss) | 0.06% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investor Class (a) | |||||
Year Ended 12/31/21 | 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) | — | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0001 | 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 | $ 1.0002 | $ 1.0002 | $ 1.0000 | ||
Total return (c) | 0.01% | 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% | 0.29% | 0.36%(d) | ||
Net expenses | 0.16% | 0.16% | 0.16%(d) | ||
Net investment income (loss) | 0.00%(e) | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
Opportunity Class (a) | |
For the Period 10/28/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0000(b) |
Net realized and unrealized gain (loss) | — |
Total from investment operations | 0.0000(b) |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 0.9999 |
Total return (c) | (0.00)%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.18%(e) |
Net expenses | 0.12%(e) |
Net investment income (loss) | 0.02%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Premier Class (a) | |||||
Year Ended 12/31/21 | 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) | 0.0000(b) | 0.0058 | 0.0013 | ||
Net realized and unrealized gain (loss) | — | 0.0002 | 0.0000(b) | ||
Total from investment operations | 0.0000(b) | 0.0060 | 0.0013 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0001) | (0.0058) | (0.0013) | ||
Total distributions | (0.0001) | (0.0058) | (0.0013) | ||
Net asset value, end of period | $ 1.0001 | $ 1.0002 | $ 1.0000 | ||
Total return (c) | 0.07% | 0.60% | 0.13% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,297,099 | $903,258 | $881,217 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15% | 0.21% | 0.23%(d) | ||
Net expenses | 0.08% | 0.08% | 0.08%(d) | ||
Net investment income (loss) | 0.08% | 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 of the Fund. Total return for periods of less than one year are 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 Investor Class Bancroft Capital Class Cabrera Capital Market Class Opportunity Class Administration Class Investment Class | December 4, 2019 December 20, 2019 December 20, 2019 October 13, 2021 October 20, 2021 October 28, 2021 Not commenced Not commenced | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street ESG Liquid Reserves Fund | $1,051,185 | $— | $1,051,185 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street ESG Liquid Reserves Fund | $ 4,469,449 | $ — | $ 4,469,449 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street ESG Liquid Reserves Fund | $— | $(106,489) | $— | $(112,583) | $(219,072) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street ESG Liquid Reserves Fund | $106,489 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $1,303,049,866 | $— | $112,583 | $(112,583) |
March 1, 2022
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 Fund | |||||||||
Bancroft Capital Class | 0.12% | $1,000.00 | $0.36(b) | $1,024.40 | $0.82 | ||||
Cabrera Capital Markets Class | 0.12 | 1,000.00 | 0.25(c) | 1,024.60 | 0.61 | ||||
Institutional Class | 0.11 | 1,000.00 | 0.56(a) | 1,024.70 | 0.56 | ||||
Investor Class | 0.16 | 999.90 | 0.76(a) | 1,024.40 | 0.77 | ||||
Opportunity Class | 0.12 | 1,000.00 | 0.22(d) | 1,024.60 | 0.61 | ||||
Premier Class | 0.08 | 1,000.20 | 0.41(a) | 1,024.80 | 0.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 10/13/2021. |
(c) | Actual period is from commencement of operations on 10/20/2021. |
(d) | Actual period is from commencement of operations on 10/28/2021. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Portfolio |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
15 | |
16 |
% of Net Assets | |||
Government Agency Repurchase Agreements | 21.7% | ||
Certificates of Deposit | 20.3 | ||
Financial Company Commercial Paper | 20.2 | ||
Asset Backed Commercial Paper | 12.0 | ||
Treasury Repurchase Agreements | 11.0 | ||
Other Repurchase Agreements | 8.1 | ||
Other Notes | 5.5 | ||
Other Assets in Excess of Liabilities | 1.2 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 52.4% | ||
31 to 60 Days | 11.3 | ||
61 to 90 Days | 6.4 | ||
Over 90 Days | 28.7 | ||
Total | 98.8% | ||
Average days to maturity | 40 | ||
Weighted average life | 55 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—12.0% | ||||||||||
Albion Capital LLC(a) | 0.260% | 02/22/2022 | 02/22/2022 | $ 5,500,000 | $ 5,498,535 | |||||
Alinghi Funding Co. LLC(a) | 0.190% | 04/20/2022 | 04/20/2022 | 4,000,000 | 3,996,541 | |||||
Alinghi Funding Co. LLC(a) | 0.210% | 05/24/2022 | 05/24/2022 | 8,000,000 | 7,989,952 | |||||
Antalis SA(a) | 0.180% | 01/26/2022 | 01/26/2022 | 5,000,000 | 4,999,523 | |||||
Antalis SA(a) | 0.180% | 03/01/2022 | 03/01/2022 | 7,000,000 | 6,997,550 | |||||
Antalis SA(a) | 0.210% | 02/16/2022 | 02/16/2022 | 12,000,000 | 11,997,117 | |||||
Antalis SA(a) | 0.220% | 04/19/2022 | 04/19/2022 | 10,000,000 | 9,991,734 | |||||
Barton Capital SA(a) | 0.070% | 01/03/2022 | 01/03/2022 | 5,000,000 | 4,999,967 | |||||
Britannia Funding Co. LLC(a) | 0.170% | 03/10/2022 | 03/10/2022 | 5,000,000 | 4,997,623 | |||||
Britannia Funding Co. LLC(a) | 0.200% | 02/10/2022 | 02/10/2022 | 16,000,000 | 15,996,684 | |||||
Columbia Funding Co. LLC(a) | 0.160% | 01/06/2022 | 01/06/2022 | 10,000,000 | 9,999,867 | |||||
Columbia Funding Co. LLC(a) | 0.180% | 04/12/2022 | 04/12/2022 | 9,000,000 | 8,992,146 | |||||
Columbia Funding Co. LLC(a) | 0.260% | 05/10/2022 | 05/10/2022 | 13,000,000 | 12,984,508 | |||||
Mackinac Funding Co. LLC(a) | 0.170% | 01/12/2022 | 01/12/2022 | 7,000,000 | 6,999,804 | |||||
Mackinac Funding Co. LLC(a) | 0.170% | 03/10/2022 | 03/10/2022 | 5,000,000 | 4,997,556 | |||||
Mackinac Funding Co. LLC(a) | 0.180% | 03/16/2022 | 03/16/2022 | 15,000,000 | 14,991,719 | |||||
Mackinac Funding Co. LLC(a) | 0.220% | 04/12/2022 | 04/12/2022 | 10,000,000 | 9,991,557 | |||||
Mont Blanc Capital Corp.(a) | 0.150% | 02/28/2022 | 02/28/2022 | 10,000,000 | 9,996,771 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 156,419,154 | |||||||||
CERTIFICATES OF DEPOSIT—20.3% | ||||||||||
Bank of Montreal(a) | 0.180% | 07/06/2022 | 07/06/2022 | 5,000,000 | 4,995,459 | |||||
Bank of Montreal(a) | 0.185% | 07/05/2022 | 07/05/2022 | 10,000,000 | 9,991,276 | |||||
Bank of Montreal, 3 Month USD LIBOR + 0.02%(b) | 0.170% | 02/11/2022 | 02/11/2022 | 10,000,000 | 10,000,375 | |||||
Bank of Montreal, SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 07/26/2022 | 10,000,000 | 9,994,888 | |||||
Bank of Montreal, SOFR + 0.20%(b) | 0.250% | 01/03/2022 | 01/05/2022 | 10,000,000 | 10,000,222 | |||||
Bank of Nova Scotia(a) | 0.200% | 09/21/2022 | 09/21/2022 | 10,000,000 | 9,985,068 | |||||
Bank of Nova Scotia, SOFR + 0.17%(b) | 0.220% | 01/03/2022 | 02/25/2022 | 11,000,000 | 11,001,282 | |||||
Canadian Imperial Bank of Commerce(a) | 0.080% | 01/13/2022 | 01/13/2022 | 13,000,000 | 12,999,991 | |||||
Canadian Imperial Bank of Commerce(a) | 0.270% | 01/04/2022 | 01/04/2022 | 9,000,000 | 9,000,190 | |||||
Canadian Imperial Bank of Commerce, Bloomberg Short-Term Bank Yield Index + 0.10%(b) | 0.179% | 01/24/2022 | 01/24/2022 | 1,500,000 | 1,500,000 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.16%(b) | 0.210% | 01/03/2022 | 07/08/2022 | 3,517,000 | 3,516,022 | |||||
Credit Suisse(a) | 0.230% | 03/30/2022 | 03/30/2022 | 15,000,000 | 14,998,996 | |||||
Mitsubishi UFJ Trust and Banking Corp.(a) | 0.150% | 02/07/2022 | 02/07/2022 | 13,000,000 | 13,000,465 | |||||
Mizuho Bank Ltd.(a) | 0.170% | 04/01/2022 | 04/01/2022 | 10,000,000 | 9,998,709 | |||||
MUFG Bank Ltd.(a) | 0.320% | 08/05/2022 | 08/05/2022 | 7,000,000 | 6,998,266 | |||||
Natixis, SOFR + 0.13%(b) | 0.180% | 01/03/2022 | 05/10/2022 | 10,000,000 | 9,999,891 | |||||
Natixis, SOFR + 0.17%(b) | 0.220% | 01/03/2022 | 08/05/2022 | 5,000,000 | 4,998,434 | |||||
Nordea Bank AB(a) | 0.195% | 07/01/2022 | 07/01/2022 | 3,750,000 | 3,750,489 | |||||
Royal Bank of Canada(a) | 0.210% | 10/03/2022 | 10/03/2022 | 10,000,000 | 9,986,531 | |||||
Standard Chartered Bank(a) | 0.160% | 02/04/2022 | 02/04/2022 | 10,000,000 | 9,999,483 | |||||
Standard Chartered Bank(a) | 0.220% | 04/25/2022 | 04/25/2022 | 6,500,000 | 6,498,608 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 04/22/2022 | 8,000,000 | 8,000,821 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 04/29/2022 | 5,000,000 | 5,000,496 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.20%(b) | 0.250% | 01/03/2022 | 05/13/2022 | 6,000,000 | 6,001,396 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.170% | 04/14/2022 | 04/14/2022 | 15,000,000 | 14,996,835 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.250% | 05/16/2022 | 05/16/2022 | 13,000,000 | 12,998,474 | |||||
Svenska Handelsbanken AB(a) | 0.150% | 03/03/2022 | 03/03/2022 | 10,000,000 | 10,000,222 | |||||
Toronto Dominion Bank(a) | 0.180% | 03/11/2022 | 03/11/2022 | 5,000,000 | 5,000,194 | |||||
Toronto Dominion Bank(a) | 0.180% | 06/30/2022 | 06/30/2022 | 15,000,000 | 14,990,125 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.01%(b) | 0.138% | 01/24/2022 | 01/24/2022 | 5,000,000 | 5,000,059 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 265,203,267 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.2% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.130% | 01/21/2022 | 01/21/2022 | $ 15,000,000 | $ 14,999,387 | |||||
Bank of Nova Scotia(a) | 0.230% | 04/07/2022 | 04/07/2022 | 5,000,000 | 4,997,077 | |||||
Barclays Bank PLC(a) | 0.270% | 04/01/2022 | 04/01/2022 | 10,000,000 | 9,992,897 | |||||
BMW U.S. Capital LLC(a) | 0.060% | 01/03/2022 | 01/03/2022 | 20,000,000 | 19,999,900 | |||||
Canadian Imperial Bank of Commerce(a) | 0.180% | 07/06/2022 | 07/06/2022 | 10,000,000 | 9,982,962 | |||||
Commonwealth Bank of Australia(a) | 0.205% | 05/18/2022 | 05/18/2022 | 10,000,000 | 9,990,647 | |||||
DBS Bank Ltd.(a) | 0.150% | 02/07/2022 | 02/07/2022 | 15,000,000 | 14,998,163 | |||||
DBS Bank Ltd.(a) | 0.150% | 03/22/2022 | 03/22/2022 | 8,000,000 | 7,996,058 | |||||
DBS Bank Ltd.(a) | 0.220% | 05/03/2022 | 05/03/2022 | 10,000,000 | 9,990,741 | |||||
Macquarie Bank Ltd.(a) | 0.130% | 01/04/2022 | 01/04/2022 | 15,000,000 | 14,999,883 | |||||
Macquarie Bank Ltd.(a) | 0.230% | 02/22/2022 | 02/22/2022 | 9,000,000 | 8,997,535 | |||||
National Australia Bank Ltd., SOFR + 0.12%(b) | 0.170% | 01/03/2022 | 06/15/2022 | 10,000,000 | 9,996,175 | |||||
Natixis(a) | 0.210% | 01/03/2022 | 01/03/2022 | 10,000,000 | 9,999,942 | |||||
Royal Bank of Canada(a) | 0.220% | 03/16/2022 | 03/16/2022 | 10,000,000 | 9,996,250 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.150% | 02/14/2022 | 02/14/2022 | 15,000,000 | 14,998,031 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.220% | 05/04/2022 | 05/04/2022 | 15,000,000 | 14,987,962 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.240% | 06/15/2022 | 06/15/2022 | 7,000,000 | 6,991,575 | |||||
Societe Generale(a) | 0.150% | 01/03/2022 | 01/03/2022 | 9,000,000 | 8,999,947 | |||||
Societe Generale(a) | 0.150% | 01/07/2022 | 01/07/2022 | 4,000,000 | 3,999,946 | |||||
Toronto Dominion Bank(a) | 0.210% | 06/23/2022 | 06/23/2022 | 6,000,000 | 5,991,590 | |||||
Toronto Dominion Bank(a) | 0.240% | 05/03/2022 | 05/03/2022 | 10,000,000 | 9,992,381 | |||||
Toronto Dominion Bank, SOFR + 0.15%(b) | 0.200% | 01/03/2022 | 09/02/2022 | 10,000,000 | 9,994,426 | |||||
Toyota Credit Canada Inc(a) | 0.210% | 07/11/2022 | 07/11/2022 | 10,000,000 | 9,984,107 | |||||
UBS AG, SOFR + 0.19%(b) | 0.240% | 01/03/2022 | 06/14/2022 | 12,000,000 | 12,000,466 | |||||
UBS AG, SOFR + 0.19%(b) | 0.240% | 01/03/2022 | 07/13/2022 | 8,000,000 | 8,000,425 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 262,878,473 | |||||||||
OTHER NOTES—5.5% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.070% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Credit Agricole Corporate & Investment Bank(a) | 0.050% | 01/03/2022 | 01/03/2022 | 12,000,000 | 12,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.070% | 01/03/2022 | 01/03/2022 | 10,350,000 | 10,350,000 | |||||
Royal Bank of Canada(a) | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
TOTAL OTHER NOTES | 72,350,000 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—21.7% | ||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 3.500% due 12/11/2025 – 06/01/2043, Federal National Mortgage Associations, 3.000% – 5.625% due 07/15/2037 – 01/01/2052, Government National Mortgage Associations, 3.000% – 7.000% due 10/15/2029 – 12/20/2051, U.S. Treasury Bills, 0.000% due 01/20/2022 – 05/19/2022, U.S. Treasury Bonds, 2.875% – 3.000% due 05/15/2043 – 11/15/2045, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2027, U.S. Treasury Notes, 0.125% – 2.500% due 02/15/2022 – 12/31/2028, and a U.S. Treasury Strip, 0.000% due 11/15/2048, valued at $127,500,000); expected proceeds $125,000,521 | 0.050% | 01/03/2022 | 01/03/2022 | 125,000,000 | 125,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a Government National Mortgage Association, 2.000% due 01/20/2051, valued at $51,000,000); expected proceeds $50,000,208 | 0.050% | 01/03/2022 | 01/03/2022 | 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 JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Federal Home Loan Mortgage Corporations, 3.000% – 3.500% due 12/01/2034 – 11/01/2051, and Federal National Mortgage Associations, 1.830% – 4.240% due 04/01/2030 – 06/01/2049, valued at $110,160,001); expected proceeds $108,000,450 | 0.050% | 01/03/2022 | 01/03/2022 | $ 108,000,000 | $ 108,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 283,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—11.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.625% due 10/31/2026, valued at $25,500,085); expected proceeds $25,000,104 | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and U.S. Treasury Notes, 0.375% – 2.000% due 06/30/2024 – 07/15/2024, valued at $33,660,257); expected proceeds $33,000,165 | 0.060% | 01/03/2022 | 01/03/2022 | 33,000,000 | 33,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.000% due 01/13/2022 – 07/14/2022, a U.S. Treasury Inflation Index Note, 0.125% due 10/15/2026, and U.S. Treasury Notes, 0.125% – 3.125% due 11/30/2022 – 11/15/2028, valued at $76,500,042); expected proceeds $75,000,312 | 0.050% | 01/03/2022 | 01/03/2022 | 75,000,000 | 75,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 2.500% due 03/31/2023, valued at $10,200,017); expected proceeds $10,000,042 | 0.050% | 01/03/2022 | 01/03/2022 | 10,000,000 | 10,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 143,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—8.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/10/2021 (collateralized by various Common Stocks, valued at $17,280,054); expected proceeds $16,028,824 | 0.550% | 01/03/2022 | 04/08/2022 | 16,000,000 | 16,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Common Stocks, valued at $21,600,030); expected proceeds $20,000,367 | 0.220% | 01/03/2022 | 01/03/2022 | 20,000,000 | 20,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Common Stocks, valued at $8,640,002); expected proceeds $8,000,147 | 0.220% | 01/03/2022 | 01/03/2022 | 8,000,000 | 8,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2021 (collateralized by various Common Stocks, valued at $18,360,777); expected proceeds $17,029,467(c) | 0.520% | 01/03/2022 | 04/22/2022 | 17,000,000 | 17,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by various Common Stocks, valued at $16,200,261); expected proceeds $15,006,475 | 0.370% | 01/03/2022 | 02/09/2022 | 15,000,000 | 15,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by various Common Stocks, valued at $10,800,080); expected proceeds $10,009,250(c) | 0.370% | 01/03/2022 | 03/30/2022 | $ 10,000,000 | $ 10,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by various Common Stocks, valued at $4,320,063); expected proceeds $4,000,050 | 0.150% | 01/03/2022 | 01/03/2022 | 4,000,000 | 4,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/28/2021 (collateralized by various Common Stocks, valued at $16,200,038); expected proceeds $15,000,642 | 0.220% | 01/03/2022 | 01/04/2022 | 15,000,000 | 15,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 105,000,000 | |||||||||
TOTAL INVESTMENTS –98.8% (Cost $1,287,963,479)(d) | 1,287,850,894 | |||||||||
Other Assets in Excess of Liabilities —1.2% | 15,087,393 | |||||||||
NET ASSETS –100.0% | $ 1,302,938,287 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $27,000,000 or 2.1% of net assets as of December 31, 2021. |
(d) | Also represents the cost for federal tax purposes. |
SOFR | Secured Overnight Financing Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 156,419,154 | $— | $ 156,419,154 | ||||
Certificates of Deposit | — | 265,203,267 | — | 265,203,267 | ||||
Financial Company Commercial Paper | — | 262,878,473 | — | 262,878,473 | ||||
Other Notes | — | 72,350,000 | — | 72,350,000 | ||||
Government Agency Repurchase Agreements | — | 283,000,000 | — | 283,000,000 | ||||
Treasury Repurchase Agreements | — | 143,000,000 | — | 143,000,000 | ||||
Other Repurchase Agreements | — | 105,000,000 | — | 105,000,000 | ||||
Total Investments | $— | $1,287,850,894 | $— | $1,287,850,894 |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 756,850,894 |
Repurchase agreements, at value and amortized cost | 531,000,000 |
Total Investments | 1,287,850,894 |
Cash | 82,712 |
Receivable for investments sold | 24,998,976 |
Interest receivable — unaffiliated issuers | 147,825 |
Prepaid expenses and other assets | 169 |
TOTAL ASSETS | 1,313,080,576 |
LIABILITIES | |
Payable for investments purchased | 9,992,768 |
Advisory fee payable | 58,897 |
Custodian, sub-administrator and transfer agent fees payable | 54,585 |
Trustees’ fees and expenses payable | 160 |
Professional fees payable | 28,501 |
Printing and postage fees payable | 7,378 |
TOTAL LIABILITIES | 10,142,289 |
NET ASSETS | $1,302,938,287 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 756,963,479 |
Repurchase agreements | 531,000,000 |
Total cost of investments | $1,287,963,479 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $2,098,627 |
EXPENSES | |
Advisory fee | 652,517 |
Custodian, sub-administrator and transfer agent fees | 239,205 |
Trustees’ fees and expenses | 29,431 |
Professional fees and expenses | 39,988 |
Printing and postage fees | 2,645 |
Insurance expense | 251 |
TOTAL EXPENSES | 964,037 |
NET INVESTMENT INCOME (LOSS) | $1,134,590 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 26,626 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (142,771) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (116,145) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,018,445 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,134,590 | $ 4,450,704 | |
Net realized gain (loss) | 26,626 | (133,114) | |
Net change in unrealized appreciation/depreciation | (142,771) | 29,435 | |
Net increase (decrease) in net assets resulting from operations | 1,018,445 | 4,347,025 | |
CAPITAL TRANSACTIONS | |||
Contributions | 2,561,953,926 | 1,370,984,362 | |
Withdrawals | (2,186,501,936) | (1,330,160,138) | |
Net increase (decrease) in net assets from capital transactions | 375,451,990 | 40,824,224 | |
Net increase (decrease) in net assets during the period | 376,470,435 | 45,171,249 | |
Net assets at beginning of period | 926,467,852 | 881,296,603 | |
NET ASSETS AT END OF PERIOD | $ 1,302,938,287 | $ 926,467,852 |
Year Ended 12/31/21 | Year Ended 12/31/20 | For the Period 12/04/19*- 12/31/19 | |||
Total return (a) | 0.08% | 0.59% | 0.13% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,302,938 | $926,468 | $881,297 | ||
Ratios to average net assets: | |||||
Total expenses | 0.07% | 0.08% | 0.11%(b) | ||
Net investment income (loss) | 0.09% | 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. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Portfolio | $1,287,963,479 | $10,690 | $123,275 | $(112,585) |
March 1, 2022
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% | $1,000.30 | $0.35 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional U.S. Government Money Market Fund |
1 | |
3 | |
4 | |
7 | |
17 | |
23 | |
24 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $96,803,144,217 |
Receivable for fund shares sold | 18,490,652 |
Receivable from Adviser | 6,545,570 |
Prepaid expenses and other assets | 153,517 |
TOTAL ASSETS | 96,828,333,956 |
LIABILITIES | |
Payable for fund shares repurchased | 22,832,200 |
Administration fees payable | 3,697,537 |
Shareholder servicing fee payable | 650,552 |
Distribution fees payable | 144,292 |
Transfer agent fees payable | 12,197 |
Registration and filing fees payable | 205,699 |
Professional fees payable | 41,763 |
Printing fees payable | 51,472 |
Distribution payable | 479,192 |
Accrued expenses and other liabilities | 154,262 |
TOTAL LIABILITIES | 28,269,166 |
NET ASSETS | $96,800,064,790 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $96,799,996,845 |
Total distributable earnings (loss) | 67,945 |
NET ASSETS | $96,800,064,790 |
Administration Class | |
Net Assets | $ 2,230,489,921 |
Shares Outstanding | 2,230,619,770 |
Net asset value, offering and redemption price per share | $ 1.00 |
Bancroft Capital Class | |
Net Assets | $ 100,000 |
Shares Outstanding | 100,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Blaylock Van Class | |
Net Assets | $ 500,026 |
Shares Outstanding | 500,026 |
Net asset value, offering and redemption price per share | $ 1.00 |
Cabrera Capital Markets Class | |
Net Assets | $ 100,005 |
Shares Outstanding | 100,005 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 1,588,395,779 |
Shares Outstanding | 1,588,393,746 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 428,088,223 |
Shares Outstanding | 428,094,826 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 1,063,097,048 |
Shares Outstanding | 1,063,098,636 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 300,001,672 |
Shares Outstanding | 300,001,718 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $84,009,143,555 |
Shares Outstanding | 84,009,379,012 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 7,180,148,561 |
Shares Outstanding | 7,180,163,451 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 63,958,558 |
Expenses allocated from affiliated Portfolio | (55,437,005) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 8,521,553 |
EXPENSES | |
Administration fees | |
Administration Class | 1,173,609 |
Bancroft Capital Class (a) | 12 |
Blaylock Van Class (b) | 52 |
Cabrera Capital Markets Class (c) | 11 |
Institutional Class | 1,282,642 |
Investment Class | 205,371 |
Investor Class | 621,895 |
Opportunity Class (d) | 8,122 |
Premier Class | 36,801,478 |
Class G | 617,768 |
Shareholder servicing fees | |
Administration Class | 4,694,435 |
Bancroft Capital Class (a) | 7 |
Blaylock Van Class (b) | 31 |
Cabrera Capital Markets Class (c) | 6 |
Institutional Class | 769,585 |
Investment Class | 1,026,857 |
Investor Class | 995,032 |
Opportunity Class (d) | 4,873 |
Distribution fees | |
Administration Class | 1,173,609 |
Investment Class | 410,743 |
Custodian fees | 46,498 |
Trustees’ fees and expenses | 21,113 |
Transfer agent fees | 116,836 |
Registration and filing fees | 1,495,205 |
Professional fees and expenses | 326,950 |
Printing and postage fees | 173,138 |
Insurance expense | 321,859 |
Miscellaneous expenses | 286,954 |
TOTAL EXPENSES | 52,574,691 |
Expenses waived/reimbursed by the Adviser | (66,744,140) |
NET EXPENSES | (14,169,449) |
NET INVESTMENT INCOME (LOSS) | $ 22,691,002 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 75,104 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 22,766,106 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Blaylock Van Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(d) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 22,691,002 | $ 259,529,268 | |
Net realized gain (loss) | 75,104 | 93,892 | |
Net increase (decrease) in net assets resulting from operations | 22,766,106 | 259,623,160 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (148,512) | (4,573,492) | |
Bancroft Capital Class (a) | (6) | — | |
Blaylock Van Class (b) | (27) | — | |
Cabrera Capital Markets Class (c) | (5) | — | |
Institutional Class | (695,423) | (7,925,882) | |
Investment Class | (23,973) | (1,429,968) | |
Investor Class | (74,003) | (2,914,910) | |
Opportunity Class (d) | (4,076) | — | |
Premier Class | (20,015,146) | (226,016,609) | |
Class G | (1,754,811) | (16,804,900) | |
Total distributions to shareholders | (22,715,982) | (259,665,761) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 26,832,484,299 | 31,088,369,220 | |
Reinvestment of distributions | 24,057 | 1,480,888 | |
Shares redeemed | (27,152,850,731) | (30,211,781,228) | |
Net increase (decrease) from capital share transactions | (320,342,375) | 878,068,880 | |
Bancroft Capital Class (a) | |||
Shares sold | 100,000 | — | |
Net increase (decrease) from capital share transactions | 100,000 | — | |
Blaylock Van Class (b) | |||
Shares sold | 500,000 | — | |
Reinvestment of distributions | 26 | — | |
Net increase (decrease) from capital share transactions | 500,026 | — | |
Cabrera Capital Markets Class (c) | |||
Shares sold | 100,000 | — | |
Reinvestment of distributions | 5 | — | |
Net increase (decrease) from capital share transactions | 100,005 | — | |
Institutional Class | |||
Shares sold | 35,188,173,015 | 48,481,712,594 | |
Reinvestment of distributions | 97,709 | 3,802,565 | |
Shares redeemed | (34,949,274,786) | (48,086,318,494) | |
Net increase (decrease) from capital share transactions | 238,995,938 | 399,196,665 | |
Investment Class | |||
Shares sold | 1,025,029,018 | 1,624,760,440 | |
Reinvestment of distributions | 2,290 | 206,037 | |
Shares redeemed | (1,079,958,501) | (1,659,948,146) | |
Net increase (decrease) from capital share transactions | (54,927,193) | (34,981,669) | |
Investor Class | |||
Shares sold | 36,818,660,683 | 20,279,658,576 | |
Reinvestment of distributions | 71,781 | 2,016,150 | |
Shares redeemed | (36,692,616,165) | (20,070,819,894) | |
Net increase (decrease) from capital share transactions | 126,116,299 | 210,854,832 | |
Opportunity Class (d) | |||
Shares sold | 492,000,000 | — | |
Reinvestment of distributions | 1,718 | — | |
Shares redeemed | (192,000,000) | — | |
Net increase (decrease) from capital share transactions | 300,001,718 | — | |
Premier Class | |||
Shares sold | 1,174,064,504,174 | 1,167,028,226,175 | |
Reinvestment of distributions | 14,991,772 | 180,794,674 | |
Shares redeemed | (1,157,675,117,100) | (1,152,430,920,049) | |
Net increase (decrease) from capital share transactions | 16,404,378,846 | 14,778,100,800 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
Class G | |||
Shares sold | $ 56,547,302,653 | $ 58,771,955,180 | |
Reinvestment of distributions | 1,733,882 | 16,631,483 | |
Shares redeemed | (55,394,100,971) | (56,370,538,959) | |
Net increase (decrease) from capital share transactions | 1,154,935,564 | 2,418,047,704 | |
Net increase (decrease) in net assets from beneficial interest transactions | 17,849,858,828 | 18,649,287,212 | |
Net increase (decrease) in net assets during the period | 17,849,908,952 | 18,649,244,611 | |
Net assets at beginning of period | 78,950,155,838 | 60,300,911,227 | |
NET ASSETS AT END OF PERIOD | $ 96,800,064,790 | $ 78,950,155,838 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 26,832,484,298 | 31,088,369,220 | |
Reinvestment of distributions | 24,057 | 1,480,888 | |
Shares redeemed | (27,152,850,731) | (30,211,781,228) | |
Net increase (decrease) from share transactions | (320,342,376) | 878,068,880 | |
Bancroft Capital Class (a) | |||
Shares sold | 100,000 | — | |
Net increase (decrease) from share transactions | 100,000 | — | |
Blaylock Van Class (b) | |||
Shares sold | 500,000 | — | |
Reinvestment of distributions | 26 | — | |
Net increase (decrease) from share transactions | 500,026 | — | |
Cabrera Capital Markets Class (c) | |||
Shares sold | 100,000 | — | |
Reinvestment of distributions | 5 | — | |
Net increase (decrease) from share transactions | 100,005 | — | |
Institutional Class | |||
Shares sold | 35,188,173,015 | 48,481,712,594 | |
Reinvestment of distributions | 97,709 | 3,802,565 | |
Shares redeemed | (34,949,274,786) | (48,086,318,494) | |
Net increase (decrease) from share transactions | 238,995,938 | 399,196,665 | |
Investment Class | |||
Shares sold | 1,025,029,020 | 1,624,760,440 | |
Reinvestment of distributions | 2,290 | 206,037 | |
Shares redeemed | (1,079,958,501) | (1,659,948,146) | |
Net increase (decrease) from share transactions | (54,927,191) | (34,981,669) | |
Investor Class | |||
Shares sold | 36,818,660,683 | 20,279,658,576 | |
Reinvestment of distributions | 71,781 | 2,016,150 | |
Shares redeemed | (36,692,616,165) | (20,070,819,894) | |
Net increase (decrease) from share transactions | 126,116,299 | 210,854,832 | |
Opportunity Class (d) | |||
Shares sold | 492,000,000 | — | |
Reinvestment of distributions | 1,718 | — | |
Shares redeemed | (192,000,000) | — | |
Net increase (decrease) from share transactions | 300,001,718 | — | |
Premier Class | |||
Shares sold | 1,174,064,504,174 | 1,167,028,226,175 | |
Reinvestment of distributions | 14,991,772 | 180,794,674 | |
Shares redeemed | (1,157,675,117,100) | (1,152,430,920,049) | |
Net increase (decrease) from share transactions | 16,404,378,846 | 14,778,100,800 | |
Class G | |||
Shares sold | 56,547,302,653 | 58,771,955,180 | |
Reinvestment of distributions | 1,733,882 | 16,631,483 | |
Shares redeemed | (55,394,100,971) | (56,370,538,959) | |
Net increase (decrease) from share transactions | 1,154,935,564 | 2,418,047,704 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Blaylock Van Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(d) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Administration Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0026 | 0.0186 | 0.0150 | 0.0054 | ||||
Net realized gain (loss) | — | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0026 | 0.0186 | 0.0150 | 0.0054 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0026) | (0.0186) | (0.0150) | (0.0054) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0026) | (0.0186) | (0.0150) | (0.0054) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.26% | 1.88% | 1.51% | 0.54% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,230,490 | $2,550,831 | $1,672,762 | $1,686,105 | $1,909,670 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% | ||||
Net expenses | 0.07% | 0.23% | 0.37% | 0.37% | 0.37% | ||||
Net investment income (loss) | 0.01% | 0.20% | 1.87% | 1.47% | 0.50% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Bancroft Capital Class (a) | |
For the Period 10/13/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.01% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 100 |
Ratios to Average Net Assets: | |
Total expenses | 0.14%(d) |
Net expenses | 0.04%(d) |
Net investment income (loss) | 0.03%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Blaylock Van Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.01% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 500 |
Ratios to Average Net Assets: | |
Total expenses | 0.14%(d) |
Net expenses | 0.04%(d) |
Net investment income (loss) | 0.03%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Cabrera Capital Markets Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.01% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 100 |
Ratios to Average Net Assets: | |
Total expenses | 0.14%(d) |
Net expenses | 0.04%(d) |
Net investment income (loss) | 0.02%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class (a) | |||||||
Year Ended 12/31/21 | 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) | 0.0001 | 0.0037 | 0.0207 | 0.0170 | |||
Net realized gain (loss) | — | 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) | 0.03% | 0.37% | 2.09% | 1.67% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,588,396 | $1,349,398 | $950,202 | $639,733 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15% | 0.15% | 0.15% | 0.15%(d) | |||
Net expenses | 0.04% | 0.14% | 0.15% | 0.15%(d) | |||
Net investment income (loss) | 0.03% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0025 | 0.0178 | 0.0140 | 0.0044 | ||||
Net realized gain (loss) | — | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0025 | 0.0178 | 0.0140 | 0.0044 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0025) | (0.0178) | (0.0140) | (0.0044) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0025) | (0.0178) | (0.0140) | (0.0044) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.25% | 1.79% | 1.40% | 0.44% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $428,088 | $483,015 | $517,997 | $380,085 | $432,488 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.07% | 0.27% | 0.45% | 0.47% | 0.47% | ||||
Net investment income (loss) | 0.01% | 0.32% | 1.76% | 1.42% | 0.40% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Investor Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0033 | 0.0203 | 0.0170 | 0.0071 | ||||
Net realized gain (loss) | — | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0033 | 0.0203 | 0.0170 | 0.0071 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0033) | (0.0203) | (0.0170) | (0.0071) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0033) | (0.0203) | (0.0170) | (0.0071) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.33% | 2.05% | 1.68% | 0.71% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,063,097 | $936,980 | $726,126 | $1,875,096 | $1,245,204 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net expenses | 0.07% | 0.18% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 0.01% | 0.35% | 2.08% | 1.68% | 0.83% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Opportunity Class (a) | |
For the Period 10/28/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.00% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $300,002 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.04%(d) |
Net investment income (loss) | 0.03%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Premier Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0039 | 0.0211 | 0.0170 | 0.0079 | ||||
Net realized gain (loss) | — | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0039 | 0.0211 | 0.0170 | 0.0079 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0039) | (0.0211) | (0.0170) | (0.0079) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0039) | (0.0211) | (0.0170) | (0.0079) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.03% | 0.39% | 2.13% | 1.76% | 0.79% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $84,009,144 | $67,604,723 | $52,826,660 | $32,939,927 | $38,921,503 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.05% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.03% | 0.33% | 2.08% | 1.74% | 0.78% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Class G (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0043 | 0.0215 | 0.0180 | 0.0082 | ||||
Net realized gain (loss) | — | 0.0000(b) | 0.0000(b) | — | 0.0001 | ||||
Total from investment operations | 0.0001 | 0.0043 | 0.0215 | 0.0180 | 0.0083 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0043) | (0.0215) | (0.0180) | (0.0083) | ||||
Net realized gains | — | — | — | — | 0.0000(b) | ||||
Total distributions | (0.0001) | (0.0043) | (0.0215) | (0.0180) | (0.0083) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.03% | 0.43% | 2.17% | 1.80% | 0.83% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $7,180,149 | $6,025,209 | $3,607,164 | $3,065,834 | $4,349,842 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net expenses | 0.05% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net investment income (loss) | 0.03% | 0.37% | 2.12% | 1.74% | 0.95% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional U.S. Government Money Market Fund | Administration Class Bancroft Capital Class Blaylock Van Class Cabrera Capital Markets Class Class G Investment Class Investor Class Institutional Class Opportunity Class Premier Class Select Class | August 23, 2016 October 13, 2021 October 20, 2021 October 20, 2021 October 5, 2014 October 17, 2007 March 21, 2016 January 18, 2018 October 28, 2021 October 25, 2007 Not commenced | Diversified |
Expiration Date | Amount | |
12/31/2023 | $ 4,506,387 | |
12/31/2024 | $61,082,619 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $22,715,982 | $— | $22,715,982 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $ 259,665,761 | $ — | $ 259,665,761 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional U.S. Government Money Market Fund | $67,945 | $— | $— | $— | $67,945 |
March 1, 2022
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 Institutional U.S. Government Money Market Fund | |||||||||
Administration Class | 0.06% | $1,000.00 | $0.31(a) | $1,024.90 | $0.31 | ||||
Bancroft Capital Class | 0.04 | 1,000.10 | 0.14(b) | 1,024.90 | 0.31 | ||||
Blaylock Van Class | 0.04 | 1,000.10 | 0.08(c) | 1,025.00 | 0.20 | ||||
Cabrera Capital Markets Class | 0.04 | 1,000.10 | 0.06(d) | 1,025.10 | 0.15 | ||||
Institutional Class | 0.04 | 1,000.10 | 0.20(a) | 1,025.00 | 0.20 | ||||
Investment Class | 0.06 | 1,000.00 | 0.31(a) | 1,024.90 | 0.31 | ||||
Investor Class | 0.06 | 1,000.00 | 0.31(a) | 1,024.90 | 0.31 | ||||
Opportunity Class | 0.04 | 1,000.00 | 0.07(e) | 1,025.00 | 0.20 | ||||
Premier Class | 0.04 | 1,000.10 | 0.20(a) | 1,025.00 | 0.20 | ||||
Class G | 0.04 | 1,000.10 | 0.20(a) | 1,025.00 | 0.20 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 10/13/2021. |
(c) | Actual period is from commencement of operations on 10/20/2021. |
(d) | Actual period is from commencement of operations on 10/20/2021. |
(e) | Actual period is from commencement of operations on 10/28/2021. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street U.S. Government Money Market Portfolio |
1 | |
2 | |
12 | |
13 | |
14 | |
15 | |
16 | |
20 | |
21 |
% of Net Assets | |||
Treasury Repurchase Agreements | 56.2% | ||
Treasury Debt | 23.0 | ||
Government Agency Debt | 15.0 | ||
Government Agency Repurchase Agreements | 4.0 | ||
Other Assets in Excess of Liabilities | 1.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 63.4% | ||
31 to 60 Days | 4.6 | ||
61 to 90 Days | 5.7 | ||
Over 90 Days | 24.5 | ||
Total | 98.2% | ||
Average days to maturity | 17 | ||
Weighted average life | 80 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—15.0% | ||||||||||
Federal Farm Credit Bank, SOFR + 0.01 (a) | 0.055% | 01/01/2022 | 09/13/2022 | $ 289,310,000 | $ 289,304,920 | |||||
Federal Farm Credit Bank, SOFR + 0.01% (a) | 0.055% | 01/01/2022 | 05/26/2022 | 267,031,000 | 267,029,192 | |||||
Federal Farm Credit Bank, SOFR + 0.01% (a) | 0.055% | 01/01/2022 | 06/21/2022 | 219,681,000 | 219,678,440 | |||||
Federal Farm Credit Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 06/30/2022 | 367,600,000 | 367,590,908 | |||||
Federal Farm Credit Bank, SOFR + 0.01% (a) | 0.063% | 01/01/2022 | 09/07/2022 | 324,500,000 | 324,461,086 | |||||
Federal Farm Credit Bank, SOFR + 0.02 (a) | 0.068% | 01/01/2022 | 07/14/2023 | 162,800,000 | 162,792,436 | |||||
Federal Farm Credit Bank, SOFR + 0.02 (a) | 0.070% | 01/01/2022 | 10/27/2022 | 271,000,000 | 270,988,834 | |||||
Federal Farm Credit Bank, SOFR + 0.02 (a) | 0.070% | 01/01/2022 | 12/14/2022 | 361,392,000 | 361,378,154 | |||||
Federal Farm Credit Bank, SOFR + 0.02 (a) | 0.070% | 01/01/2022 | 03/14/2023 | 522,169,000 | 522,092,147 | |||||
Federal Farm Credit Bank, SOFR + 0.02 (a) | 0.070% | 01/01/2022 | 08/21/2023 | 379,450,000 | 379,437,468 | |||||
Federal Farm Credit Bank, SOFR + 0.03 (a) | 0.075% | 01/01/2022 | 06/08/2022 | 306,800,000 | 306,793,363 | |||||
Federal Farm Credit Bank, SOFR + 0.03 (a) | 0.075% | 01/01/2022 | 01/12/2023 | 309,250,000 | 309,233,970 | |||||
Federal Farm Credit Bank (b) | 0.080% | 06/16/2022 | 06/16/2022 | 43,600,000 | 43,584,110 | |||||
Federal Farm Credit Bank, SOFR + 0.03 (a) | 0.080% | 01/01/2022 | 05/13/2022 | 390,900,000 | 390,885,816 | |||||
Federal Farm Credit Bank, SOFR + 0.04% (a) | 0.090% | 01/01/2022 | 07/08/2022 | 275,000,000 | 274,992,897 | |||||
Federal Farm Credit Bank, SOFR + 0.04% (a) | 0.090% | 01/01/2022 | 07/11/2022 | 114,500,000 | 114,509,022 | |||||
Federal Farm Credit Bank, SOFR + 0.05% (a) | 0.100% | 01/01/2022 | 08/12/2022 | 477,000,000 | 477,073,116 | |||||
Federal Farm Credit Bank, SOFR + 0.06 (a) | 0.105% | 01/01/2022 | 02/09/2023 | 54,700,000 | 54,700,000 | |||||
Federal Farm Credit Bank, SOFR + 0.06% (a) | 0.105% | 01/01/2022 | 12/13/2022 | 329,250,000 | 329,275,866 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.03% (a) | 0.110% | 01/01/2022 | 07/13/2023 | 75,000,000 | 74,994,202 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.03 (a) | 0.113% | 01/01/2022 | 10/12/2023 | 275,000,000 | 274,977,576 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.03 (a) | 0.114% | 01/01/2022 | 04/03/2023 | 226,046,000 | 226,046,000 | |||||
Federal Farm Credit Bank, SOFR + 0.07% (a) | 0.115% | 01/01/2022 | 11/18/2022 | 39,250,000 | 39,250,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.04 (a) | 0.120% | 01/01/2022 | 05/03/2023 | 318,080,000 | 318,080,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.04% (a) | 0.120% | 01/01/2022 | 11/01/2023 | 300,000,000 | 299,977,754 | |||||
Federal Farm Credit Bank, FFR + 0.06% (a) | 0.135% | 01/01/2022 | 01/19/2023 | 150,000,000 | 149,992,085 | |||||
Federal Farm Credit Bank, SOFR + 0.09 (a) | 0.135% | 01/01/2022 | 10/07/2022 | 45,000,000 | 45,000,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.10% (a) | 0.185% | 01/01/2022 | 01/18/2022 | 100,000,000 | 99,999,819 | |||||
Federal Farm Credit Bank, SOFR + 0.15% (a) | 0.200% | 01/01/2022 | 08/26/2022 | 22,000,000 | 22,017,786 | |||||
Federal Farm Credit Bank (b) | 0.213% | 12/02/2022 | 12/02/2022 | 412,500,000 | 412,489,489 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.13 (a) | 0.215% | 01/01/2022 | 02/28/2022 | 275,000,000 | 275,000,000 | |||||
Federal Home Loan Bank (b) | 0.006% | 01/24/2022 | 01/24/2022 | 133,000,000 | 132,999,530 | |||||
Federal Home Loan Bank (b) | 0.006% | 01/28/2022 | 01/28/2022 | 122,000,000 | 121,999,494 | |||||
Federal Home Loan Bank (b) | 0.011% | 01/25/2022 | 01/25/2022 | 188,000,000 | 187,998,735 | |||||
Federal Home Loan Bank, SOFR + 0.01% (a) | 0.055% | 01/01/2022 | 03/11/2022 | 161,800,000 | 161,800,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (a) | 0.055% | 01/01/2022 | 03/14/2022 | 121,260,000 | 121,260,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (a) | 0.055% | 01/01/2022 | 04/13/2022 | 381,000,000 | 381,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 04/14/2022 | 381,250,000 | 381,250,000 | |||||
Federal Home Loan Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 04/22/2022 | 323,980,000 | 323,980,000 | |||||
Federal Home Loan Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 06/01/2022 | 161,300,000 | 161,300,000 | |||||
Federal Home Loan Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 10/07/2022 | 445,545,000 | 445,545,000 | |||||
Federal Home Loan Bank, SOFR + 0.01 (a) | 0.060% | 01/01/2022 | 10/17/2022 | 40,000,000 | 40,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (a) | 0.060% | 01/01/2022 | 08/05/2022 | 348,110,000 | 348,110,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (a) | 0.060% | 01/01/2022 | 10/07/2022 | 290,000,000 | 290,000,000 | |||||
Federal Home Loan Bank (b) | 0.061% | 01/27/2022 | 01/27/2022 | 87,000,000 | 86,999,363 | |||||
Federal Home Loan Bank, SOFR + 0.02 (a) | 0.065% | 01/01/2022 | 06/17/2022 | 273,000,000 | 273,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02% (a) | 0.065% | 01/01/2022 | 06/24/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.06% (a) | 0.110% | 01/01/2022 | 11/23/2022 | 350,000,000 | 350,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Bank, SOFR + 0.06% (a) | 0.110% | 01/01/2022 | 12/16/2022 | $ 250,000,000 | $ 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.07% (a) | 0.115% | 01/01/2022 | 11/10/2022 | 150,000,000 | 150,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.12% (a) | 0.170% | 01/01/2022 | 02/28/2022 | 130,000,000 | 130,000,000 | |||||
Federal Home Loan Bank (b) | 0.213% | 11/29/2022 | 11/29/2022 | 196,000,000 | 195,844,655 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.08% (a) | 0.125% | 01/01/2022 | 03/14/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.15% (a) | 0.200% | 01/01/2022 | 03/04/2022 | 200,000,000 | 199,991,635 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.16 (a) | 0.210% | 01/01/2022 | 04/20/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.19 (a) | 0.240% | 01/01/2022 | 06/02/2022 | 460,000,000 | 460,000,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.20 (a) | 0.250% | 01/01/2022 | 06/15/2022 | 457,150,000 | 457,150,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.27 (a) | 0.320% | 01/01/2022 | 05/04/2022 | 299,250,000 | 299,509,099 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 14,613,363,967 | |||||||||
TREASURY DEBT—23.0% | ||||||||||
U.S. Treasury Bill (b) | 0.050% | 01/20/2022 | 01/20/2022 | 1,341,086,000 | 1,341,052,641 | |||||
U.S. Treasury Bill (b) | 0.051% | 01/13/2022 | 01/13/2022 | 827,900,000 | 827,889,741 | |||||
U.S. Treasury Bill (b) | 0.053% | 01/27/2022 | 01/27/2022 | 376,000 | 375,986 | |||||
U.S. Treasury Bill (b) | 0.053% | 03/01/2022 | 03/01/2022 | 840,730,000 | 840,659,589 | |||||
U.S. Treasury Bill (b) | 0.055% | 02/01/2022 | 02/01/2022 | 850,000,000 | 849,963,639 | |||||
U.S. Treasury Bill (b) | 0.055% | 02/03/2022 | 02/03/2022 | 339,700,000 | 339,683,911 | |||||
U.S. Treasury Bill (b) | 0.055% | 02/15/2022 | 02/15/2022 | 401,100,000 | 401,073,650 | |||||
U.S. Treasury Bill (b) | 0.055% | 02/22/2022 | 02/22/2022 | 800,000,000 | 799,938,889 | |||||
U.S. Treasury Bill (b) | 0.055% | 03/08/2022 | 03/08/2022 | 417,000,000 | 416,959,227 | |||||
U.S. Treasury Bill (b) | 0.055% | 03/17/2022 | 03/17/2022 | 1,086,000,000 | 1,085,878,881 | |||||
U.S. Treasury Bill (b) | 0.056% | 01/11/2022 | 01/11/2022 | 1,025,261,700 | 1,025,248,348 | |||||
U.S. Treasury Bill (b) | 0.058% | 04/14/2022 | 04/14/2022 | 749,900,000 | 749,779,538 | |||||
U.S. Treasury Bill (b) | 0.058% | 04/21/2022 | 04/21/2022 | 754,715,000 | 754,581,003 | |||||
U.S. Treasury Bill (b) | 0.063% | 05/05/2022 | 05/05/2022 | 475,000,000 | 474,899,392 | |||||
U.S. Treasury Bill (b) | 0.063% | 05/12/2022 | 05/12/2022 | 450,920,000 | 450,820,640 | |||||
U.S. Treasury Bill (b) | 0.065% | 03/10/2022 | 03/10/2022 | 1,751,240,000 | 1,751,029,702 | |||||
U.S. Treasury Bill (b) | 0.070% | 03/24/2022 | 03/24/2022 | 777,900,000 | 777,778,993 | |||||
U.S. Treasury Bill (b) | 0.070% | 03/29/2022 | 03/29/2022 | 400,000,000 | 399,933,889 | |||||
U.S. Treasury Bill (b) | 0.072% | 04/05/2022 | 04/05/2022 | 1,586,200,000 | 1,585,901,955 | |||||
U.S. Treasury Bill (b) | 0.090% | 06/02/2022 | 06/02/2022 | 451,870,000 | 451,700,549 | |||||
U.S. Treasury Note (b) | 0.061% | 03/31/2022 | 03/31/2022 | 165,500,000 | 166,192,149 | |||||
U.S. Treasury Note (b) | 0.072% | 06/30/2022 | 06/30/2022 | 117,252,000 | 118,214,325 | |||||
U.S. Treasury Note (b) | 0.078% | 05/31/2022 | 05/31/2022 | 172,600,000 | 172,633,104 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (a) | 0.114% | 01/01/2022 | 07/31/2023 | 1,287,605,000 | 1,287,660,486 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (a) | 0.119% | 01/01/2022 | 04/30/2023 | 1,440,672,000 | 1,440,819,635 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04 (a) | 0.120% | 01/01/2022 | 10/31/2023 | 646,100,000 | 646,104,155 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05 (a) | 0.134% | 01/01/2022 | 01/31/2023 | 1,629,182,000 | 1,629,647,701 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (a) | 0.140% | 01/01/2022 | 07/31/2022 | 109,000,000 | 109,001,894 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (a) | 0.140% | 01/01/2022 | 10/31/2022 | 776,700,000 | 776,792,599 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11 (a) | 0.199% | 01/01/2022 | 04/30/2022 | 200,000,000 | 200,041,554 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15% (a) | 0.239% | 01/01/2022 | 01/31/2022 | 505,000,000 | 505,030,392 | |||||
TOTAL TREASURY DEBT | 22,377,288,157 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—4.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Banks, 0.375% – 5.625% due 12/08/2023 – 03/12/2038, a Federal Home Loan Bank, 0.000% due 02/01/2022, and Federal Home Loan Mortgage Corporations, 0.000% – 3.200% due 06/30/2022 – 01/21/2050, valued at $43,860,060); expected proceeds $43,000,179 | 0.050% | 01/03/2022 | 01/03/2022 | $ 43,000,000 | $ 43,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 11/19/2021 (collateralized by Federal National Mortgage Associations, 2.000% – 2.500% due 12/01/2051, Government National Mortgage Associations, 2.000% – 4.500% due 07/20/2046 – 12/20/2051, and a U.S. Treasury Note, 1.250% due 11/30/2026, valued at $204,000,007); expected proceeds $200,020,333 | 0.060% | 01/07/2022 | 01/07/2022 | 200,000,000 | 200,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 6.000% due 04/01/2029 – 11/01/2051, Federal National Mortgage Associations, 2.500% – 4.500% due 06/01/2025 – 09/01/2051, and Government National Mortgage Associations, 2.500% – 4.500% due 06/20/2045 – 11/20/2051, valued at $255,000,000); expected proceeds $250,001,146 | 0.055% | 01/03/2022 | 01/03/2022 | 250,000,000 | 250,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.867% – 8.490% due 06/15/2029 – 04/25/2051, Federal National Mortgage Associations, 2.500% – 5.898% due 06/25/2048 – 08/25/2061, Government National Mortgage Associations, 1.625% – 6.246% due 08/20/2041 – 12/20/2051, U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2022 – 07/15/2022, and U.S. Treasury Notes, 1.125% – 2.500% due 02/15/2022 – 04/30/2022, valued at $80,530,630); expected proceeds $78,417,327 | 0.050% | 01/03/2022 | 01/03/2022 | 78,417,000 | 78,417,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Tennessee Valley Authorities, 0.000% – 5.880% due 09/15/2024 – 01/15/2048, and U.S. Treasury Strips, 0.000% due 08/15/2047 – 02/15/2048, valued at $66,308,651); expected proceeds $65,000,271 | 0.050% | 01/03/2022 | 01/03/2022 | 65,000,000 | 65,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a Government National Mortgage Association, 2.000% due 01/20/2051, valued at $76,500,001); expected proceeds $75,000,312 | 0.050% | 01/03/2022 | 01/03/2022 | 75,000,000 | 75,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 10/28/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 3.500% due 12/01/2048, a Federal National Mortgage Association, 2.500% due 09/01/2051, and Government National Mortgage Associations, 1.700% – 6.596% due 12/15/2024 – 12/20/2051, valued at $226,593,922); expected proceeds $220,024,567 | 0.060% | 01/03/2022 | 01/03/2022 | $ 220,000,000 | $ 220,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 10/08/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 6.000% due 09/01/2029 – 12/01/2051, and Federal National Mortgage Associations, 1.500% – 5.500% due 06/01/2027 – 01/01/2057, valued at $255,000,000); expected proceeds $250,037,500 | 0.060% | 01/06/2022 | 01/06/2022 | 250,000,000 | 250,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/06/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.902% – 6.000% due 09/01/2029 – 11/01/2051, Federal National Mortgage Associations, 1.500% – 5.500% due 06/01/2027 – 12/01/2051, and Government National Mortgage Associations, 2.500% – 3.000% due 10/20/2049 – 03/20/2051, valued at $173,400,000); expected proceeds $170,020,825 (c) | 0.070% | 02/07/2022 | 02/07/2022 | 170,000,000 | 170,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.385% – 7.000% due 09/01/2029 – 10/01/2051, and Federal National Mortgage Associations, 1.500% – 4.500% due 08/01/2034 – 05/01/2058, valued at $102,000,000); expected proceeds $100,005,333 (c) | 0.060% | 01/28/2022 | 01/28/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal National Mortgage Associations, 1.500% – 3.500% due 12/01/2036 – 12/01/2054, valued at $122,400,001); expected proceeds $120,000,500 | 0.050% | 01/03/2022 | 01/03/2022 | 120,000,000 | 120,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Government National Mortgage Associations, 1.500% – 8.000% due 01/15/2027 – 07/15/2062, valued at $239,700,000); expected proceeds $235,000,979 | 0.050% | 01/03/2022 | 01/03/2022 | 235,000,000 | 235,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2021 (collateralized by a Federal Home Loan Mortgage Corporation, 4.500% due 09/01/2026, Federal National Mortgage Associations, 2.061% – 4.000% due 10/01/2028 – 12/01/2051, and a Government National Mortgage Association, 2.500% due 07/20/2051, valued at $153,000,893); expected proceeds $150,016,625 (c) | 0.070% | 01/03/2022 | 02/18/2022 | 150,000,000 | 150,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.500% due 10/01/2041 – 12/01/2050, Federal National Mortgage Associations, 2.500% – 5.000% due 02/01/2038 – 12/01/2051, Government National Mortgage Associations, 2.500% – 4.000% due 06/15/2042 – 11/20/2051, U.S. Treasury Bonds, 1.125% – 4.250% due 05/15/2039 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 1.000% due 02/15/2049 – 02/15/2051, and U.S. Treasury Notes, 0.125% – 2.750% due 02/15/2022 – 08/15/2031, valued at $408,000,008); expected proceeds $400,003,889 | 0.050% | 01/05/2022 | 01/05/2022 | $ 400,000,000 | $ 400,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 4.500% due 11/01/2040 – 09/01/2050, Federal National Mortgage Associations, 2.280% – 5.000% due 02/01/2038 – 12/01/2051, Government National Mortgage Associations, 2.500% – 5.000% due 08/15/2040 – 11/20/2051, a U.S. Treasury Bill, 0.000% due 04/07/2022, U.S. Treasury Bonds, 2.000% – 4.250% due 05/15/2039 – 02/15/2050, U.S. Treasury Inflation Index Bonds, 0.125% – 3.375% due 04/15/2032 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and U.S. Treasury Notes, 0.125% – 3.000% due 07/15/2023 – 02/15/2029, valued at $204,000,077); expected proceeds $200,001,944 | 0.050% | 01/06/2022 | 01/06/2022 | 200,000,000 | 200,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 6.000% due 12/01/2038 – 11/01/2051, Federal National Mortgage Associations, 2.000% – 5.000% due 02/01/2038 – 12/01/2051, Government National Mortgage Associations, 2.500% – 3.500% due 05/20/2047 – 03/20/2051, U.S. Treasury Bills, 0.000% due 03/29/2022 – 04/07/2022, U.S. Treasury Bonds, 2.250% – 4.250% due 05/15/2039 – 05/15/2047, and U.S. Treasury Notes, 0.125% – 2.875% due 09/15/2023 – 05/15/2028, valued at $510,000,001); expected proceeds $500,002,083 | 0.050% | 01/03/2022 | 01/03/2022 | 500,000,000 | 500,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal National Mortgage Associations, 1.801% – 5.000% due 08/01/2032 – 11/01/2051, a Government National Mortgage Association, 4.000% due 02/20/2049, and a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, valued at $150,960,629); expected proceeds $148,000,617 | 0.050% | 01/03/2022 | 01/03/2022 | 148,000,000 | 148,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 3.000% due 01/01/2033 – 09/01/2051, valued at $84,660,000); expected proceeds $83,000,346 | 0.050% | 01/03/2022 | 01/03/2022 | 83,000,000 | 83,000,000 |
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 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 3.000% due 07/01/2049 – 12/01/2051, Federal National Mortgage Associations, 3.000% – 5.500% due 08/01/2024 – 01/01/2050, Government National Mortgage Associations, 2.000% – 6.500% due 11/20/2038 – 11/20/2051, U.S. Treasury Inflation Index Bonds, 0.250% – 0.750% due 02/15/2045 – 02/15/2050, and U.S. Treasury Strips, 0.000% due 02/15/2028 – 02/15/2030, valued at $507,960,095); expected proceeds $498,002,075 | 0.050% | 01/03/2022 | 01/03/2022 | $ 498,000,000 | $ 498,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 8.000% due 02/01/2022 – 02/01/2050, and Federal National Mortgage Associations, 1.500% – 9.000% due 03/01/2022 – 09/01/2050, valued at $102,000,011); expected proceeds $100,000,500 | 0.060% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 3,885,417,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—56.2% | ||||||||||
Agreement with Banco Santander and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.875% due 08/31/2024, valued at $161,160,085); expected proceeds $158,000,263 | 0.020% | 01/03/2022 | 01/03/2022 | 158,000,000 | 158,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.750% – 1.500% due 08/31/2026 – 11/30/2028, valued at $207,364,993); expected proceeds $203,299,847 | 0.050% | 01/03/2022 | 01/03/2022 | 203,299,000 | 203,299,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/07/2021 (collateralized by U.S. Treasury Bills, 0.000% due 03/24/2022 – 04/26/2022, a U.S. Treasury Bond, 1.875% due 11/15/2051, a U.S. Treasury Inflation Index Bond, 2.125% due 02/15/2040, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 01/15/2023 – 07/15/2028, U.S. Treasury Notes, 0.125% – 3.125% due 06/30/2022 – 08/15/2031, and U.S. Treasury Strips, 0.000% due 08/15/2023 – 02/15/2031, valued at $362,100,058); expected proceeds $355,026,033 | 0.055% | 01/07/2022 | 01/07/2022 | 355,000,000 | 355,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.500% – 2.250% due 02/15/2027 – 11/30/2028, valued at $117,300,007); expected proceeds $115,000,479 | 0.050% | 01/03/2022 | 01/03/2022 | 115,000,000 | 115,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.125% – 3.125% due 12/31/2022 – 11/15/2028, valued at $127,500,069); expected proceeds $125,000,573 | 0.055% | 01/03/2022 | 01/03/2022 | 125,000,000 | 125,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bonds, 3.000% – 3.875% due 08/15/2040 – 05/15/2045, and U.S. Treasury Notes, 0.125% – 2.375% due 07/31/2022 – 08/15/2027, valued at $1,009,800,086); expected proceeds $990,004,125 | 0.050% | 01/03/2022 | 01/03/2022 | $ 990,000,000 | $ 990,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, a U.S. Treasury Note, 1.375% due 12/31/2028, and a U.S. Treasury Strip, 0.000% due 11/15/2026 - 02/15/2051, valued at $214,200,045); expected proceeds $210,000,875 | 0.050% | 01/03/2022 | 01/03/2022 | 210,000,000 | 210,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.000% due 01/20/2022 – 12/01/2022, a U.S. Treasury Inflation Index Note, 0.250% due 07/15/2029, and U.S. Treasury Notes, 0.375% – 2.500% due 01/15/2022 – 12/31/2022, valued at $469,200,030); expected proceeds $460,001,533 | 0.040% | 01/03/2022 | 01/03/2022 | 460,000,000 | 460,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 11/04/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 3.000% due 05/15/2040 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 3.875% due 01/15/2025 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 07/15/2022 – 07/15/2031, and U.S. Treasury Notes, 0.125% – 2.375% due 04/30/2022 – 05/15/2031, valued at $229,500,083); expected proceeds $225,025,781 | 0.055% | 01/07/2022 | 01/07/2022 | 225,000,000 | 225,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2026 – 08/15/2038, valued at $1,020,385,641); expected proceeds $1,000,011,667 | 0.060% | 01/06/2022 | 01/06/2022 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2045 – 02/15/2048, valued at $510,281,910); expected proceeds $500,004,861 | 0.050% | 01/06/2022 | 01/06/2022 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.250% due 10/15/2024 – 01/15/2025, and U.S. Treasury Notes, 0.625% – 2.250% due 10/15/2024 – 11/15/2024, valued at $169,321,612); expected proceeds $166,000,830 | 0.060% | 01/03/2022 | 01/03/2022 | 166,000,000 | 166,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 1.375% – 3.125% due 11/15/2028 – 12/31/2028, valued at $144,840,031); expected proceeds $142,000,592 | 0.050% | 01/03/2022 | 01/03/2022 | 142,000,000 | 142,000,000 |
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 12/31/2021 (collateralized by U.S. Treasury Notes, 0.120% – 2.500% due 01/15/2022 – 11/30/2026, valued at $204,001,076); expected proceeds $200,000,833 | 0.050% | 01/03/2022 | 01/03/2022 | $ 200,000,000 | $ 200,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 2.375% – 2.750% due 02/28/2023 – 06/30/2025, valued at $38,550,160,693); expected proceeds $38,550,160,625 | 0.050% | 01/03/2022 | 01/03/2022 | 38,550,000,000 | 38,550,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 4.500% due 08/15/2039, a U.S. Treasury Inflation Index Bond, 2.125% due 02/15/2040, and a U.S. Treasury Note, 2.250% due 08/15/2027, valued at $2,274,600,075); expected proceeds $2,230,009,292 | 0.050% | 01/03/2022 | 01/03/2022 | 2,230,000,000 | 2,230,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, U.S. Treasury Notes, 0.500% - 2.750% due 12/31/2023 - 08/15/2031, valued at $4,035,892,088); expected proceeds $3,955,016,479 | 0.050% | 01/03/2022 | 01/03/2022 | 3,955,000,000 | 3,955,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2031, and U.S. Treasury Notes, 1.000% - 1.375% due 12/31/2026 - 12/31/2028, valued at $1,856,583,967); expected proceeds $1,820,007,981 | 0.050% | 01/03/2022 | 01/03/2022 | 1,820,000,398 | 1,820,000,398 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by a U.S. Treasury Bond, 1.750% due 08/15/2041, U.S. Treasury Notes, 0.125% – 2.000% due 01/31/2022 – 10/31/2025, and U.S. Treasury Strips, 0.000% due 02/15/2025 – 11/15/2030, valued at $210,120,058); expected proceeds $206,002,043 | 0.051% | 01/05/2022 | 01/05/2022 | 206,000,000 | 206,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2027, valued at $10,200,000); expected proceeds $10,000,042 | 0.050% | 01/03/2022 | 01/03/2022 | 10,000,000 | 10,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2021 (collateralized by U.S. Treasury Bonds, 2.250% – 6.625% due 02/15/2027 – 08/15/2046, and U.S. Treasury Notes, 0.125% – 2.750% due 04/30/2022 – 02/15/2027, valued at $51,000,038); expected proceeds $50,000,486 | 0.050% | 01/03/2022 | 01/03/2022 | 50,000,000 | 50,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a Cash, 0.000% due 12/30/1899, U.S. Treasury Bonds, 1.125% – 5.500% due 08/15/2028 – 08/15/2041, a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 07/15/2023 – 01/15/2027, and U.S. Treasury Notes, 1.625% – 2.500% due 08/15/2023 – 11/30/2026, valued at $121,400,510); expected proceeds $120,000,500 | 0.050% | 01/03/2022 | 01/03/2022 | $ 120,000,000 | $ 120,000,000 | |||||
Agreement with MUFG Securities, dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.250% - 2.625% due 01/31/2022 - 01/31/2028, valued at $183,608,307); expected proceeds $180,000,750 | 0.050% | 01/03/2022 | 01/03/2022 | 180,000,000 | 180,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 12/31/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 01/27/2022, valued at $403,259,918); expected proceeds $395,001,646 | 0.050% | 01/03/2022 | 01/03/2022 | 395,000,000 | 395,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/08/2021 (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 $163,200,100); expected proceeds $160,028,311 | 0.070% | 01/07/2022 | 01/07/2022 | 160,000,000 | 160,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/15/2021 (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 $397,800,024); expected proceeds $390,069,008 (c) | 0.070% | 01/14/2022 | 01/14/2022 | 390,000,000 | 390,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/21/2021 (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 $199,920,050); expected proceeds $196,035,062 (c) | 0.070% | 01/21/2022 | 01/21/2022 | 196,000,000 | 196,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2021 (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 $204,000,043); expected proceeds $200,040,000 (c) | 0.080% | 03/02/2022 | 03/02/2022 | 200,000,000 | 200,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (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 $239,949,293); expected proceeds $234,866,899 | 0.060% | 01/03/2022 | 01/03/2022 | 234,865,725 | 234,865,725 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (collateralized by U.S. Treasury Bonds, 2.250% - 3.750% due 11/15/2041 - 11/15/2048, and U.S. Treasury Strips, 0.000%, due 02/15/2022 – 05/15/2029, valued at $268,397,656); expected proceeds $263,107,341 | 0.060% | 01/03/2022 | 01/03/2022 | 263,106,025 | 263,106,025 |
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 10/27/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 7.125% due 02/15/2023 – 11/15/2047, U.S. Treasury Inflation Index Bonds, 0.750% due 02/15/2042 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 10/15/2025 – 01/15/2028, and U.S. Treasury Notes, 0.250% – 3.000% due 01/15/2022 – 09/30/2028, valued at $867,000,044); expected proceeds $850,110,382 | 0.055% | 01/07/2022 | 01/07/2022 | $ 850,000,000 | $ 850,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2023 – 10/15/2026, and U.S. Treasury Notes, 0.250% – 0.625% due 06/15/2023 – 12/31/2027, valued at $71,400,041); expected proceeds $70,000,292 | 0.050% | 01/03/2022 | 01/03/2022 | 70,000,000 | 70,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 0.750% due 01/31/2028, valued at $51,000,012); expected proceeds $50,000,208 | 0.050% | 01/03/2022 | 01/03/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 0.125% due 05/31/2023, valued at $23,460,054); expected proceeds $23,000,096 | 0.050% | 01/03/2022 | 01/03/2022 | 23,000,000 | 23,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 54,802,271,148 | |||||||||
TOTAL INVESTMENTS –98.2% (d)(e) | 95,678,340,272 | |||||||||
Other Assets in Excess of Liabilities —1.8% | 1,709,882,601 | |||||||||
NET ASSETS –100.0% | $ 97,388,222,873 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Rate shown is the discount rate at time of purchase. |
(c) | Illiquid security. These securities represent $1,206,000,000 or 1.2% of net assets as of December 31, 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 |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $36,990,652,124 |
Repurchase agreements, at value and amortized cost | 58,687,688,148 |
Total Investments | 95,678,340,272 |
Cash | 3,402,801,573 |
Interest receivable — unaffiliated issuers | 4,596,206 |
Prepaid expenses and other assets | 12,391 |
TOTAL ASSETS | 99,085,750,442 |
LIABILITIES | |
Payable for investments purchased | 1,690,623,225 |
Advisory and administrator fee payable | 4,062,277 |
Custody, sub-administration and transfer agent fees payable | 2,686,493 |
Trustees’ fees and expenses payable | 2,690 |
Professional fees payable | 114,210 |
Printing fees payable | 27,848 |
Accrued expenses and other liabilities | 10,826 |
TOTAL LIABILITIES | 1,697,527,569 |
NET ASSETS | $97,388,222,873 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $64,415,826 |
EXPENSES | |
Advisory and administrator fee | 43,473,435 |
Custodian, sub-administrator and transfer agent fees | 10,930,362 |
Trustees’ fees and expenses | 602,587 |
Professional fees and expenses | 687,111 |
Printing and postage fees | 115,285 |
Insurance expense | 25,190 |
TOTAL EXPENSES | 55,833,970 |
NET INVESTMENT INCOME (LOSS) | $ 8,581,856 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 75,720 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 8,657,576 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 8,581,856 | $ 305,998,992 | |
Net realized gain (loss) | 75,720 | 94,958 | |
Net increase (decrease) in net assets resulting from operations | 8,657,576 | 306,093,950 | |
CAPITAL TRANSACTIONS | |||
Contributions | 228,927,239,917 | 215,779,123,984 | |
Withdrawals | (211,159,621,770) | (197,361,054,418) | |
Net increase (decrease) in net assets from capital transactions | 17,767,618,147 | 18,418,069,566 | |
Net increase (decrease) in net assets during the period | 17,776,275,723 | 18,724,163,516 | |
Net assets at beginning of period | 79,611,947,150 | 60,887,783,634 | |
NET ASSETS AT END OF PERIOD | $ 97,388,222,873 | $ 79,611,947,150 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 0.01% | 0.45% | 2.20% | 1.81% | 0.74% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $97,388,223 | $79,611,947 | $60,887,784 | $41,221,782 | $48,665,017 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.06% | 0.07% | 0.07% | 0.06% | ||||
Net investment income (loss) | 0.01% | 0.39% | 2.13% | 1.78% | 0.85% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
March 1, 2022
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% | $1,000.00 | $0.31 | $1,024.90 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Money Market Fund |
1 | |
2 | |
3 | |
5 | |
13 | |
18 | |
19 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $13,434,509,159 |
Receivable for fund shares sold | 108,246 |
Receivable from Adviser | 924,791 |
Other Receivable | 180 |
Prepaid expenses and other assets | 23,166 |
TOTAL ASSETS | 13,435,565,542 |
LIABILITIES | |
Payable for fund shares repurchased | 93,854 |
Administration fees payable | 568,718 |
Shareholder servicing fee payable | 135,678 |
Distribution fees payable | 25,041 |
Transfer agent fees payable | 9,715 |
Registration and filing fees payable | 40,513 |
Professional fees payable | 19,558 |
Printing fees payable | 20,391 |
Distribution payable | 10,077 |
Accrued expenses and other liabilities | 461 |
TOTAL LIABILITIES | 924,006 |
NET ASSETS | $13,434,641,536 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $13,434,617,517 |
Total distributable earnings (loss) | 24,019 |
NET ASSETS | $13,434,641,536 |
Administration Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Bancroft Capital Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Cabrera Capital Markets Class | |
Net Assets | $ 50,001 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 911,380,338 |
Shares Outstanding | 911,384,458 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 283,887,658 |
Shares Outstanding | 283,883,001 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 538,274,907 |
Shares Outstanding | 538,275,495 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $ 11,700,898,632 |
Shares Outstanding | 11,700,975,325 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 9,565,013 |
Expenses allocated from affiliated Portfolio | (9,211,493) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 353,520 |
EXPENSES | |
Administration fees | |
Administration Class | 65 |
Bancroft Capital Class (a) | 6 |
Cabrera Capital Markets Class (b) | 5 |
Institutional Class | 364,522 |
Investment Class | 182,802 |
Investor Class | 351,718 |
Opportunity Class (c) | 5 |
Premier Class | 6,192,142 |
Shareholder servicing fees | |
Administration Class | 255 |
Bancroft Capital Class (a) | 3 |
Cabrera Capital Markets Class (b) | 3 |
Institutional Class | 218,660 |
Investment Class | 914,202 |
Investor Class | 562,901 |
Opportunity Class (c) | 3 |
Distribution fees | |
Administration Class | 65 |
Investment Class | 365,681 |
Custodian fees | 41,810 |
Trustees’ fees and expenses | 21,113 |
Transfer agent fees | 63,996 |
Registration and filing fees | 134,448 |
Professional fees | 73,561 |
Printing and postage fees | 30,005 |
Insurance expense | 63,984 |
Miscellaneous expenses | 61,076 |
TOTAL EXPENSES | 9,643,031 |
Expenses waived/reimbursed by the Adviser | (10,153,405) |
NET EXPENSES | (510,374) |
NET INVESTMENT INCOME (LOSS) | $ 863,894 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 45,399 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 909,293 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 863,894 | $ 57,214,714 | |
Net realized gain (loss) | 45,399 | 178,506 | |
Net increase (decrease) in net assets resulting from operations | 909,293 | 57,393,220 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (8) | (149) | |
Bancroft Capital Class (a) | (1) | — | |
Cabrera Capital Markets Class (b) | (1) | — | |
Institutional Class | (48,229) | (257,953) | |
Investment Class | (25,325) | (1,153,922) | |
Investor Class | (47,317) | (786,402) | |
Opportunity Class (c) | (1) | — | |
Premier Class | (841,012) | (55,345,250) | |
Total distributions to shareholders | (961,894) | (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 | |
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Cabrera Capital Markets Class (b) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 1 | — | |
Net increase (decrease) from capital share transactions | 50,001 | — | |
Institutional Class | |||
Shares sold | 5,087,839,401 | 3,735,792,128 | |
Reinvestment of distributions | 21,352 | 84,369 | |
Shares redeemed | (4,420,515,486) | (3,515,465,052) | |
Net increase (decrease) from capital share transactions | 667,345,267 | 220,411,445 | |
Investment Class | |||
Shares sold | 533,675,055 | 1,082,002,666 | |
Reinvestment of distributions | 1,631 | 63,745 | |
Shares redeemed | (729,742,532) | (1,010,336,945) | |
Net increase (decrease) from capital share transactions | (196,065,846) | 71,729,466 | |
Investor Class | |||
Shares sold | 5,276,633,799 | 5,510,238,580 | |
Reinvestment of distributions | 17,757 | 687,569 | |
Shares redeemed | (5,293,891,789) | (5,086,484,885) | |
Net increase (decrease) from capital share transactions | (17,240,233) | 424,441,264 | |
Opportunity Class (c) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Premier Class | |||
Shares sold | 104,057,324,262 | 145,220,418,421 | |
Reinvestment of distributions | 848,198 | 52,578,238 | |
Shares redeemed | (107,065,223,762) | (142,377,771,533) | |
Net increase (decrease) from capital share transactions | (3,007,051,302) | 2,895,225,126 | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,553,137,120) | 3,612,082,308 | |
Net increase (decrease) in net assets during the period | (2,553,189,721) | 3,611,931,852 | |
Net assets at beginning of period | 15,987,831,257 | 12,375,899,405 | |
NET ASSETS AT END OF PERIOD | $ 13,434,641,536 | $ 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 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Cabrera Capital Markets Class (b) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 1 | — | |
Net increase (decrease) from share transactions | 50,001 | — | |
Institutional Class | |||
Shares sold | 5,087,839,401 | 3,735,792,128 | |
Reinvestment of distributions | 21,352 | 84,369 | |
Shares redeemed | (4,420,515,486) | (3,515,465,052) | |
Net increase (decrease) from share transactions | 667,345,267 | 220,411,445 | |
Investment Class | |||
Shares sold | 533,675,055 | 1,082,002,666 | |
Reinvestment of distributions | 1,631 | 63,745 | |
Shares redeemed | (729,742,532) | (1,010,336,945) | |
Net increase (decrease) from share transactions | (196,065,846) | 71,729,466 | |
Investor Class | |||
Shares sold | 5,276,633,799 | 5,510,238,580 | |
Reinvestment of distributions | 17,757 | 687,569 | |
Shares redeemed | (5,293,891,789) | (5,086,484,885) | |
Net increase (decrease) from share transactions | (17,240,233) | 424,441,264 | |
Opportunity Class (c) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Premier Class | |||
Shares sold | 104,057,324,262 | 145,220,418,421 | |
Reinvestment of distributions | 848,198 | 52,578,238 | |
Shares redeemed | (107,065,223,762) | (142,377,771,533) | |
Net increase (decrease) from share transactions | (3,007,051,302) | 2,895,225,126 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Administration Class (a) | |||||||
Year Ended 12/31/21 | 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) | 0.0009 | 0.0029 | 0.0184 | 0.0076 | |||
Net realized gain (loss) | (0.0007) | (0.0001) | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0002 | 0.0028 | 0.0184 | 0.0076 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0001) | (0.0028) | (0.0184) | (0.0076) | |||
Net realized gains | (0.0001) | — | — | — | |||
Total distributions | (0.0002) | (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% | 0.37% | 0.37% | 0.37%(e) | |||
Net expenses | 0.07% | 0.18% | 0.37% | 0.37%(e) | |||
Net investment income (loss) | 0.01% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Bancroft Capital Class (a) | |
For the Period 10/13/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0001 |
Total from investment operations | 0.0002 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Net realized gains | (0.0001) |
Total distributions | (0.0002) |
Net asset value, end of period | $ 1.0000 |
Total return (b) | 0.00%(c) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.05%(d) |
Net investment income (loss) | 0.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Amount is less than 0.005%. |
(d) | Annualized. |
Cabrera Capital Markets Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0001 |
Total from investment operations | 0.0002 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Net realized gains | (0.0001) |
Total distributions | (0.0002) |
Net asset value, end of period | $ 1.0000 |
Total return (b) | 0.00%(c) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.05%(d) |
Net investment income (loss) | 0.02%(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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Amount is less than 0.005%. |
(d) | Annualized. |
Institutional Class (a) | |||||||
Year Ended 12/31/21 | 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 | 0.0038 | 0.0205 | 0.0085 | |||
Net realized gain (loss) | 0.0001 | — | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0002 | 0.0038 | 0.0205 | 0.0085 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0001) | (0.0038) | (0.0205) | (0.0085) | |||
Net realized gains | (0.0001) | — | — | — | |||
Total distributions | (0.0002) | (0.0038) | (0.0205) | (0.0085) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.01% | 0.38% | 2.07% | 0.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $911,380 | $244,039 | $ 23,628 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15% | 0.15% | 0.15% | 0.15%(d) | |||
Net expenses | 0.06% | 0.14% | 0.15% | 0.15%(d) | |||
Net investment income (loss) | 0.01% | 0.12% | 1.86% | 2.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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) | 0.0000 | 0.0027 | 0.0175 | 0.0138 | 0.0041 | ||||
Net realized gain (loss) | 0.0002 | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | ||||
Total from investment operations | 0.0002 | 0.0028 | 0.0175 | 0.0138 | 0.0041 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0027) | (0.0175) | (0.0138) | (0.0041) | ||||
Net realized gains | (0.0001) | (0.0001) | — | — | (0.0000)(b) | ||||
Total distributions | (0.0002) | (0.0028) | (0.0175) | (0.0138) | (0.0041) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.27% | 1.76% | 1.39% | 0.41% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $283,888 | $479,954 | $408,230 | $390,735 | $366,364 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.06% | 0.26% | 0.46% | 0.47% | 0.47% | ||||
Net investment income (loss) | 0.01% | 0.21% | 1.74% | 1.37% | 0.38% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Investor Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0035 | 0.0200 | 0.0165 | 0.0068 | ||||
Net realized gain (loss) | 0.0001 | — | 0.0000(b) | (0.0000)(b) | 0.0000(b) | ||||
Total from investment operations | 0.0002 | 0.0035 | 0.0200 | 0.0165 | 0.0068 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0035) | (0.0200) | (0.0165) | (0.0068) | ||||
Net realized gains | (0.0001) | — | — | — | (0.0000)(b) | ||||
Total distributions | (0.0002) | (0.0035) | (0.0200) | (0.0165) | (0.0068) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.35% | 2.02% | 1.66% | 0.68% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $538,275 | $555,517 | $131,075 | $ 97,241 | $ 29,583 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net expenses | 0.06% | 0.17% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 0.01% | 0.17% | 1.95% | 1.70% | 0.71% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Opportunity Class (a) | |
For the Period 10/28/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0001 |
Total from investment operations | 0.0002 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Net realized gains | (0.0001) |
Total distributions | (0.0002) |
Net asset value, end of period | $ 1.0000 |
Total return (b) | 0.00%(c) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.05%(d) |
Net investment income (loss) | 0.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Amount is less than 0.005%. |
(d) | Annualized. |
Premier Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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) | 0.0000 | 0.0040 | 0.0208 | 0.0173 | 0.0076 | ||||
Net realized gain (loss) | 0.0002 | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | ||||
Total from investment operations | 0.0002 | 0.0041 | 0.0208 | 0.0173 | 0.0076 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0040) | (0.0208) | (0.0173) | (0.0076) | ||||
Net realized gains | (0.0001) | (0.0001) | — | — | (0.0000)(b) | ||||
Total distributions | (0.0002) | (0.0041) | (0.0208) | (0.0173) | (0.0076) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.40% | 2.10% | 1.74% | 0.76% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $11,700,899 | $14,707,995 | $11,812,916 | $9,424,507 | $12,123,627 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.06% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.01% | 0.33% | 2.07% | 1.71% | 0.76% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Money Market Fund | Administration Class Bancroft Capital Class Cabrera Capital Markets Class Institutional Class Investment Class Investor Class Opportunity Class Premier Class Select Class | July 31, 2018 October 13, 2021 October 20, 2021 July 31, 2018 October 25, 2007 December 22, 2016 October 28, 2021 October 25, 2007 Not commenced | Diversified |
Expiration Date | Amount | |
12/31/2023 | $ 1,398,757 | |
12/31/2024 | $10,134,247 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $961,894 | $— | $961,894 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $ 57,543,676 | $ — | $ 57,543,676 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Money Market Fund | $24,019 | $— | $— | $— | $24,019 |
March 1, 2022
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 Institutional Treasury Money Market Fund | |||||||||
Administration Class | 0.05% | $1,000.00 | $0.25(a) | $1,025.00 | $0.26 | ||||
Bancroft Capital Class | 0.05 | 1,000.00 | 0.16(b) | 1,024.90 | 0.36 | ||||
Cabrera Capital Markets Class | 0.05 | 1,000.00 | 0.08(c) | 1,025.00 | 0.20 | ||||
Institutional Class | 0.05 | 1,000.00 | 0.25(a) | 1,025.00 | 0.26 | ||||
Investment Class | 0.05 | 1,000.00 | 0.25(a) | 1,025.00 | 0.26 | ||||
Investor Class | 0.05 | 1,000.00 | 0.25(a) | 1,025.00 | 0.26 | ||||
Opportunity Class | 0.05 | 1,000.00 | 0.09(d) | 1,025.00 | 0.26 | ||||
Premier Class | 0.05 | 1,000.00 | 0.25(a) | 1,025.00 | 0.26 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 10/13/2021. |
(c) | Actual period is from commencement of operations on 10/20/2021. |
(d) | Actual period is from commencement of operations on 10/28/2021. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
11 | |
12 |
% of Net Assets | |||
Treasury Debt | 102.8% | ||
Liabilities in Excess of Other Assets | (2.8) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 31.5% | ||
31 to 60 Days | 34.4 | ||
61 to 90 Days | 16.1 | ||
Over 90 Days | 20.8 | ||
Total | 102.8% | ||
Average days to maturity | 40 | ||
Weighted average life | 82 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—102.8% | ||||||||||
U.S. Treasury Bill (a) | 0.015% | 02/03/2022 | 02/03/2022 | $ 100,000,000 | $ 99,998,708 | |||||
U.S. Treasury Bill (a) | 0.020% | 02/01/2022 | 02/01/2022 | 285,755,000 | 285,745,063 | |||||
U.S. Treasury Bill (a) | 0.040% | 01/18/2022 | 01/18/2022 | 1,417,103,000 | 1,417,084,506 | |||||
U.S. Treasury Bill (a) | 0.043% | 01/06/2022 | 01/06/2022 | 314,564,000 | 314,562,848 | |||||
U.S. Treasury Bill (a) | 0.045% | 01/04/2022 | 01/04/2022 | 448,850,000 | 448,849,715 | |||||
U.S. Treasury Bill (a) | 0.045% | 01/11/2022 | 01/11/2022 | 701,559,000 | 701,553,491 | |||||
U.S. Treasury Bill (a) | 0.045% | 02/10/2022 | 02/10/2022 | 892,627,000 | 892,583,597 | |||||
U.S. Treasury Bill (a) | 0.045% | 02/24/2022 | 02/24/2022 | 532,807,000 | 532,771,048 | |||||
U.S. Treasury Bill (a) | 0.046% | 01/25/2022 | 01/25/2022 | 200,000,000 | 199,994,378 | |||||
U.S. Treasury Bill (a) | 0.050% | 01/27/2022 | 01/27/2022 | 386,200,000 | 386,188,293 | |||||
U.S. Treasury Bill (a) | 0.050% | 02/17/2022 | 02/17/2022 | 118,925,000 | 118,917,571 | |||||
U.S. Treasury Bill (a) | 0.050% | 03/03/2022 | 03/03/2022 | 524,000,000 | 523,956,632 | |||||
U.S. Treasury Bill (a) | 0.050% | 03/17/2022 | 03/17/2022 | 348,000,000 | 347,963,196 | |||||
U.S. Treasury Bill (a) | 0.050% | 03/31/2022 | 03/31/2022 | 102,500,000 | 102,487,615 | |||||
U.S. Treasury Bill (a) | 0.051% | 01/13/2022 | 01/13/2022 | 622,000,000 | 621,992,638 | |||||
U.S. Treasury Bill (a) | 0.051% | 03/10/2022 | 03/10/2022 | 456,000,000 | 455,957,883 | |||||
U.S. Treasury Bill (a) | 0.053% | 01/20/2022 | 01/20/2022 | 249,500,000 | 249,493,373 | |||||
U.S. Treasury Bill (a) | 0.053% | 06/16/2022 | 06/16/2022 | 250,000,000 | 249,940,208 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/15/2022 | 02/15/2022 | 401,100,000 | 401,074,851 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/22/2022 | 02/22/2022 | 818,055,000 | 818,013,395 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/01/2022 | 03/01/2022 | 653,390,000 | 653,333,767 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/22/2022 | 03/22/2022 | 150,200,000 | 150,182,101 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/14/2022 | 04/14/2022 | 150,500,000 | 150,475,824 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/21/2022 | 04/21/2022 | 249,000,000 | 248,955,808 | |||||
U.S. Treasury Bill (a) | 0.060% | 02/08/2022 | 02/08/2022 | 300,000,000 | 299,982,000 | |||||
U.S. Treasury Bill (a) | 0.065% | 05/19/2022 | 05/19/2022 | 304,000,000 | 303,925,351 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 150,000,000 | 149,976,667 | |||||
U.S. Treasury Note (a) | 0.025% | 01/31/2022 | 01/31/2022 | 13,000,000 | 13,018,296 | |||||
U.S. Treasury Note (a) | 0.026% | 01/31/2022 | 01/31/2022 | 80,000,000 | 80,085,268 | |||||
U.S. Treasury Note (a) | 0.044% | 01/15/2022 | 01/15/2022 | 100,224,000 | 100,304,259 | |||||
U.S. Treasury Note (a) | 0.055% | 02/28/2022 | 02/28/2022 | 106,000,000 | 106,277,815 | |||||
U.S. Treasury Note (a) | 0.061% | 03/31/2022 | 03/31/2022 | 330,000,000 | 330,247,845 | |||||
U.S. Treasury Note (a) | 0.061% | 03/31/2022 | 03/31/2022 | 197,000,000 | 197,824,450 | |||||
U.S. Treasury Note (a) | 0.072% | 06/30/2022 | 06/30/2022 | 19,272,000 | 19,430,171 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.114% | 01/01/2022 | 07/31/2023 | 238,500,000 | 238,509,081 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.119% | 01/01/2022 | 04/30/2023 | 150,000,000 | 150,008,029 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04 (b) | 0.120% | 01/01/2022 | 10/31/2023 | 40,300,000 | 40,299,999 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05 (b) | 0.134% | 01/01/2022 | 01/31/2023 | 105,486,000 | 105,519,859 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 07/31/2022 | 330,000,000 | 330,002,605 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 10/31/2022 | 618,559,000 | 618,685,102 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11 (b) | 0.199% | 01/01/2022 | 04/30/2022 | 446,600,000 | 446,696,339 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15% (b) | 0.239% | 01/01/2022 | 01/31/2022 | 554,000,000 | 554,045,834 | |||||
TOTAL INVESTMENTS –102.8% (c)(d) | 14,456,915,479 | |||||||||
Liabilities in Excess of Other Assets —(2.8)% | (396,043,748) | |||||||||
NET ASSETS –100.0% | $ 14,060,871,731 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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). |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $14,456,915,479 |
Cash | 730,524 |
Interest receivable — unaffiliated issuers | 4,272,259 |
Prepaid expenses and other assets | 1,951 |
TOTAL ASSETS | 14,461,920,213 |
LIABILITIES | |
Payable for investments purchased | 399,864,704 |
Advisory and administrator fee payable | 618,969 |
Custody, sub-administration and transfer agent fees payable | 499,058 |
Trustees’ fees and expenses payable | 409 |
Professional fees payable | 46,779 |
Printing fees payable | 13,738 |
Accrued expenses and other liabilities | 4,825 |
TOTAL LIABILITIES | 401,048,482 |
NET ASSETS | $14,060,871,731 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $10,035,309 |
EXPENSES | |
Advisory and administrator fee | 7,444,383 |
Custodian, sub-administrator and transfer agent fees | 1,891,993 |
Trustees’ fees and expenses | 137,413 |
Professional fees | 156,065 |
Printing and postage fees | 32,912 |
Insurance expense | 5,125 |
TOTAL EXPENSES | 9,667,891 |
NET INVESTMENT INCOME (LOSS) | $ 367,418 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 47,649 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 415,067 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 367,418 | $ 69,648,659 | |
Net realized gain (loss) | 47,649 | 185,977 | |
Net increase (decrease) in net assets resulting from operations | 415,067 | 69,834,636 | |
CAPITAL TRANSACTIONS | |||
Contributions | 22,872,089,825 | 36,624,674,911 | |
Withdrawals | (25,583,136,317) | (32,739,648,118) | |
Net increase (decrease) in net assets from capital transactions | (2,711,046,492) | 3,885,026,793 | |
Net increase (decrease) in net assets during the period | (2,710,631,425) | 3,954,861,429 | |
Net assets at beginning of period | 16,771,503,156 | 12,816,641,727 | |
NET ASSETS AT END OF PERIOD | $ 14,060,871,731 | $ 16,771,503,156 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 0.00%(b) | 0.48% | 2.18% | 1.80% | 0.73% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $14,060,872 | $16,771,503 | $12,816,642 | $10,372,969 | $13,005,602 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.00%(b) | 0.38% | 2.13% | 1.76% | 0.81% |
(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 0.005%. |
March 1, 2022
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.06% | $999.90 | $0.31 | $1,024.90 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Plus Money Market Fund |
1 | |
3 | |
4 | |
6 | |
16 | |
21 | |
22 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $23,305,547,665 |
Receivable from Adviser | 1,352,806 |
Prepaid expenses and other assets | 35,175 |
TOTAL ASSETS | 23,306,935,646 |
LIABILITIES | |
Payable for fund shares repurchased | 536,205 |
Administration fees payable | 922,032 |
Shareholder servicing fee payable | 237,527 |
Distribution fees payable | 2,030 |
Transfer agent fees payable | 3,579 |
Registration and filing fees payable | 6,940 |
Professional fees payable | 21,089 |
Printing fees payable | 22,749 |
Distribution payable | 16,353 |
Accrued expenses and other liabilities | 3,330 |
TOTAL LIABILITIES | 1,771,834 |
NET ASSETS | $23,305,163,812 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $23,305,149,525 |
Total distributable earnings (loss) | 14,287 |
NET ASSETS | $23,305,163,812 |
Administration Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Bancroft Capital Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Blaylock Van Class | |
Net Assets | $ 500,011 |
Shares Outstanding | 500,011 |
Net asset value, offering and redemption price per share | $ 1.00 |
Cabrera Capital Markets Class | |
Net Assets | $ 50,002 |
Shares Outstanding | 50,002 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 278,027,015 |
Shares Outstanding | 278,026,226 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 23,687,661 |
Shares Outstanding | 23,694,009 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 2,492,307,335 |
Shares Outstanding | 2,492,308,492 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $16,944,237,330 |
Shares Outstanding | 16,944,369,358 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 3,566,204,458 |
Shares Outstanding | 3,566,518,191 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 16,234,080 |
Expenses allocated from affiliated Portfolio | (13,991,159) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 2,242,921 |
EXPENSES | |
Administration fees | |
Administration Class | 26 |
Bancroft Capital Class (a) | 6 |
Blaylock Van Class (b) | 52 |
Cabrera Capital Markets Class (c) | 5 |
Institutional Class | 179,236 |
Investment Class | 15,550 |
Investor Class | 255,861 |
Opportunity Class (d) | 5 |
Premier Class | 8,425,727 |
Trust Class | 1,941,877 |
Shareholder servicing fees | |
Administration Class | 99 |
Bancroft Capital Class (a) | 3 |
Blaylock Van Class (b) | 31 |
Cabrera Capital Markets Class (c) | 3 |
Institutional Class | 107,337 |
Investment Class | 77,775 |
Investor Class | 409,909 |
Opportunity Class (d) | 3 |
Trust Class | 2,175,044 |
Distribution fees | |
Administration Class | 26 |
Investment Class | 31,107 |
Custodian fees | 45,481 |
Trustees’ fees and expenses | 21,112 |
Transfer agent fees | 23,710 |
Registration and filing fees | 433,497 |
Professional fees | 107,928 |
Printing and postage fees | 45,280 |
Insurance expense | 79,118 |
Miscellaneous expenses | 77,108 |
TOTAL EXPENSES | 14,452,916 |
Expenses waived/reimbursed by the Adviser | (15,402,103) |
NET EXPENSES | (949,187) |
NET INVESTMENT INCOME (LOSS) | $ 3,192,108 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 11,001 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 3,203,109 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Blaylock Van Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(d) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,192,108 | $ 73,373,331 | |
Net realized gain (loss) | 11,001 | 71,429 | |
Net increase (decrease) in net assets resulting from operations | 3,203,109 | 73,444,760 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (2) | (131) | |
Bancroft Capital Class (a) | (2) | — | |
Blaylock Van Class (b) | (11) | — | |
Cabrera Capital Markets Class (c) | (2) | — | |
Institutional Class | (63,985) | (1,215,623) | |
Investment Class | (1,278) | (167,824) | |
Investor Class | (31,544) | (1,643,444) | |
Opportunity Class (d) | (2) | — | |
Premier Class | (2,853,345) | (56,410,573) | |
Trust Class | (247,949) | (13,992,939) | |
Total distributions to shareholders | (3,198,120) | (73,430,534) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Blaylock Van Class (b) | |||
Shares sold | 500,000 | — | |
Reinvestment of distributions | 11 | — | |
Net increase (decrease) from capital share transactions | 500,011 | — | |
Cabrera Capital Markets Class (c) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 2 | — | |
Net increase (decrease) from capital share transactions | 50,002 | — | |
Institutional Class | |||
Shares sold | 5,027,130,680 | 3,459,672,489 | |
Reinvestment of distributions | 9,586 | 14,869 | |
Shares redeemed | (4,839,682,511) | (3,837,839,873) | |
Net increase (decrease) from capital share transactions | 187,457,755 | (378,152,515) | |
Investment Class | |||
Shares sold | 68,376,653 | 113,194,583 | |
Reinvestment of distributions | 359 | 51,260 | |
Shares redeemed | (87,046,861) | (122,974,456) | |
Net increase (decrease) from capital share transactions | (18,669,849) | (9,728,613) | |
Investor Class | |||
Shares sold | 11,432,839,816 | 10,654,831,975 | |
Reinvestment of distributions | 22,476 | 1,602,343 | |
Shares redeemed | (9,487,117,188) | (10,339,889,406) | |
Net increase (decrease) from capital share transactions | 1,945,745,104 | 316,544,912 | |
Opportunity Class (d) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from capital share transactions | 50,000 | — | |
Premier Class | |||
Shares sold | 211,935,808,248 | 357,233,197,506 | |
Reinvestment of distributions | 2,635,534 | 47,415,475 | |
Shares redeemed | (214,998,625,131) | (351,948,556,858) | |
Net increase (decrease) from capital share transactions | (3,060,181,349) | 5,332,056,123 | |
Trust Class | |||
Shares sold | 32,172,851,264 | 38,065,217,733 | |
Reinvestment of distributions | 218,869 | 12,959,879 | |
Shares redeemed | (33,216,849,822) | (37,654,161,979) | |
Net increase (decrease) from capital share transactions | (1,043,779,689) | 424,015,633 | |
Net increase (decrease) in net assets from beneficial interest transactions | (1,988,778,015) | 5,684,735,540 | |
Net increase (decrease) in net assets during the period | (1,988,773,026) | 5,684,749,766 | |
Net assets at beginning of period | 25,293,936,838 | 19,609,187,072 | |
NET ASSETS AT END OF PERIOD | $ 23,305,163,812 | $ 25,293,936,838 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
SHARES OF BENEFICIAL INTEREST: | |||
Bancroft Capital Class (a) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Blaylock Van Class (b) | |||
Shares sold | 500,000 | — | |
Reinvestment of distributions | 11 | — | |
Net increase (decrease) from share transactions | 500,011 | — | |
Cabrera Capital Markets Class (c) | |||
Shares sold | 50,000 | — | |
Reinvestment of distributions | 2 | — | |
Net increase (decrease) from share transactions | 50,002 | — | |
Institutional Class | |||
Shares sold | 5,027,130,680 | 3,459,672,489 | |
Reinvestment of distributions | 9,586 | 14,869 | |
Shares redeemed | (4,839,682,511) | (3,837,839,873) | |
Net increase (decrease) from share transactions | 187,457,755 | (378,152,515) | |
Investment Class | |||
Shares sold | 68,376,653 | 113,194,583 | |
Reinvestment of distributions | 359 | 51,260 | |
Shares redeemed | (87,046,861) | (122,974,456) | |
Net increase (decrease) from share transactions | (18,669,849) | (9,728,613) | |
Investor Class | |||
Shares sold | 11,432,839,816 | 10,654,831,975 | |
Reinvestment of distributions | 22,476 | 1,602,343 | |
Shares redeemed | (9,487,117,188) | (10,339,889,406) | |
Net increase (decrease) from share transactions | 1,945,745,104 | 316,544,912 | |
Opportunity Class (d) | |||
Shares sold | 50,000 | — | |
Net increase (decrease) from share transactions | 50,000 | — | |
Premier Class | |||
Shares sold | 211,935,808,248 | 357,233,197,506 | |
Reinvestment of distributions | 2,635,534 | 47,415,475 | |
Shares redeemed | (214,998,625,131) | (351,948,556,858) | |
Net increase (decrease) from share transactions | (3,060,181,349) | 5,332,056,123 | |
Trust Class | |||
Shares sold | 32,172,851,264 | 38,065,217,733 | |
Reinvestment of distributions | 218,869 | 12,959,879 | |
Shares redeemed | (33,216,849,822) | (37,654,161,979) | |
Net increase (decrease) from share transactions | (1,043,779,689) | 424,015,633 |
(a) | For Bancroft Capital Class shares, data for the period ended December 31, 2021 is from October 13, 2021 (commencement date) through December 31, 2021. |
(b) | For Blaylock Van Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(c) | For Cabrera Capital Market Class shares, data for the period ended December 31, 2021 is from October 20, 2021 (commencement date) through December 31, 2021. |
(d) | For Opportunity Class shares, data for the period ended December 31, 2021 is from October 28, 2021 (commencement date) through December 31, 2021. |
Administration Class (a) | |||||||
Year Ended 12/31/21 | 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 | 0.0027 | 0.0185 | 0.0076 | |||
Net realized gain (loss) | — | — | (0.0000)(b) | — | |||
Total from investment operations | 0.0001 | 0.0027 | 0.0185 | 0.0076 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0001) | (0.0027) | (0.0185) | (0.0076) | |||
Total distributions | (0.0001) | (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% | 0.36% | 0.37% | 0.37%(e) | |||
Net expenses | 0.07% | 0.25% | 0.37% | 0.37%(e) | |||
Net investment income (loss) | 0.00%(d) | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Bancroft Capital Class (a) | |
For the Period 10/13/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.00%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(e) |
Net expenses | 0.05%(e) |
Net investment income (loss) | 0.02%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Blaylock Van Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.00%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 500 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(e) |
Net expenses | 0.05%(e) |
Net investment income (loss) | 0.01%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Cabrera Capital Markets Class (a) | |
For the Period 10/20/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.00%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.13%(e) |
Net expenses | 0.04%(e) |
Net investment income (loss) | 0.02%(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 of the Fund. Total return for periods of less than one year are 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) | |||||||
Year Ended 12/31/21 | 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) | — | |||
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) | 0.02% | 0.37% | 2.09% | 0.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $278,027 | $ 90,569 | $468,721 | $ 94,554 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15% | 0.15% | 0.15% | 0.15%(d) | |||
Net expenses | 0.06% | 0.15% | 0.15% | 0.15%(d) | |||
Net investment income (loss) | 0.02% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0025 | 0.0180 | 0.0139 | 0.0042 | ||||
Net realized gain (loss) | — | — | (0.0000)(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0025 | 0.0180 | 0.0139 | 0.0042 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0025) | (0.0180) | (0.0139) | (0.0042) | ||||
Net realized gains | — | — | — | — | (0.0000)(b) | ||||
Total distributions | (0.0001) | (0.0025) | (0.0180) | (0.0139) | (0.0042) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.25% | 1.81% | 1.40% | 0.42% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 23,688 | $ 42,358 | $ 52,086 | $ 69,812 | $ 19,242 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.07% | 0.29% | 0.46% | 0.47% | 0.47% | ||||
Net investment income (loss) | 0.00%(d) | 0.27% | 1.78% | 1.54% | 0.36% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
Investor Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0034 | 0.0202 | 0.0166 | 0.0069 | ||||
Net realized gain (loss) | — | — | (0.0000)(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0034 | 0.0202 | 0.0166 | 0.0069 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0034) | (0.0202) | (0.0166) | (0.0069) | ||||
Net realized gains | — | — | — | — | (0.0000)(b) | ||||
Total distributions | (0.0001) | (0.0034) | (0.0202) | (0.0166) | (0.0069) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.34% | 2.03% | 1.67% | 0.69% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,492,307 | $546,563 | $230,017 | $774,885 | $328,764 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net expenses | 0.07% | 0.18% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 0.01% | 0.31% | 2.02% | 1.67% | 0.70% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Opportunity Class (a) | |
For the Period 10/28/21*- 12/31/21 | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0001 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0001 |
Distributions to shareholders from: | |
Net investment income | (0.0001) |
Total distributions | (0.0001) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.00%(d) |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 50 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(e) |
Net expenses | 0.04%(e) |
Net investment income (loss) | 0.00%(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Premier Class (a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | ||||
Net realized gain (loss) | — | — | (0.0000)(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0040) | (0.0210) | (0.0174) | (0.0077) | ||||
Net realized gains | — | — | — | — | (0.0000)(b) | ||||
Total distributions | (0.0001) | (0.0040) | (0.0210) | (0.0174) | (0.0077) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.02% | 0.40% | 2.12% | 1.75% | 0.77% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $16,944,237 | $20,004,414 | $14,672,348 | $8,402,049 | $4,000,478 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.06% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.02% | 0.33% | 2.07% | 1.80% | 0.81% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Trust Class(a) | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
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 | 0.0036 | 0.0204 | 0.0168 | 0.0071 | ||||
Net realized gain (loss) | — | — | (0.0000)(b) | — | 0.0000(b) | ||||
Total from investment operations | 0.0001 | 0.0036 | 0.0204 | 0.0168 | 0.0071 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0001) | (0.0036) | (0.0204) | (0.0168) | (0.0071) | ||||
Net realized gains | — | — | — | — | (0.0000)(b) | ||||
Total distributions | (0.0001) | (0.0036) | (0.0204) | (0.0168) | (0.0071) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.01% | 0.36% | 2.06% | 1.69% | 0.71% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,566,204 | $4,609,983 | $4,185,964 | $4,481,410 | $6,903,267 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.17% | 0.18% | 0.18% | 0.18% | 0.18% | ||||
Net expenses | 0.07% | 0.16% | 0.18% | 0.18% | 0.18% | ||||
Net investment income (loss) | 0.01% | 0.33% | 2.05% | 1.64% | 0.70% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Plus Money Market Fund | Investment Class Premier Class Investor Class Trust Class Administration Class Institutional Class Select Class Bancroft Capital Class Blaylock Van Class Cabrera Capital Markets Class Opportunity Class | October 24, 2007 October 24, 2007 October 14, 2016 August 29, 2016 July 31, 2018 July 31, 2018 Not commenced October 13, 2021 October 20, 2021 October 20, 2021 October 28, 2021 | Diversified |
Expiration Date | Amount | |
12/31/2023 | $ 1,084,579 | |
12/31/2024 | $13,835,326 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $3,198,120 | $— | $3,198,120 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $ 73,430,534 | $ — | $ 73,430,534 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Plus Money Market Fund | $14,287 | $— | $— | $— | $14,287 |
March 1, 2022
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 Institutional Treasury Plus Money Market Fund | |||||||||
Administration Class | 0.07% | $1,000.00 | $0.36(a) | $1,024.90 | $0.36 | ||||
Bancroft Capital Class | 0.05 | 1,000.00 | 0.16(b) | 1,025.00 | 0.26 | ||||
Blaylock Van Class | 0.05 | 1,000.00 | 0.10(c) | 1,025.00 | 0.26 | ||||
Cabrera Capital Markets Class | 0.04 | 1,000.00 | 0.08(d) | 1,025.00 | 0.20 | ||||
Institutional Class | 0.06 | 1,000.10 | 0.31(a) | 1,024.90 | 0.31 | ||||
Investment Class | 0.06 | 1,000.00 | 0.31(a) | 1,024.90 | 0.31 | ||||
Investor Class | 0.06 | 1,000.00 | 0.31(a) | 1,024.90 | 0.31 | ||||
Opportunity Class | 0.04 | 1,000.00 | 0.07(e) | 1,025.00 | 0.20 | ||||
Premier Class | 0.05 | 1,000.10 | 0.25(a) | 1,025.00 | 0.26 | ||||
Trust Class | 0.06 | 1,000.00 | 0.31(a) | 1,024.90 | 0.31 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 10/13/2021. |
(c) | Actual period is from commencement of operations on 10/20/2021. |
(d) | Actual period is from commencement of operations on 10/20/2021. |
(e) | Actual period is from commencement of operations on 10/28/2021. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
15 | |
16 |
% of Net Assets | |||
Treasury Repurchase Agreements | 59.7% | ||
Treasury Debt | 37.6 | ||
Other Assets in Excess of Liabilities | 2.7 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 63.5% | ||
31 to 60 Days | 7.6 | ||
61 to 90 Days | 5.1 | ||
Over 90 Days | 21.1 | ||
Total | 97.3% | ||
Average days to maturity | 16 | ||
Weighted average life | 70 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—37.6% | ||||||||||
U.S. Treasury Bill (a) | 0.050% | 01/20/2022 | 01/20/2022 | $ 457,000,000 | $ 456,988,468 | |||||
U.S. Treasury Bill (a) | 0.050% | 02/01/2022 | 02/01/2022 | 320,000,000 | 319,986,486 | |||||
U.S. Treasury Bill (a) | 0.050% | 02/15/2022 | 02/15/2022 | 125,000,000 | 124,991,788 | |||||
U.S. Treasury Bill (a) | 0.051% | 01/13/2022 | 01/13/2022 | 268,100,000 | 268,096,137 | |||||
U.S. Treasury Bill (a) | 0.051% | 02/10/2022 | 02/10/2022 | 161,580,000 | 161,571,402 | |||||
U.S. Treasury Bill (a) | 0.053% | 01/27/2022 | 01/27/2022 | 74,800,000 | 74,797,340 | |||||
U.S. Treasury Bill (a) | 0.053% | 03/01/2022 | 03/01/2022 | 249,750,000 | 249,729,085 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/03/2022 | 02/03/2022 | 115,000,000 | 114,994,554 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/22/2022 | 02/22/2022 | 250,500,000 | 250,480,865 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/08/2022 | 03/08/2022 | 99,500,000 | 99,490,271 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/17/2022 | 03/17/2022 | 300,000,000 | 299,966,542 | |||||
U.S. Treasury Bill (a) | 0.056% | 01/11/2022 | 01/11/2022 | 275,000,000 | 274,996,418 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/14/2022 | 04/14/2022 | 225,100,000 | 225,063,840 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/21/2022 | 04/21/2022 | 223,850,000 | 223,810,272 | |||||
U.S. Treasury Bill (a) | 0.063% | 05/05/2022 | 05/05/2022 | 120,000,000 | 119,974,583 | |||||
U.S. Treasury Bill (a) | 0.063% | 05/12/2022 | 05/12/2022 | 100,050,000 | 100,027,954 | |||||
U.S. Treasury Bill (a) | 0.065% | 03/10/2022 | 03/10/2022 | 475,200,000 | 475,142,937 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 250,000,000 | 249,961,111 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/29/2022 | 03/29/2022 | 175,000,000 | 174,971,076 | |||||
U.S. Treasury Bill (a) | 0.072% | 04/05/2022 | 04/05/2022 | 425,500,000 | 425,420,048 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/02/2022 | 06/02/2022 | 115,000,000 | 114,956,875 | |||||
U.S. Treasury Bill (a) | 0.236% | 12/01/2022 | 12/01/2022 | 125,000,000 | 124,727,944 | |||||
U.S. Treasury Note (a) | 0.061% | 03/31/2022 | 03/31/2022 | 45,000,000 | 45,188,360 | |||||
U.S. Treasury Note (a) | 0.072% | 06/30/2022 | 06/30/2022 | 33,423,000 | 33,697,313 | |||||
U.S. Treasury Note (a) | 0.078% | 05/31/2022 | 05/31/2022 | 46,100,000 | 46,108,842 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.114% | 01/01/2022 | 07/31/2023 | 511,644,000 | 511,661,668 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.119% | 01/01/2022 | 04/30/2023 | 389,941,000 | 389,981,050 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04 (b) | 0.120% | 01/01/2022 | 10/31/2023 | 407,100,000 | 407,112,469 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05 (b) | 0.134% | 01/01/2022 | 01/31/2023 | 425,406,000 | 425,530,978 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 07/31/2022 | 694,375,000 | 694,416,032 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 10/31/2022 | 884,361,000 | 884,480,280 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11 (b) | 0.199% | 01/01/2022 | 04/30/2022 | 971,345,000 | 971,564,653 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15% (b) | 0.239% | 01/01/2022 | 01/31/2022 | 847,500,000 | 847,567,832 | |||||
TOTAL TREASURY DEBT | 10,187,455,473 | |||||||||
TREASURY REPURCHASE AGREEMENTS—59.7% | ||||||||||
Agreement with Banco Santander (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.875% due 08/31/2024, valued at $42,840,085); expected proceeds $42,000,070 | 0.020% | 01/03/2022 | 01/03/2022 | 42,000,000 | 42,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 2.375% due 08/15/2024, valued at $102,000,077); expected proceeds $100,000,417 | 0.050% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/07/2021 (collateralized by U.S. Treasury Bonds, 1.375% – 3.125% due 11/15/2040 – 02/15/2049, U.S. Treasury Inflation Index Bonds, 2.125% – 2.375% due 01/15/2027 – 02/15/2040, U.S. Treasury Inflation Index Notes, 0.250% due 01/15/2025 – 07/15/2029, U.S. Treasury Notes, 0.500% – 2.875% due 06/30/2022 – 02/15/2031, and U.S. Treasury Strips, 0.000% due 08/15/2023 – 08/15/2030, valued at $100,980,015); expected proceeds $99,007,260 | 0.055% | 01/07/2022 | 01/07/2022 | 99,000,000 | 99,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 12/29/2022, and a U.S. Treasury Bond, 2.000% due 11/15/2041, valued at $265,200,073); expected proceeds $260,001,083 | 0.050% | 01/03/2022 | 01/03/2022 | $ 260,000,000 | $ 260,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by a U.S. Treasury Bond, 6.375% due 08/15/2027, U.S. Treasury Inflation Index Bonds, 2.375% – 3.625% due 01/15/2027 – 04/15/2028, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2026, and U.S. Treasury Strips, 0.000% due 11/15/2031 – 08/15/2048, valued at $76,500,081); expected proceeds $75,000,729 | 0.050% | 01/06/2022 | 01/06/2022 | 75,000,000 | 75,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.0500% due 02/24/2022 – 12/29/2022, valued at $126,480,070); expected proceeds $124,000,413 | 0.040% | 01/03/2022 | 01/03/2022 | 124,000,000 | 124,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bonds, 2.250% – 4.250% due 11/15/2040 – 08/15/2049, and U.S. Treasury Strips, 0.000% due 08/15/2031 – 02/15/2051, valued at $25,500,068); expected proceeds $25,000,104 | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 11/04/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 3.625% due 05/15/2040 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 3.875% due 01/15/2028 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 10/15/2024 – 07/15/2031, and U.S. Treasury Notes, 0.125% – 1.625% due 12/31/2022 – 05/15/2031, valued at $56,100,091); expected proceeds $55,006,302 | 0.055% | 01/18/2022 | 01/18/2022 | 55,000,000 | 55,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by a U.S. Treasury Bond, 6.875% due 08/15/2025, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 10/15/2025 – 01/15/2026, and U.S. Treasury Notes, 0.250% – 3.000% due 07/31/2025 – 12/31/2025, valued at $510,035,040); expected proceeds $500,004,861 | 0.050% | 01/06/2022 | 01/06/2022 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2026, and U.S. Treasury Notes, 0.750% – 2.375% due 03/31/2026 – 05/15/2026, valued at $26,533,873); expected proceeds $26,000,108 | 0.050% | 01/03/2022 | 01/03/2022 | 26,000,000 | 26,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, valued at $37,740,073); expected proceeds $37,000,154 | 0.050% | 01/03/2022 | 01/03/2022 | 37,000,000 | 37,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Federal Reserve Bank of New York of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 2.000% - 2.375% due 02/29/2024 - 05/31/2024, valued at$11,400,047,523); expected proceeds $11,404,750,000 | 0.050% | 01/03/2022 | 01/03/2022 | $ 11,400,000,000 | $ 11,400,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, valued at $1,067,445,476); expected proceeds $1,045,004,354 | 0.050% | 01/03/2022 | 01/03/2022 | 1,045,000,000 | 1,045,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.250% due 12/31/2026, valued at $489,983,213); expected proceeds $480,002,229 | 0.050% | 01/03/2022 | 01/03/2022 | 480,000,229 | 480,000,229 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.500% – 2.500% due 01/31/2025 – 06/30/2027, valued at $612,000,075); expected proceeds $600,002,500 | 0.050% | 01/03/2022 | 01/03/2022 | 600,000,000 | 600,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.500% due 11/30/2022 – 08/31/2027, valued at $56,100,035); expected proceeds $55,000,229 | 0.050% | 01/03/2022 | 01/03/2022 | 55,000,000 | 55,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 01/27/2022, U.S. Treasury Notes, 1.250% – 2.875% due 03/31/2028 – 08/15/2028, and U.S. Treasury Strips, 0.000% due 11/15/2027 – 02/15/2031, valued at $52,020,023); expected proceeds $51,000,506 | 0.051% | 01/05/2022 | 01/05/2022 | 51,000,000 | 51,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, a U.S. Treasury Note, 0.500% due 03/31/2025 and a U.S. Treasury Strip, 0.000% due 08/15/2024, valued at $74,460,005); expected proceeds $73,000,305 | 0.050% | 01/03/2022 | 01/03/2022 | 73,000,000 | 73,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.375% – 2.750% due 08/31/2023 – 12/31/2025, valued at $25,500,024); expected proceeds $25,000,104 | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by U.S. Treasury Bonds, 2.375% – 4.250% due 05/15/2039 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 1.375% due 02/15/2044 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, and U.S. Treasury Notes, 0.250% – 2.750% due 08/15/2023 – 02/15/2028, valued at $102,000,104); expected proceeds $100,000,972 | 0.050% | 01/05/2022 | 01/05/2022 | 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 Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by U.S. Treasury Bonds, 2.250% – 6.375% due 08/15/2027 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 3.375% due 04/15/2032 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and U.S. Treasury Notes, 0.250% – 1.375% due 05/15/2024 – 01/31/2028, valued at $51,000,057); expected proceeds $50,000,486 | 0.050% | 01/06/2022 | 01/06/2022 | $ 50,000,000 | $ 50,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 1.750% due 08/15/2041, a U.S. Treasury Note, 1.250% due 06/30/2028, and a U.S. Treasury Strip, 0.000% due 08/15/2022, valued at $10,200,105); expected proceeds $10,000,042 | 0.050% | 01/03/2022 | 01/03/2022 | 10,000,000 | 10,000,000 | |||||
Agreement with MUFG Securities, dated 12/30/2021 (collateralized by U.S. Treasury Notes, 0.250% - 2.750% due 07/31/2022 - 03/31/2026, valued at $50,996,196); expected proceeds $50,000,486 | 0.050% | 01/06/2022 | 01/06/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.375% due 10/31/2028, valued at $107,254,685); expected proceeds $105,000,438 | 0.050% | 01/03/2022 | 01/03/2022 | 105,000,000 | 105,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/08/2021 (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 $40,800,038); expected proceeds $40,007,078 | 0.070% | 01/07/2022 | 01/07/2022 | 40,000,000 | 40,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/15/2021 (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 $112,200,032); expected proceeds $110,019,464 (c) | 0.070% | 01/14/2022 | 01/14/2022 | 110,000,000 | 110,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/21/2021 (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 $55,080,005); expected proceeds $54,009,660 (c) | 0.070% | 01/21/2022 | 01/21/2022 | 54,000,000 | 54,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2021 (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 $51,000,088); expected proceeds $50,010,000 (c) | 0.080% | 03/02/2022 | 03/02/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Strips, 0.000%, due 02/15/2026 – 08/15/2030, valued at $45,510,279); expected proceeds $44,582,473 | 0.060% | 01/03/2022 | 01/03/2022 | 44,582,250 | 44,582,250 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (collateralized by U.S. Treasury Strips, 0.000%, due 05/15/2029 – 05/15/2030, valued at $56,892,680); expected proceeds $55,652,778 | 0.060% | 01/03/2022 | 01/03/2022 | 55,652,500 | 55,652,500 |
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 10/27/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.125% due 11/15/2027 – 05/15/2045, U.S. Treasury Inflation Index Bonds, 0.250% – 0.750% due 02/15/2042 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.250% – 0.625% due 01/15/2025 – 01/15/2026, and U.S. Treasury Notes, 0.125% – 2.875% due 02/28/2022 – 02/15/2028, valued at $229,500,099); expected proceeds $225,029,219 | 0.055% | 01/20/2022 | 01/20/2022 | $ 225,000,000 | $ 225,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 0.250% due 05/31/2025, valued at $84,660,038); expected proceeds $83,000,346 | 0.050% | 01/03/2022 | 01/03/2022 | 83,000,000 | 83,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.000% due 01/20/2022 – 09/08/2022, U.S. Treasury Bonds, 1.250% – 4.750% due 02/15/2037 – 05/15/2050, U.S. Treasury Inflation Index Bonds, 0.125% – 3.375% due 01/15/2025 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 07/15/2031, U.S. Treasury Notes, 0.119% – 2.875% due 02/15/2022 – 05/31/2028, and U.S. Treasury Strips, 0.000% due 02/15/2022 – 05/15/2050, valued at $102,000,145); expected proceeds $100,000,417 | 0.050% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 16,149,234,979 | |||||||||
TOTAL INVESTMENTS –97.3% (d)(e) | 26,336,690,452 | |||||||||
Other Assets in Excess of Liabilities —2.7% | 724,620,802 | |||||||||
NET ASSETS –100.0% | $ 27,061,311,254 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $214,000,000 or 0.8% of net assets as of December 31, 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). |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $10,187,455,473 |
Repurchase agreements, at value and amortized cost | 16,149,234,979 |
Total Investments | 26,336,690,452 |
Cash | 1,224,594,498 |
Interest receivable — unaffiliated issuers | 1,564,515 |
Prepaid expenses and other assets | 3,244 |
TOTAL ASSETS | 27,562,852,709 |
LIABILITIES | |
Payable for investments purchased | 499,718,391 |
Advisory and administrator fee payable | 1,078,733 |
Custody, sub-administration and transfer agent fees payable | 663,940 |
Trustees’ fees and expenses payable | 586 |
Professional fees payable | 55,664 |
Printing fees payable | 18,195 |
Accrued expenses and other liabilities | 5,946 |
TOTAL LIABILITIES | 501,541,455 |
NET ASSETS | $ 27,061,311,254 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $18,629,249 |
EXPENSES | |
Advisory and administrator fee | 12,490,274 |
Custodian, sub-administrator and transfer agent fees | 3,166,175 |
Trustees’ fees and expenses | 209,944 |
Professional fees | 241,658 |
Printing and postage fees | 40,548 |
Insurance expense | 7,343 |
TOTAL EXPENSES | 16,155,942 |
NET INVESTMENT INCOME (LOSS) | $ 2,473,307 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,659 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 2,485,966 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,473,307 | $ 111,054,789 | |
Net realized gain (loss) | 12,659 | 91,876 | |
Net increase (decrease) in net assets resulting from operations | 2,485,966 | 111,146,665 | |
CAPITAL TRANSACTIONS | |||
Contributions | 59,891,436,435 | 96,988,717,280 | |
Withdrawals | (60,881,968,916) | (92,885,440,947) | |
Net increase (decrease) in net assets from capital transactions | (990,532,481) | 4,103,276,333 | |
Net increase (decrease) in net assets during the period | (988,046,515) | 4,214,422,998 | |
Net assets at beginning of period | 28,049,357,769 | 23,834,934,771 | |
NET ASSETS AT END OF PERIOD | $ 27,061,311,254 | $ 28,049,357,769 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 0.01% | 0.46% | 2.19% | 1.82% | 0.82% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $27,061,311 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.01% | 0.41% | 2.13% | 1.79% | 0.84% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
March 1, 2022
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 | $0.31 | $1,024.90 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
10 | |
11 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $3,755,762,506 |
Receivable from Adviser | 263,180 |
Prepaid expenses and other assets | 5,277 |
TOTAL ASSETS | 3,756,030,963 |
LIABILITIES | |
Administration fees payable | 179,141 |
Transfer agent fees payable | 1,312 |
Registration and filing fees payable | 52,697 |
Professional fees payable | 18,798 |
Printing fees payable | 16,947 |
Distribution payable | 5,168 |
Accrued expenses and other liabilities | 114 |
TOTAL LIABILITIES | 274,177 |
NET ASSETS | $3,755,756,786 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,755,755,432 |
Total distributable earnings (loss) | 1,354 |
NET ASSETS | $3,755,756,786 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 3,755,755,432 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 2,395,169 |
Expenses allocated from affiliated Portfolio | (2,164,783) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 230,386 |
EXPENSES | |
Administration fees | 1,674,887 |
Custodian fees | 27,437 |
Trustees’ fees and expenses | 21,114 |
Transfer agent fees | 472 |
Registration and filing fees | 28,506 |
Professional fees and expenses | 28,501 |
Printing and postage fees | 24,132 |
Insurance expense | 15,627 |
Miscellaneous expenses | 18,369 |
TOTAL EXPENSES | 1,839,045 |
Expenses waived/reimbursed by the Adviser | (2,381,963) |
NET EXPENSES | (542,918) |
NET INVESTMENT INCOME (LOSS) | $ 773,304 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 1,659 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 774,963 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 773,304 | $ 22,874,101 | |
Net realized gain (loss) | 1,659 | 20,447 | |
Net increase (decrease) in net assets resulting from operations | 774,963 | 22,894,548 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (774,279) | (22,895,464) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 4,109,785,543 | 6,454,715,748 | |
Reinvestment of distributions | 773,017 | 23,024,368 | |
Cost of shares redeemed | (3,108,792,238) | (7,944,327,613) | |
Net increase (decrease) from share transactions | 1,001,766,322 | (1,466,587,497) | |
Net increase (decrease) in net assets during the period | 1,001,767,006 | (1,466,588,413) | |
Net assets at beginning of period | 2,753,989,780 | 4,220,578,193 | |
NET ASSETS AT END OF PERIOD | $ 3,755,756,786 | $ 2,753,989,780 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 4,109,785,543 | 6,454,715,748 | |
Reinvestment of distributions | 773,017 | 23,024,368 | |
Shares redeemed | (3,108,792,238) | (7,944,327,613) | |
Net increase (decrease) from share transactions | 1,001,766,322 | (1,466,587,497) |
Year Ended 12/31/21(a) | 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) | 0.0002 | 0.0045 | 0.0213 | 0.0178 | 0.0025 | ||||
Net realized and unrealized gain (loss) | (0.0001) | (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) | 0.02% | 0.44% | 2.16% | 1.79% | 0.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,755,757 | $2,753,990 | $4,220,578 | $3,620,569 | $2,926,362 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.13% | 0.16%(d) | ||||
Net expenses | 0.05% | 0.08% | 0.08% | 0.08% | 0.08%(d) | ||||
Net investment income (loss) | 0.02% | 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 of the Fund. Total return for periods of less than one year are 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 | $1,057,953 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $774,279 | $— | $774,279 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $ 22,895,464 | $ — | $ 22,895,464 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Treasury Obligations Money Market Fund | $1,354 | $— | $— | $— | $1,354 |
March 1, 2022
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 | 0.04% | $1,000.10 | $0.20 | $1,025.00 | $0.20 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - Present); Board Director and Chairman, SPDR Europe II, PLC (2013 - Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
15 | |
16 |
% of Net Assets | |||
Treasury Repurchase Agreements | 59.7% | ||
Treasury Debt | 37.6 | ||
Other Assets in Excess of Liabilities | 2.7 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 63.5% | ||
31 to 60 Days | 7.6 | ||
61 to 90 Days | 5.1 | ||
Over 90 Days | 21.1 | ||
Total | 97.3% | ||
Average days to maturity | 16 | ||
Weighted average life | 70 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—37.6% | ||||||||||
U.S. Treasury Bill (a) | 0.050% | 01/20/2022 | 01/20/2022 | $ 457,000,000 | $ 456,988,468 | |||||
U.S. Treasury Bill (a) | 0.050% | 02/01/2022 | 02/01/2022 | 320,000,000 | 319,986,486 | |||||
U.S. Treasury Bill (a) | 0.050% | 02/15/2022 | 02/15/2022 | 125,000,000 | 124,991,788 | |||||
U.S. Treasury Bill (a) | 0.051% | 01/13/2022 | 01/13/2022 | 268,100,000 | 268,096,137 | |||||
U.S. Treasury Bill (a) | 0.051% | 02/10/2022 | 02/10/2022 | 161,580,000 | 161,571,402 | |||||
U.S. Treasury Bill (a) | 0.053% | 01/27/2022 | 01/27/2022 | 74,800,000 | 74,797,340 | |||||
U.S. Treasury Bill (a) | 0.053% | 03/01/2022 | 03/01/2022 | 249,750,000 | 249,729,085 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/03/2022 | 02/03/2022 | 115,000,000 | 114,994,554 | |||||
U.S. Treasury Bill (a) | 0.055% | 02/22/2022 | 02/22/2022 | 250,500,000 | 250,480,865 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/08/2022 | 03/08/2022 | 99,500,000 | 99,490,271 | |||||
U.S. Treasury Bill (a) | 0.055% | 03/17/2022 | 03/17/2022 | 300,000,000 | 299,966,542 | |||||
U.S. Treasury Bill (a) | 0.056% | 01/11/2022 | 01/11/2022 | 275,000,000 | 274,996,418 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/14/2022 | 04/14/2022 | 225,100,000 | 225,063,840 | |||||
U.S. Treasury Bill (a) | 0.058% | 04/21/2022 | 04/21/2022 | 223,850,000 | 223,810,272 | |||||
U.S. Treasury Bill (a) | 0.063% | 05/05/2022 | 05/05/2022 | 120,000,000 | 119,974,583 | |||||
U.S. Treasury Bill (a) | 0.063% | 05/12/2022 | 05/12/2022 | 100,050,000 | 100,027,954 | |||||
U.S. Treasury Bill (a) | 0.065% | 03/10/2022 | 03/10/2022 | 475,200,000 | 475,142,937 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/24/2022 | 03/24/2022 | 250,000,000 | 249,961,111 | |||||
U.S. Treasury Bill (a) | 0.070% | 03/29/2022 | 03/29/2022 | 175,000,000 | 174,971,076 | |||||
U.S. Treasury Bill (a) | 0.072% | 04/05/2022 | 04/05/2022 | 425,500,000 | 425,420,048 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/02/2022 | 06/02/2022 | 115,000,000 | 114,956,875 | |||||
U.S. Treasury Bill (a) | 0.236% | 12/01/2022 | 12/01/2022 | 125,000,000 | 124,727,944 | |||||
U.S. Treasury Note (a) | 0.061% | 03/31/2022 | 03/31/2022 | 45,000,000 | 45,188,360 | |||||
U.S. Treasury Note (a) | 0.072% | 06/30/2022 | 06/30/2022 | 33,423,000 | 33,697,313 | |||||
U.S. Treasury Note (a) | 0.078% | 05/31/2022 | 05/31/2022 | 46,100,000 | 46,108,842 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.114% | 01/01/2022 | 07/31/2023 | 511,644,000 | 511,661,668 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03 (b) | 0.119% | 01/01/2022 | 04/30/2023 | 389,941,000 | 389,981,050 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04 (b) | 0.120% | 01/01/2022 | 10/31/2023 | 407,100,000 | 407,112,469 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05 (b) | 0.134% | 01/01/2022 | 01/31/2023 | 425,406,000 | 425,530,978 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 07/31/2022 | 694,375,000 | 694,416,032 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06 (b) | 0.140% | 01/01/2022 | 10/31/2022 | 884,361,000 | 884,480,280 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11 (b) | 0.199% | 01/01/2022 | 04/30/2022 | 971,345,000 | 971,564,653 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15% (b) | 0.239% | 01/01/2022 | 01/31/2022 | 847,500,000 | 847,567,832 | |||||
TOTAL TREASURY DEBT | 10,187,455,473 | |||||||||
TREASURY REPURCHASE AGREEMENTS—59.7% | ||||||||||
Agreement with Banco Santander (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.875% due 08/31/2024, valued at $42,840,085); expected proceeds $42,000,070 | 0.020% | 01/03/2022 | 01/03/2022 | 42,000,000 | 42,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 2.375% due 08/15/2024, valued at $102,000,077); expected proceeds $100,000,417 | 0.050% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/07/2021 (collateralized by U.S. Treasury Bonds, 1.375% – 3.125% due 11/15/2040 – 02/15/2049, U.S. Treasury Inflation Index Bonds, 2.125% – 2.375% due 01/15/2027 – 02/15/2040, U.S. Treasury Inflation Index Notes, 0.250% due 01/15/2025 – 07/15/2029, U.S. Treasury Notes, 0.500% – 2.875% due 06/30/2022 – 02/15/2031, and U.S. Treasury Strips, 0.000% due 08/15/2023 – 08/15/2030, valued at $100,980,015); expected proceeds $99,007,260 | 0.055% | 01/07/2022 | 01/07/2022 | 99,000,000 | 99,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 12/29/2022, and a U.S. Treasury Bond, 2.000% due 11/15/2041, valued at $265,200,073); expected proceeds $260,001,083 | 0.050% | 01/03/2022 | 01/03/2022 | $ 260,000,000 | $ 260,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by a U.S. Treasury Bond, 6.375% due 08/15/2027, U.S. Treasury Inflation Index Bonds, 2.375% – 3.625% due 01/15/2027 – 04/15/2028, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2026, and U.S. Treasury Strips, 0.000% due 11/15/2031 – 08/15/2048, valued at $76,500,081); expected proceeds $75,000,729 | 0.050% | 01/06/2022 | 01/06/2022 | 75,000,000 | 75,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.0500% due 02/24/2022 – 12/29/2022, valued at $126,480,070); expected proceeds $124,000,413 | 0.040% | 01/03/2022 | 01/03/2022 | 124,000,000 | 124,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bonds, 2.250% – 4.250% due 11/15/2040 – 08/15/2049, and U.S. Treasury Strips, 0.000% due 08/15/2031 – 02/15/2051, valued at $25,500,068); expected proceeds $25,000,104 | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 11/04/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 3.625% due 05/15/2040 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 3.875% due 01/15/2028 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 10/15/2024 – 07/15/2031, and U.S. Treasury Notes, 0.125% – 1.625% due 12/31/2022 – 05/15/2031, valued at $56,100,091); expected proceeds $55,006,302 | 0.055% | 01/18/2022 | 01/18/2022 | 55,000,000 | 55,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by a U.S. Treasury Bond, 6.875% due 08/15/2025, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 10/15/2025 – 01/15/2026, and U.S. Treasury Notes, 0.250% – 3.000% due 07/31/2025 – 12/31/2025, valued at $510,035,040); expected proceeds $500,004,861 | 0.050% | 01/06/2022 | 01/06/2022 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2026, and U.S. Treasury Notes, 0.750% – 2.375% due 03/31/2026 – 05/15/2026, valued at $26,533,873); expected proceeds $26,000,108 | 0.050% | 01/03/2022 | 01/03/2022 | 26,000,000 | 26,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, valued at $37,740,073); expected proceeds $37,000,154 | 0.050% | 01/03/2022 | 01/03/2022 | 37,000,000 | 37,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Federal Reserve Bank of New York of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 2.000% - 2.375% due 02/29/2024 - 05/31/2024, valued at$11,400,047,523); expected proceeds $11,404,750,000 | 0.050% | 01/03/2022 | 01/03/2022 | $ 11,400,000,000 | $ 11,400,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, valued at $1,067,445,476); expected proceeds $1,045,004,354 | 0.050% | 01/03/2022 | 01/03/2022 | 1,045,000,000 | 1,045,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.250% due 12/31/2026, valued at $489,983,213); expected proceeds $480,002,229 | 0.050% | 01/03/2022 | 01/03/2022 | 480,000,229 | 480,000,229 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.500% – 2.500% due 01/31/2025 – 06/30/2027, valued at $612,000,075); expected proceeds $600,002,500 | 0.050% | 01/03/2022 | 01/03/2022 | 600,000,000 | 600,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.125% – 2.500% due 11/30/2022 – 08/31/2027, valued at $56,100,035); expected proceeds $55,000,229 | 0.050% | 01/03/2022 | 01/03/2022 | 55,000,000 | 55,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by a U.S. Treasury Bill, 0.000% due 01/27/2022, U.S. Treasury Notes, 1.250% – 2.875% due 03/31/2028 – 08/15/2028, and U.S. Treasury Strips, 0.000% due 11/15/2027 – 02/15/2031, valued at $52,020,023); expected proceeds $51,000,506 | 0.051% | 01/05/2022 | 01/05/2022 | 51,000,000 | 51,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, a U.S. Treasury Note, 0.500% due 03/31/2025 and a U.S. Treasury Strip, 0.000% due 08/15/2024, valued at $74,460,005); expected proceeds $73,000,305 | 0.050% | 01/03/2022 | 01/03/2022 | 73,000,000 | 73,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Notes, 0.375% – 2.750% due 08/31/2023 – 12/31/2025, valued at $25,500,024); expected proceeds $25,000,104 | 0.050% | 01/03/2022 | 01/03/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2021 (collateralized by U.S. Treasury Bonds, 2.375% – 4.250% due 05/15/2039 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 1.375% due 02/15/2044 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, and U.S. Treasury Notes, 0.250% – 2.750% due 08/15/2023 – 02/15/2028, valued at $102,000,104); expected proceeds $100,000,972 | 0.050% | 01/05/2022 | 01/05/2022 | 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 Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2021 (collateralized by U.S. Treasury Bonds, 2.250% – 6.375% due 08/15/2027 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.125% – 3.375% due 04/15/2032 – 02/15/2051, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and U.S. Treasury Notes, 0.250% – 1.375% due 05/15/2024 – 01/31/2028, valued at $51,000,057); expected proceeds $50,000,486 | 0.050% | 01/06/2022 | 01/06/2022 | $ 50,000,000 | $ 50,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 1.750% due 08/15/2041, a U.S. Treasury Note, 1.250% due 06/30/2028, and a U.S. Treasury Strip, 0.000% due 08/15/2022, valued at $10,200,105); expected proceeds $10,000,042 | 0.050% | 01/03/2022 | 01/03/2022 | 10,000,000 | 10,000,000 | |||||
Agreement with MUFG Securities, dated 12/30/2021 (collateralized by U.S. Treasury Notes, 0.250% - 2.750% due 07/31/2022 - 03/31/2026, valued at $50,996,196); expected proceeds $50,000,486 | 0.050% | 01/06/2022 | 01/06/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 12/31/2021 (collateralized by a U.S. Treasury Note, 1.375% due 10/31/2028, valued at $107,254,685); expected proceeds $105,000,438 | 0.050% | 01/03/2022 | 01/03/2022 | 105,000,000 | 105,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/08/2021 (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 $40,800,038); expected proceeds $40,007,078 | 0.070% | 01/07/2022 | 01/07/2022 | 40,000,000 | 40,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/15/2021 (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 $112,200,032); expected proceeds $110,019,464 (c) | 0.070% | 01/14/2022 | 01/14/2022 | 110,000,000 | 110,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 10/21/2021 (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 $55,080,005); expected proceeds $54,009,660 (c) | 0.070% | 01/21/2022 | 01/21/2022 | 54,000,000 | 54,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2021 (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 $51,000,088); expected proceeds $50,010,000 (c) | 0.080% | 03/02/2022 | 03/02/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Strips, 0.000%, due 02/15/2026 – 08/15/2030, valued at $45,510,279); expected proceeds $44,582,473 | 0.060% | 01/03/2022 | 01/03/2022 | 44,582,250 | 44,582,250 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2021 (collateralized by U.S. Treasury Strips, 0.000%, due 05/15/2029 – 05/15/2030, valued at $56,892,680); expected proceeds $55,652,778 | 0.060% | 01/03/2022 | 01/03/2022 | 55,652,500 | 55,652,500 |
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 10/27/2021 (collateralized by U.S. Treasury Bonds, 1.125% – 6.125% due 11/15/2027 – 05/15/2045, U.S. Treasury Inflation Index Bonds, 0.250% – 0.750% due 02/15/2042 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.250% – 0.625% due 01/15/2025 – 01/15/2026, and U.S. Treasury Notes, 0.125% – 2.875% due 02/28/2022 – 02/15/2028, valued at $229,500,099); expected proceeds $225,029,219 | 0.055% | 01/20/2022 | 01/20/2022 | $ 225,000,000 | $ 225,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by a U.S. Treasury Note, 0.250% due 05/31/2025, valued at $84,660,038); expected proceeds $83,000,346 | 0.050% | 01/03/2022 | 01/03/2022 | 83,000,000 | 83,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2021 (collateralized by U.S. Treasury Bills, 0.000% due 01/20/2022 – 09/08/2022, U.S. Treasury Bonds, 1.250% – 4.750% due 02/15/2037 – 05/15/2050, U.S. Treasury Inflation Index Bonds, 0.125% – 3.375% due 01/15/2025 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 07/15/2031, U.S. Treasury Notes, 0.119% – 2.875% due 02/15/2022 – 05/31/2028, and U.S. Treasury Strips, 0.000% due 02/15/2022 – 05/15/2050, valued at $102,000,145); expected proceeds $100,000,417 | 0.050% | 01/03/2022 | 01/03/2022 | 100,000,000 | 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 16,149,234,979 | |||||||||
TOTAL INVESTMENTS –97.3% (d)(e) | 26,336,690,452 | |||||||||
Other Assets in Excess of Liabilities —2.7% | 724,620,802 | |||||||||
NET ASSETS –100.0% | $ 27,061,311,254 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $214,000,000 or 0.8% of net assets as of December 31, 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). |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $10,187,455,473 |
Repurchase agreements, at value and amortized cost | 16,149,234,979 |
Total Investments | 26,336,690,452 |
Cash | 1,224,594,498 |
Interest receivable — unaffiliated issuers | 1,564,515 |
Prepaid expenses and other assets | 3,244 |
TOTAL ASSETS | 27,562,852,709 |
LIABILITIES | |
Payable for investments purchased | 499,718,391 |
Advisory and administrator fee payable | 1,078,733 |
Custody, sub-administration and transfer agent fees payable | 663,940 |
Trustees’ fees and expenses payable | 586 |
Professional fees payable | 55,664 |
Printing fees payable | 18,195 |
Accrued expenses and other liabilities | 5,946 |
TOTAL LIABILITIES | 501,541,455 |
NET ASSETS | $ 27,061,311,254 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $18,629,249 |
EXPENSES | |
Advisory and administrator fee | 12,490,274 |
Custodian, sub-administrator and transfer agent fees | 3,166,175 |
Trustees’ fees and expenses | 209,944 |
Professional fees | 241,658 |
Printing and postage fees | 40,548 |
Insurance expense | 7,343 |
TOTAL EXPENSES | 16,155,942 |
NET INVESTMENT INCOME (LOSS) | $ 2,473,307 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,659 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 2,485,966 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,473,307 | $ 111,054,789 | |
Net realized gain (loss) | 12,659 | 91,876 | |
Net increase (decrease) in net assets resulting from operations | 2,485,966 | 111,146,665 | |
CAPITAL TRANSACTIONS | |||
Contributions | 59,891,436,435 | 96,988,717,280 | |
Withdrawals | (60,881,968,916) | (92,885,440,947) | |
Net increase (decrease) in net assets from capital transactions | (990,532,481) | 4,103,276,333 | |
Net increase (decrease) in net assets during the period | (988,046,515) | 4,214,422,998 | |
Net assets at beginning of period | 28,049,357,769 | 23,834,934,771 | |
NET ASSETS AT END OF PERIOD | $ 27,061,311,254 | $ 28,049,357,769 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 0.01% | 0.46% | 2.19% | 1.82% | 0.82% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $27,061,311 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.01% | 0.41% | 2.13% | 1.79% | 0.84% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
March 1, 2022
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 | $0.31 | $1,024.90 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Aggregate Bond Index Fund |
State Street Global All Cap Equity ex- U.S. Index Fund |
State Street Small/Mid Cap Equity Index Fund |
State Street Aggregate Bond Index Portfolio |
State Street Global All Cap Equity ex- U.S. Index Portfolio |
State Street Small/Mid Cap Equity Index Portfolio |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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5 | |
7 | |
11 | |
Portfolio Statistics (Unaudited) | |
20 | |
21 | |
22 | |
Schedules of Investments | |
23 | |
85 | |
163 | |
194 | |
197 | |
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213 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Aggregate Bond Index Fund Class A | (2.22%) | 3.09% | 2.68% |
State Street Aggregate Bond Index Fund Class I | (1.97%) | 3.36% | 2.97% |
State Street Aggregate Bond Index Fund Class K | (1.77%) | 3.47% | 3.04% |
Bloomberg U.S. Aggregate Index (1) | (1.54%) | 3.57% | 3.17% |
* | Inception date is September 19, 2014. |
(1) | The Bloomberg U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody's Investor Service, Inc., Standard & Poor's, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States. The securities in the Bloomberg U.S. Aggregate Bond Index must have at least 1 year remaining to maturity and must have $300 million or more of outstanding face value. Asset backed securities must have a minimum deal size of $500 million and a minimum tranche size of $25 million. For commercial mortgage backed securities, the original aggregate transaction must have a minimum deal size of $500 million, and a minimum tranche size of $25 million; the aggregate outstanding transaction sizes must be at least $300 million to remain in the index. In addition, the securities must be U.S. dollar denominated, fixed rate, non convertible, and taxable. Certain types of securities, such as flower bonds, TINs, and state and local government series bonds are excluded from the Bloomberg U.S. Aggregate Bond Index. Also excluded from the Bloomberg U.S. Aggregate Bond Index are structured notes with embedded swaps or other special features, private placements, floating rate securities and Eurobonds. The Bloomberg U.S. Aggregate Bond Index is market capitalization weighted and the securities in the Index are updated on the last business day of each month. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Global All Cap Equity ex- U.S. Index Fund Class A | 7.88% | 9.36% | 4.89% |
State Street Global All Cap Equity ex- U.S. Index Fund Class I | 8.21% | 9.66% | 5.17% |
State Street Global All Cap Equity ex- U.S. Index Fund Class K | 8.36% | 9.83% | 5.29% |
MSCI ACWI ex USA Investable Market Index (1), (2) | 8.53% | 9.88% | 5.40% |
* | Inception date is September 17, 2014. |
(1) | The MSCI ACWI ex USA Investable Market Index is a free float-adjusted market capitalization index that is designed to measure the combined equity market performance of securities, across all market capitalizations, in developed and emerging market countries excluding the United States. All listed equity securities and listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity derivatives, limited partnerships and most investment trusts, are eligible for inclusion. Countries covered in the Index have historically included, among others, Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Pakistan, Peru, Philippines, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Arab Emirates and the United Kingdom. |
(2) | Returns shown are reflective of the MSCI ACWI ex USA Investable Market Index for periods beginning on October 9, 2019 and the MSCI ACWI ex USA Index for periods prior to October 9, 2019. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Small/Mid Cap Equity Index Fund Class A | 11.95% | 14.97% | 14.20% |
State Street Small/Mid Cap Equity Index Fund Class I | 12.22% | 15.27% | 14.50% |
State Street Small/Mid Cap Equity Index Fund Class K | 12.45% | 15.40% | 13.34% |
Russell Small Cap Completeness Index (1) | 12.64% | 15.53% | 13.49% |
* | Inception date is October 15, 2015 for Class A and Class I and inception date is August 11, 2015 for Class K and the date used for the Russell Small Cap Completeness Index return. |
(1) | The Russell Small Cap Completeness® Index is a float-adjusted, market capitalization index which measures the performance of the Russell 3000® Index companies excluding S&P 500® constituents. The Index is constructed to provide a comprehensive and unbiased barometer of the extended broad market beyond the S&P 500 exposure. The Index is completely reconstituted annually. |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||
ASSETS | |||||
Investment in corresponding affiliated Portfolio, at value* | $638,942,109 | $1,150,506,619 | $410,494,029 | ||
Receivable for fund shares sold | 2,043,043 | 2,618,267 | 4,605,942 | ||
Receivable from Adviser | 38,602 | 141,797 | 14,042 | ||
Prepaid expenses and other assets | 971 | 1,649 | 625 | ||
TOTAL ASSETS | 641,024,725 | 1,153,268,332 | 415,114,638 | ||
LIABILITIES | |||||
Payable for investments purchased | 764,475 | 1,446,980 | 3,386,508 | ||
Payable for fund shares repurchased | 1,164,452 | 1,166,037 | 1,214,184 | ||
Advisory fee payable | 13,358 | 57,076 | 9,938 | ||
Custodian fees payable | 9,482 | 9,482 | 9,494 | ||
Administration fees payable | 26,711 | 47,564 | 16,563 | ||
Distribution fees payable | 2,311 | 2,595 | 9,299 | ||
Transfer agent fees payable | 10,228 | 9,094 | 10,295 | ||
Sub-transfer agent fee payable | 51,709 | 9,217 | 60,863 | ||
Registration and filing fees payable | 10,292 | 15,674 | 10,133 | ||
Professional fees payable | 21,795 | 21,942 | 21,730 | ||
Printing and postage fees payable | 8,639 | 12,547 | 4,840 | ||
Accrued expenses and other liabilities | — | 501,016 | — | ||
TOTAL LIABILITIES | 2,083,452 | 3,299,224 | 4,753,847 | ||
NET ASSETS | $638,941,273 | $1,149,969,108 | $410,360,791 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $651,752,604 | $1,028,133,081 | $367,924,740 | ||
Total distributable earnings (loss) | (12,811,331) | 121,836,027 | 42,436,051 | ||
NET ASSETS | $638,941,273 | $1,149,969,108 | $410,360,791 | ||
Class A | |||||
Net Assets | $ 10,742,435 | $ 12,507,009 | $ 44,289,681 | ||
Shares Outstanding | 107,087 | 112,416 | 130,673 | ||
Net asset value, offering and redemption price per share | $ 100.32 | $ 111.26 | $ 338.94 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 104.23 | $ 117.42 | $ 357.72 | ||
Class I | |||||
Net Assets | $ 7,159,852 | $ 675,557 | $ 11,662,873 | ||
Shares Outstanding | 71,580 | 6,066 | 34,405 | ||
Net asset value, offering and redemption price per share | $ 100.03 | $ 111.37 | $ 338.99 | ||
Class K | |||||
Net Assets | $621,038,986 | $1,136,786,542 | $354,408,237 | ||
Shares Outstanding | 6,209,931 | 10,195,551 | 1,045,354 | ||
Net asset value, offering and redemption price per share | $ 100.01 | $ 111.50 | $ 339.03 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $651,801,475 | $1,029,245,226 | $412,082,679 |
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 | $ 10,711,899 | $28,980,212 | $ 12,108,809 | ||
EXPENSES | |||||
Advisory fee | 140,367 | 583,715 | 107,142 | ||
Administration fees | 280,735 | 486,430 | 178,570 | ||
Sub-transfer agent fee | |||||
Class A | 22,115 | 23,508 | 80,219 | ||
Class I | 14,982 | 919 | 24,077 | ||
Distribution fees | |||||
Class A | 27,643 | 29,385 | 100,274 | ||
Custodian fees | 38,390 | 39,495 | 38,223 | ||
Trustees’ fees and expenses | 21,000 | 21,000 | 21,000 | ||
Transfer agent fees | 117,531 | 106,073 | 85,832 | ||
Registration and filing fees | 63,378 | 77,676 | 77,214 | ||
Professional fees and expenses | 25,903 | 28,202 | 24,464 | ||
Printing and postage fees | 12,795 | 20,167 | 6,644 | ||
Insurance expense | 1,466 | 2,396 | 811 | ||
Miscellaneous expenses | 2,425 | 370,714 | 2,307 | ||
TOTAL EXPENSES | 768,730 | 1,789,680 | 746,777 | ||
Expenses waived/reimbursed by the Adviser | (564,132) | (1,596,750) | (381,985) | ||
NET EXPENSES | 204,598 | 192,930 | 364,792 | ||
NET INVESTMENT INCOME (LOSS) | $ 10,507,301 | $28,787,282 | $ 11,744,017 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | 6,717,165 | 18,423,403 | 20,549,001 | ||
Capital gain distributions from corresponding affiliated Portfolio | — | — | 43,994,809 | ||
Net realized gain (loss) | 6,717,165 | 18,423,403 | 64,543,810 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | (25,081,448) | 24,928,048 | (40,840,365) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (18,364,283) | 43,351,451 | 23,703,445 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (7,856,982) | $72,138,733 | $ 35,447,462 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/21 | Year Ended 12/31/20(b) | Year Ended 12/31/21 | Year Ended 12/31/20(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 10,507,301 | $ 7,091,813 | $ 28,787,282 | $ 13,311,878 | $ 11,744,017 | $ 2,918,168 | |||||
Net realized gain (loss) | 6,717,165 | 5,851,428 | 18,423,403 | 1,541,239 | 64,543,810 | 1,940,813 | |||||
Net change in unrealized appreciation/depreciation | (25,081,448) | 7,105,030 | 24,928,048 | 80,189,735 | (40,840,365) | 36,530,670 | |||||
Net increase (decrease) in net assets resulting from operations | (7,856,982) | 20,048,271 | 72,138,733 | 95,042,852 | 35,447,462 | 41,389,651 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (310,385) | (376,387) | (451,550) | (118,663) | (3,768,805) | (255,924) | |||||
Class I | (225,701) | (239,504) | (26,348) | (6,455) | (1,008,856) | (91,947) | |||||
Class K | (18,961,341) | (9,329,360) | (45,789,587) | (13,440,767) | (30,749,558) | (3,125,619) | |||||
Total distributions to shareholders | (19,497,427) | (9,945,251) | (46,267,485) | (13,565,885) | (35,527,219) | (3,473,490) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 5,609,425 | 11,684,206 | 4,169,296 | 3,031,290 | 26,020,266 | 6,208,805 | |||||
Reinvestment of distributions | 310,209 | 368,911 | 451,510 | 118,658 | 3,690,403 | 255,333 | |||||
Cost of shares redeemed | (5,788,708) | (20,967,724) | (1,900,429) | (1,641,250) | (10,987,860) | (7,879,861) | |||||
Net increase (decrease) from capital share transactions | 130,926 | (8,914,607) | 2,720,377 | 1,508,698 | 18,722,809 | (1,415,723) | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 3,953,998 | 2,323,532 | 253,992 | 180,901 | 12,109,475 | 1,136,933 | |||||
Reinvestment of distributions | 31,270 | 13,681 | 26,348 | 6,455 | 1,008,856 | 91,947 | |||||
Cost of shares redeemed | (4,582,328) | (1,868,214) | (41,859) | (451,774) | (9,108,940) | (1,563,862) | |||||
Net increase (decrease) from capital share transactions | (597,060) | 468,999 | 238,481 | (264,418) | 4,009,391 | (334,982) | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 505,711,468 | 224,103,569 | 478,760,857 | 375,663,145 | 201,622,021 | 125,769,004 | |||||
Reinvestment of distributions | 18,955,896 | 9,328,326 | 44,103,749 | 13,024,795 | 30,647,437 | 3,107,246 | |||||
Cost of shares redeemed | (239,473,320) | (90,609,127) | (206,583,444) | (97,810,660) | (94,538,053) | (21,298,146) | |||||
Net increase (decrease) from capital share transactions | 285,194,044 | 142,822,768 | 316,281,162 | 290,877,280 | 137,731,405 | 107,578,104 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 284,727,910 | 134,377,160 | 319,240,020 | 292,121,560 | 160,463,605 | 105,827,399 | |||||
Net increase (decrease) in net assets during the period | 257,373,501 | 144,480,180 | 345,111,268 | 373,598,527 | 160,383,848 | 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 | $ 638,941,273 | $381,567,772 | $1,149,969,108 | $804,857,840 | $410,360,791 | $249,976,943 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 54,459 | 111,233 | 37,035 | 32,665 | 71,506 | 24,561 | |||||
Reinvestment of distributions | 3,060 | 3,511 | 4,070 | 1,111 | 10,885 | 777 | |||||
Shares redeemed | (56,565) | (199,831) | (16,654) | (18,284) | (29,990) | (34,042) | |||||
Net increase (decrease) from share transactions | 954 | (85,087) | 24,451 | 15,492 | 52,401 | (8,704) | |||||
Class I | |||||||||||
Shares sold | 38,742 | 22,114 | 2,288 | 1,912 | 33,255 | 4,431 | |||||
Reinvestment of distributions | 308 | 130 | 237 | 61 | 2,975 | 280 | |||||
Shares redeemed | (44,192) | (17,675) | (367) | (5,594) | (24,203) | (7,244) | |||||
Net increase (decrease) from share transactions | (5,142) | 4,569 | 2,158 | (3,621) | 12,027 | (2,533) |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/21 | Year Ended 12/31/20(b) | Year Ended 12/31/21 | Year Ended 12/31/20(c) | ||||||
Class K | |||||||||||
Shares sold | 4,916,863 | 2,129,056 | 4,208,329 | 4,024,381 | 561,669 | 424,709 | |||||
Reinvestment of distributions | 187,407 | 88,818 | 396,688 | 121,727 | 90,371 | 9,452 | |||||
Shares redeemed | (2,338,151) | (861,992) | (1,823,318) | (1,043,008) | (261,943) | (86,179) | |||||
Net increase (decrease) from share transactions | 2,766,119 | 1,355,882 | 2,781,699 | 3,103,100 | 390,097 | 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 | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $105.53 | $101.10 | $ 95.50 | $98.20 | $97.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.45 | 2.18 | 3.40 | 2.60 | 2.10 | ||||
Net realized and unrealized gain (loss) | (3.79) | 5.10 | 4.40 | (3.00) | 0.80 | ||||
Total from investment operations | (2.34) | 7.28 | 7.80 | (0.40) | 2.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.44) | (2.06) | (2.20) | (2.30) | (2.10) | ||||
Net realized gains | (1.43) | (0.79) | — | — | (0.10) | ||||
Total distributions | (2.87) | (2.85) | (2.20) | (2.30) | (2.20) | ||||
Net asset value, end of period | $100.32 | $105.53 | $101.10 | $95.50 | $98.20 | ||||
Total return (c) | (2.22)% | 7.25% | 8.27% | (0.39)% | 2.93% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $10,742 | $ 11,200 | $19,325 | $1,121 | $ 340 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.58% | 0.66% | 0.68% | 0.55% | 0.58% | ||||
Net expenses (d) | 0.47% | 0.48% | 0.48% | 0.31% | 0.40% | ||||
Net investment income (loss) | 1.41% | 2.08% | 3.45% | 2.74% | 2.11% | ||||
Portfolio turnover rate (e) | 29% | 37% | 69% | 90% | 99% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $105.23 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.69 | 2.38 | 2.70 | 2.70 | 2.30 | ||||
Net realized and unrealized gain (loss) | (3.77) | 5.20 | 5.40 | (2.90) | 0.90 | ||||
Total from investment operations | (2.08) | 7.58 | 8.10 | (0.20) | 3.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.69) | (2.36) | (2.80) | (2.70) | (2.30) | ||||
Net realized gains | (1.43) | (0.79) | — | — | (0.10) | ||||
Total distributions | (3.12) | (3.15) | (2.80) | (2.70) | (2.40) | ||||
Net asset value, end of period | $100.03 | $105.23 | $100.80 | $ 95.50 | $ 98.40 | ||||
Total return (c) | (1.97)% | 7.57% | 8.55% | (0.20)% | 3.29% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 7,160 | $ 8,073 | $ 7,273 | $10,598 | $10,807 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.33% | 0.41% | 0.32% | 0.27% | 0.26% | ||||
Net expenses (d) | 0.22% | 0.23% | 0.12% | 0.04% | 0.08% | ||||
Net investment income (loss) | 1.65% | 2.27% | 2.73% | 2.78% | 2.30% | ||||
Portfolio turnover rate (e) | 29% | 37% | 69% | 90% | 99% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.92 | 2.59 | 2.90 | 2.70 | 2.30 | ||||
Net realized and unrealized gain (loss) | (3.79) | 5.20 | 5.20 | (2.80) | 0.90 | ||||
Total from investment operations | (1.87) | 7.79 | 8.10 | (0.10) | 3.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.89) | (2.60) | (2.80) | (2.70) | (2.30) | ||||
Net realized gains | (1.43) | (0.79) | — | — | (0.10) | ||||
Total distributions | (3.32) | (3.39) | (2.80) | (2.70) | (2.40) | ||||
Net asset value, end of period | $ 100.01 | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | ||||
Total return (c) | (1.77)% | 7.79% | 8.57% | (0.10)% | 3.30% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $621,039 | $362,294 | $210,489 | $127,817 | $97,318 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.13% | 0.21% | 0.23% | 0.27% | 0.26% | ||||
Net expenses (d) | 0.02% | 0.03% | 0.03% | 0.04% | 0.08% | ||||
Net investment income (loss) | 1.88% | 2.47% | 2.94% | 2.83% | 2.37% | ||||
Portfolio turnover rate (e) | 29% | 37% | 69% | 90% | 99% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class A | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $107.01 | $ 98.00 | $84.60 | $106.70 | $ 87.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.53 | 1.63 | 3.20 | 3.60 | 0.80 | ||||
Net realized and unrealized gain (loss) | 5.89 | 8.74 | 14.50 | (19.00) | 22.50 | ||||
Total from investment operations | 8.42 | 10.37 | 17.70 | (15.40) | 23.30 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.40) | (1.34) | (2.50) | (2.30) | (2.60) | ||||
Net realized gains | (1.77) | (0.02) | (1.80) | (4.40) | (1.40) | ||||
Total distributions | (4.17) | (1.36) | (4.30) | (6.70) | (4.00) | ||||
Net asset value, end of period | $ 111.26 | $107.01 | $98.00 | $ 84.60 | $106.70 | ||||
Total return (c) | 7.88% | 10.47% | 21.01% | (14.38)% | 26.68% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $12,507 | $ 9,413 | $7,104 | $ 3,599 | $ 927 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.63% | 0.70% | 0.71% | 0.57% | 0.53% | ||||
Net expenses (d) | 0.46% | 0.46% | 0.45% | 0.42% | 0.44% | ||||
Net investment income (loss) | 2.21% | 1.79% | 3.44% | 3.59% | 0.79% | ||||
Portfolio turnover rate (e) | 2% | 2% | 28% | 4% | 2% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $107.12 | $ 98.10 | $84.60 | $106.70 | $ 87.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.87 | 1.26 | 2.70 | 2.30 | 2.10 | ||||
Net realized and unrealized gain (loss) | 5.91 | 9.44 | 15.40 | (17.60) | 21.40 | ||||
Total from investment operations | 8.78 | 10.70 | 18.10 | (15.30) | 23.50 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.76) | (1.66) | (2.80) | (2.40) | (2.80) | ||||
Net realized gains | (1.77) | (0.02) | (1.80) | (4.40) | (1.40) | ||||
Total distributions | (4.53) | (1.68) | (4.60) | (6.80) | (4.20) | ||||
Net asset value, end of period | $ 111.37 | $107.12 | $98.10 | $ 84.60 | $106.70 | ||||
Total return (c) | 8.21% | 10.91% | 21.24% | (14.18)% | 27.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 676 | $ 419 | $ 739 | $ 635 | $ 999 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.32% | 0.40% | 0.38% | 0.43% | 0.23% | ||||
Net expenses (d) | 0.16% | 0.16% | 0.12% | 0.30% | 0.15% | ||||
Net investment income (loss) | 2.50% | 1.37% | 2.90% | 2.27% | 2.12% | ||||
Portfolio turnover rate (e) | 2% | 2% | 28% | 4% | 2% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.41 | 2.49 | 2.90 | 2.60 | 3.20 | ||||
Net realized and unrealized gain (loss) | 5.54 | 8.40 | 15.40 | (17.70) | 20.40 | ||||
Total from investment operations | 8.95 | 10.89 | 18.30 | (15.10) | 23.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.92) | (1.83) | (3.00) | (2.60) | (2.80) | ||||
Net realized gains | (1.77) | (0.02) | (1.80) | (4.40) | (1.40) | ||||
Total distributions | (4.69) | (1.85) | (4.80) | (7.00) | (4.20) | ||||
Net asset value, end of period | $ 111.50 | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | ||||
Total return (c) | 8.36% | 11.08% | 21.49% | (14.03)% | 27.11% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,136,787 | $795,026 | $423,417 | $433,086 | $456,567 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.18% | 0.25% | 0.27% | 0.18% | 0.18% | ||||
Net expenses (d) | 0.01% | 0.01% | 0.01% | 0.05% | 0.10% | ||||
Net investment income (loss) | 2.97% | 2.70% | 3.12% | 2.57% | 3.16% | ||||
Portfolio turnover rate (e) | 2% | 2% | 28% | 4% | 2% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class A | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $330.61 | $253.40 | $209.40 | $239.00 | $213.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 10.39 | 2.82 | 4.40 | 6.40 | 10.60 | ||||
Net realized and unrealized gain (loss) | 29.12 | 77.73 | 53.00 | (29.00) | 27.40 | ||||
Total from investment operations | 39.51 | 80.55 | 57.40 | (22.60) | 38.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (10.62) | (0.71) | (4.60) | (3.00) | (5.00) | ||||
Net realized gains | (20.56) | (2.63) | (8.80) | (4.00) | (7.40) | ||||
Total distributions | (31.18) | (3.34) | (13.40) | (7.00) | (12.40) | ||||
Net asset value, end of period | $338.94 | $330.61 | $253.40 | $209.40 | $239.00 | ||||
Total return (c) | 11.95% | 31.79% | 27.42% | (9.35)% | 17.87% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $44,290 | $25,877 | $22,037 | $ 9,274 | $ 988 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.60% | 0.69% | 0.79% | 0.80% | 1.10% | ||||
Net expenses (d) | 0.49% | 0.50% | 0.49% | 0.29% | 0.35% | ||||
Net investment income (loss) | 2.82% | 1.12% | 1.76% | 2.65% | 4.60% | ||||
Portfolio turnover rate (e) | 28% | 52% | 51% | 22% | 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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $330.66 | $253.40 | $209.60 | $239.00 | $213.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 9.73 | 3.20 | 3.80 | 4.00 | 8.00 | ||||
Net realized and unrealized gain (loss) | 30.71 | 78.24 | 54.40 | (25.80) | 30.60 | ||||
Total from investment operations | 40.44 | 81.44 | 58.20 | (21.80) | 38.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (11.55) | (1.55) | (5.60) | (3.60) | (5.60) | ||||
Net realized gains | (20.56) | (2.63) | (8.80) | (4.00) | (7.40) | ||||
Total distributions | (32.11) | (4.18) | (14.40) | (7.60) | (13.00) | ||||
Net asset value, end of period | $338.99 | $330.66 | $253.40 | $209.60 | $239.00 | ||||
Total return (c) | 12.22% | 32.15% | 27.70% | (9.07)% | 18.16% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 11,663 | $ 7,400 | $ 6,312 | $ 5,038 | $ 4,135 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.35% | 0.44% | 0.46% | 0.61% | 0.90% | ||||
Net expenses (d) | 0.24% | 0.25% | 0.17% | 0.07% | 0.11% | ||||
Net investment income (loss) | 2.65% | 1.28% | 1.58% | 1.58% | 3.42% | ||||
Portfolio turnover rate (e) | 28% | 52% | 51% | 22% | 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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 330.71 | $ 253.40 | $209.60 | $239.00 | $213.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 12.44 | 7.44 | 5.40 | 5.80 | 3.00 | ||||
Net realized and unrealized gain (loss) | 28.74 | 74.73 | 53.00 | (27.60) | 35.60 | ||||
Total from investment operations | 41.18 | 82.17 | 58.40 | (21.80) | 38.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (12.30) | (2.23) | (5.80) | (3.60) | (5.60) | ||||
Net realized gains | (20.56) | (2.63) | (8.80) | (4.00) | (7.40) | ||||
Total distributions | (32.86) | (4.86) | (14.60) | (7.60) | (13.00) | ||||
Net asset value, end of period | $ 339.03 | $ 330.71 | $253.40 | $209.60 | $239.00 | ||||
Total return (c) | 12.45% | 32.44% | 27.84% | (9.03)% | 18.16% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $354,408 | $216,700 | $77,885 | $38,195 | $18,750 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.24% | 0.34% | 0.55% | 0.96% | ||||
Net expenses (d) | 0.04% | 0.05% | 0.05% | 0.04% | 0.05% | ||||
Net investment income (loss) | 3.38% | 2.91% | 2.17% | 2.37% | 1.29% | ||||
Portfolio turnover rate (e) | 28% | 52% | 51% | 22% | 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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
% of Net Assets | |||
U.S. Treasury Obligations | 38.8% | ||
U.S. Government Agency Obligations | 29.5 | ||
Corporate Bonds & Notes | 25.5 | ||
Foreign Government Obligations | 3.4 | ||
Mortgage-Backed Securities | 1.0 | ||
Municipal Bonds & Notes | 0.6 | ||
Asset-Backed Securities | 0.3 | ||
Short-Term Investments | 9.8 | ||
Liabilities in Excess of Other Assets | (8.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.4% | ||
Electric | 1.9 | ||
Pharmaceuticals | 1.7 | ||
Telecommunications | 1.4 | ||
Oil & Gas | 1.1 | ||
TOTAL | 11.5% |
% of Net Assets | |||
Common Stocks | 96.1% | ||
Warrants | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 5.0 | ||
Liabilities in Excess of Other Assets | (1.1) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Common Stocks | 98.8% | ||
Rights | 0.0 * | ||
Short-Term Investments | 5.1 | ||
Liabilities in Excess of Other Assets | (3.9) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Software | 12.4% | ||
Equity Real Estate Investment Trusts (REITs) | 6.8 | ||
IT Services | 5.4 | ||
Biotechnology | 5.2 | ||
Banks | 4.7 | ||
TOTAL | 34.5% |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 25.5% | ||||||
ADVERTISING — 0.0% (a) | ||||||
Interpublic Group of Cos., Inc.: | ||||||
2.40%, 3/1/2031 | $ 100,000 | $ 99,991 | ||||
3.38%, 3/1/2041 | 70,000 | 71,715 | ||||
4.65%, 10/1/2028 | 10,000 | 11,484 | ||||
5.40%, 10/1/2048 | 25,000 | 33,980 | ||||
Omnicom Group, Inc.: | ||||||
2.45%, 4/30/2030 | 100,000 | 100,068 | ||||
2.60%, 8/1/2031 (b) | 200,000 | 202,734 | ||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 107,447 | ||||
627,419 | ||||||
AEROSPACE & DEFENSE — 0.5% | ||||||
Boeing Co.: | ||||||
1.17%, 2/4/2023 | 65,000 | 65,011 | ||||
1.43%, 2/4/2024 | 100,000 | 99,893 | ||||
1.95%, 2/1/2024 | 30,000 | 30,398 | ||||
2.20%, 2/4/2026 | 1,400,000 | 1,399,776 | ||||
2.60%, 10/30/2025 | 35,000 | 35,902 | ||||
2.75%, 2/1/2026 | 550,000 | 566,516 | ||||
2.80%, 3/1/2023 | 25,000 | 25,468 | ||||
2.95%, 2/1/2030 (b) | 50,000 | 50,634 | ||||
3.25%, 2/1/2028 | 50,000 | 52,137 | ||||
3.25%, 3/1/2028 | 25,000 | 25,844 | ||||
3.38%, 6/15/2046 | 25,000 | 24,094 | ||||
3.50%, 3/1/2039 | 250,000 | 251,520 | ||||
3.55%, 3/1/2038 | 165,000 | 167,218 | ||||
3.63%, 2/1/2031 | 30,000 | 32,009 | ||||
3.65%, 3/1/2047 | 100,000 | 99,683 | ||||
3.75%, 2/1/2050 | 50,000 | 51,811 | ||||
3.83%, 3/1/2059 | 250,000 | 250,577 | ||||
4.51%, 5/1/2023 | 400,000 | 417,288 | ||||
4.88%, 5/1/2025 | 335,000 | 366,848 | ||||
5.04%, 5/1/2027 | 150,000 | 169,396 | ||||
5.15%, 5/1/2030 | 200,000 | 233,352 | ||||
5.71%, 5/1/2040 | 150,000 | 192,750 | ||||
5.81%, 5/1/2050 | 200,000 | 270,744 | ||||
5.93%, 5/1/2060 | 150,000 | 207,964 | ||||
General Dynamics Corp.: | ||||||
1.15%, 6/1/2026 | 35,000 | 34,557 | ||||
2.25%, 6/1/2031 (b) | 45,000 | 45,655 | ||||
2.38%, 11/15/2024 | 250,000 | 258,565 | ||||
2.85%, 6/1/2041 | 40,000 | 40,917 | ||||
3.63%, 4/1/2030 | 100,000 | 111,264 | ||||
4.25%, 4/1/2050 (b) | 60,000 | 76,866 | ||||
L3Harris Technologies, Inc.: | ||||||
2.90%, 12/15/2029 | 15,000 | 15,498 | ||||
3.83%, 4/27/2025 | 50,000 | 53,376 | ||||
3.85%, 6/15/2023 | 70,000 | 72,734 | ||||
3.85%, 12/15/2026 | 50,000 | 54,398 | ||||
4.40%, 6/15/2028 | 100,000 | 112,599 |
Security Description | Principal Amount | Value | ||||
Lockheed Martin Corp.: | ||||||
1.85%, 6/15/2030 (b) | $ 395,000 | $ 388,731 | ||||
2.80%, 6/15/2050 (b) | 400,000 | 399,360 | ||||
3.55%, 1/15/2026 | 100,000 | 108,393 | ||||
3.60%, 3/1/2035 | 50,000 | 55,824 | ||||
4.70%, 5/15/2046 | 110,000 | 142,811 | ||||
Northrop Grumman Corp.: | ||||||
2.93%, 1/15/2025 | 150,000 | 156,555 | ||||
3.25%, 8/1/2023 | 200,000 | 207,232 | ||||
3.25%, 1/15/2028 | 150,000 | 160,391 | ||||
4.03%, 10/15/2047 | 100,000 | 118,070 | ||||
4.75%, 6/1/2043 | 25,000 | 31,582 | ||||
Raytheon Technologies Corp.: | ||||||
1.90%, 9/1/2031 | 125,000 | 120,548 | ||||
2.25%, 7/1/2030 | 700,000 | 698,131 | ||||
2.82%, 9/1/2051 | 200,000 | 193,312 | ||||
3.13%, 5/4/2027 | 200,000 | 213,012 | ||||
3.13%, 7/1/2050 | 200,000 | 204,274 | ||||
3.50%, 3/15/2027 | 136,000 | 146,654 | ||||
4.13%, 11/16/2028 | 60,000 | 67,144 | ||||
4.35%, 4/15/2047 | 450,000 | 548,028 | ||||
4.45%, 11/16/2038 | 20,000 | 24,089 | ||||
4.50%, 6/1/2042 | 100,000 | 123,611 | ||||
4.63%, 11/16/2048 | 35,000 | 44,815 | ||||
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 250,000 | 254,082 | ||||
10,369,911 | ||||||
AGRICULTURE — 0.3% | ||||||
Altria Group, Inc.: | ||||||
2.45%, 2/4/2032 | 250,000 | 237,330 | ||||
3.88%, 9/16/2046 | 100,000 | 96,924 | ||||
4.40%, 2/14/2026 | 117,000 | 128,485 | ||||
4.45%, 5/6/2050 | 500,000 | 520,475 | ||||
4.50%, 5/2/2043 | 25,000 | 26,071 | ||||
4.80%, 2/14/2029 | 40,000 | 45,175 | ||||
5.80%, 2/14/2039 | 285,000 | 343,100 | ||||
5.95%, 2/14/2049 | 75,000 | 93,936 | ||||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | 250,000 | 271,495 | ||||
BAT Capital Corp.: | ||||||
2.26%, 3/25/2028 | 25,000 | 24,389 | ||||
2.73%, 3/25/2031 | 50,000 | 48,564 | ||||
2.79%, 9/6/2024 | 70,000 | 72,133 | ||||
3.22%, 8/15/2024 | 50,000 | 52,007 | ||||
3.22%, 9/6/2026 | 100,000 | 104,096 | ||||
3.46%, 9/6/2029 | 100,000 | 103,610 | ||||
3.56%, 8/15/2027 | 100,000 | 104,970 | ||||
3.73%, 9/25/2040 | 30,000 | 28,798 | ||||
3.98%, 9/25/2050 | 250,000 | 241,762 | ||||
4.39%, 8/15/2037 | 100,000 | 105,524 | ||||
4.54%, 8/15/2047 | 105,000 | 109,773 | ||||
4.70%, 4/2/2027 | 250,000 | 275,482 | ||||
4.76%, 9/6/2049 | 100,000 | 107,094 |
Security Description | Principal Amount | Value | ||||
BAT International Finance PLC 1.67%, 3/25/2026 | $ 525,000 | $ 515,959 | ||||
Bunge, Ltd. Finance Corp.: | ||||||
2.75%, 5/14/2031 | 200,000 | 203,050 | ||||
3.75%, 9/25/2027 | 30,000 | 32,651 | ||||
4.35%, 3/15/2024 | 100,000 | 106,315 | ||||
Philip Morris International, Inc.: | ||||||
0.88%, 5/1/2026 | 150,000 | 144,936 | ||||
1.75%, 11/1/2030 | 150,000 | 142,943 | ||||
2.13%, 5/10/2023 | 75,000 | 76,133 | ||||
2.75%, 2/25/2026 | 125,000 | 130,348 | ||||
3.13%, 3/2/2028 | 200,000 | 212,044 | ||||
4.13%, 3/4/2043 | 25,000 | 27,662 | ||||
4.25%, 11/10/2044 | 250,000 | 285,385 | ||||
4.50%, 3/20/2042 | 50,000 | 57,909 | ||||
Reynolds American, Inc.: | ||||||
5.70%, 8/15/2035 | 25,000 | 29,695 | ||||
5.85%, 8/15/2045 | 175,000 | 212,698 | ||||
5,318,921 | ||||||
AIRLINES — 0.1% | ||||||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 81,057 | 82,297 | ||||
American Airlines 2019-1 Pass Through Trust Series AA, Class AA, 3.15%, 8/15/2033 | 68,904 | 69,595 | ||||
Delta Air Lines 2020-1 Pass Through Trust Series AA, Class AA, 2.00%, 12/10/2029 | 91,031 | 89,278 | ||||
JetBlue 2020-1 Pass Through Trust Series 1A, 4.00%, 5/15/2034 | 23,364 | 25,093 | ||||
Southwest Airlines Co.: | ||||||
2.63%, 2/10/2030 | 100,000 | 99,990 | ||||
4.75%, 5/4/2023 | 250,000 | 261,898 | ||||
5.13%, 6/15/2027 | 100,000 | 114,458 | ||||
5.25%, 5/4/2025 | 90,000 | 99,980 | ||||
United Airlines 2016-1 Pass Through Trust Series AA, Class AA, 3.10%, 1/7/2030 | 39,447 | 40,420 | ||||
United Airlines 2018-1 Pass Through Trust Series AA, Class AA, 3.50%, 9/1/2031 | 98,748 | 102,579 | ||||
United Airlines 2019-1 Pass Through Trust Series AA, Class AA, 4.15%, 2/25/2033 | 65,556 | 71,004 |
Security Description | Principal Amount | Value | ||||
United Airlines 2019-2 Pass Through Trust Series AA, Class AA, 2.70%, 11/1/2033 | $ 60,813 | $ 60,316 | ||||
United Airlines 2020-1 Class B Pass Through Trust Series 2020-1, Class B, 4.88%, 7/15/2027 | 502,880 | 523,553 | ||||
United Airlines 2020-1 Pass Through Trust Series 20-1, Class A, 5.88%, 4/15/2029 | 532,947 | 582,548 | ||||
2,223,009 | ||||||
APPAREL — 0.1% | ||||||
NIKE, Inc.: | ||||||
2.38%, 11/1/2026 | 50,000 | 52,349 | ||||
2.40%, 3/27/2025 | 500,000 | 517,845 | ||||
2.85%, 3/27/2030 | 500,000 | 531,345 | ||||
3.25%, 3/27/2040 | 200,000 | 217,732 | ||||
3.38%, 3/27/2050 | 150,000 | 169,764 | ||||
3.88%, 11/1/2045 (b) | 30,000 | 36,059 | ||||
Ralph Lauren Corp.: | ||||||
2.95%, 6/15/2030 | 15,000 | 15,643 | ||||
3.75%, 9/15/2025 (b) | 25,000 | 26,928 | ||||
VF Corp.: | ||||||
2.40%, 4/23/2025 | 100,000 | 102,816 | ||||
2.95%, 4/23/2030 | 65,000 | 67,461 | ||||
1,737,942 | ||||||
AUTO MANUFACTURERS — 0.4% | ||||||
American Honda Finance Corp.: | ||||||
Series MTN, 0.75%, 8/9/2024 | 65,000 | 64,309 | ||||
Series MTN, 0.88%, 7/7/2023 | 500,000 | 500,535 | ||||
Series MTN, 1.30%, 9/9/2026 | 85,000 | 84,008 | ||||
Series MTN, 2.00%, 3/24/2028 | 115,000 | 116,337 | ||||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 102,479 | ||||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 51,858 | ||||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 314,562 | ||||
Cummins, Inc. 1.50%, 9/1/2030 | 200,000 | 189,552 | ||||
General Motors Co.: | ||||||
5.15%, 4/1/2038 | 200,000 | 240,726 | ||||
5.20%, 4/1/2045 | 200,000 | 247,480 | ||||
5.40%, 10/2/2023 | 250,000 | 267,742 | ||||
6.13%, 10/1/2025 | 250,000 | 287,440 | ||||
6.60%, 4/1/2036 | 100,000 | 135,031 | ||||
6.75%, 4/1/2046 | 25,000 | 36,174 |
Security Description | Principal Amount | Value | ||||
General Motors Financial Co., Inc.: | ||||||
1.05%, 3/8/2024 | $ 50,000 | $ 49,734 | ||||
1.20%, 10/15/2024 | 45,000 | 44,665 | ||||
1.25%, 1/8/2026 | 500,000 | 488,880 | ||||
1.70%, 8/18/2023 | 300,000 | 302,844 | ||||
2.40%, 4/10/2028 | 100,000 | 99,997 | ||||
2.40%, 10/15/2028 | 1,000,000 | 997,190 | ||||
2.70%, 6/10/2031 | 500,000 | 498,140 | ||||
3.70%, 5/9/2023 | 100,000 | 103,004 | ||||
3.95%, 4/13/2024 | 150,000 | 157,966 | ||||
4.00%, 1/15/2025 | 35,000 | 37,298 | ||||
4.15%, 6/19/2023 | 200,000 | 208,048 | ||||
4.35%, 1/17/2027 | 185,000 | 203,770 | ||||
5.25%, 3/1/2026 | 100,000 | 112,158 | ||||
PACCAR Financial Corp.: | ||||||
Series MTN, 0.90%, 11/8/2024 | 75,000 | 74,489 | ||||
Series MTN, 1.10%, 5/11/2026 | 70,000 | 69,180 | ||||
Series MTN, 2.65%, 4/6/2023 | 80,000 | 81,888 | ||||
Toyota Motor Credit Corp.: | ||||||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 53,649 | ||||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 104,415 | ||||
Series MTN, 0.40%, 4/6/2023 | 55,000 | 54,793 | ||||
Series MTN, 0.45%, 1/11/2024 | 750,000 | 743,490 | ||||
Series MTN, 0.80%, 10/16/2025 | 100,000 | 97,676 | ||||
Series MTN, 1.15%, 8/13/2027 (b) | 60,000 | 58,150 | ||||
Series MTN, 1.35%, 8/25/2023 | 150,000 | 151,380 | ||||
Series MTN, 1.80%, 2/13/2025 | 150,000 | 152,428 | ||||
Series MTN, 1.90%, 4/6/2028 | 100,000 | 100,147 | ||||
Series MTN, 2.90%, 3/30/2023 | 500,000 | 513,965 | ||||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 51,993 | ||||
Series MTN, 3.00%, 4/1/2025 | 500,000 | 525,355 | ||||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 106,399 | ||||
8,881,324 | ||||||
AUTO PARTS & EQUIPMENT — 0.0% (a) | ||||||
Aptiv PLC: | ||||||
3.10%, 12/1/2051 | 250,000 | 238,220 | ||||
4.40%, 10/1/2046 | 30,000 | 35,243 | ||||
Lear Corp.: | ||||||
4.25%, 5/15/2029 | 25,000 | 27,633 |
Security Description | Principal Amount | Value | ||||
5.25%, 5/15/2049 (b) | $ 30,000 | $ 37,931 | ||||
339,027 | ||||||
BANKS — 5.4% | ||||||
Banco Bilbao Vizcaya Argentaria SA 1.13%, 9/18/2025 | 200,000 | 195,818 | ||||
Banco Santander SA: | ||||||
1.85%, 3/25/2026 | 200,000 | 198,870 | ||||
2.75%, 5/28/2025 | 200,000 | 206,882 | ||||
2.75%, 12/3/2030 | 200,000 | 195,590 | ||||
2.96%, 3/25/2031 | 200,000 | 203,984 | ||||
3.13%, 2/23/2023 (b) | 200,000 | 204,764 | ||||
4.38%, 4/12/2028 | 200,000 | 223,982 | ||||
1 year CMT + 0.90%, 1.72%, 9/14/2027 (c) | 200,000 | 196,290 | ||||
1 year CMT + 1.60%, 3.23%, 11/22/2032 (c) | 400,000 | 400,804 | ||||
Bank of America Corp.: | ||||||
6.11%, 1/29/2037 | 75,000 | 100,950 | ||||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (c) | 250,000 | 257,465 | ||||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (c) | 250,000 | 263,172 | ||||
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (c) | 750,000 | 801,495 | ||||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (c) | 100,000 | 116,668 | ||||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 234,330 | ||||
5 year CMT + 1.20%, 2.48%, 9/21/2036 (c) | 200,000 | 193,572 | ||||
SOFR + 0.69%, 0.98%, 4/22/2025 (c) | 150,000 | 148,793 | ||||
SOFR + 0.96%, 1.73%, 7/22/2027 (c) | 770,000 | 764,186 | ||||
SOFR + 1.21%, 2.57%, 10/20/2032 (c) | 200,000 | 200,968 | ||||
SOFR + 1.22%, 2.30%, 7/21/2032 (c) | 200,000 | 196,406 | ||||
SOFR + 1.32%, 2.69%, 4/22/2032 (c) | 150,000 | 152,363 | ||||
SOFR + 1.56%, 2.97%, 7/21/2052 (c) | 200,000 | 200,848 | ||||
SOFR + 1.58%, 3.31%, 4/22/2042 (c) | 700,000 | 735,609 | ||||
SOFR + 2.15%, 2.59%, 4/29/2031 (c) | 735,000 | 742,129 | ||||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 140,071 | ||||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 269,082 |
Security Description | Principal Amount | Value | |||
Series L, 3.95%, 4/21/2025 | $ 50,000 | $ 53,462 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 53,148 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 26,569 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 53,578 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 65,129 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 131,410 | |||
Series MTN, 3 Month USD LIBOR + 0.64%, 2.02%, 2/13/2026 (c) | 500,000 | 506,620 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (c) | 75,000 | 77,019 | |||
Series MTN, 3 Month USD LIBOR + 0.94%, 3.86%, 7/23/2024 (c) | 500,000 | 521,030 | |||
Series MTN, 3 Month USD LIBOR + 0.99%, 2.50%, 2/13/2031 (c) | 250,000 | 250,905 | |||
Series MTN, 3 Month USD LIBOR + 1.06%, 3.56%, 4/23/2027 (c) | 250,000 | 267,502 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | 250,000 | 260,287 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (c) | 100,000 | 105,451 | |||
Series MTN, 3 Month USD LIBOR + 1.19%, 2.88%, 10/22/2030 (c) | 75,000 | 77,407 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (c) | 150,000 | 165,438 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (c) | 500,000 | 557,390 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (c) | 150,000 | 172,050 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 186,236 | |||
Series MTN, 3 Month USD LIBOR + 3.15%, 4.08%, 3/20/2051 (c) | 600,000 | 721,128 | |||
Series MTN, SOFR + 0.41%, 0.52%, 6/14/2024 (c) | 700,000 | 695,261 | |||
Series MTN, SOFR + 0.74%, 0.81%, 10/24/2024 (c) | 100,000 | 99,323 |
Security Description | Principal Amount | Value | |||
Series MTN, SOFR + 0.91%, 0.98%, 9/25/2025 (c) | $ 250,000 | $ 247,070 | |||
Series MTN, SOFR + 1.01%, 1.20%, 10/24/2026 (c) | 100,000 | 98,039 | |||
Series MTN, SOFR + 1.06%, 2.09%, 6/14/2029 (c) | 700,000 | 695,912 | |||
Series MTN, SOFR + 1.15%, 1.32%, 6/19/2026 (c) | 200,000 | 197,918 | |||
Series MTN, SOFR + 1.37%, 1.92%, 10/24/2031 (c) | 100,000 | 95,838 | |||
Series MTN, SOFR + 1.46%, 1.49%, 5/19/2024 (c) | 400,000 | 402,932 | |||
Series MTN, SOFR + 1.53%, 1.90%, 7/23/2031 (c) | 500,000 | 479,435 | |||
Series MTN, SOFR + 1.88%, 2.83%, 10/24/2051 (c) | 275,000 | 269,654 | |||
Series MTN, SOFR + 1.93%, 2.68%, 6/19/2041 (c) | 350,000 | 336,479 | |||
Series N, SOFR + 0.91%, 1.66%, 3/11/2027 (c) | 600,000 | 595,794 | |||
Series N, SOFR + 1.22%, 2.65%, 3/11/2032 (c) | 150,000 | 151,920 | |||
Series N, SOFR + 1.65%, 3.48%, 3/13/2052 (c) | 350,000 | 385,756 | |||
Bank of Montreal: | |||||
0.45%, 12/8/2023 | 250,000 | 247,595 | |||
Series MTN, 0.40%, 9/15/2023 | 70,000 | 69,526 | |||
Series MTN, 1.25%, 9/15/2026 | 100,000 | 97,869 | |||
Series MTN, 1.85%, 5/1/2025 (b) | 500,000 | 507,800 | |||
Series MTN, 2.50%, 6/28/2024 | 65,000 | 67,073 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 | 100,000 | 105,050 | |||
Series J, 0.85%, 10/25/2024 | 150,000 | 148,883 | |||
Series J, 1.90%, 1/25/2029 | 150,000 | 149,256 | |||
Series MTN, 0.50%, 4/26/2024 | 100,000 | 98,827 | |||
Series MTN, 0.75%, 1/28/2026 | 250,000 | 243,373 | |||
Series MTN, 1.65%, 7/14/2028 | 100,000 | 99,283 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 204,374 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.25%, 5/16/2027 | $ 100,000 | $ 107,849 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 269,210 | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (c) | 250,000 | 269,875 | |||
Bank of Nova Scotia: | |||||
0.40%, 9/15/2023 | 160,000 | 158,813 | |||
0.70%, 4/15/2024 | 165,000 | 163,421 | |||
1.05%, 3/2/2026 | 250,000 | 244,188 | |||
1.30%, 6/11/2025 | 150,000 | 149,258 | |||
1.30%, 9/15/2026 | 200,000 | 196,454 | |||
1.35%, 6/24/2026 (b) | 100,000 | 98,884 | |||
1.63%, 5/1/2023 | 400,000 | 404,584 | |||
2.15%, 8/1/2031 | 100,000 | 99,166 | |||
Barclays PLC: | |||||
3.68%, 1/10/2023 | 200,000 | 200,096 | |||
4.38%, 1/12/2026 | 50,000 | 54,626 | |||
5.25%, 8/17/2045 | 25,000 | 33,182 | |||
1 year CMT + 0.80%, 1.01%, 12/10/2024 (c) | 245,000 | 243,197 | |||
1 year CMT + 1.05%, 2.28%, 11/24/2027 (c) | 200,000 | 200,504 | |||
1 year CMT + 1.20%, 2.67%, 3/10/2032 (c) | 200,000 | 198,384 | |||
1 year CMT + 1.30%, 2.89%, 11/24/2032 (c) | 200,000 | 200,998 | |||
1 year CMT + 1.30%, 3.33%, 11/24/2042 (c) | 250,000 | 253,888 | |||
1 year CMT + 1.70%, 3.81%, 3/10/2042 (c) | 550,000 | 584,028 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (c) | 250,000 | 260,387 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (c) | 250,000 | 263,135 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | 200,000 | 228,854 | |||
SOFR + 2.71%, 2.85%, 5/7/2026 (c) | 200,000 | 206,164 | |||
5 year CMT +2.90%, 3.56%, 9/23/2035 (c) | 250,000 | 255,978 | |||
BNP Paribas SA Series MTN, 4.25%, 10/15/2024 | 250,000 | 269,555 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 266,162 | |||
Canadian Imperial Bank of Commerce: | |||||
0.45%, 6/22/2023 | 75,000 | 74,486 | |||
0.50%, 12/14/2023 | 200,000 | 197,590 | |||
0.95%, 6/23/2023 | 500,000 | 500,400 | |||
0.95%, 10/23/2025 | 45,000 | 44,052 | |||
1.25%, 6/22/2026 | 100,000 | 97,536 |
Security Description | Principal Amount | Value | |||
3.10%, 4/2/2024 | $ 100,000 | $ 104,319 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 | 250,000 | 263,427 | |||
Citigroup, Inc.: | |||||
3.20%, 10/21/2026 | 300,000 | 317,994 | |||
3.75%, 6/16/2024 | 25,000 | 26,537 | |||
4.13%, 7/25/2028 | 70,000 | 76,940 | |||
4.30%, 11/20/2026 | 50,000 | 55,329 | |||
4.40%, 6/10/2025 | 250,000 | 272,415 | |||
4.45%, 9/29/2027 | 150,000 | 167,252 | |||
4.65%, 7/30/2045 | 25,000 | 31,589 | |||
4.65%, 7/23/2048 | 250,000 | 322,077 | |||
5.30%, 5/6/2044 | 50,000 | 65,393 | |||
6.68%, 9/13/2043 | 175,000 | 263,149 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (c) | 250,000 | 261,150 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 268,072 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (c) | 250,000 | 275,655 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 107,856 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | 250,000 | 271,075 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (c) | 150,000 | 183,506 | |||
SOFR + 0.53%, 1.28%, 11/3/2025 (c) | 60,000 | 59,873 | |||
SOFR + 0.67%, 0.98%, 5/1/2025 (c) | 650,000 | 645,333 | |||
SOFR + 0.69%, 0.78%, 10/30/2024 (c) | 600,000 | 596,166 | |||
SOFR + 0.77%, 1.12%, 1/28/2027 (c) | 1,000,000 | 974,440 | |||
SOFR + 0.77%, 1.46%, 6/9/2027 (b) (c) | 500,000 | 490,875 | |||
SOFR + 1.17%, 2.56%, 5/1/2032 (c) | 860,000 | 864,902 | |||
SOFR + 1.18%, 2.52%, 11/3/2032 (b) (c) | 145,000 | 145,049 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (c) | 100,000 | 103,907 | |||
SOFR + 1.67%, 1.68%, 5/15/2024 (c) | 500,000 | 505,450 | |||
SOFR + 2.11%, 2.57%, 6/3/2031 (c) | 150,000 | 151,239 | |||
SOFR + 2.84%, 3.11%, 4/8/2026 (c) | 250,000 | 262,107 | |||
SOFR + 3.91%, 4.41%, 3/31/2031 (c) | 250,000 | 285,652 |
Security Description | Principal Amount | Value | |||
SOFR + 4.55%, 5.32%, 3/26/2041 (c) | $ 250,000 | $ 329,282 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 4/28/2025 | 250,000 | 256,090 | |||
Citizens Financial Group, Inc.: | |||||
2.50%, 2/6/2030 | 75,000 | 75,398 | |||
2.85%, 7/27/2026 | 25,000 | 26,065 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 52,033 | |||
4.00%, 2/1/2029 (b) | 50,000 | 55,924 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 255,578 | |||
4.38%, 8/4/2025 | 250,000 | 271,242 | |||
5.75%, 12/1/2043 | 50,000 | 69,719 | |||
Series BKNT, 3.75%, 7/21/2026 | 500,000 | 538,185 | |||
Credit Suisse AG: | |||||
0.50%, 2/2/2024 (b) | 500,000 | 493,980 | |||
1.00%, 5/5/2023 | 250,000 | 250,650 | |||
2.95%, 4/9/2025 | 500,000 | 523,615 | |||
Series MTN, 3.63%, 9/9/2024 | 500,000 | 530,385 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.80%, 6/9/2023 | 150,000 | 155,480 | |||
Deutsche Bank AG: | |||||
0.90%, 5/28/2024 | 150,000 | 148,719 | |||
3.70%, 5/30/2024 | 50,000 | 52,407 | |||
3.95%, 2/27/2023 | 250,000 | 257,857 | |||
SOFR + 1.22%, 2.31%, 11/16/2027 (c) | 500,000 | 499,895 | |||
SOFR + 1.72%, 3.04%, 5/28/2032 (c) | 150,000 | 151,071 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (c) | 500,000 | 499,370 | |||
SOFR + 2.16%, 2.22%, 9/18/2024 (c) | 250,000 | 253,295 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 | 250,000 | 256,025 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 26,483 | |||
Fifth Third Bancorp: | |||||
2.55%, 5/5/2027 | 500,000 | 516,920 | |||
3.95%, 3/14/2028 | 100,000 | 110,418 | |||
Fifth Third Bank NA Series BKNT, 3.85%, 3/15/2026 | 225,000 | 242,969 | |||
FNB Corp. 2.20%, 2/24/2023 | 10,000 | 10,096 | |||
Goldman Sachs Group, Inc.: | |||||
0.52%, 3/8/2023 | 65,000 | 64,810 | |||
1.22%, 12/6/2023 | 200,000 | 200,464 | |||
2.60%, 2/7/2030 | 750,000 | 762,502 | |||
3.50%, 1/23/2025 | 50,000 | 52,741 |
Security Description | Principal Amount | Value | |||
3.50%, 4/1/2025 | $ 250,000 | $ 264,600 | |||
3.50%, 11/16/2026 | 250,000 | 266,605 | |||
3.63%, 1/22/2023 | 25,000 | 25,727 | |||
3.75%, 2/25/2026 | 50,000 | 53,799 | |||
3.80%, 3/15/2030 | 250,000 | 274,952 | |||
4.00%, 3/3/2024 | 800,000 | 848,656 | |||
4.75%, 10/21/2045 | 50,000 | 64,426 | |||
5.15%, 5/22/2045 | 250,000 | 324,437 | |||
5.95%, 1/15/2027 | 50,000 | 58,959 | |||
6.25%, 2/1/2041 | 200,000 | 290,504 | |||
6.75%, 10/1/2037 | 150,000 | 212,688 | |||
3 Month USD LIBOR + 1.30%, 4.22%, 5/1/2029 (c) | 500,000 | 555,625 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 228,728 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 417,417 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 269,815 | |||
SOFR + 0.49%, 0.93%, 10/21/2024 (c) | 140,000 | 139,404 | |||
SOFR + 0.51%, 0.66%, 9/10/2024 (c) | 100,000 | 99,222 | |||
SOFR + 0.57%, 0.67%, 3/8/2024 (c) | 100,000 | 99,597 | |||
SOFR + 0.61%, 0.86%, 2/12/2026 (c) | 535,000 | 524,578 | |||
SOFR + 0.80%, 1.43%, 3/9/2027 (c) | 80,000 | 78,356 | |||
SOFR + 0.82%, 1.54%, 9/10/2027 (c) | 900,000 | 882,261 | |||
SOFR + 0.91%, 1.95%, 10/21/2027 (c) | 230,000 | 229,236 | |||
SOFR + 1.09%, 1.99%, 1/27/2032 (c) | 90,000 | 86,140 | |||
SOFR + 1.26%, 2.65%, 10/21/2032 (c) | 115,000 | 115,762 | |||
SOFR + 1.28%, 2.62%, 4/22/2032 (c) | 180,000 | 180,914 | |||
SOFR + 1.51%, 3.21%, 4/22/2042 (c) | 155,000 | 160,473 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 340,915 | |||
SOFR + 1.25%, 2.38%, 7/21/2032 (c) | 525,000 | 516,973 | |||
Series FXD, 0.48%, 1/27/2023 | 200,000 | 199,450 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 63,788 | |||
Series VAR, SOFR + 0.79%, 1.09%, 12/9/2026 (c) | 450,000 | 438,435 |
Security Description | Principal Amount | Value | |||
HSBC Holdings PLC: | |||||
3.60%, 5/25/2023 | $ 250,000 | $ 259,317 | |||
4.30%, 3/8/2026 | 250,000 | 273,617 | |||
4.95%, 3/31/2030 | 250,000 | 293,150 | |||
5.25%, 3/14/2044 | 250,000 | 325,677 | |||
6.50%, 9/15/2037 | 200,000 | 275,532 | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (c) | 250,000 | 259,367 | |||
3 Month USD LIBOR + 1.21%, 3.80%, 3/11/2025 (c) | 750,000 | 787,537 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (c) | 200,000 | 215,968 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (c) | 250,000 | 280,080 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | 250,000 | 270,252 | |||
SOFR + 0.71%, 0.98%, 5/24/2025 (c) | 550,000 | 543,306 | |||
SOFR + 1.19%, 2.80%, 5/24/2032 (c) | 200,000 | 200,978 | |||
SOFR + 1.29%, 1.59%, 5/24/2027 (c) | 750,000 | 732,802 | |||
SOFR + 1.29%, 2.21%, 8/17/2029 (c) | 200,000 | 196,184 | |||
SOFR + 1.54%, 1.65%, 4/18/2026 (c) | 350,000 | 347,567 | |||
SOFR + 1.73%, 2.01%, 9/22/2028 (c) | 200,000 | 195,818 | |||
SOFR + 1.93%, 2.10%, 6/4/2026 (c) | 500,000 | 503,075 | |||
SOFR + 2.39%, 2.85%, 6/4/2031 (c) | 200,000 | 202,938 | |||
Huntington Bancshares, Inc. 4.00%, 5/15/2025 | 100,000 | 107,618 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 260,987 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 209,752 | |||
4.55%, 10/2/2028 | 200,000 | 229,466 | |||
Series VAR, SOFR + 1.01%, 1.73%, 4/1/2027 (c) | 500,000 | 496,665 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 (b) | 50,000 | 53,685 | |||
JPMorgan Chase & Co.: | |||||
2.70%, 5/18/2023 | 125,000 | 127,851 | |||
2.95%, 10/1/2026 | 350,000 | 369,663 | |||
2.97%, 1/15/2023 | 50,000 | 51,192 | |||
3.38%, 5/1/2023 | 75,000 | 77,401 | |||
3.88%, 2/1/2024 | 50,000 | 52,928 | |||
4.13%, 12/15/2026 | 50,000 | 55,155 |
Security Description | Principal Amount | Value | |||
4.25%, 10/1/2027 | $ 80,000 | $ 89,598 | |||
4.85%, 2/1/2044 | 50,000 | 65,483 | |||
4.95%, 6/1/2045 | 50,000 | 65,277 | |||
5.40%, 1/6/2042 | 50,000 | 68,006 | |||
5.50%, 10/15/2040 | 150,000 | 204,284 | |||
5.63%, 8/16/2043 | 250,000 | 347,677 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (c) | 75,000 | 77,466 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (c) | 200,000 | 208,442 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | 185,000 | 198,400 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 104,029 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (c) | 125,000 | 136,349 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (c) | 200,000 | 223,368 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 270,837 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 226,572 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 215,238 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 117,075 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 59,097 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 121,849 | |||
SOFR + 0.42%, 0.56%, 2/16/2025 (c) | 120,000 | 118,368 | |||
SOFR + 0.49%, 0.77%, 8/9/2025 (c) | 165,000 | 162,556 | |||
SOFR + 0.58%, 0.70%, 3/16/2024 (c) | 600,000 | 598,818 | |||
SOFR + 0.58%, 0.97%, 6/23/2025 (c) | 100,000 | 99,080 | |||
SOFR + 0.60%, 0.65%, 9/16/2024 (c) | 350,000 | 348,197 | |||
SOFR + 0.61%, 1.56%, 12/10/2025 (c) | 700,000 | 701,246 | |||
SOFR + 0.70%, 1.04%, 2/4/2027 (c) | 250,000 | 241,845 | |||
SOFR + 0.77%, 1.47%, 9/22/2027 (c) | 115,000 | 112,746 |
Security Description | Principal Amount | Value | |||
SOFR + 0.80%, 1.05%, 11/19/2026 (c) | $ 600,000 | $ 584,478 | |||
SOFR + 0.89%, 1.58%, 4/22/2027 (c) | 135,000 | 133,426 | |||
SOFR + 1.07%, 1.95%, 2/4/2032 (c) | 650,000 | 625,891 | |||
SOFR + 1.11%, 1.76%, 11/19/2031 (c) | 100,000 | 94,863 | |||
SOFR + 1.18%, 2.55%, 11/8/2032 (c) | 155,000 | 156,049 | |||
SOFR + 1.25%, 2.58%, 4/22/2032 (c) | 905,000 | 916,276 | |||
SOFR + 1.46%, 1.51%, 6/1/2024 (c) | 200,000 | 201,428 | |||
SOFR + 1.46%, 3.16%, 4/22/2042 (c) | 200,000 | 208,250 | |||
SOFR + 1.51%, 2.53%, 11/19/2041 (c) | 100,000 | 95,179 | |||
SOFR + 1.58%, 3.33%, 4/22/2052 (c) | 985,000 | 1,062,037 | |||
SOFR + 1.59%, 2.01%, 3/13/2026 (c) | 720,000 | 728,928 | |||
SOFR + 1.85%, 2.08%, 4/22/2026 (c) | 250,000 | 253,800 | |||
SOFR + 1.89%, 2.18%, 6/1/2028 (c) | 200,000 | 201,362 | |||
SOFR + 2.04%, 2.52%, 4/22/2031 (c) | 500,000 | 505,795 | |||
SOFR + 2.44%, 3.11%, 4/22/2051 (c) | 250,000 | 257,950 | |||
SOFR + 2.46%, 3.11%, 4/22/2041 (c) | 165,000 | 170,998 | |||
SOFR + 2.52%, 2.96%, 5/13/2031 (c) | 565,000 | 584,713 | |||
SOFR + 3.79%, 4.49%, 3/24/2031 (c) | 250,000 | 289,417 | |||
KeyBank NA Series BKNT, 3.40%, 5/20/2026 | 25,000 | 26,561 | |||
KeyCorp.: | |||||
Series MTN, 2.25%, 4/6/2027 | 100,000 | 101,680 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 71,118 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 25,698 | |||
Series GMTN, 1.75%, 7/27/2026 (b) | 50,000 | 50,945 | |||
Lloyds Banking Group PLC: | |||||
3.75%, 1/11/2027 | 100,000 | 108,111 | |||
3.90%, 3/12/2024 | 250,000 | 263,897 | |||
4.34%, 1/9/2048 | 200,000 | 234,132 | |||
4.55%, 8/16/2028 | 250,000 | 285,007 | |||
4.65%, 3/24/2026 | 100,000 | 110,161 | |||
1 year CMT + 0.55%, 0.70%, 5/11/2024 (c) | 200,000 | 199,132 |
Security Description | Principal Amount | Value | |||
1 year CMT + 0.85%, 1.63%, 5/11/2027 (c) | $ 200,000 | $ 196,706 | |||
1 year CMT + 3.50%, 3.87%, 7/9/2025 (c) | 250,000 | 264,270 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
1.41%, 7/17/2025 | 500,000 | 496,790 | |||
2.19%, 2/25/2025 | 250,000 | 255,165 | |||
2.76%, 9/13/2026 | 25,000 | 25,959 | |||
3.29%, 7/25/2027 | 50,000 | 53,411 | |||
3.41%, 3/7/2024 | 250,000 | 261,785 | |||
3.46%, 3/2/2023 | 50,000 | 51,484 | |||
3.68%, 2/22/2027 (b) | 50,000 | 54,384 | |||
3.74%, 3/7/2029 | 250,000 | 273,797 | |||
3.76%, 7/26/2023 | 100,000 | 104,368 | |||
3.78%, 3/2/2025 | 50,000 | 53,546 | |||
3.85%, 3/1/2026 | 25,000 | 27,085 | |||
3.96%, 3/2/2028 | 50,000 | 55,435 | |||
4.05%, 9/11/2028 (b) | 100,000 | 111,690 | |||
4.29%, 7/26/2038 (b) | 35,000 | 42,190 | |||
1 year CMT + 0.55%, 0.95%, 7/19/2025 (c) | 100,000 | 98,858 | |||
1 year CMT + 0.67%, 1.64%, 10/13/2027 (c) | 500,000 | 493,035 | |||
1 year CMT + 0.68%, 0.85%, 9/15/2024 (c) | 250,000 | 248,773 | |||
1 year CMT + 0.75%, 1.54%, 7/20/2027 (c) | 100,000 | 98,295 | |||
1 year CMT + 0.95%, 2.31%, 7/20/2032 (c) | 500,000 | 493,585 | |||
Mizuho Financial Group, Inc.: | |||||
2.56%, 9/13/2031 | 215,000 | 209,816 | |||
4.02%, 3/5/2028 | 200,000 | 222,210 | |||
SOFR + 1.24%, 2.84%, 7/16/2025 (c) | 200,000 | 206,814 | |||
SOFR + 1.57%, 2.87%, 9/13/2030 (b) (c) | 200,000 | 206,014 | |||
SOFR + 1.77%, 2.20%, 7/10/2031 (c) | 500,000 | 488,540 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 108,519 | |||
3.95%, 4/23/2027 | 25,000 | 27,492 | |||
4.30%, 1/27/2045 | 50,000 | 61,464 | |||
4.38%, 1/22/2047 | 100,000 | 125,410 | |||
6.38%, 7/24/2042 | 65,000 | 98,419 | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (c) | 250,000 | 258,745 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | 100,000 | 107,870 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (c) | 250,000 | 299,775 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 113,819 |
Security Description | Principal Amount | Value | |||
SOFR + 0.53%, 0.79%, 5/30/2025 (c) | $ 150,000 | $ 148,020 | |||
SOFR + 0.62%, 0.73%, 4/5/2024 (c) | 240,000 | 239,234 | |||
SOFR + 0.72%, 0.99%, 12/10/2026 (c) | 450,000 | 436,531 | |||
SOFR + 0.88%, 1.59%, 5/4/2027 (c) | 245,000 | 242,489 | |||
SOFR + 1.36%, 2.48%, 9/16/2036 (c) | 200,000 | 192,514 | |||
SOFR + 1.49%, 3.22%, 4/22/2042 (c) | 145,000 | 152,073 | |||
SOFR + 1.99%, 2.19%, 4/28/2026 (c) | 255,000 | 259,985 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 307,386 | |||
Series GMTN, 3.70%, 10/23/2024 | 250,000 | 266,310 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 51,728 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 135,516 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 542,310 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 55,381 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (c) | 250,000 | 284,682 | |||
Series GMTN, SOFR + 1.14%, 2.70%, 1/22/2031 (c) | 250,000 | 256,088 | |||
Series GMTN, SOFR + 4.84%, 5.60%, 3/24/2051 (c) | 200,000 | 298,638 | |||
Series I, SOFR + 0.75%, 0.86%, 10/21/2025 (c) | 515,000 | 507,960 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 238,529 | |||
Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024 (c) | 500,000 | 498,300 | |||
Series MTN, SOFR + 0.51%, 0.79%, 1/22/2025 (c) | 200,000 | 198,090 | |||
Series MTN, SOFR + 0.56%, 1.16%, 10/21/2025 (c) | 110,000 | 109,039 | |||
Series MTN, SOFR + 0.86%, 1.51%, 7/20/2027 (c) | 200,000 | 196,842 | |||
Series MTN, SOFR + 1.02%, 1.93%, 4/28/2032 (c) | 525,000 | 501,622 | |||
Series MTN, SOFR + 1.03%, 1.79%, 2/13/2032 (c) | 65,000 | 61,595 |
Security Description | Principal Amount | Value | |||
Series MTN, SOFR + 1.15%, 2.72%, 7/22/2025 (c) | $ 500,000 | $ 515,400 | |||
Series MTN, SOFR + 1.18%, 2.24%, 7/21/2032 (c) | 200,000 | 195,946 | |||
Series MTN, SOFR + 1.20%, 2.51%, 10/20/2032 (c) | 110,000 | 109,893 | |||
Series MTN, SOFR + 3.12%, 3.62%, 4/1/2031 (c) | 500,000 | 545,425 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 256,675 | |||
Series BKNT, 2.50%, 7/12/2026 (b) | 50,000 | 52,134 | |||
National Bank of Canada Series MTN, 1 year CMT + 0.40%, 0.55%, 11/15/2024 (c) | 250,000 | 247,195 | |||
Natwest Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 78,205 | |||
1 year CMT + 0.90%, 1.64%, 6/14/2027 (c) | 1,450,000 | 1,428,032 | |||
1 year CMT + 2.55%, 3.07%, 5/22/2028 (c) | 500,000 | 521,035 | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (c) | 250,000 | 261,610 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) | 200,000 | 225,044 | |||
Northern Trust Corp.: | |||||
1.95%, 5/1/2030 | 75,000 | 74,321 | |||
3.65%, 8/3/2028 (b) | 100,000 | 111,271 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 66,319 | |||
PNC Bank NA: | |||||
2.50%, 8/27/2024 | 250,000 | 258,335 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 268,367 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 | 150,000 | 153,951 | |||
2.55%, 1/22/2030 | 500,000 | 515,605 | |||
3.15%, 5/19/2027 | 100,000 | 107,632 | |||
3.45%, 4/23/2029 | 100,000 | 108,836 | |||
3.50%, 1/23/2024 | 50,000 | 52,360 | |||
3.90%, 4/29/2024 | 50,000 | 52,931 | |||
SOFR + 0.98%, 2.31%, 4/23/2032 (c) | 135,000 | 136,114 | |||
Regions Financial Corp. 2.25%, 5/18/2025 | 100,000 | 102,170 | |||
Royal Bank of Canada: | |||||
1.20%, 4/27/2026 | 100,000 | 98,304 |
Security Description | Principal Amount | Value | |||
Series GMTN, 1.15%, 7/14/2026 (b) | $ 100,000 | $ 97,939 | |||
Series GMTN, 1.60%, 4/17/2023 | 500,000 | 505,565 | |||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 524,350 | |||
Series GMTN, 4.65%, 1/27/2026 | 100,000 | 111,151 | |||
Series MTN, 0.50%, 10/26/2023 | 35,000 | 34,762 | |||
Series MTN, 2.30%, 11/3/2031 | 100,000 | 100,409 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 51,103 | |||
4.40%, 7/13/2027 | 50,000 | 54,946 | |||
4.50%, 7/17/2025 | 50,000 | 54,133 | |||
3.50%, 6/7/2024 | 70,000 | 72,995 | |||
Santander UK Group Holdings PLC: | |||||
3.57%, 1/10/2023 | 250,000 | 250,110 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) | 200,000 | 214,578 | |||
SOFR + 0.79%, 1.09%, 3/15/2025 (c) | 200,000 | 198,214 | |||
SOFR + 0.99%, 1.67%, 6/14/2027 (c) | 750,000 | 735,210 | |||
1 year CMT + 1.25%, 1.53%, 8/21/2026 (c) | 750,000 | 738,270 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
1.47%, 7/8/2025 | 200,000 | 198,912 | |||
1.90%, 9/17/2028 | 550,000 | 539,544 | |||
2.14%, 9/23/2030 | 200,000 | 192,294 | |||
2.30%, 1/12/2041 (b) | 750,000 | 693,420 | |||
2.35%, 1/15/2025 | 500,000 | 512,160 | |||
2.45%, 9/27/2024 | 200,000 | 205,580 | |||
3.01%, 10/19/2026 | 50,000 | 52,590 | |||
3.04%, 7/16/2029 | 200,000 | 208,852 | |||
3.10%, 1/17/2023 | 200,000 | 204,614 | |||
3.36%, 7/12/2027 | 50,000 | 53,655 | |||
3.75%, 7/19/2023 | 50,000 | 52,118 | |||
3.78%, 3/9/2026 | 30,000 | 32,371 | |||
3.94%, 7/19/2028 | 50,000 | 55,386 | |||
4.31%, 10/16/2028 (b) | 100,000 | 113,166 | |||
SunTrust Bank Series BKNT, 4.05%, 11/3/2025 | 40,000 | 43,742 | |||
SVB Financial Group: | |||||
1.80%, 10/28/2026 | 100,000 | 99,678 | |||
1.80%, 2/2/2031 | 135,000 | 127,930 | |||
2.10%, 5/15/2028 (b) | 80,000 | 80,068 | |||
Toronto-Dominion Bank: | |||||
0.55%, 3/4/2024 | 250,000 | 247,298 | |||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 52,107 |
Security Description | Principal Amount | Value | |||
Series MTN, 0.30%, 6/2/2023 | $ 100,000 | $ 99,400 | |||
Series MTN, 0.45%, 9/11/2023 | 200,000 | 198,672 | |||
Series MTN, 0.70%, 9/10/2024 (b) | 100,000 | 98,805 | |||
Series MTN, 0.75%, 6/12/2023 | 165,000 | 165,021 | |||
Series MTN, 0.75%, 9/11/2025 | �� | 250,000 | 243,588 | ||
Series MTN, 1.15%, 6/12/2025 | 200,000 | 198,472 | |||
Series MTN, 1.20%, 6/3/2026 | 100,000 | 98,322 | |||
Series MTN, 1.25%, 9/10/2026 | 100,000 | 98,276 | |||
Series MTN, 2.00%, 9/10/2031 | 100,000 | 98,548 | |||
Truist Bank: | |||||
Series BKNT, 1.25%, 3/9/2023 | 500,000 | 502,845 | |||
Series BKNT, 1.50%, 3/10/2025 | 250,000 | 251,593 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 102,243 | |||
Series BKNT, 3.63%, 9/16/2025 | 25,000 | 26,754 | |||
Truist Financial Corp.: | |||||
4.00%, 5/1/2025 | 100,000 | 107,977 | |||
Series MTN, 1.13%, 8/3/2027 | 100,000 | 96,781 | |||
Series MTN, 2.20%, 3/16/2023 | 100,000 | 101,617 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 103,278 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 52,554 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 110,216 | |||
Series MTN, SOFR + 0.61%, 1.27%, 3/2/2027 (c) | 60,000 | 58,807 | |||
Series MTN, SOFR + 0.86%, 1.89%, 6/7/2029 (c) | 50,000 | 49,211 | |||
US Bancorp: | |||||
1.45%, 5/12/2025 | 150,000 | 150,713 | |||
2.40%, 7/30/2024 | 100,000 | 103,344 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 105,562 | |||
Series MTN, 1.38%, 7/22/2030 | 150,000 | 141,308 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 52,933 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 26,561 |
Security Description | Principal Amount | Value | |||
US Bank NA: | |||||
Series BKNT, 2.05%, 1/21/2025 | $ 500,000 | $ 511,640 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 259,867 | |||
Wells Fargo & Co.: | |||||
3.00%, 4/22/2026 | 250,000 | 262,762 | |||
3.00%, 10/23/2026 | 250,000 | 262,942 | |||
4.13%, 8/15/2023 | 25,000 | 26,227 | |||
4.48%, 1/16/2024 | 25,000 | 26,622 | |||
5.38%, 11/2/2043 | 150,000 | 197,019 | |||
5.61%, 1/15/2044 | 325,000 | 438,747 | |||
SOFR + 2.00%, 2.19%, 4/30/2026 (c) | 310,000 | 315,856 | |||
SOFR + 2.53%, 3.07%, 4/30/2041 (c) | 915,000 | 936,118 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 55,890 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 189,062 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 157,895 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 53,388 | |||
Series MTN, 3.75%, 1/24/2024 | 1,000,000 | 1,050,660 | |||
Series MTN, 4.15%, 1/24/2029 | 250,000 | 279,527 | |||
Series MTN, 3 Month USD LIBOR + 0.75%, 2.16%, 2/11/2026 (c) | 625,000 | 635,331 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (c) | 110,000 | 116,172 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 376,369 | |||
Series MTN, SOFR + 1.09%, 2.41%, 10/30/2025 (c) | 250,000 | 256,178 | |||
Series MTN, SOFR + 1.26%, 2.57%, 2/11/2031 (c) | 250,000 | 255,178 | |||
Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (c) | 665,000 | 670,579 | |||
Series MTN, SOFR + 2.10%, 2.39%, 6/2/2028 (c) | 200,000 | 203,316 | |||
Series MTN, SOFR + 4.03%, 4.48%, 4/4/2031 (b) (c) | 150,000 | 173,927 | |||
Series MTN, SOFR + 4.50%, 5.01%, 4/4/2051 (c) | 500,000 | 683,325 | |||
Westpac Banking Corp.: | |||||
1.15%, 6/3/2026 | 100,000 | 98,387 |
Security Description | Principal Amount | Value | ||||
2.15%, 6/3/2031 (b) | $ 600,000 | $ 600,756 | ||||
2.35%, 2/19/2025 | 100,000 | 103,240 | ||||
2.85%, 5/13/2026 | 50,000 | 52,747 | ||||
2.96%, 11/16/2040 | 530,000 | 518,573 | ||||
3.30%, 2/26/2024 | 300,000 | 314,892 | ||||
3.35%, 3/8/2027 | 150,000 | 161,961 | ||||
3.40%, 1/25/2028 | 100,000 | 108,890 | ||||
3.65%, 5/15/2023 (b) | 100,000 | 103,981 | ||||
4.42%, 7/24/2039 | 25,000 | 29,319 | ||||
5 year CMT + 2.00%, 4.11%, 7/24/2034 (c) | 30,000 | 32,360 | ||||
5 year CMT + 1.75%, 2.67%, 11/15/2035 (c) | 40,000 | 38,996 | ||||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 258,485 | ||||
112,876,840 | ||||||
BEVERAGES — 0.7% | ||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.65%, 2/1/2026 | 250,000 | 269,682 | ||||
4.70%, 2/1/2036 | 125,000 | 150,993 | ||||
4.90%, 2/1/2046 | 250,000 | 316,667 | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.50%, 6/1/2030 | 500,000 | 547,845 | ||||
3.75%, 7/15/2042 | 50,000 | 54,360 | ||||
4.00%, 4/13/2028 | 80,000 | 88,948 | ||||
4.35%, 6/1/2040 | 500,000 | 588,015 | ||||
4.38%, 4/15/2038 | 215,000 | 251,305 | ||||
4.50%, 6/1/2050 | 250,000 | 308,747 | ||||
4.60%, 4/15/2048 | 35,000 | 42,835 | ||||
4.60%, 6/1/2060 | 500,000 | 623,780 | ||||
4.75%, 1/23/2029 | 750,000 | 873,262 | ||||
4.75%, 4/15/2058 | 125,000 | 157,370 | ||||
4.90%, 1/23/2031 (b) | 65,000 | 78,250 | ||||
4.95%, 1/15/2042 | 250,000 | 313,752 | ||||
5.45%, 1/23/2039 | 350,000 | 458,962 | ||||
5.55%, 1/23/2049 | 350,000 | 484,088 | ||||
5.80%, 1/23/2059 | 45,000 | 65,144 | ||||
Brown-Forman Corp.: | ||||||
3.50%, 4/15/2025 | 50,000 | 53,270 | ||||
4.00%, 4/15/2038 | 50,000 | 58,140 | ||||
Coca-Cola Co 1.45%, 6/1/2027 (b) | 790,000 | 786,176 | ||||
Coca-Cola Co.: | ||||||
1.00%, 3/15/2028 | 250,000 | 240,397 | ||||
1.38%, 3/15/2031 | 200,000 | 188,724 | ||||
1.50%, 3/5/2028 | 60,000 | 59,155 | ||||
2.00%, 3/5/2031 (b) | 65,000 | 64,809 | ||||
2.13%, 9/6/2029 (b) | 150,000 | 152,384 | ||||
2.25%, 1/5/2032 | 100,000 | 101,590 | ||||
2.50%, 3/15/2051 | 250,000 | 240,540 | ||||
2.60%, 6/1/2050 | 350,000 | 344,211 | ||||
2.88%, 5/5/2041 | 100,000 | 103,793 |
Security Description | Principal Amount | Value | ||||
3.00%, 3/5/2051 | $ 90,000 | $ 95,486 | ||||
Coca-Cola Femsa SAB de CV 1.85%, 9/1/2032 | 250,000 | 236,032 | ||||
Constellation Brands, Inc.: | ||||||
2.25%, 8/1/2031 | 250,000 | 244,357 | ||||
2.88%, 5/1/2030 | 25,000 | 25,629 | ||||
3.15%, 8/1/2029 | 100,000 | 105,348 | ||||
3.75%, 5/1/2050 | 20,000 | 21,888 | ||||
4.25%, 5/1/2023 | 25,000 | 26,075 | ||||
4.50%, 5/9/2047 | 50,000 | 59,730 | ||||
4.65%, 11/15/2028 | 30,000 | 34,417 | ||||
Diageo Capital PLC: | ||||||
2.13%, 4/29/2032 | 500,000 | 496,190 | ||||
2.63%, 4/29/2023 | 75,000 | 76,566 | ||||
3.88%, 5/18/2028 | 200,000 | 223,652 | ||||
Diageo Investment Corp. 4.25%, 5/11/2042 (b) | 25,000 | 30,563 | ||||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 157,532 | ||||
Keurig Dr Pepper, Inc.: | ||||||
0.75%, 3/15/2024 | 550,000 | 546,199 | ||||
2.25%, 3/15/2031 (b) | 40,000 | 39,502 | ||||
3.13%, 12/15/2023 | 50,000 | 51,884 | ||||
3.20%, 5/1/2030 | 45,000 | 47,621 | ||||
3.35%, 3/15/2051 | 280,000 | 291,441 | ||||
3.80%, 5/1/2050 | 70,000 | 77,488 | ||||
4.06%, 5/25/2023 | 25,000 | 26,054 | ||||
4.42%, 5/25/2025 | 200,000 | 217,974 | ||||
5.09%, 5/25/2048 | 25,000 | 32,674 | ||||
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 30,000 | 33,305 | ||||
Molson Coors Brewing Co. 3.00%, 7/15/2026 | 50,000 | 52,464 | ||||
PepsiCo, Inc.: | ||||||
0.40%, 10/7/2023 | 525,000 | 523,000 | ||||
0.75%, 5/1/2023 | 365,000 | 365,763 | ||||
1.40%, 2/25/2031 (b) | 40,000 | 38,195 | ||||
1.63%, 5/1/2030 | 75,000 | 73,040 | ||||
2.25%, 3/19/2025 | 250,000 | 258,640 | ||||
2.63%, 7/29/2029 | 50,000 | 52,584 | ||||
2.85%, 2/24/2026 | 85,000 | 89,869 | ||||
2.88%, 10/15/2049 | 100,000 | 104,838 | ||||
3.38%, 7/29/2049 | 35,000 | 39,476 | ||||
3.45%, 10/6/2046 | 150,000 | 169,412 | ||||
3.60%, 3/1/2024 | 775,000 | 816,346 | ||||
13,848,428 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Amgen, Inc.: | ||||||
2.20%, 2/21/2027 | 70,000 | 71,621 | ||||
2.30%, 2/25/2031 | 100,000 | 100,437 | ||||
2.77%, 9/1/2053 | 65,000 | 60,917 | ||||
3.15%, 2/21/2040 | 850,000 | 869,864 | ||||
3.20%, 11/2/2027 | 250,000 | 269,035 | ||||
3.38%, 2/21/2050 | 600,000 | 623,220 |
Security Description | Principal Amount | Value | ||||
3.63%, 5/22/2024 | $ 100,000 | $ 105,390 | ||||
4.40%, 5/1/2045 | 50,000 | 59,672 | ||||
4.56%, 6/15/2048 | 200,000 | 247,660 | ||||
4.66%, 6/15/2051 | 150,000 | 190,956 | ||||
Baxalta, Inc. 4.00%, 6/23/2025 | 8,000 | 8,618 | ||||
Biogen, Inc.: | ||||||
2.25%, 5/1/2030 | 35,000 | 34,491 | ||||
3.25%, 2/15/2051 (d) | 308,000 | 305,246 | ||||
4.05%, 9/15/2025 | 50,000 | 54,290 | ||||
Gilead Sciences, Inc.: | ||||||
0.75%, 9/29/2023 | 34,000 | 33,845 | ||||
1.20%, 10/1/2027 (b) | 295,000 | 285,126 | ||||
1.65%, 10/1/2030 (b) | 290,000 | 278,049 | ||||
2.60%, 10/1/2040 | 350,000 | 335,566 | ||||
2.80%, 10/1/2050 | 100,000 | 96,814 | ||||
2.95%, 3/1/2027 (b) | 25,000 | 26,335 | ||||
3.65%, 3/1/2026 | 85,000 | 91,668 | ||||
4.15%, 3/1/2047 | 120,000 | 141,457 | ||||
4.50%, 2/1/2045 | 25,000 | 30,558 | ||||
4.60%, 9/1/2035 | 100,000 | 121,144 | ||||
4.75%, 3/1/2046 | 175,000 | 221,777 | ||||
4.80%, 4/1/2044 | 25,000 | 31,601 | ||||
Regeneron Pharmaceuticals, Inc.: | ||||||
1.75%, 9/15/2030 | 35,000 | 33,122 | ||||
2.80%, 9/15/2050 | 30,000 | 28,184 | ||||
Royalty Pharma PLC: | ||||||
0.75%, 9/2/2023 | 55,000 | 54,646 | ||||
1.20%, 9/2/2025 | 70,000 | 68,757 | ||||
2.20%, 9/2/2030 | 40,000 | 38,738 | ||||
3.30%, 9/2/2040 (b) | 65,000 | 64,803 | ||||
3.55%, 9/2/2050 | 315,000 | 312,789 | ||||
5,296,396 | ||||||
BUILDING MATERIALS — 0.2% | ||||||
Carrier Global Corp.: | ||||||
2.24%, 2/15/2025 | 535,000 | 548,124 | ||||
2.49%, 2/15/2027 | 35,000 | 35,932 | ||||
2.70%, 2/15/2031 | 250,000 | 254,335 | ||||
2.72%, 2/15/2030 | 300,000 | 306,495 | ||||
3.38%, 4/5/2040 | 1,015,000 | 1,058,726 | ||||
3.58%, 4/5/2050 | 550,000 | 585,084 | ||||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 52,367 | ||||
Johnson Controls International PLC: | ||||||
4.50%, 2/15/2047 | 320,000 | 389,430 | ||||
3.63%, 7/2/2024 (c) (e) | 23,000 | 24,207 | ||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75%, 9/15/2030 | 15,000 | 14,388 | ||||
Lennox International, Inc. 1.35%, 8/1/2025 | 25,000 | 24,712 |
Security Description | Principal Amount | Value | ||||
Martin Marietta Materials, Inc.: | ||||||
0.65%, 7/15/2023 | $ 25,000 | $ 24,912 | ||||
2.40%, 7/15/2031 | 50,000 | 49,671 | ||||
3.20%, 7/15/2051 | 70,000 | 70,899 | ||||
4.25%, 12/15/2047 | 100,000 | 117,206 | ||||
Masco Corp.: | ||||||
2.00%, 2/15/2031 (b) | 100,000 | 96,089 | ||||
3.13%, 2/15/2051 (b) | 500,000 | 499,525 | ||||
4.50%, 5/15/2047 | 100,000 | 120,654 | ||||
Owens Corning: | ||||||
3.95%, 8/15/2029 | 70,000 | 76,621 | ||||
4.30%, 7/15/2047 | 100,000 | 114,913 | ||||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 126,041 | ||||
4,590,331 | ||||||
CHEMICALS — 0.4% | ||||||
Air Products & Chemicals, Inc.: | ||||||
1.50%, 10/15/2025 | 20,000 | 20,099 | ||||
2.05%, 5/15/2030 | 20,000 | 20,121 | ||||
2.70%, 5/15/2040 | 50,000 | 50,403 | ||||
2.80%, 5/15/2050 (b) | 35,000 | 35,663 | ||||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 27,121 | ||||
Celanese US Holdings LLC 3.50%, 5/8/2024 | 30,000 | 31,342 | ||||
Dow Chemical Co.: | ||||||
2.10%, 11/15/2030 (b) | 500,000 | 491,810 | ||||
3.60%, 11/15/2050 | 750,000 | 813,217 | ||||
3.63%, 5/15/2026 | 100,000 | 107,765 | ||||
4.25%, 10/1/2034 | 36,000 | 41,549 | ||||
4.38%, 11/15/2042 | 50,000 | 59,633 | ||||
4.80%, 11/30/2028 | 100,000 | 116,669 | ||||
4.80%, 5/15/2049 | 65,000 | 83,074 | ||||
DuPont de Nemours, Inc.: | ||||||
4.21%, 11/15/2023 | 750,000 | 793,095 | ||||
4.49%, 11/15/2025 | 100,000 | 110,496 | ||||
4.73%, 11/15/2028 (b) | 150,000 | 173,865 | ||||
5.42%, 11/15/2048 | 110,000 | 153,791 | ||||
Eastman Chemical Co.: | ||||||
3.80%, 3/15/2025 | 25,000 | 26,704 | ||||
4.50%, 12/1/2028 | 100,000 | 113,598 | ||||
Ecolab, Inc.: | ||||||
2.70%, 11/1/2026 | 150,000 | 157,818 | ||||
2.75%, 8/18/2055 | 500,000 | 491,295 | ||||
EI du Pont de Nemours & Co. 1.70%, 7/15/2025 | 40,000 | 40,369 | ||||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 120,108 | ||||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 22,211 | ||||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 45,000 | 50,987 |
Security Description | Principal Amount | Value | ||||
Linde, Inc.: | ||||||
3.20%, 1/30/2026 (b) | $ 275,000 | $ 293,265 | ||||
3.55%, 11/7/2042 | 25,000 | 28,419 | ||||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 31,059 | ||||
LYB International Finance III LLC: | ||||||
1.25%, 10/1/2025 | 20,000 | 19,707 | ||||
2.25%, 10/1/2030 (b) | 25,000 | 24,880 | ||||
3.38%, 10/1/2040 | 280,000 | 291,424 | ||||
3.63%, 4/1/2051 | 40,000 | 42,489 | ||||
3.80%, 10/1/2060 | 30,000 | 31,715 | ||||
4.20%, 10/15/2049 | 50,000 | 57,662 | ||||
4.20%, 5/1/2050 | 50,000 | 57,732 | ||||
LyondellBasell Industries NV: | ||||||
4.63%, 2/26/2055 | 25,000 | 30,710 | ||||
5.75%, 4/15/2024 | 100,000 | 108,903 | ||||
Mosaic Co.: | ||||||
4.05%, 11/15/2027 | 250,000 | 275,577 | ||||
5.63%, 11/15/2043 | 25,000 | 33,239 | ||||
NewMarket Corp. 2.70%, 3/18/2031 | 750,000 | 747,682 | ||||
Nutrien, Ltd.: | ||||||
2.95%, 5/13/2030 | 100,000 | 105,472 | ||||
3.00%, 4/1/2025 | 50,000 | 52,137 | ||||
4.00%, 12/15/2026 (b) | 50,000 | 54,823 | ||||
4.13%, 3/15/2035 | 25,000 | 28,413 | ||||
4.20%, 4/1/2029 | 85,000 | 95,845 | ||||
5.00%, 4/1/2049 | 150,000 | 201,727 | ||||
PPG Industries, Inc.: | ||||||
1.20%, 3/15/2026 | 70,000 | 68,540 | ||||
2.80%, 8/15/2029 | 100,000 | 104,692 | ||||
Praxair, Inc. 1.10%, 8/10/2030 | 500,000 | 466,880 | ||||
RPM International, Inc.: | ||||||
3.75%, 3/15/2027 | 50,000 | 54,490 | ||||
4.25%, 1/15/2048 | 200,000 | 230,236 | ||||
5.25%, 6/1/2045 | 25,000 | 32,343 | ||||
Sherwin-Williams Co.: | ||||||
2.20%, 3/15/2032 | 155,000 | 153,270 | ||||
2.30%, 5/15/2030 | 60,000 | 60,103 | ||||
2.95%, 8/15/2029 | 50,000 | 52,672 | ||||
3.30%, 5/15/2050 | 100,000 | 105,407 | ||||
3.45%, 6/1/2027 (b) | 30,000 | 32,510 | ||||
3.80%, 8/15/2049 | 50,000 | 56,554 | ||||
Westlake Chemical Corp.: | ||||||
3.13%, 8/15/2051 (b) | 350,000 | 337,767 | ||||
4.38%, 11/15/2047 | 150,000 | 176,722 | ||||
5.00%, 8/15/2046 | 100,000 | 126,531 | ||||
8,824,400 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Automatic Data Processing, Inc.: | ||||||
1.25%, 9/1/2030 | 75,000 | 70,841 |
Security Description | Principal Amount | Value | |||
1.70%, 5/15/2028 | $ 60,000 | $ 59,868 | |||
Block Financial LLC 3.88%, 8/15/2030 | 30,000 | 32,122 | |||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 52,669 | |||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 164,278 | |||
Equifax, Inc.: | |||||
2.60%, 12/1/2024 | 50,000 | 51,743 | |||
3.95%, 6/15/2023 | 40,000 | 41,593 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 121,489 | |||
Georgetown University Series 20A, 2.94%, 4/1/2050 | 25,000 | 25,124 | |||
Global Payments, Inc.: | |||||
1.20%, 3/1/2026 | 75,000 | 72,976 | |||
1.50%, 11/15/2024 | 55,000 | 55,016 | |||
2.15%, 1/15/2027 | 100,000 | 100,473 | |||
2.65%, 2/15/2025 | 350,000 | 359,961 | |||
GXO Logistics, Inc. 1.65%, 7/15/2026 (d) | 750,000 | 734,040 | |||
Massachusetts Institute of Technology: | |||||
3.96%, 7/1/2038 | 50,000 | 60,855 | |||
Series F, 2.99%, 7/1/2050 | 100,000 | 110,140 | |||
Moody's Corp.: | |||||
2.00%, 8/19/2031 (b) | 100,000 | 97,404 | |||
2.63%, 1/15/2023 | 250,000 | 254,185 | |||
2.75%, 8/19/2041 | 350,000 | 340,826 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 187,228 | |||
PayPal Holdings, Inc.: | |||||
1.35%, 6/1/2023 | 250,000 | 252,100 | |||
2.30%, 6/1/2030 | 55,000 | 55,806 | |||
2.40%, 10/1/2024 | 35,000 | 36,217 | |||
2.65%, 10/1/2026 (b) | 270,000 | 283,991 | |||
2.85%, 10/1/2029 | 30,000 | 31,603 | |||
3.25%, 6/1/2050 (b) | 65,000 | 69,681 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 255,600 | |||
Quanta Services, Inc.: | |||||
0.95%, 10/1/2024 | 30,000 | 29,652 | |||
2.35%, 1/15/2032 | 55,000 | 53,507 | |||
3.05%, 10/1/2041 | 250,000 | 244,600 | |||
RELX Capital, Inc.: | |||||
3.50%, 3/16/2023 | 30,000 | 30,889 | |||
4.00%, 3/18/2029 | 100,000 | 110,892 | |||
S&P Global, Inc.: | |||||
2.50%, 12/1/2029 (b) | 55,000 | 56,879 | |||
3.25%, 12/1/2049 | 65,000 | 70,695 |
Security Description | Principal Amount | Value | ||||
Total System Services, Inc. 4.45%, 6/1/2028 | $ 100,000 | $ 111,541 | ||||
Trustees of Princeton University Series 2020, 2.52%, 7/1/2050 | 20,000 | 20,048 | ||||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 29,155 | ||||
University of Chicago Series 20B, 2.76%, 4/1/2045 | 10,000 | 10,108 | ||||
University of Southern California: | ||||||
2.81%, 10/1/2050 | 50,000 | 50,652 | ||||
3.03%, 10/1/2039 | 25,000 | 26,441 | ||||
Series A, 3.23%, 10/1/2120 | 35,000 | 35,841 | ||||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 120,000 | 133,805 | ||||
4,992,534 | ||||||
COMPUTERS — 0.7% | ||||||
Apple, Inc.: | ||||||
0.55%, 8/20/2025 (b) | 200,000 | 195,210 | ||||
0.70%, 2/8/2026 (b) | 200,000 | 195,364 | ||||
0.75%, 5/11/2023 | 465,000 | 466,688 | ||||
1.13%, 5/11/2025 | 350,000 | 349,244 | ||||
1.20%, 2/8/2028 | 500,000 | 485,620 | ||||
1.25%, 8/20/2030 | 200,000 | 188,866 | ||||
1.65%, 5/11/2030 | 90,000 | 87,932 | ||||
1.65%, 2/8/2031 | 200,000 | 194,868 | ||||
2.05%, 9/11/2026 (b) | 750,000 | 771,157 | ||||
2.38%, 2/8/2041 | 50,000 | 48,511 | ||||
2.40%, 1/13/2023 | 200,000 | 203,452 | ||||
2.40%, 5/3/2023 | 25,000 | 25,587 | ||||
2.40%, 8/20/2050 | 110,000 | 103,282 | ||||
2.65%, 5/11/2050 | 300,000 | 294,690 | ||||
2.65%, 2/8/2051 | 200,000 | 196,486 | ||||
2.70%, 8/5/2051 | 350,000 | 347,301 | ||||
2.75%, 1/13/2025 | 200,000 | 209,098 | ||||
2.80%, 2/8/2061 | 100,000 | 98,844 | ||||
2.85%, 5/11/2024 | 200,000 | 208,444 | ||||
3.00%, 2/9/2024 | 850,000 | 885,581 | ||||
3.00%, 11/13/2027 | 100,000 | 107,372 | ||||
3.20%, 5/11/2027 | 250,000 | 269,715 | ||||
3.25%, 2/23/2026 | 150,000 | 160,495 | ||||
3.45%, 5/6/2024 | 250,000 | 264,425 | ||||
3.45%, 2/9/2045 | 350,000 | 390,859 | ||||
3.85%, 5/4/2043 | 25,000 | 29,533 | ||||
3.85%, 8/4/2046 | 150,000 | 177,705 | ||||
4.38%, 5/13/2045 | 75,000 | 94,876 | ||||
4.50%, 2/23/2036 | 350,000 | 439,250 | ||||
4.65%, 2/23/2046 | 75,000 | 98,527 |
Security Description | Principal Amount | Value | ||||
Dell International LLC/EMC Corp.: | ||||||
3.38%, 12/15/2041 (d) | $ 250,000 | $ 247,527 | ||||
3.45%, 12/15/2051 (d) | 250,000 | 240,035 | ||||
4.00%, 7/15/2024 | 50,000 | 53,092 | ||||
4.90%, 10/1/2026 | 100,000 | 112,729 | ||||
5.45%, 6/15/2023 | 87,000 | 91,880 | ||||
6.02%, 6/15/2026 | 520,000 | 602,550 | ||||
6.20%, 7/15/2030 | 250,000 | 316,017 | ||||
8.35%, 7/15/2046 | 252,000 | 422,037 | ||||
DXC Technology Co.: | ||||||
1.80%, 9/15/2026 | 100,000 | 99,034 | ||||
2.38%, 9/15/2028 | 100,000 | 98,028 | ||||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 52,678 | ||||
Hewlett Packard Enterprise Co.: | ||||||
1.45%, 4/1/2024 | 150,000 | 150,903 | ||||
1.75%, 4/1/2026 | 150,000 | 150,023 | ||||
4.45%, 10/2/2023 | 250,000 | 263,900 | ||||
4.90%, 10/15/2025 | 70,000 | 77,683 | ||||
6.20%, 10/15/2035 | 10,000 | 13,115 | ||||
6.35%, 10/15/2045 | 10,000 | 13,391 | ||||
HP, Inc.: | ||||||
1.45%, 6/17/2026 (d) | 200,000 | 196,794 | ||||
6.00%, 9/15/2041 | 250,000 | 333,022 | ||||
International Business Machines Corp.: | ||||||
1.70%, 5/15/2027 | 850,000 | 847,390 | ||||
1.95%, 5/15/2030 | 350,000 | 342,198 | ||||
2.85%, 5/15/2040 | 100,000 | 98,434 | ||||
2.95%, 5/15/2050 (b) | 100,000 | 97,748 | ||||
3.00%, 5/15/2024 | 200,000 | 208,898 | ||||
3.30%, 5/15/2026 | 250,000 | 267,590 | ||||
3.50%, 5/15/2029 | 215,000 | 233,565 | ||||
3.63%, 2/12/2024 | 50,000 | 52,692 | ||||
4.15%, 5/15/2039 | 100,000 | 115,599 | ||||
4.70%, 2/19/2046 | 325,000 | 419,149 | ||||
5.88%, 11/29/2032 (b) | 25,000 | 32,957 | ||||
Leidos, Inc.: | ||||||
2.30%, 2/15/2031 | 55,000 | 52,793 | ||||
3.63%, 5/15/2025 | 25,000 | 26,541 | ||||
Western Digital Corp.: | ||||||
2.85%, 2/1/2029 | 30,000 | 30,284 | ||||
3.10%, 2/1/2032 | 55,000 | 55,396 | ||||
14,004,654 | ||||||
COSMETICS/PERSONAL CARE — 0.1% | ||||||
Colgate-Palmolive Co. Series MTN, 3.70%, 8/1/2047 | 55,000 | 66,923 | ||||
Estee Lauder Cos., Inc.: | ||||||
1.95%, 3/15/2031 | 95,000 | 93,735 | ||||
2.00%, 12/1/2024 | 45,000 | 46,141 | ||||
2.38%, 12/1/2029 | 40,000 | 40,954 | ||||
3.13%, 12/1/2049 | 60,000 | 65,540 |
Security Description | Principal Amount | Value | ||||
Procter & Gamble Co.: | ||||||
0.55%, 10/29/2025 | $ 550,000 | $ 537,009 | ||||
1.00%, 4/23/2026 (b) | 500,000 | 495,270 | ||||
1.20%, 10/29/2030 (b) | 800,000 | 757,088 | ||||
2.45%, 11/3/2026 | 150,000 | 157,319 | ||||
3.00%, 3/25/2030 | 100,000 | 108,649 | ||||
Unilever Capital Corp.: | ||||||
0.63%, 8/12/2024 (b) | 100,000 | 99,380 | ||||
1.38%, 9/14/2030 | 100,000 | 94,636 | ||||
1.75%, 8/12/2031 | 140,000 | 136,121 | ||||
2.00%, 7/28/2026 | 100,000 | 102,351 | ||||
2.90%, 5/5/2027 | 150,000 | 159,163 | ||||
3.10%, 7/30/2025 | 50,000 | 53,023 | ||||
3,013,302 | ||||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | ||||||
WW Grainger, Inc.: | ||||||
1.85%, 2/15/2025 | 100,000 | 101,753 | ||||
4.60%, 6/15/2045 | 50,000 | 64,009 | ||||
165,762 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
1.15%, 10/29/2023 | 150,000 | 149,371 | ||||
1.65%, 10/29/2024 | 1,150,000 | 1,148,482 | ||||
1.75%, 1/30/2026 | 225,000 | 221,031 | ||||
2.45%, 10/29/2026 | 150,000 | 151,126 | ||||
3.30%, 1/30/2032 | 150,000 | 152,970 | ||||
3.40%, 10/29/2033 | 150,000 | 152,661 | ||||
3.65%, 7/21/2027 | 150,000 | 158,254 | ||||
4.50%, 9/15/2023 | 150,000 | 157,425 | ||||
6.50%, 7/15/2025 | 500,000 | 571,775 | ||||
Series 3NC1, 1.75%, 10/29/2024 | 150,000 | 149,811 | ||||
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | 70,000 | 74,073 | ||||
Air Lease Corp.: | ||||||
0.80%, 8/18/2024 | 85,000 | 83,309 | ||||
1.88%, 8/15/2026 | 100,000 | 98,474 | ||||
2.75%, 1/15/2023 | 50,000 | 50,814 | ||||
3.00%, 9/15/2023 | 25,000 | 25,669 | ||||
3.13%, 12/1/2030 | 100,000 | 102,110 | ||||
3.25%, 3/1/2025 | 100,000 | 103,945 | ||||
3.63%, 4/1/2027 | 70,000 | 73,676 | ||||
3.88%, 7/3/2023 | 50,000 | 51,816 | ||||
4.25%, 9/15/2024 | 25,000 | 26,612 | ||||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 159,868 | ||||
Series MTN, 0.70%, 2/15/2024 | 100,000 | 98,509 | ||||
Series MTN, 2.88%, 1/15/2026 | 160,000 | 165,016 | ||||
Aircastle, Ltd.: | ||||||
4.13%, 5/1/2024 | 25,000 | 26,152 |
Security Description | Principal Amount | Value | |||
4.25%, 6/15/2026 | $ 65,000 | $ 69,692 | |||
5.00%, 4/1/2023 | 25,000 | 26,113 | |||
Ally Financial, Inc.: | |||||
1.45%, 10/2/2023 | 195,000 | 195,677 | |||
2.20%, 11/2/2028 | 100,000 | 99,375 | |||
3.05%, 6/5/2023 | 65,000 | 66,624 | |||
5.80%, 5/1/2025 (b) | 215,000 | 242,673 | |||
American Express Co.: | |||||
1.65%, 11/4/2026 | 550,000 | 551,452 | |||
2.50%, 7/30/2024 | 165,000 | 170,433 | |||
3.00%, 10/30/2024 | 100,000 | 104,824 | |||
3.40%, 2/27/2023 | 200,000 | 205,774 | |||
3.70%, 8/3/2023 | 50,000 | 52,124 | |||
4.20%, 11/6/2025 | 105,000 | 115,587 | |||
Ameriprise Financial, Inc. 3.70%, 10/15/2024 (b) | 50,000 | 53,376 | |||
Aptiv PLC 4.35%, 3/15/2029 | 45,000 | 51,088 | |||
BlackRock, Inc.: | |||||
1.90%, 1/28/2031 | 25,000 | 24,648 | |||
2.40%, 4/30/2030 | 45,000 | 46,224 | |||
3.20%, 3/15/2027 (b) | 56,000 | 60,473 | |||
3.25%, 4/30/2029 | 60,000 | 65,323 | |||
3.50%, 3/18/2024 | 25,000 | 26,433 | |||
Blackstone Private Credit Fund 2.63%, 12/15/2026 (d) | 200,000 | 195,154 | |||
BorgWarner, Inc. 2.65%, 7/1/2027 (b) | 50,000 | 51,697 | |||
Brookfield Finance, Inc.: | |||||
2.72%, 4/15/2031 | 80,000 | 80,768 | |||
3.50%, 3/30/2051 | 50,000 | 52,712 | |||
3.90%, 1/25/2028 | 50,000 | 54,894 | |||
4.35%, 4/15/2030 | 100,000 | 112,710 | |||
4.70%, 9/20/2047 | 50,000 | 61,503 | |||
4.85%, 3/29/2029 | 100,000 | 115,271 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 256,152 | |||
3.30%, 10/30/2024 | 100,000 | 105,413 | |||
3.75%, 7/28/2026 | 125,000 | 133,926 | |||
3.80%, 1/31/2028 | 250,000 | 272,252 | |||
3.90%, 1/29/2024 | 200,000 | 210,670 | |||
SOFR + 0.86%, 1.88%, 11/2/2027 (c) | 300,000 | 298,722 | |||
SOFR + 1.27%, 2.62%, 11/2/2032 (c) | 300,000 | 298,761 | |||
Cboe Global Markets, Inc. 1.63%, 12/15/2030 | 100,000 | 95,009 | |||
Charles Schwab Corp.: | |||||
0.75%, 3/18/2024 | 500,000 | 497,750 | |||
0.90%, 3/11/2026 | 250,000 | 244,302 | |||
1.15%, 5/13/2026 | 50,000 | 49,360 | |||
1.65%, 3/11/2031 (b) | 250,000 | 240,157 | |||
2.30%, 5/13/2031 | 100,000 | 100,980 | |||
2.65%, 1/25/2023 | 100,000 | 101,936 | |||
3.20%, 1/25/2028 | 50,000 | 53,745 |
Security Description | Principal Amount | Value | |||
3.45%, 2/13/2026 | $ 50,000 | $ 53,678 | |||
3.85%, 5/21/2025 | 250,000 | 269,432 | |||
4.00%, 2/1/2029 | 50,000 | 56,092 | |||
CI Financial Corp. 3.20%, 12/17/2030 | 250,000 | 256,957 | |||
CME Group, Inc. 3.75%, 6/15/2028 | 100,000 | 111,038 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 71,149 | |||
Discover Financial Services: | |||||
4.10%, 2/9/2027 | 75,000 | 81,658 | |||
4.50%, 1/30/2026 | 50,000 | 54,762 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 160,761 | |||
Franklin Resources, Inc. 1.60%, 10/30/2030 (b) | 100,000 | 94,391 | |||
Intercontinental Exchange, Inc.: | |||||
2.10%, 6/15/2030 (b) | 30,000 | 29,757 | |||
2.65%, 9/15/2040 | 50,000 | 48,584 | |||
3.00%, 6/15/2050 | 25,000 | 25,262 | |||
3.00%, 9/15/2060 | 50,000 | 49,434 | |||
3.10%, 9/15/2027 | 100,000 | 106,522 | |||
3.75%, 12/1/2025 (b) | 180,000 | 194,495 | |||
4.25%, 9/21/2048 | 150,000 | 187,293 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 54,065 | |||
Jefferies Group LLC: | |||||
2.75%, 10/15/2032 | 40,000 | 39,736 | |||
6.50%, 1/20/2043 | 50,000 | 69,335 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
2.63%, 10/15/2031 | 250,000 | 246,855 | |||
4.15%, 1/23/2030 | 50,000 | 55,508 | |||
4.85%, 1/15/2027 | 90,000 | 102,290 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 114,251 | |||
Lear Corp. 3.50%, 5/30/2030 | 25,000 | 26,619 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 102,498 | |||
2.95%, 6/1/2029 | 100,000 | 106,981 | |||
3.30%, 3/26/2027 | 30,000 | 32,443 | |||
3.35%, 3/26/2030 | 50,000 | 54,985 | |||
3.50%, 2/26/2028 | 30,000 | 32,858 | |||
3.65%, 6/1/2049 | 100,000 | 115,826 | |||
3.85%, 3/26/2050 | 515,000 | 619,128 | |||
3.95%, 2/26/2048 | 30,000 | 36,147 | |||
Nasdaq, Inc.: | |||||
1.65%, 1/15/2031 | 200,000 | 186,150 | |||
2.50%, 12/21/2040 | 250,000 | 231,410 | |||
3.25%, 4/28/2050 | 40,000 | 40,724 | |||
Nomura Holdings, Inc.: | |||||
1.65%, 7/14/2026 | 150,000 | 147,515 | |||
1.85%, 7/16/2025 | 200,000 | 200,142 |
Security Description | Principal Amount | Value | ||||
2.65%, 1/16/2025 | $ 500,000 | $ 514,435 | ||||
ORIX Corp.: | ||||||
2.25%, 3/9/2031 (b) | 100,000 | 100,135 | ||||
3.70%, 7/18/2027 | 50,000 | 54,356 | ||||
Raymond James Financial, Inc. 3.75%, 4/1/2051 | 165,000 | 182,436 | ||||
Stifel Financial Corp. 4.00%, 5/15/2030 | 100,000 | 110,123 | ||||
Synchrony Financial: | ||||||
2.88%, 10/28/2031 | 150,000 | 149,616 | ||||
4.50%, 7/23/2025 | 50,000 | 54,055 | ||||
Visa, Inc.: | ||||||
0.75%, 8/15/2027 | 45,000 | 43,301 | ||||
1.10%, 2/15/2031 | 500,000 | 466,850 | ||||
1.90%, 4/15/2027 | 500,000 | 508,165 | ||||
2.05%, 4/15/2030 | 150,000 | 151,639 | ||||
2.70%, 4/15/2040 | 350,000 | 357,346 | ||||
2.75%, 9/15/2027 | 250,000 | 264,392 | ||||
3.65%, 9/15/2047 | 100,000 | 116,384 | ||||
4.15%, 12/14/2035 | 50,000 | 59,864 | ||||
4.30%, 12/14/2045 | 200,000 | 251,716 | ||||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 104,174 | ||||
18,020,424 | ||||||
ELECTRIC — 1.9% | ||||||
AEP Texas, Inc.: | ||||||
3.45%, 5/15/2051 | 50,000 | 51,006 | ||||
3.80%, 10/1/2047 | 25,000 | 26,815 | ||||
Series H, 3.45%, 1/15/2050 | 100,000 | 102,293 | ||||
AEP Transmission Co. LLC: | ||||||
3.75%, 12/1/2047 | 100,000 | 112,533 | ||||
3.80%, 6/15/2049 | 50,000 | 56,970 | ||||
4.25%, 9/15/2048 | 20,000 | 24,163 | ||||
AES Corp.: | ||||||
1.38%, 1/15/2026 | 250,000 | 242,955 | ||||
2.45%, 1/15/2031 | 500,000 | 487,605 | ||||
Alabama Power Co.: | ||||||
3.13%, 7/15/2051 | 50,000 | 51,218 | ||||
3.85%, 12/1/2042 | 75,000 | 84,503 | ||||
Series 20-A, 1.45%, 9/15/2030 | 50,000 | 47,078 | ||||
Series A, 4.30%, 7/15/2048 | 65,000 | 78,778 | ||||
Ameren Corp.: | ||||||
1.75%, 3/15/2028 | 50,000 | 48,449 | ||||
3.65%, 2/15/2026 | 50,000 | 53,285 | ||||
Ameren Illinois Co.: | ||||||
3.70%, 12/1/2047 | 50,000 | 57,117 | ||||
3.80%, 5/15/2028 (b) | 25,000 | 27,588 | ||||
4.15%, 3/15/2046 | 50,000 | 60,406 | ||||
4.50%, 3/15/2049 | 50,000 | 63,877 |
Security Description | Principal Amount | Value | |||
American Electric Power Co., Inc.: | |||||
5 year CMT + 2.68%, 3.88%, 2/15/2062 (c) | $ 250,000 | $ 253,187 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 111,728 | |||
Series M, 0.75%, 11/1/2023 | 20,000 | 19,890 | |||
Series N, 1.00%, 11/1/2025 | 30,000 | 29,361 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 29,104 | |||
7.00%, 4/1/2038 | 25,000 | 36,165 | |||
Arizona Public Service Co.: | |||||
2.65%, 9/15/2050 | 85,000 | 77,410 | |||
3.75%, 5/15/2046 | 25,000 | 27,356 | |||
4.20%, 8/15/2048 | 25,000 | 28,795 | |||
4.25%, 3/1/2049 | 50,000 | 58,409 | |||
4.35%, 11/15/2045 | 50,000 | 58,707 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 52,375 | |||
Baltimore Gas & Electric Co.: | |||||
2.25%, 6/15/2031 | 400,000 | 401,456 | |||
6.35%, 10/1/2036 | 50,000 | 70,809 | |||
Berkshire Hathaway Energy Co.: | |||||
1.65%, 5/15/2031 | 30,000 | 28,452 | |||
2.80%, 1/15/2023 | 40,000 | 40,816 | |||
2.85%, 5/15/2051 | 300,000 | 288,534 | |||
3.25%, 4/15/2028 | 30,000 | 32,183 | |||
3.70%, 7/15/2030 | 250,000 | 277,575 | |||
3.75%, 11/15/2023 | 350,000 | 366,191 | |||
4.25%, 10/15/2050 | 500,000 | 610,510 | |||
4.50%, 2/1/2045 | 50,000 | 60,702 | |||
5.15%, 11/15/2043 | 150,000 | 193,180 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 26,142 | |||
3.88%, 10/15/2049 | 100,000 | 110,712 | |||
4.35%, 5/1/2033 | 30,000 | 34,073 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 59,530 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 105,653 | |||
Series AC, 4.25%, 2/1/2049 | 200,000 | 249,020 | |||
Series AE, 2.35%, 4/1/2031 | 55,000 | 56,004 | |||
Series AF, 3.35%, 4/1/2051 | 350,000 | 387,138 | |||
Series Z, 2.40%, 9/1/2026 (b) | 50,000 | 51,576 | |||
CenterPoint Energy, Inc.: | |||||
2.65%, 6/1/2031 | 40,000 | 40,479 | |||
4.25%, 11/1/2028 | 25,000 | 27,909 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 24,110 |
Security Description | Principal Amount | Value | |||
CMS Energy Corp.: | |||||
3.45%, 8/15/2027 | $ 50,000 | $ 53,767 | |||
5 year CMT + 4.12%, 4.75%, 6/1/2050 (c) | 50,000 | 54,262 | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 | 125,000 | 147,154 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 170,395 | |||
Series 130, 3.13%, 3/15/2051 | 150,000 | 156,003 | |||
Series 131, 2.75%, 9/1/2051 | 285,000 | 278,191 | |||
Connecticut Light & Power Co.: | |||||
Series A, 0.75%, 12/1/2025 | 250,000 | 243,130 | |||
Series A, 3.20%, 3/15/2027 | 150,000 | 160,128 | |||
Series A, 4.15%, 6/1/2045 (b) | 100,000 | 120,457 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
2.40%, 6/15/2031 | 200,000 | 201,328 | |||
3.20%, 12/1/2051 | 500,000 | 503,855 | |||
3.60%, 6/15/2061 | 250,000 | 265,537 | |||
3.70%, 11/15/2059 | 85,000 | 91,306 | |||
3.85%, 6/15/2046 | 50,000 | 54,245 | |||
4.45%, 3/15/2044 | 75,000 | 88,209 | |||
4.50%, 5/15/2058 | 100,000 | 122,963 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 34,285 | |||
Series 20B, 3.95%, 4/1/2050 | 250,000 | 287,117 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 115,081 | |||
Series C, 3.00%, 12/1/2060 | 150,000 | 140,347 | |||
Series D, 4.00%, 12/1/2028 | 100,000 | 112,035 | |||
Consumers Energy Co.: | |||||
0.35%, 6/1/2023 | 25,000 | 24,848 | |||
3.25%, 8/15/2046 | 50,000 | 53,364 | |||
3.75%, 2/15/2050 | 50,000 | 57,633 | |||
4.05%, 5/15/2048 | 100,000 | 119,849 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 | 30,000 | 34,225 | |||
Dominion Energy South Carolina, Inc. Series A, 2.30%, 12/1/2031 | 150,000 | 151,282 | |||
Dominion Energy, Inc.: | |||||
4.70%, 12/1/2044 | 130,000 | 161,115 | |||
Series A, 1.45%, 4/15/2026 | 75,000 | 74,247 | |||
Series B, 3.30%, 4/15/2041 | 565,000 | 586,058 |
Security Description | Principal Amount | Value | |||
Series C, 2.25%, 8/15/2031 | $ 45,000 | $ 44,079 | |||
Series C, 3.38%, 4/1/2030 | 350,000 | 372,799 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 26,092 | |||
DTE Electric Co.: | |||||
2.25%, 3/1/2030 | 500,000 | 502,120 | |||
3.70%, 6/1/2046 | 75,000 | 84,650 | |||
DTE Energy Co.: | |||||
Series C, 3.40%, 6/15/2029 | 164,000 | 173,584 | |||
Series F, 1.05%, 6/1/2025 | 70,000 | 68,697 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 | 150,000 | 153,426 | |||
2.55%, 4/15/2031 | 75,000 | 76,834 | |||
3.20%, 8/15/2049 | 100,000 | 103,913 | |||
3.45%, 4/15/2051 (b) | 90,000 | 98,786 | |||
3.88%, 3/15/2046 | 150,000 | 170,085 | |||
3.95%, 11/15/2028 | 100,000 | 111,353 | |||
4.25%, 12/15/2041 | 130,000 | 153,068 | |||
Duke Energy Corp.: | |||||
0.90%, 9/15/2025 | 350,000 | 340,263 | |||
2.55%, 6/15/2031 | 100,000 | 99,942 | |||
2.65%, 9/1/2026 | 50,000 | 51,897 | |||
3.15%, 8/15/2027 | 100,000 | 105,699 | |||
3.30%, 6/15/2041 | 850,000 | 864,934 | |||
3.50%, 6/15/2051 | 100,000 | 103,953 | |||
3.75%, 9/1/2046 | 250,000 | 267,862 | |||
3.95%, 8/15/2047 | 150,000 | 165,241 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 153,525 | |||
3.20%, 1/15/2027 (b) | 250,000 | 266,525 | |||
6.40%, 6/15/2038 | 50,000 | 72,149 | |||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | 65,000 | 61,316 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 30,763 | |||
Duke Energy Progress LLC: | |||||
2.50%, 8/15/2050 | 100,000 | 93,036 | |||
3.60%, 9/15/2047 | 50,000 | 55,366 | |||
3.70%, 9/1/2028 | 50,000 | 54,913 | |||
4.20%, 8/15/2045 | 150,000 | 179,487 | |||
Edison International: | |||||
2.95%, 3/15/2023 | 50,000 | 51,059 | |||
3.55%, 11/15/2024 | 80,000 | 83,957 | |||
4.13%, 3/15/2028 | 50,000 | 53,109 | |||
Emera US Finance L.P.: | |||||
0.83%, 6/15/2024 | 750,000 | 735,502 | |||
4.75%, 6/15/2046 | 130,000 | 154,415 | |||
Enel Chile SA 4.88%, 6/12/2028 (b) | 50,000 | 55,122 | |||
Entergy Arkansas LLC: | |||||
2.65%, 6/15/2051 (b) | 100,000 | 93,581 | |||
3.35%, 6/15/2052 | 100,000 | 105,929 | |||
4.20%, 4/1/2049 (b) | 25,000 | 29,910 |
Security Description | Principal Amount | Value | |||
Entergy Corp.: | |||||
1.90%, 6/15/2028 | $ 125,000 | $ 122,579 | |||
2.40%, 6/15/2031 | 150,000 | 148,219 | |||
2.95%, 9/1/2026 | 50,000 | 52,303 | |||
Entergy Louisiana LLC: | |||||
0.62%, 11/17/2023 | 25,000 | 24,805 | |||
3.05%, 6/1/2031 (b) | 25,000 | 26,478 | |||
3.10%, 6/15/2041 | 250,000 | 256,857 | |||
3.25%, 4/1/2028 (b) | 200,000 | 212,798 | |||
4.20%, 4/1/2050 | 50,000 | 60,198 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 26,152 | |||
3.50%, 6/1/2051 | 145,000 | 159,652 | |||
3.85%, 6/1/2049 | 125,000 | 144,040 | |||
Entergy Texas, Inc.: | |||||
1.75%, 3/15/2031 | 85,000 | 79,970 | |||
3.55%, 9/30/2049 | 25,000 | 26,501 | |||
Evergy Kansas Central, Inc.: | |||||
3.25%, 9/1/2049 | 25,000 | 26,016 | |||
4.13%, 3/1/2042 | 30,000 | 34,815 | |||
Evergy Metro, Inc.: | |||||
4.20%, 6/15/2047 | 25,000 | 29,819 | |||
4.20%, 3/15/2048 | 50,000 | 59,818 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 119,188 | |||
Series 2020, 2.25%, 6/1/2030 (b) | 50,000 | 49,884 | |||
Eversource Energy: | |||||
Series L, 2.90%, 10/1/2024 | 250,000 | 259,305 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 15,743 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 27,913 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 106,640 | |||
3.95%, 6/15/2025 | 50,000 | 53,564 | |||
4.70%, 4/15/2050 | 250,000 | 315,207 | |||
5.10%, 6/15/2045 | 330,000 | 427,317 | |||
Florida Power & Light Co.: | |||||
2.85%, 4/1/2025 | 500,000 | 523,230 | |||
3.15%, 10/1/2049 | 30,000 | 32,136 | |||
3.25%, 6/1/2024 | 25,000 | 26,071 | |||
3.95%, 3/1/2048 | 85,000 | 102,090 | |||
3.99%, 3/1/2049 | 25,000 | 30,405 | |||
4.05%, 10/1/2044 | 50,000 | 59,679 | |||
4.13%, 6/1/2048 | 100,000 | 123,075 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 52,177 | |||
Georgia Power Co.: | |||||
Series A, 2.20%, 9/15/2024 | 100,000 | 102,235 | |||
Series A, 3.25%, 3/15/2051 | 570,000 | 574,725 | |||
Indiana Michigan Power Co.: | |||||
3.25%, 5/1/2051 | 45,000 | 46,751 | |||
4.25%, 8/15/2048 | 15,000 | 17,815 |
Security Description | Principal Amount | Value | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 | $ 50,000 | $ 54,153 | |||
3.70%, 9/15/2046 | 50,000 | 56,403 | |||
4.10%, 9/26/2028 | 50,000 | 55,715 | |||
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 | 100,000 | 109,680 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 53,055 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 176,038 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
0.35%, 2/8/2024 (b) | 345,000 | 339,628 | |||
1.00%, 6/15/2026 | 100,000 | 97,642 | |||
1.35%, 3/15/2031 | 50,000 | 46,175 | |||
2.95%, 2/7/2024 | 100,000 | 103,605 | |||
3.40%, 2/7/2028 | 50,000 | 53,938 | |||
3.90%, 11/1/2028 | 100,000 | 111,206 | |||
4.02%, 11/1/2032 | 50,000 | 56,791 | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c) | 75,000 | 76,545 | |||
Series MTN, 1.65%, 6/15/2031 (b) | 200,000 | 189,038 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
0.65%, 3/1/2023 | 570,000 | 568,820 | |||
1.90%, 6/15/2028 | 750,000 | 744,352 | |||
2.25%, 6/1/2030 | 250,000 | 249,365 | |||
2.44%, 1/15/2032 | 500,000 | 501,320 | |||
2.75%, 11/1/2029 | 165,000 | 170,168 | |||
3.50%, 4/1/2029 | 100,000 | 107,715 | |||
3.55%, 5/1/2027 | 100,000 | 108,523 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (b) (c) | 25,000 | 26,688 | |||
Northern States Power Co.: | |||||
2.60%, 6/1/2051 | 50,000 | 48,175 | |||
2.90%, 3/1/2050 | 30,000 | 30,285 | |||
3.60%, 9/15/2047 | 50,000 | 55,903 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 53,428 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 126,076 | |||
Ohio Power Co.: | |||||
4.00%, 6/1/2049 | 20,000 | 23,027 | |||
Series Q, 1.63%, 1/15/2031 (b) | 100,000 | 94,231 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 54,991 | |||
Oncor Electric Delivery Co. LLC: | |||||
0.55%, 10/1/2025 | 70,000 | 67,432 | |||
2.75%, 5/15/2030 (d) | 75,000 | 78,182 | |||
3.70%, 11/15/2028 | 200,000 | 220,192 | |||
3.80%, 9/30/2047 | 100,000 | 116,046 |
Security Description | Principal Amount | Value | |||
7.50%, 9/1/2038 | $ 50,000 | $ 79,249 | |||
Series WI, 5.35%, 10/1/2052 | 100,000 | 146,466 | |||
Pacific Gas & Electric Co.: | |||||
1.37%, 3/10/2023 | 65,000 | 64,615 | |||
2.50%, 2/1/2031 | 350,000 | 333,431 | |||
3.25%, 6/1/2031 | 790,000 | 793,587 | |||
3.30%, 8/1/2040 | 350,000 | 325,668 | |||
3.45%, 7/1/2025 | 250,000 | 259,352 | |||
3.50%, 8/1/2050 | 295,000 | 275,781 | |||
4.20%, 6/1/2041 | 55,000 | 55,882 | |||
4.50%, 7/1/2040 | 250,000 | 262,122 | |||
4.55%, 7/1/2030 | 250,000 | 271,165 | |||
4.95%, 7/1/2050 | 250,000 | 273,845 | |||
PacifiCorp: | |||||
2.70%, 9/15/2030 | 320,000 | 330,400 | |||
2.90%, 6/15/2052 | 200,000 | 197,386 | |||
3.30%, 3/15/2051 | 65,000 | 68,006 | |||
PECO Energy Co.: | |||||
3.05%, 3/15/2051 | 45,000 | 46,225 | |||
3.90%, 3/1/2048 | 125,000 | 146,990 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 71,784 | |||
3.95%, 6/1/2047 | 50,000 | 58,699 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 170,091 | |||
Series 34, 3.20%, 3/1/2050 (b) | 30,000 | 31,462 | |||
Series 35, 1.90%, 1/15/2031 | 500,000 | 488,615 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 0.95%, 3/15/2026 | 150,000 | 147,091 | |||
Series MTN, 2.05%, 8/1/2050 | 50,000 | 42,552 | |||
Series MTN, 3.00%, 3/1/2051 | 150,000 | 154,491 | |||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 53,891 | |||
Series MTN, 3.20%, 8/1/2049 | 30,000 | 31,820 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 112,444 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 55,944 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 55,279 | |||
Public Service Enterprise Group, Inc.: | |||||
0.84%, 11/8/2023 | 50,000 | 49,804 | |||
1.60%, 8/15/2030 | 100,000 | 92,795 | |||
2.45%, 11/15/2031 (b) | 100,000 | 99,192 | |||
2.88%, 6/15/2024 | 70,000 | 72,477 |
Security Description | Principal Amount | Value | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | $ 65,000 | $ 68,299 | |||
4.22%, 6/15/2048 | 65,000 | 77,726 | |||
5.80%, 3/15/2040 | 50,000 | 68,623 | |||
San Diego Gas & Electric Co.: | |||||
Series RRR, 3.75%, 6/1/2047 | 50,000 | 55,684 | |||
Series VVV, 1.70%, 10/1/2030 | 150,000 | 143,907 | |||
Series WWW, 2.95%, 8/15/2051 | 350,000 | 351,260 | |||
Sempra Energy: | |||||
3.25%, 6/15/2027 | 300,000 | 317,085 | |||
3.40%, 2/1/2028 | 30,000 | 31,964 | |||
3.80%, 2/1/2038 | 100,000 | 109,994 | |||
4.00%, 2/1/2048 | 30,000 | 33,542 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 52,022 | |||
Southern California Edison Co.: | |||||
2.25%, 6/1/2030 (b) | 100,000 | 99,032 | |||
2.85%, 8/1/2029 | 115,000 | 119,035 | |||
3.65%, 2/1/2050 | 250,000 | 267,172 | |||
4.00%, 4/1/2047 | 191,000 | 210,927 | |||
4.50%, 9/1/2040 | 25,000 | 28,459 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 53,236 | |||
Series 20A, 2.95%, 2/1/2051 | 500,000 | 479,665 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 111,679 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 107,976 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 51,001 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 51,421 | |||
Southern Co.: | |||||
3.25%, 7/1/2026 | 250,000 | 264,920 | |||
4.25%, 7/1/2036 | 250,000 | 282,512 | |||
Series B, 5 year CMT + 3.73%, 4.00%, 1/15/2051 (c) | 500,000 | 511,035 | |||
Southern Power Co.: | |||||
0.90%, 1/15/2026 | 250,000 | 241,920 | |||
Series F, 4.95%, 12/15/2046 | 150,000 | 183,720 | |||
Southwestern Electric Power Co.: | |||||
3.25%, 11/1/2051 | 250,000 | 249,107 | |||
Series K, 2.75%, 10/1/2026 | 50,000 | 51,769 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 27,683 | |||
Series N, 1.65%, 3/15/2026 | 300,000 | 298,110 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 | 50,000 | 52,089 | |||
3.75%, 6/15/2049 | 100,000 | 113,800 |
Security Description | Principal Amount | Value | ||||
Tampa Electric Co.: | ||||||
3.63%, 6/15/2050 | $ 150,000 | $ 169,284 | ||||
4.30%, 6/15/2048 | 50,000 | 61,446 | ||||
4.45%, 6/15/2049 | 25,000 | 31,729 | ||||
Tucson Electric Power Co.: | ||||||
3.25%, 5/1/2051 | 35,000 | 36,449 | ||||
4.85%, 12/1/2048 | 50,000 | 64,735 | ||||
Union Electric Co.: | ||||||
2.15%, 3/15/2032 | 250,000 | 246,475 | ||||
3.50%, 3/15/2029 | 250,000 | 271,780 | ||||
4.00%, 4/1/2048 | 50,000 | 59,126 | ||||
Virginia Electric & Power Co.: | ||||||
2.45%, 12/15/2050 | 375,000 | 345,120 | ||||
3.30%, 12/1/2049 (b) | 50,000 | 53,577 | ||||
3.45%, 2/15/2024 | 50,000 | 52,113 | ||||
4.60%, 12/1/2048 | 250,000 | 320,165 | ||||
8.88%, 11/15/2038 | 50,000 | 88,224 | ||||
Series B, 2.95%, 11/15/2026 | 30,000 | 31,664 | ||||
WEC Energy Group, Inc.: | ||||||
0.55%, 9/15/2023 | 100,000 | 99,234 | ||||
1.80%, 10/15/2030 | 250,000 | 235,790 | ||||
2.20%, 12/15/2028 | 100,000 | 99,988 | ||||
Wisconsin Electric Power Co.: | ||||||
2.05%, 12/15/2024 | 50,000 | 51,231 | ||||
4.30%, 10/15/2048 | 25,000 | 30,620 | ||||
Wisconsin Power and Light Co. 1.95%, 9/16/2031 | 275,000 | 269,126 | ||||
Xcel Energy, Inc.: | ||||||
0.50%, 10/15/2023 | 100,000 | 99,317 | ||||
2.60%, 12/1/2029 | 100,000 | 102,172 | ||||
4.00%, 6/15/2028 | 50,000 | 55,163 | ||||
40,473,441 | ||||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | ||||||
Emerson Electric Co.: | ||||||
0.88%, 10/15/2026 | 65,000 | 63,257 | ||||
1.95%, 10/15/2030 (b) | 50,000 | 49,293 | ||||
2.00%, 12/21/2028 (b) | 200,000 | 199,900 | ||||
2.20%, 12/21/2031 | 700,000 | 697,095 | ||||
2.63%, 2/15/2023 | 25,000 | 25,416 | ||||
1,034,961 | ||||||
ELECTRONICS — 0.1% | ||||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 51,692 | ||||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 53,214 | ||||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 53,013 | ||||
Amphenol Corp.: | ||||||
2.20%, 9/15/2031 | 60,000 | 58,805 | ||||
2.80%, 2/15/2030 | 100,000 | 103,401 | ||||
4.35%, 6/1/2029 | 50,000 | 56,811 |
Security Description | Principal Amount | Value | ||||
Arrow Electronics, Inc.: | ||||||
3.25%, 9/8/2024 | $ 50,000 | $ 52,147 | ||||
3.88%, 1/12/2028 | 25,000 | 27,098 | ||||
Avnet, Inc. 3.00%, 5/15/2031 | 100,000 | 98,951 | ||||
Flex, Ltd.: | ||||||
3.75%, 2/1/2026 | 50,000 | 53,444 | ||||
4.88%, 6/15/2029 | 75,000 | 85,271 | ||||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 53,026 | ||||
Honeywell International, Inc.: | ||||||
1.10%, 3/1/2027 | 200,000 | 195,096 | ||||
1.75%, 9/1/2031 | 160,000 | 155,766 | ||||
1.95%, 6/1/2030 | 250,000 | 248,772 | ||||
2.30%, 8/15/2024 | 100,000 | 103,203 | ||||
2.50%, 11/1/2026 (b) | 150,000 | 156,993 | ||||
2.70%, 8/15/2029 | 60,000 | 62,864 | ||||
3.35%, 12/1/2023 (b) | 50,000 | 52,316 | ||||
Hubbell, Inc.: | ||||||
2.30%, 3/15/2031 (b) | 60,000 | 60,041 | ||||
3.35%, 3/1/2026 | 50,000 | 52,931 | ||||
Jabil, Inc.: | ||||||
1.70%, 4/15/2026 | 65,000 | 64,550 | ||||
3.60%, 1/15/2030 | 25,000 | 27,059 | ||||
3.95%, 1/12/2028 | 25,000 | 27,313 | ||||
Keysight Technologies, Inc.: | ||||||
3.00%, 10/30/2029 | 50,000 | 52,051 | ||||
4.60%, 4/6/2027 | 30,000 | 33,849 | ||||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 56,960 | ||||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 53,807 | ||||
2,150,444 | ||||||
ENVIRONMENTAL CONTROL — 0.1% | ||||||
Republic Services, Inc.: | ||||||
1.45%, 2/15/2031 | 100,000 | 93,092 | ||||
2.90%, 7/1/2026 | 45,000 | 47,099 | ||||
3.38%, 11/15/2027 | 60,000 | 64,547 | ||||
3.95%, 5/15/2028 | 150,000 | 166,299 | ||||
Waste Connections, Inc.: | ||||||
2.20%, 1/15/2032 | 115,000 | 112,795 | ||||
2.95%, 1/15/2052 | 115,000 | 113,109 | ||||
3.05%, 4/1/2050 | 20,000 | 19,899 | ||||
3.50%, 5/1/2029 | 50,000 | 54,127 | ||||
Waste Management, Inc.: | ||||||
0.75%, 11/15/2025 | 20,000 | 19,503 | ||||
1.15%, 3/15/2028 (b) | 30,000 | 28,605 | ||||
1.50%, 3/15/2031 | 30,000 | 28,248 | ||||
2.00%, 6/1/2029 | 75,000 | 74,586 | ||||
2.40%, 5/15/2023 | 150,000 | 152,671 | ||||
2.50%, 11/15/2050 | 20,000 | 19,038 | ||||
2.95%, 6/1/2041 | 55,000 | 57,101 | ||||
1,050,719 |
Security Description | Principal Amount | Value | ||||
FOOD — 0.3% | ||||||
Campbell Soup Co.: | ||||||
2.38%, 4/24/2030 (b) | $ 15,000 | $ 14,909 | ||||
3.65%, 3/15/2023 | 15,000 | 15,463 | ||||
3.95%, 3/15/2025 | 100,000 | 107,024 | ||||
4.15%, 3/15/2028 | 50,000 | 55,527 | ||||
4.80%, 3/15/2048 | 20,000 | 25,003 | ||||
Conagra Brands, Inc.: | ||||||
0.50%, 8/11/2023 | 70,000 | 69,441 | ||||
5.30%, 11/1/2038 | 265,000 | 335,061 | ||||
5.40%, 11/1/2048 (b) | 40,000 | 54,081 | ||||
Flowers Foods, Inc. 2.40%, 3/15/2031 (b) | 45,000 | 44,345 | ||||
General Mills, Inc.: | ||||||
3.00%, 2/1/2051 (b) | 510,000 | 510,816 | ||||
3.20%, 2/10/2027 | 100,000 | 106,342 | ||||
3.65%, 2/15/2024 | 50,000 | 52,395 | ||||
3.70%, 10/17/2023 | 20,000 | 20,931 | ||||
4.20%, 4/17/2028 | 25,000 | 27,903 | ||||
Hershey Co.: | ||||||
0.90%, 6/1/2025 | 45,000 | 44,425 | ||||
3.20%, 8/21/2025 | 25,000 | 26,536 | ||||
3.38%, 5/15/2023 | 50,000 | 51,698 | ||||
Hormel Foods Corp.: | ||||||
0.65%, 6/3/2024 | 35,000 | 34,736 | ||||
1.70%, 6/3/2028 | 570,000 | 568,370 | ||||
3.05%, 6/3/2051 (b) | 45,000 | 47,891 | ||||
Ingredion, Inc. 2.90%, 6/1/2030 | 100,000 | 103,101 | ||||
JM Smucker Co.: | ||||||
3.38%, 12/15/2027 | 100,000 | 107,679 | ||||
3.55%, 3/15/2050 | 25,000 | 26,981 | ||||
4.25%, 3/15/2035 | 50,000 | 58,535 | ||||
Kellogg Co.: | ||||||
4.30%, 5/15/2028 | 100,000 | 113,121 | ||||
4.50%, 4/1/2046 (b) | 100,000 | 123,706 | ||||
Kroger Co.: | ||||||
2.65%, 10/15/2026 | 50,000 | 51,991 | ||||
3.70%, 8/1/2027 (b) | 35,000 | 38,142 | ||||
3.85%, 8/1/2023 | 75,000 | 77,931 | ||||
4.45%, 2/1/2047 | 100,000 | 121,543 | ||||
4.65%, 1/15/2048 | 100,000 | 124,245 | ||||
McCormick & Co., Inc. 3.40%, 8/15/2027 | 100,000 | 108,076 | ||||
Mondelez International, Inc.: | ||||||
1.50%, 5/4/2025 | 60,000 | 60,121 | ||||
1.50%, 2/4/2031 (b) | 40,000 | 37,450 | ||||
1.88%, 10/15/2032 (b) | 75,000 | 71,546 | ||||
2.63%, 9/4/2050 | 35,000 | 32,743 | ||||
2.75%, 4/13/2030 | 35,000 | 36,265 | ||||
Sysco Corp.: | ||||||
2.40%, 2/15/2030 | 10,000 | 10,032 | ||||
2.45%, 12/14/2031 | 145,000 | 145,406 | ||||
3.15%, 12/14/2051 | 500,000 | 492,785 | ||||
3.25%, 7/15/2027 | 50,000 | 53,137 |
Security Description | Principal Amount | Value | ||||
3.30%, 7/15/2026 | $ 100,000 | $ 106,358 | ||||
3.30%, 2/15/2050 | 10,000 | 10,142 | ||||
3.75%, 10/1/2025 | 5,000 | 5,361 | ||||
4.45%, 3/15/2048 | 50,000 | 58,824 | ||||
4.85%, 10/1/2045 | 5,000 | 6,114 | ||||
6.60%, 4/1/2050 | 250,000 | 390,380 | ||||
Tyson Foods, Inc.: | ||||||
3.55%, 6/2/2027 | 150,000 | 161,577 | ||||
4.55%, 6/2/2047 | 285,000 | 353,243 | ||||
5,299,432 | ||||||
FOREST PRODUCTS & PAPER — 0.0% (a) | ||||||
Celulosa Arauco y Constitucion SA: | ||||||
3.88%, 11/2/2027 | 200,000 | 212,516 | ||||
4.50%, 8/1/2024 | 50,000 | 53,127 | ||||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 | 25,000 | 28,052 | ||||
Georgia-Pacific LLC 7.75%, 11/15/2029 (b) | 25,000 | 34,979 | ||||
International Paper Co. 4.35%, 8/15/2048 | 27,000 | 33,184 | ||||
Suzano Austria GmbH: | ||||||
2.50%, 9/15/2028 | 125,000 | 120,665 | ||||
3.75%, 1/15/2031 | 150,000 | 152,583 | ||||
Series DM3N, 3.13%, 1/15/2032 | 80,000 | 77,401 | ||||
712,507 | ||||||
GAS — 0.1% | ||||||
Atmos Energy Corp.: | ||||||
0.63%, 3/9/2023 | 65,000 | 64,830 | ||||
1.50%, 1/15/2031 (b) | 100,000 | 93,768 | ||||
3.00%, 6/15/2027 | 150,000 | 159,019 | ||||
4.15%, 1/15/2043 | 25,000 | 28,953 | ||||
CenterPoint Energy Resources Corp. 0.70%, 3/2/2023 | 45,000 | 44,802 | ||||
National Fuel Gas Co.: | ||||||
3.95%, 9/15/2027 | 50,000 | 53,074 | ||||
5.50%, 1/15/2026 | 30,000 | 33,632 | ||||
NiSource, Inc.: | ||||||
0.95%, 8/15/2025 | 560,000 | 545,754 | ||||
1.70%, 2/15/2031 (b) | 100,000 | 93,577 | ||||
2.95%, 9/1/2029 | 100,000 | 103,345 | ||||
3.49%, 5/15/2027 (b) | 50,000 | 53,771 | ||||
4.38%, 5/15/2047 | 150,000 | 178,491 | ||||
4.80%, 2/15/2044 | 30,000 | 36,710 | ||||
ONE Gas, Inc.: | ||||||
1.10%, 3/11/2024 | 200,000 | 198,408 | ||||
4.50%, 11/1/2048 | 90,000 | 110,838 | ||||
Piedmont Natural Gas Co., Inc. 2.50%, 3/15/2031 | 190,000 | 189,610 | ||||
Southern California Gas Co.: | ||||||
3.15%, 9/15/2024 | 25,000 | 26,155 | ||||
3.20%, 6/15/2025 | 50,000 | 52,489 |
Security Description | Principal Amount | Value | ||||
3.75%, 9/15/2042 | $ 30,000 | $ 33,523 | ||||
5.13%, 11/15/2040 | 25,000 | 32,404 | ||||
Series VV, 4.30%, 1/15/2049 | 50,000 | 61,962 | ||||
Southern Co. Gas Capital Corp.: | ||||||
4.40%, 5/30/2047 | 150,000 | 174,669 | ||||
Series 20-A, 1.75%, 1/15/2031 | 500,000 | 469,875 | ||||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 27,081 | ||||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 56,120 | ||||
2,922,860 | ||||||
HAND & MACHINE TOOLS — 0.0% (a) | ||||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 56,151 | ||||
Snap-on, Inc. 3.10%, 5/1/2050 | 70,000 | 73,836 | ||||
Stanley Black & Decker, Inc.: | ||||||
2.75%, 11/15/2050 | 100,000 | 96,283 | ||||
3.40%, 3/1/2026 | 35,000 | 37,321 | ||||
4.25%, 11/15/2028 | 100,000 | 113,681 | ||||
5 year CMT + 2.66%, 4.00%, 3/15/2060 (c) | 30,000 | 30,775 | ||||
408,047 | ||||||
HEALTH CARE PRODUCTS — 0.3% | ||||||
Abbott Laboratories: | ||||||
1.40%, 6/30/2030 (b) | 500,000 | 482,500 | ||||
2.95%, 3/15/2025 (b) | 75,000 | 78,803 | ||||
3.40%, 11/30/2023 | 35,000 | 36,573 | ||||
3.75%, 11/30/2026 | 85,000 | 93,916 | ||||
4.75%, 11/30/2036 | 250,000 | 319,170 | ||||
4.75%, 4/15/2043 | 25,000 | 32,513 | ||||
4.90%, 11/30/2046 | 150,000 | 205,884 | ||||
Baxter International, Inc.: | ||||||
1.32%, 11/29/2024 (d) | 600,000 | 599,502 | ||||
1.73%, 4/1/2031 (b) | 45,000 | 43,028 | ||||
1.92%, 2/1/2027 (d) | 600,000 | 602,358 | ||||
3.13%, 12/1/2051 (d) | 250,000 | 257,897 | ||||
3.50%, 8/15/2046 | 50,000 | 54,435 | ||||
Boston Scientific Corp.: | ||||||
1.90%, 6/1/2025 | 65,000 | 65,820 | ||||
2.65%, 6/1/2030 | 100,000 | 101,875 | ||||
3.45%, 3/1/2024 | 25,000 | 26,150 | ||||
4.00%, 3/1/2029 | 35,000 | 38,869 | ||||
4.55%, 3/1/2039 | 50,000 | 59,788 | ||||
4.70%, 3/1/2049 | 35,000 | 44,453 | ||||
Danaher Corp. 2.60%, 10/1/2050 | 565,000 | 538,202 | ||||
DH Europe Finance II Sarl: | ||||||
2.20%, 11/15/2024 | 50,000 | 51,129 | ||||
2.60%, 11/15/2029 | 30,000 | 30,970 | ||||
3.25%, 11/15/2039 | 50,000 | 53,249 |
Security Description | Principal Amount | Value | ||||
3.40%, 11/15/2049 | $ 50,000 | $ 54,481 | ||||
Medtronic, Inc.: | ||||||
3.50%, 3/15/2025 | 47,000 | 50,085 | ||||
4.38%, 3/15/2035 | 54,000 | 66,503 | ||||
4.63%, 3/15/2045 (b) | 345,000 | 452,557 | ||||
PerkinElmer, Inc.: | ||||||
2.25%, 9/15/2031 | 105,000 | 102,268 | ||||
2.55%, 3/15/2031 | 85,000 | 85,724 | ||||
3.30%, 9/15/2029 | 65,000 | 69,191 | ||||
Smith & Nephew PLC 2.03%, 10/14/2030 (b) | 50,000 | 48,302 | ||||
Stryker Corp.: | ||||||
0.60%, 12/1/2023 | 65,000 | 64,599 | ||||
1.15%, 6/15/2025 | 50,000 | 49,613 | ||||
1.95%, 6/15/2030 | 50,000 | 48,876 | ||||
2.90%, 6/15/2050 | 25,000 | 25,241 | ||||
3.38%, 11/1/2025 | 25,000 | 26,636 | ||||
3.50%, 3/15/2026 | 25,000 | 26,785 | ||||
3.65%, 3/7/2028 | 50,000 | 54,371 | ||||
4.63%, 3/15/2046 | 25,000 | 32,067 | ||||
Thermo Fisher Scientific, Inc.: | ||||||
0.80%, 10/18/2023 | 160,000 | 159,483 | ||||
1.22%, 10/18/2024 | 150,000 | 149,886 | ||||
4.10%, 8/15/2047 | 100,000 | 124,521 | ||||
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 (b) | 100,000 | 100,605 | ||||
5,608,878 | ||||||
HEALTH CARE SERVICES — 0.6% | ||||||
AdventHealth Obligated Group Series E, 2.80%, 11/15/2051 | 250,000 | 247,037 | ||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 55,424 | ||||
Aetna, Inc.: | ||||||
2.80%, 6/15/2023 | 200,000 | 204,924 | ||||
3.88%, 8/15/2047 | 100,000 | 111,721 | ||||
4.13%, 11/15/2042 | 25,000 | 28,307 | ||||
AHS Hospital Corp. Series 2021, 2.78%, 7/1/2051 | 75,000 | 74,271 | ||||
Anthem, Inc.: | ||||||
0.45%, 3/15/2023 | 85,000 | 84,730 | ||||
1.50%, 3/15/2026 | 600,000 | 599,136 | ||||
2.25%, 5/15/2030 | 265,000 | 264,433 | ||||
2.38%, 1/15/2025 | 20,000 | 20,583 | ||||
2.55%, 3/15/2031 (b) | 100,000 | 102,285 | ||||
3.13%, 5/15/2050 | 270,000 | 278,000 | ||||
3.30%, 1/15/2023 | 50,000 | 51,353 | ||||
3.35%, 12/1/2024 | 50,000 | 52,830 | ||||
3.50%, 8/15/2024 | 25,000 | 26,403 | ||||
3.60%, 3/15/2051 | 305,000 | 339,111 | ||||
3.65%, 12/1/2027 | 130,000 | 142,684 | ||||
4.10%, 3/1/2028 | 100,000 | 111,426 |
Security Description | Principal Amount | Value | |||
4.38%, 12/1/2047 | $ 130,000 | $ 159,334 | |||
4.55%, 3/1/2048 | 50,000 | 62,543 | |||
4.65%, 1/15/2043 | 50,000 | 62,430 | |||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 184,792 | |||
Banner Health 2.34%, 1/1/2030 | 40,000 | 40,502 | |||
Baylor Scott & White Holdings Series 2021, 1.78%, 11/15/2030 | 25,000 | 24,121 | |||
Children's Hospital Corp. Series 2020, 2.59%, 2/1/2050 | 15,000 | 14,391 | |||
CommonSpirit Health: | |||||
2.76%, 10/1/2024 | 250,000 | 258,187 | |||
4.19%, 10/1/2049 | 250,000 | 291,537 | |||
4.35%, 11/1/2042 | 25,000 | 28,596 | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 59,543 | |||
HCA, Inc.: | |||||
2.38%, 7/15/2031 (b) | 650,000 | 639,580 | |||
3.50%, 7/15/2051 | 650,000 | 666,347 | |||
4.13%, 6/15/2029 | 35,000 | 38,591 | |||
4.50%, 2/15/2027 | 50,000 | 55,181 | |||
4.75%, 5/1/2023 | 55,000 | 57,632 | |||
5.00%, 3/15/2024 | 85,000 | 91,443 | |||
5.13%, 6/15/2039 | 275,000 | 340,103 | |||
5.25%, 4/15/2025 | 60,000 | 66,473 | |||
5.25%, 6/15/2026 | 65,000 | 73,117 | |||
5.25%, 6/15/2049 | 100,000 | 128,912 | |||
5.50%, 6/15/2047 | 65,000 | 85,306 | |||
Humana, Inc.: | |||||
2.15%, 2/3/2032 | 350,000 | 339,017 | |||
4.80%, 3/15/2047 | 100,000 | 126,732 | |||
4.95%, 10/1/2044 | 50,000 | 64,484 | |||
Indiana University Health, Inc. Obligated Group Series 2021, 2.85%, 11/1/2051 | 25,000 | 25,183 | |||
Johns Hopkins Health System Corp. 3.84%, 5/15/2046 | 50,000 | 59,799 | |||
Kaiser Foundation Hospitals: | |||||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 113,203 | |||
Series 2021, 2.81%, 6/1/2041 | 135,000 | 135,639 | |||
Series 2021, 3.00%, 6/1/2051 | 135,000 | 139,178 | |||
Laboratory Corp. of America Holdings: | |||||
1.55%, 6/1/2026 | 70,000 | 69,273 | |||
2.30%, 12/1/2024 | 100,000 | 102,574 | |||
2.70%, 6/1/2031 | 100,000 | 101,921 | |||
2.95%, 12/1/2029 | 100,000 | 104,052 |
Security Description | Principal Amount | Value | |||
3.25%, 9/1/2024 | $ 100,000 | $ 104,678 | |||
4.70%, 2/1/2045 | 25,000 | 30,528 | |||
Mass General Brigham, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 115,397 | |||
Mayo Clinic Series 2021, 3.20%, 11/15/2061 | 100,000 | 106,808 | |||
Memorial Sloan-Kettering Cancer Center: | |||||
4.13%, 7/1/2052 | 25,000 | 31,421 | |||
Series 2020, 2.96%, 1/1/2050 | 55,000 | 56,218 | |||
Methodist Hospital Series 20A, 2.71%, 12/1/2050 | 65,000 | 63,152 | |||
Montefiore Obligated Group 4.29%, 9/1/2050 | 50,000 | 49,060 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 37,969 | |||
New York and Presbyterian Hospital: | |||||
2.26%, 8/1/2040 (b) | 50,000 | 47,369 | |||
Series 2019, 3.95%, 8/1/2119 | 35,000 | 42,275 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 59,528 | |||
Novant Health, Inc. 3.17%, 11/1/2051 | 85,000 | 89,360 | |||
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | 100,000 | 103,123 | |||
Orlando Health Obligated Group 3.33%, 10/1/2050 | 25,000 | 26,117 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 82,569 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 36,486 | |||
4.20%, 6/30/2029 | 100,000 | 113,004 | |||
4.70%, 3/30/2045 | 25,000 | 31,207 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 55,740 | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | 20,000 | 20,630 | |||
Sutter Health: | |||||
Series 20A, 2.29%, 8/15/2030 | 55,000 | 54,990 | |||
Series 20A, 3.36%, 8/15/2050 | 55,000 | 57,628 | |||
Trinity Health Corp. Series 2021, 2.63%, 12/1/2040 (b) | 50,000 | 48,980 |
Security Description | Principal Amount | Value | ||||
UnitedHealth Group, Inc.: | ||||||
1.15%, 5/15/2026 | $ 100,000 | $ 98,972 | ||||
1.25%, 1/15/2026 | 35,000 | 34,860 | ||||
2.00%, 5/15/2030 (b) | 305,000 | 302,737 | ||||
2.30%, 5/15/2031 | 100,000 | 101,599 | ||||
2.75%, 5/15/2040 | 300,000 | 302,643 | ||||
2.90%, 5/15/2050 | 550,000 | 561,209 | ||||
3.05%, 5/15/2041 | 100,000 | 104,425 | ||||
3.10%, 3/15/2026 | 50,000 | 53,451 | ||||
3.13%, 5/15/2060 (b) | 100,000 | 103,550 | ||||
3.25%, 5/15/2051 | 100,000 | 108,296 | ||||
3.38%, 4/15/2027 (b) | 100,000 | 108,556 | ||||
3.50%, 2/15/2024 | 10,000 | 10,531 | ||||
3.50%, 8/15/2039 | 200,000 | 221,104 | ||||
3.70%, 12/15/2025 | 10,000 | 10,893 | ||||
3.75%, 7/15/2025 | 305,000 | 330,879 | ||||
3.75%, 10/15/2047 | 50,000 | 57,479 | ||||
3.88%, 12/15/2028 | 15,000 | 16,831 | ||||
4.25%, 4/15/2047 | 100,000 | 122,405 | ||||
4.63%, 7/15/2035 | 200,000 | 248,774 | ||||
4.75%, 7/15/2045 | 230,000 | 300,973 | ||||
6.88%, 2/15/2038 | 25,000 | 38,370 | ||||
Willis-Knighton Medical Center Series 2021, 3.07%, 3/1/2051 | 550,000 | 535,689 | ||||
12,842,837 | ||||||
HOME BUILDERS — 0.0% (a) | ||||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 103,150 | ||||
Lennar Corp. 4.75%, 11/29/2027 | 250,000 | 283,320 | ||||
MDC Holdings, Inc. 3.97%, 8/6/2061 | 200,000 | 191,768 | ||||
NVR, Inc. 3.00%, 5/15/2030 | 130,000 | 135,057 | ||||
PulteGroup, Inc. 5.00%, 1/15/2027 (b) | 250,000 | 285,768 | ||||
999,063 | ||||||
HOME FURNISHINGS — 0.0% (a) | ||||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 100,000 | 111,891 | ||||
Whirlpool Corp.: | ||||||
2.40%, 5/15/2031 | 25,000 | 25,047 | ||||
4.50%, 6/1/2046 | 25,000 | 29,816 | ||||
4.60%, 5/15/2050 | 50,000 | 61,842 | ||||
4.75%, 2/26/2029 | 60,000 | 69,263 | ||||
297,859 | ||||||
HOUSEHOLD PRODUCTS & WARES — 0.0% (a) | ||||||
Church & Dwight Co., Inc. 2.30%, 12/15/2031 | 40,000 | 40,282 | ||||
Clorox Co.: | ||||||
3.10%, 10/1/2027 | 50,000 | 53,210 | ||||
3.90%, 5/15/2028 | 50,000 | 55,977 |
Security Description | Principal Amount | Value | ||||
Kimberly-Clark Corp.: | ||||||
1.05%, 9/15/2027 | $ 15,000 | $ 14,539 | ||||
2.00%, 11/2/2031 | 250,000 | 249,245 | ||||
2.75%, 2/15/2026 | 25,000 | 26,436 | ||||
3.10%, 3/26/2030 | 40,000 | 43,166 | ||||
3.20%, 4/25/2029 (b) | 100,000 | 107,888 | ||||
3.90%, 5/4/2047 | 50,000 | 60,037 | ||||
3.95%, 11/1/2028 | 55,000 | 62,205 | ||||
712,985 | ||||||
INSURANCE — 0.8% | ||||||
Aflac, Inc.: | ||||||
1.13%, 3/15/2026 | 105,000 | 103,377 | ||||
4.75%, 1/15/2049 | 75,000 | 99,754 | ||||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 62,967 | ||||
Allstate Corp.: | ||||||
1.45%, 12/15/2030 | 250,000 | 236,737 | ||||
3.85%, 8/10/2049 | 125,000 | 146,385 | ||||
4.20%, 12/15/2046 | 50,000 | 60,248 | ||||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | 25,000 | 26,002 | ||||
American Financial Group, Inc.: | ||||||
3.50%, 8/15/2026 | 15,000 | 16,023 | ||||
4.50%, 6/15/2047 | 100,000 | 118,845 | ||||
American International Group, Inc.: | ||||||
2.50%, 6/30/2025 | 600,000 | 619,224 | ||||
3.40%, 6/30/2030 | 100,000 | 108,422 | ||||
3.88%, 1/15/2035 | 200,000 | 222,336 | ||||
3.90%, 4/1/2026 | 30,000 | 32,568 | ||||
4.25%, 3/15/2029 | 100,000 | 114,198 | ||||
4.38%, 6/30/2050 | 315,000 | 392,292 | ||||
4.50%, 7/16/2044 | 50,000 | 61,626 | ||||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 112,506 | ||||
Aon Corp. 3.75%, 5/2/2029 | 100,000 | 109,641 | ||||
Aon Corp./Aon Global Holdings PLC 2.60%, 12/2/2031 | 645,000 | 656,455 | ||||
Aon PLC: | ||||||
3.50%, 6/14/2024 | 50,000 | 52,567 | ||||
3.88%, 12/15/2025 | 150,000 | 162,315 | ||||
Arch Capital Group, Ltd. 3.64%, 6/30/2050 | 105,000 | 112,458 | ||||
Assurant, Inc.: | ||||||
2.65%, 1/15/2032 | 600,000 | 588,966 | ||||
4.20%, 9/27/2023 | 100,000 | 105,061 | ||||
4.90%, 3/27/2028 (b) | 50,000 | 57,187 | ||||
Assured Guaranty US Holdings, Inc. 3.60%, 9/15/2051 | 40,000 | 41,664 |
Security Description | Principal Amount | Value | |||
Athene Holding, Ltd.: | |||||
3.45%, 5/15/2052 | $ 500,000 | $ 503,115 | |||
3.50%, 1/15/2031 (b) | 150,000 | 158,314 | |||
4.13%, 1/12/2028 | 100,000 | 109,477 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 27,267 | |||
Berkshire Hathaway Finance Corp.: | |||||
1.45%, 10/15/2030 | 80,000 | 76,660 | |||
1.85%, 3/12/2030 | 10,000 | 9,922 | |||
2.50%, 1/15/2051 | 110,000 | 102,371 | |||
2.85%, 10/15/2050 | 340,000 | 335,872 | |||
4.20%, 8/15/2048 | 100,000 | 121,449 | |||
4.25%, 1/15/2049 | 150,000 | 184,074 | |||
Berkshire Hathaway, Inc.: | |||||
2.75%, 3/15/2023 | 50,000 | 51,085 | |||
3.00%, 2/11/2023 | 25,000 | 25,641 | |||
3.13%, 3/15/2026 | 55,000 | 58,758 | |||
4.50%, 2/11/2043 | 180,000 | 222,471 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 (b) | 150,000 | 161,643 | |||
4.70%, 6/22/2047 | 150,000 | 164,710 | |||
Brown & Brown, Inc.: | |||||
2.38%, 3/15/2031 | 150,000 | 147,033 | |||
4.50%, 3/15/2029 | 50,000 | 56,600 | |||
Chubb INA Holdings, Inc.: | |||||
1.38%, 9/15/2030 | 150,000 | 141,262 | |||
3.35%, 5/3/2026 | 250,000 | 268,480 | |||
4.15%, 3/13/2043 | 25,000 | 29,971 | |||
4.35%, 11/3/2045 | 125,000 | 155,340 | |||
CNA Financial Corp.: | |||||
2.05%, 8/15/2030 | 100,000 | 96,934 | |||
3.45%, 8/15/2027 (b) | 100,000 | 107,729 | |||
4.50%, 3/1/2026 | 25,000 | 27,557 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 55,867 | |||
Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 97,000 | 100,487 | |||
4.35%, 4/20/2028 | 150,000 | 168,048 | |||
5.00%, 4/20/2048 | 100,000 | 125,150 | |||
Everest Reinsurance Holdings, Inc. 3.50%, 10/15/2050 | 500,000 | 525,545 | |||
Fairfax Financial Holdings, Ltd.: | |||||
3.38%, 3/3/2031 | 70,000 | 72,107 | |||
4.85%, 4/17/2028 | 100,000 | 111,569 | |||
Fidelity National Financial, Inc.: | |||||
2.45%, 3/15/2031 | 100,000 | 98,659 | |||
3.20%, 9/17/2051 | 250,000 | 239,910 | |||
4.50%, 8/15/2028 | 50,000 | 56,556 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 27,104 | |||
Globe Life, Inc.: | |||||
2.15%, 8/15/2030 | 100,000 | 98,635 |
Security Description | Principal Amount | Value | |||
4.55%, 9/15/2028 | $ 25,000 | $ 28,411 | |||
Hanover Insurance Group, Inc. 2.50%, 9/1/2030 | 15,000 | 14,958 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 | 70,000 | 72,561 | |||
2.90%, 9/15/2051 | 325,000 | 320,086 | |||
4.40%, 3/15/2048 | 100,000 | 123,012 | |||
Kemper Corp. 2.40%, 9/30/2030 (b) | 100,000 | 96,681 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 104,336 | |||
3.80%, 3/1/2028 | 35,000 | 38,417 | |||
4.00%, 9/1/2023 | 15,000 | 15,729 | |||
4.35%, 3/1/2048 | 50,000 | 60,180 | |||
6.30%, 10/9/2037 | 50,000 | 69,789 | |||
Loews Corp.: | |||||
3.20%, 5/15/2030 (b) | 15,000 | 15,963 | |||
3.75%, 4/1/2026 | 50,000 | 54,165 | |||
Manulife Financial Corp.: | |||||
2.48%, 5/19/2027 | 70,000 | 71,878 | |||
5 Year US ISDA + 1.65%, 4.06%, 2/24/2032 (c) | 50,000 | 53,868 | |||
Markel Corp.: | |||||
3.45%, 5/7/2052 | 135,000 | 139,801 | |||
3.50%, 11/1/2027 | 50,000 | 53,646 | |||
4.15%, 9/17/2050 | 50,000 | 58,152 | |||
5.00%, 5/20/2049 | 30,000 | 38,341 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.38%, 12/15/2031 | 115,000 | 116,086 | |||
3.30%, 3/14/2023 | 150,000 | 153,868 | |||
3.75%, 3/14/2026 | 25,000 | 27,145 | |||
3.88%, 3/15/2024 | 100,000 | 105,832 | |||
4.38%, 3/15/2029 | 250,000 | 285,520 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 55,151 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 317,322 | |||
4.05%, 3/1/2045 | 150,000 | 178,639 | |||
4.88%, 11/13/2043 | 200,000 | 260,660 | |||
6.40%, 12/15/2066 | 100,000 | 123,142 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 52,903 | |||
Old Republic International Corp. 3.85%, 6/11/2051 | 85,000 | 91,613 | |||
Principal Financial Group, Inc.: | |||||
2.13%, 6/15/2030 | 150,000 | 148,341 | |||
3.70%, 5/15/2029 | 50,000 | 55,226 | |||
Progressive Corp.: | |||||
4.00%, 3/1/2029 | 50,000 | 56,441 | |||
4.20%, 3/15/2048 | 100,000 | 123,661 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 117,097 |
Security Description | Principal Amount | Value | ||||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (c) | $ 170,000 | $ 177,689 | ||||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 214,622 | ||||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 80,000 | 83,276 | ||||
5 year CMT + 3.04%, 3.70%, 10/1/2050 (c) | 600,000 | 606,984 | ||||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 113,736 | ||||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 93,608 | ||||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 37,441 | ||||
Reinsurance Group of America, Inc.: | ||||||
3.15%, 6/15/2030 | 35,000 | 36,644 | ||||
3.90%, 5/15/2029 | 50,000 | 54,867 | ||||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 (b) | 30,000 | 32,203 | ||||
Travelers Cos., Inc.: | ||||||
2.55%, 4/27/2050 (b) | 10,000 | 9,536 | ||||
3.05%, 6/8/2051 | 250,000 | 262,397 | ||||
3.75%, 5/15/2046 | 10,000 | 11,540 | ||||
4.00%, 5/30/2047 | 80,000 | 95,890 | ||||
4.05%, 3/7/2048 (b) | 100,000 | 121,471 | ||||
4.10%, 3/4/2049 | 100,000 | 122,116 | ||||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 35,859 | ||||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 28,491 | ||||
Unum Group: | ||||||
4.00%, 6/15/2029 (b) | 70,000 | 77,398 | ||||
4.13%, 6/15/2051 | 100,000 | 101,830 | ||||
4.50%, 12/15/2049 | 15,000 | 16,067 | ||||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 53,914 | ||||
W R Berkley Corp. 3.55%, 3/30/2052 | 100,000 | 109,111 | ||||
Willis North America, Inc.: | ||||||
3.60%, 5/15/2024 | 50,000 | 52,401 | ||||
3.88%, 9/15/2049 | 70,000 | 76,091 | ||||
4.50%, 9/15/2028 | 50,000 | 55,931 | ||||
WR Berkley Corp. 4.00%, 5/12/2050 | 45,000 | 51,840 | ||||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 171,425 | ||||
16,046,195 | ||||||
INTERNET — 0.5% | ||||||
Alibaba Group Holding, Ltd.: | ||||||
2.70%, 2/9/2041 | 500,000 | 456,550 | ||||
3.15%, 2/9/2051 | 100,000 | 93,172 | ||||
3.40%, 12/6/2027 (b) | 200,000 | 211,782 |
Security Description | Principal Amount | Value | |||
3.60%, 11/28/2024 | $ 75,000 | $ 78,950 | |||
4.20%, 12/6/2047 | 260,000 | 287,284 | |||
Alphabet, Inc.: | |||||
0.45%, 8/15/2025 | 500,000 | 488,615 | |||
1.10%, 8/15/2030 | 165,000 | 155,451 | |||
1.90%, 8/15/2040 | 350,000 | 319,000 | |||
2.00%, 8/15/2026 | 250,000 | 257,992 | |||
2.05%, 8/15/2050 | 250,000 | 224,175 | |||
Amazon.com, Inc.: | |||||
0.25%, 5/12/2023 | 40,000 | 39,837 | |||
0.40%, 6/3/2023 | 250,000 | 249,240 | |||
0.45%, 5/12/2024 | 820,000 | 811,825 | |||
0.80%, 6/3/2025 | 815,000 | 805,464 | |||
1.00%, 5/12/2026 | 150,000 | 148,457 | |||
1.50%, 6/3/2030 | 235,000 | 228,020 | |||
1.65%, 5/12/2028 | 150,000 | 149,885 | |||
2.10%, 5/12/2031 | 150,000 | 151,662 | |||
2.40%, 2/22/2023 (b) | 200,000 | 203,776 | |||
2.50%, 6/3/2050 | 390,000 | 371,175 | |||
2.70%, 6/3/2060 | 530,000 | 510,162 | |||
2.80%, 8/22/2024 | 100,000 | 104,657 | |||
2.88%, 5/12/2041 | 150,000 | 154,924 | |||
3.10%, 5/12/2051 | 150,000 | 160,239 | |||
3.15%, 8/22/2027 | 100,000 | 108,087 | |||
3.25%, 5/12/2061 | 150,000 | 161,755 | |||
3.80%, 12/5/2024 | 30,000 | 32,147 | |||
3.88%, 8/22/2037 | 125,000 | 146,838 | |||
4.05%, 8/22/2047 | 125,000 | 152,174 | |||
4.25%, 8/22/2057 | 150,000 | 192,396 | |||
4.95%, 12/5/2044 | 125,000 | 170,629 | |||
5.20%, 12/3/2025 (b) | 50,000 | 56,957 | |||
Baidu, Inc.: | |||||
1.63%, 2/23/2027 | 200,000 | 194,564 | |||
2.38%, 8/23/2031 (b) | 200,000 | 192,792 | |||
Booking Holdings, Inc.: | |||||
3.60%, 6/1/2026 | 250,000 | 270,612 | |||
4.63%, 4/13/2030 | 100,000 | 116,577 | |||
eBay, Inc.: | |||||
1.40%, 5/10/2026 | 100,000 | 98,501 | |||
1.90%, 3/11/2025 | 140,000 | 141,662 | |||
2.60%, 5/10/2031 (b) | 100,000 | 101,257 | |||
2.70%, 3/11/2030 | 100,000 | 102,366 | |||
2.75%, 1/30/2023 | 150,000 | 152,821 | |||
3.45%, 8/1/2024 | 25,000 | 26,259 | |||
3.65%, 5/10/2051 | 50,000 | 54,373 | |||
Expedia Group, Inc.: | |||||
2.95%, 3/15/2031 | 555,000 | 555,161 | |||
3.25%, 2/15/2030 | 35,000 | 35,777 | |||
3.80%, 2/15/2028 | 50,000 | 53,385 | |||
4.63%, 8/1/2027 | 590,000 | 659,343 | |||
VeriSign, Inc. 2.70%, 6/15/2031 | 80,000 | 80,542 | |||
10,519,269 |
Security Description | Principal Amount | Value | ||||
INVESTMENT COMPANY SECURITY — 0.2% | ||||||
Ares Capital Corp.: | ||||||
2.15%, 7/15/2026 (b) | $ 750,000 | $ 741,000 | ||||
2.88%, 6/15/2028 (b) | 500,000 | 498,730 | ||||
3.50%, 2/10/2023 | 50,000 | 51,163 | ||||
3.88%, 1/15/2026 | 100,000 | 105,533 | ||||
4.20%, 6/10/2024 | 50,000 | 52,838 | ||||
4.25%, 3/1/2025 | 50,000 | 52,949 | ||||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 100,000 | 97,142 | ||||
Blackstone Secured Lending Fund: | ||||||
2.85%, 9/30/2028 (d) | 100,000 | 97,549 | ||||
3.63%, 1/15/2026 | 150,000 | 158,061 | ||||
FS KKR Capital Corp.: | ||||||
3.40%, 1/15/2026 | 250,000 | 254,825 | ||||
4.13%, 2/1/2025 | 100,000 | 104,735 | ||||
Golub Capital BDC, Inc. 2.50%, 8/24/2026 | 160,000 | 157,368 | ||||
Main Street Capital Corp. 3.00%, 7/14/2026 | 85,000 | 85,264 | ||||
Oaktree Specialty Lending Corp. 2.70%, 1/15/2027 | 100,000 | 99,115 | ||||
Owl Rock Capital Corp.: | ||||||
3.40%, 7/15/2026 | 250,000 | 254,662 | ||||
4.00%, 3/30/2025 | 50,000 | 52,065 | ||||
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | 500,000 | 490,200 | ||||
Prospect Capital Corp. 3.44%, 10/15/2028 | 100,000 | 96,078 | ||||
3,449,277 | ||||||
IRON/STEEL — 0.0% (a) | ||||||
Nucor Corp.: | ||||||
2.00%, 6/1/2025 | 15,000 | 15,307 | ||||
2.70%, 6/1/2030 (b) | 15,000 | 15,444 | ||||
2.98%, 12/15/2055 | 50,000 | 49,627 | ||||
4.00%, 8/1/2023 | 25,000 | 26,071 | ||||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 40,000 | 39,434 | ||||
Steel Dynamics, Inc.: | ||||||
1.65%, 10/15/2027 | 10,000 | 9,804 | ||||
2.80%, 12/15/2024 | 25,000 | 25,950 | ||||
3.25%, 10/15/2050 | 20,000 | 20,191 | ||||
3.45%, 4/15/2030 | 40,000 | 42,738 | ||||
Vale Overseas, Ltd.: | ||||||
6.25%, 8/10/2026 | 150,000 | 174,143 | ||||
6.88%, 11/10/2039 (b) | 300,000 | 402,855 | ||||
8.25%, 1/17/2034 | 25,000 | 35,187 | ||||
856,751 |
Security Description | Principal Amount | Value | ||||
LODGING — 0.1% | ||||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 | $ 50,000 | $ 53,086 | ||||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 53,985 | ||||
Las Vegas Sands Corp.: | ||||||
2.90%, 6/25/2025 | 65,000 | 65,079 | ||||
3.20%, 8/8/2024 | 45,000 | 45,729 | ||||
3.50%, 8/18/2026 | 30,000 | 30,368 | ||||
3.90%, 8/8/2029 | 40,000 | 40,230 | ||||
Marriott International, Inc.: | ||||||
3.75%, 3/15/2025 | 25,000 | 26,392 | ||||
Series EE, 5.75%, 5/1/2025 | 290,000 | 326,583 | ||||
Series GG, 3.50%, 10/15/2032 | 500,000 | 523,865 | ||||
Sands China, Ltd. 5.13%, 8/8/2025 | 250,000 | 261,100 | ||||
1,426,417 | ||||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | ||||||
Caterpillar Financial Services Corp.: | ||||||
0.25%, 3/1/2023 | 65,000 | 64,646 | ||||
0.65%, 7/7/2023 | 500,000 | 499,850 | ||||
0.90%, 3/2/2026 | 600,000 | 587,214 | ||||
Series MTN, 0.45%, 9/14/2023 | 250,000 | 248,735 | ||||
Series MTN, 0.45%, 5/17/2024 | 50,000 | 49,363 | ||||
Series MTN, 0.80%, 11/13/2025 | 30,000 | 29,425 | ||||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 26,377 | ||||
Caterpillar, Inc.: | ||||||
2.60%, 9/19/2029 | 100,000 | 104,795 | ||||
2.60%, 4/9/2030 | 95,000 | 99,151 | ||||
3.25%, 4/9/2050 (b) | 125,000 | 138,152 | ||||
3.80%, 8/15/2042 | 125,000 | 146,251 | ||||
4.75%, 5/15/2064 | 25,000 | 35,885 | ||||
Oshkosh Corp. 3.10%, 3/1/2030 | 10,000 | 10,382 | ||||
2,040,226 | ||||||
MACHINERY-DIVERSIFIED — 0.2% | ||||||
CNH Industrial Capital LLC: | ||||||
1.45%, 7/15/2026 | 150,000 | 147,027 | ||||
4.20%, 1/15/2024 | 100,000 | 105,685 | ||||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 16,371 | ||||
Deere & Co.: | ||||||
2.88%, 9/7/2049 (b) | 35,000 | 36,262 | ||||
3.90%, 6/9/2042 | 225,000 | 267,473 | ||||
Flowserve Corp.: | ||||||
2.80%, 1/15/2032 | 75,000 | 73,060 |
Security Description | Principal Amount | Value | |||
3.50%, 10/1/2030 | $ 35,000 | $ 36,262 | |||
IDEX Corp.: | |||||
2.63%, 6/15/2031 | 100,000 | 100,943 | |||
3.00%, 5/1/2030 | 25,000 | 26,031 | |||
John Deere Capital Corp.: | |||||
1.45%, 1/15/2031 | 70,000 | 66,630 | |||
3.65%, 10/12/2023 | 100,000 | 104,975 | |||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 25,939 | |||
Series MTN, 0.25%, 1/17/2023 | 100,000 | 99,726 | |||
Series MTN, 0.45%, 1/17/2024 | 100,000 | 99,003 | |||
Series MTN, 0.45%, 6/7/2024 | 65,000 | 64,158 | |||
Series MTN, 0.63%, 9/10/2024 | 55,000 | 54,441 | |||
Series MTN, 0.70%, 1/15/2026 | 100,000 | 97,262 | |||
Series MTN, 1.30%, 10/13/2026 | 300,000 | 296,838 | |||
Series MTN, 1.50%, 3/6/2028 | 100,000 | 98,459 | |||
Series MTN, 2.25%, 9/14/2026 | 100,000 | 103,538 | |||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 67,259 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 153,822 | |||
Series MTN, 2.80%, 7/18/2029 | 50,000 | 52,726 | |||
Series MTN, 3.40%, 9/11/2025 (b) | 25,000 | 26,802 | |||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 106,750 | |||
nVent Finance Sarl: | |||||
2.75%, 11/15/2031 | 50,000 | 49,777 | |||
4.55%, 4/15/2028 | 50,000 | 55,514 | |||
Otis Worldwide Corp.: | |||||
2.06%, 4/5/2025 | 600,000 | 611,466 | |||
2.57%, 2/15/2030 | 250,000 | 253,525 | |||
3.11%, 2/15/2040 | 250,000 | 256,055 | |||
Rockwell Automation, Inc.: | |||||
3.50%, 3/1/2029 | 85,000 | 93,282 | |||
4.20%, 3/1/2049 | 250,000 | 313,590 | |||
Westinghouse Air Brake Technologies Corp.: | |||||
4.40%, 3/15/2024 | 50,000 | 53,004 | |||
4.95%, 9/15/2028 | 300,000 | 341,001 | |||
Xylem, Inc. 1.95%, 1/30/2028 | 45,000 | 44,687 | |||
4,399,343 |
Security Description | Principal Amount | Value | ||||
MEDIA — 0.8% | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||
2.30%, 2/1/2032 | $ 350,000 | $ 332,587 | ||||
2.80%, 4/1/2031 | 290,000 | 287,538 | ||||
3.50%, 6/1/2041 | 500,000 | 487,350 | ||||
3.70%, 4/1/2051 | 730,000 | 705,625 | ||||
3.85%, 4/1/2061 | 100,000 | 94,334 | ||||
3.90%, 6/1/2052 | 100,000 | 100,065 | ||||
4.20%, 3/15/2028 | 250,000 | 273,340 | ||||
4.40%, 12/1/2061 | 100,000 | 103,432 | ||||
4.80%, 3/1/2050 | 155,000 | 173,752 | ||||
4.91%, 7/23/2025 | 50,000 | 55,072 | ||||
5.05%, 3/30/2029 | 100,000 | 114,936 | ||||
5.38%, 5/1/2047 | 150,000 | 179,151 | ||||
6.48%, 10/23/2045 | 185,000 | 252,923 | ||||
Class USD, 4.50%, 2/1/2024 | 100,000 | 106,306 | ||||
Comcast Corp.: | ||||||
1.50%, 2/15/2031 | 150,000 | 141,315 | ||||
1.95%, 1/15/2031 (b) | 70,000 | 68,450 | ||||
2.45%, 8/15/2052 | 115,000 | 103,008 | ||||
2.65%, 8/15/2062 | 75,000 | 66,600 | ||||
2.80%, 1/15/2051 | 805,000 | 767,366 | ||||
2.89%, 11/1/2051 (d) | 350,000 | 338,607 | ||||
2.94%, 11/1/2056 (d) | 500,000 | 476,275 | ||||
3.15%, 3/1/2026 | 225,000 | 239,983 | ||||
3.15%, 2/15/2028 | 200,000 | 214,736 | ||||
3.20%, 7/15/2036 | 250,000 | 266,147 | ||||
3.30%, 2/1/2027 (b) | 150,000 | 161,265 | ||||
3.30%, 4/1/2027 | 100,000 | 107,711 | ||||
3.40%, 4/1/2030 | 550,000 | 599,461 | ||||
3.40%, 7/15/2046 | 100,000 | 105,367 | ||||
3.70%, 4/15/2024 | 500,000 | 531,360 | ||||
3.75%, 4/1/2040 | 250,000 | 279,662 | ||||
3.90%, 3/1/2038 | 150,000 | 169,186 | ||||
3.95%, 10/15/2025 | 350,000 | 382,648 | ||||
4.00%, 11/1/2049 | 69,000 | 79,959 | ||||
4.15%, 10/15/2028 | 250,000 | 283,700 | ||||
4.20%, 8/15/2034 | 100,000 | 117,689 | ||||
4.25%, 10/15/2030 | 50,000 | 57,709 | ||||
4.25%, 1/15/2033 | 50,000 | 58,598 | ||||
4.60%, 10/15/2038 | 305,000 | 370,560 | ||||
4.65%, 7/15/2042 | 75,000 | 92,280 | ||||
4.70%, 10/15/2048 | 500,000 | 639,890 | ||||
4.95%, 10/15/2058 (b) | 105,000 | 144,967 | ||||
Discovery Communications LLC: | ||||||
3.80%, 3/13/2024 | 100,000 | 104,980 | ||||
3.95%, 3/20/2028 | 30,000 | 32,584 | ||||
4.00%, 9/15/2055 | 265,000 | 279,048 | ||||
4.65%, 5/15/2050 | 250,000 | 294,180 | ||||
5.20%, 9/20/2047 | 100,000 | 123,653 |
Security Description | Principal Amount | Value | ||||
Fox Corp.: | ||||||
4.03%, 1/25/2024 | $ 25,000 | $ 26,407 | ||||
4.71%, 1/25/2029 | 40,000 | 45,725 | ||||
5.48%, 1/25/2039 | 275,000 | 353,809 | ||||
5.58%, 1/25/2049 | 25,000 | 34,092 | ||||
Grupo Televisa SAB: | ||||||
5.00%, 5/13/2045 | 50,000 | 58,900 | ||||
6.13%, 1/31/2046 | 100,000 | 135,463 | ||||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 53,189 | ||||
Time Warner Cable LLC: | ||||||
4.50%, 9/15/2042 | 100,000 | 108,703 | ||||
5.50%, 9/1/2041 | 425,000 | 514,841 | ||||
5.88%, 11/15/2040 | 50,000 | 62,151 | ||||
6.75%, 6/15/2039 | 50,000 | 68,164 | ||||
TWDC Enterprises 18 Corp.: | ||||||
3.00%, 2/13/2026 | 50,000 | 52,900 | ||||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 26,523 | ||||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 76,618 | ||||
ViacomCBS, Inc.: | ||||||
2.90%, 1/15/2027 (b) | 125,000 | 130,470 | ||||
3.70%, 6/1/2028 | 50,000 | 54,161 | ||||
4.20%, 6/1/2029 | 200,000 | 222,116 | ||||
4.38%, 3/15/2043 | 25,000 | 28,435 | ||||
4.75%, 5/15/2025 | 250,000 | 274,432 | ||||
4.95%, 1/15/2031 | 250,000 | 295,470 | ||||
4.95%, 5/19/2050 (b) | 200,000 | 254,036 | ||||
5.85%, 9/1/2043 | 200,000 | 270,326 | ||||
Walt Disney Co.: | ||||||
1.75%, 8/30/2024 | 50,000 | 50,868 | ||||
1.75%, 1/13/2026 | 105,000 | 106,237 | ||||
2.00%, 9/1/2029 | 185,000 | 183,992 | ||||
2.20%, 1/13/2028 (b) | 70,000 | 71,322 | ||||
2.65%, 1/13/2031 (b) | 440,000 | 457,362 | ||||
3.35%, 3/24/2025 (b) | 250,000 | 266,407 | ||||
3.38%, 11/15/2026 | 100,000 | 107,576 | ||||
3.50%, 5/13/2040 | 650,000 | 712,484 | ||||
3.60%, 1/13/2051 | 75,000 | 84,861 | ||||
3.70%, 10/15/2025 | 100,000 | 107,688 | ||||
3.80%, 5/13/2060 | 90,000 | 104,536 | ||||
4.00%, 10/1/2023 | 100,000 | 105,343 | ||||
4.70%, 3/23/2050 | 150,000 | 197,754 | ||||
5.40%, 10/1/2043 | 75,000 | 103,253 | ||||
6.65%, 11/15/2037 | 250,000 | 370,580 | ||||
17,142,549 | ||||||
METAL FABRICATE & HARDWARE — 0.0% (a) | ||||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 76,169 | ||||
Timken Co. 4.50%, 12/15/2028 | 20,000 | 22,327 | ||||
98,496 |
Security Description | Principal Amount | Value | ||||
MINING — 0.1% | ||||||
AngloGold Ashanti Holdings PLC 3.38%, 11/1/2028 | $ 200,000 | $ 198,076 | ||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 32,383 | ||||
Barrick North America Finance LLC 5.75%, 5/1/2043 | 250,000 | 340,225 | ||||
BHP Billiton Finance USA, Ltd.: | ||||||
4.13%, 2/24/2042 | 125,000 | 147,879 | ||||
5.00%, 9/30/2043 | 50,000 | 66,135 | ||||
Newmont Corp.: | ||||||
2.25%, 10/1/2030 | 65,000 | 64,145 | ||||
2.60%, 7/15/2032 | 500,000 | 501,325 | ||||
2.80%, 10/1/2029 | 80,000 | 82,250 | ||||
4.88%, 3/15/2042 | 50,000 | 62,670 | ||||
Rio Tinto Finance USA PLC: | ||||||
4.13%, 8/21/2042 | 25,000 | 29,964 | ||||
4.75%, 3/22/2042 | 150,000 | 192,255 | ||||
Southern Copper Corp. 5.88%, 4/23/2045 (b) | 357,000 | 489,519 | ||||
2,206,826 | ||||||
MISCELLANEOUS MANUFACTURER — 0.1% | ||||||
3M Co.: | ||||||
1.75%, 2/14/2023 (b) | 100,000 | 101,034 | ||||
2.00%, 2/14/2025 (b) | 100,000 | 102,445 | ||||
2.38%, 8/26/2029 (b) | 100,000 | 102,607 | ||||
2.88%, 10/15/2027 (b) | 225,000 | 239,859 | ||||
3.25%, 8/26/2049 (b) | 60,000 | 65,507 | ||||
Series MTN, 3.38%, 3/1/2029 | 50,000 | 54,553 | ||||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 28,572 | ||||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 36,220 | ||||
Carlisle Cos., Inc. 2.75%, 3/1/2030 | 65,000 | 66,405 | ||||
Eaton Corp.: | ||||||
3.10%, 9/15/2027 | 100,000 | 106,921 | ||||
4.15%, 11/2/2042 | 25,000 | 29,408 | ||||
GE Capital Funding LLC 4.55%, 5/15/2032 | 200,000 | 236,396 | ||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 550,000 | 659,642 | ||||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 325,000 | 380,204 | ||||
Parker-Hannifin Corp.: | ||||||
2.70%, 6/14/2024 | 35,000 | 36,169 | ||||
4.00%, 6/14/2049 | 40,000 | 46,772 | ||||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 52,455 | ||||
Textron, Inc.: | ||||||
2.45%, 3/15/2031 | 30,000 | 29,676 |
Security Description | Principal Amount | Value | ||||
3.90%, 9/17/2029 | $ 50,000 | $ 54,882 | ||||
4.00%, 3/15/2026 | 50,000 | 54,083 | ||||
Trane Technologies Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 35,170 | ||||
Trane Technologies Luxembourg Finance SA 3.80%, 3/21/2029 (b) | 100,000 | 109,263 | ||||
2,628,243 | ||||||
OFFICE & BUSINESS EQUIPMENT — 0.0% (a) | ||||||
CDW LLC/CDW Finance Corp.: | ||||||
2.67%, 12/1/2026 | 215,000 | 220,624 | ||||
3.57%, 12/1/2031 | 500,000 | 520,785 | ||||
741,409 | ||||||
OIL & GAS — 1.1% | ||||||
BP Capital Markets America, Inc.: | ||||||
1.75%, 8/10/2030 (b) | 500,000 | 481,660 | ||||
2.94%, 6/4/2051 | 105,000 | 101,434 | ||||
3.00%, 2/24/2050 | 250,000 | 246,247 | ||||
3.02%, 1/16/2027 | 200,000 | 211,212 | ||||
3.06%, 6/17/2041 | 500,000 | 505,610 | ||||
3.38%, 2/8/2061 | 650,000 | 670,871 | ||||
3.59%, 4/14/2027 | 250,000 | 270,525 | ||||
3.63%, 4/6/2030 | 200,000 | 220,578 | ||||
3.94%, 9/21/2028 | 100,000 | 111,001 | ||||
BP Capital Markets PLC 3.81%, 2/10/2024 | 900,000 | 949,770 | ||||
Canadian Natural Resources, Ltd.: | ||||||
2.95%, 1/15/2023 | 250,000 | 254,630 | ||||
3.85%, 6/1/2027 | 50,000 | 53,758 | ||||
3.90%, 2/1/2025 | 25,000 | 26,616 | ||||
Series GMTN, 4.95%, 6/1/2047 (b) | 100,000 | 123,944 | ||||
Cenovus Energy, Inc.: | ||||||
2.65%, 1/15/2032 (b) | 35,000 | 34,278 | ||||
4.40%, 4/15/2029 | 100,000 | 110,667 | ||||
5.38%, 7/15/2025 | 277,000 | 306,351 | ||||
Chevron Corp.: | ||||||
1.14%, 5/11/2023 (b) | 250,000 | 251,612 | ||||
1.55%, 5/11/2025 | 885,000 | 893,770 | ||||
2.00%, 5/11/2027 | 350,000 | 356,016 | ||||
2.24%, 5/11/2030 | 100,000 | 101,499 | ||||
2.90%, 3/3/2024 | 750,000 | 780,487 | ||||
2.95%, 5/16/2026 | 50,000 | 53,007 | ||||
3.08%, 5/11/2050 (b) | 100,000 | 106,255 | ||||
3.19%, 6/24/2023 | 25,000 | 25,794 | ||||
Chevron USA, Inc.: | ||||||
0.43%, 8/11/2023 (b) | 30,000 | 29,921 | ||||
0.69%, 8/12/2025 | 65,000 | 63,705 | ||||
1.02%, 8/12/2027 | 40,000 | 38,602 | ||||
2.34%, 8/12/2050 | 65,000 | 60,028 |
Security Description | Principal Amount | Value | |||
CNOOC Finance 2015 USA LLC: | |||||
3.50%, 5/5/2025 | $ 300,000 | $ 316,170 | |||
4.38%, 5/2/2028 | 250,000 | 279,980 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 118,246 | |||
ConocoPhillips: | |||||
3.75%, 10/1/2027 (d) | 300,000 | 328,326 | |||
6.50%, 2/1/2039 | 75,000 | 109,172 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 (b) | 200,000 | 226,082 | |||
5.95%, 3/15/2046 | 200,000 | 297,814 | |||
6.95%, 4/15/2029 | 50,000 | 65,773 | |||
Coterra Energy, Inc. 3.90%, 5/15/2027 (d) | 250,000 | 269,315 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 30,388 | |||
5.25%, 9/15/2024 | 500,000 | 540,380 | |||
5.85%, 12/15/2025 | 50,000 | 57,205 | |||
Diamondback Energy, Inc.: | |||||
2.88%, 12/1/2024 | 60,000 | 62,291 | |||
3.13%, 3/24/2031 | 795,000 | 819,732 | |||
3.25%, 12/1/2026 | 45,000 | 47,502 | |||
3.50%, 12/1/2029 | 100,000 | 105,993 | |||
4.40%, 3/24/2051 | 35,000 | 40,172 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 (b) | 100,000 | 101,727 | |||
3.90%, 4/1/2035 | 25,000 | 28,354 | |||
4.38%, 4/15/2030 (b) | 30,000 | 34,682 | |||
4.95%, 4/15/2050 (b) | 35,000 | 47,535 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 77,402 | |||
2.88%, 4/6/2025 | 250,000 | 261,280 | |||
3.25%, 11/18/2049 | 305,000 | 324,224 | |||
3.63%, 9/10/2028 | 50,000 | 55,039 | |||
3.63%, 4/6/2040 | 100,000 | 111,086 | |||
3.70%, 3/1/2024 | 300,000 | 317,037 | |||
3.95%, 5/15/2043 | 50,000 | 58,306 | |||
4.80%, 11/8/2043 | 30,000 | 38,885 | |||
Exxon Mobil Corp.: | |||||
1.57%, 4/15/2023 | 150,000 | 151,718 | |||
2.02%, 8/16/2024 | 50,000 | 51,259 | |||
2.44%, 8/16/2029 | 50,000 | 51,288 | |||
2.61%, 10/15/2030 | 300,000 | 311,334 | |||
2.99%, 3/19/2025 | 650,000 | 683,715 | |||
3.00%, 8/16/2039 | 50,000 | 51,131 | |||
3.10%, 8/16/2049 | 50,000 | 50,734 | |||
3.29%, 3/19/2027 (b) | 350,000 | 377,457 | |||
3.45%, 4/15/2051 | 545,000 | 591,412 | |||
3.48%, 3/19/2030 | 250,000 | 274,347 | |||
4.11%, 3/1/2046 | 125,000 | 146,189 | |||
4.23%, 3/19/2040 | 105,000 | 124,025 | |||
4.33%, 3/19/2050 | 250,000 | 307,675 |
Security Description | Principal Amount | Value | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | $ 75,000 | $ 92,618 | |||
5.80%, 4/1/2047 | 250,000 | 321,532 | |||
HollyFrontier Corp. 2.63%, 10/1/2023 | 45,000 | 45,887 | |||
Marathon Oil Corp.: | |||||
4.40%, 7/15/2027 | 50,000 | 54,860 | |||
5.20%, 6/1/2045 | 50,000 | 60,227 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 52,648 | |||
3.80%, 4/1/2028 | 30,000 | 32,296 | |||
4.50%, 4/1/2048 | 25,000 | 28,436 | |||
4.70%, 5/1/2025 | 350,000 | 382,172 | |||
5.13%, 12/15/2026 | 150,000 | 171,049 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 123,608 | |||
Phillips 66: | |||||
2.15%, 12/15/2030 (b) | 150,000 | 144,435 | |||
3.70%, 4/6/2023 | 520,000 | 537,826 | |||
3.85%, 4/9/2025 | 180,000 | 192,071 | |||
3.90%, 3/15/2028 | 50,000 | 54,204 | |||
4.88%, 11/15/2044 (b) | 95,000 | 120,131 | |||
Pioneer Natural Resources Co.: | |||||
0.55%, 5/15/2023 | 15,000 | 14,945 | |||
0.75%, 1/15/2024 | 105,000 | 103,803 | |||
1.13%, 1/15/2026 | 95,000 | 92,404 | |||
2.15%, 1/15/2031 | 70,000 | 67,590 | |||
4.45%, 1/15/2026 | 50,000 | 54,672 | |||
Shell International Finance B.V.: | |||||
0.38%, 9/15/2023 | 200,000 | 198,930 | |||
2.38%, 11/7/2029 | 100,000 | 102,303 | |||
2.50%, 9/12/2026 (b) | 150,000 | 157,077 | |||
2.75%, 4/6/2030 | 250,000 | 261,502 | |||
2.88%, 11/26/2041 | 350,000 | 351,274 | |||
3.13%, 11/7/2049 | 100,000 | 103,107 | |||
3.25%, 5/11/2025 | 100,000 | 106,549 | |||
3.25%, 4/6/2050 (b) | 500,000 | 532,955 | |||
4.00%, 5/10/2046 | 100,000 | 116,610 | |||
4.13%, 5/11/2035 | 75,000 | 87,728 | |||
4.38%, 5/11/2045 | 250,000 | 304,650 | |||
4.55%, 8/12/2043 | 250,000 | 312,525 | |||
5.50%, 3/25/2040 | 25,000 | 33,935 | |||
Suncor Energy, Inc.: | |||||
2.80%, 5/15/2023 | 45,000 | 46,059 | |||
3.10%, 5/15/2025 | 40,000 | 41,860 | |||
3.75%, 3/4/2051 | 285,000 | 308,880 | |||
4.00%, 11/15/2047 | 70,000 | 78,414 | |||
5.35%, 7/15/2033 | 25,000 | 30,275 | |||
6.50%, 6/15/2038 | 50,000 | 68,536 | |||
TotalEnergies Capital International SA: | |||||
2.99%, 6/29/2041 | 500,000 | 508,075 | |||
3.13%, 5/29/2050 | 200,000 | 205,504 | |||
3.75%, 4/10/2024 | 375,000 | 398,074 |
Security Description | Principal Amount | Value | ||||
TotalEnergies Capital SA 3.88%, 10/11/2028 | $ 25,000 | $ 27,922 | ||||
Valero Energy Corp.: | ||||||
2.15%, 9/15/2027 (b) | 250,000 | 249,637 | ||||
2.85%, 4/15/2025 | 55,000 | 57,138 | ||||
3.40%, 9/15/2026 | 50,000 | 53,436 | ||||
6.63%, 6/15/2037 | 250,000 | 338,137 | ||||
23,610,736 | ||||||
OIL & GAS SERVICES — 0.1% | ||||||
Baker Hughes Holdings LLC/Baker Hughes Co.-Obligor, Inc.: | ||||||
1.23%, 12/15/2023 | 40,000 | 40,177 | ||||
2.06%, 12/15/2026 | 600,000 | 605,850 | ||||
2.77%, 12/15/2022 | 100,000 | 101,973 | ||||
3.34%, 12/15/2027 | 50,000 | 53,341 | ||||
4.08%, 12/15/2047 (b) | 150,000 | 171,015 | ||||
Halliburton Co.: | ||||||
2.92%, 3/1/2030 (b) | 500,000 | 516,390 | ||||
3.80%, 11/15/2025 | 22,000 | 23,745 | ||||
4.85%, 11/15/2035 | 150,000 | 177,450 | ||||
5.00%, 11/15/2045 | 35,000 | 42,210 | ||||
7.45%, 9/15/2039 | 25,000 | 36,850 | ||||
NOV, Inc. 3.60%, 12/1/2029 | 100,000 | 104,743 | ||||
Schlumberger Investment SA 2.65%, 6/26/2030 (b) | 150,000 | 153,663 | ||||
2,027,407 | ||||||
PACKAGING & CONTAINERS — 0.1% | ||||||
Amcor Flexibles North America, Inc. 2.69%, 5/25/2031 (b) | 130,000 | 131,541 | ||||
Berry Global, Inc. 1.57%, 1/15/2026 | 250,000 | 244,687 | ||||
Packaging Corp. of America: | ||||||
3.00%, 12/15/2029 | 25,000 | 26,152 | ||||
3.40%, 12/15/2027 | 35,000 | 37,733 | ||||
4.05%, 12/15/2049 | 10,000 | 11,691 | ||||
WRKCo, Inc.: | ||||||
3.00%, 6/15/2033 | 500,000 | 515,655 | ||||
3.38%, 9/15/2027 | 100,000 | 106,311 | ||||
3.75%, 3/15/2025 | 100,000 | 106,710 | ||||
4.20%, 6/1/2032 | 50,000 | 56,890 | ||||
1,237,370 | ||||||
PHARMACEUTICALS — 1.7% | ||||||
AbbVie, Inc.: | ||||||
2.60%, 11/21/2024 | 605,000 | 627,488 | ||||
2.95%, 11/21/2026 | 605,000 | 637,295 | ||||
3.20%, 5/14/2026 | 200,000 | 211,588 | ||||
3.20%, 11/21/2029 | 245,000 | 262,282 | ||||
3.60%, 5/14/2025 | 350,000 | 371,955 | ||||
3.75%, 11/14/2023 | 235,000 | 246,311 | ||||
3.80%, 3/15/2025 | 425,000 | 453,373 | ||||
3.85%, 6/15/2024 | 50,000 | 52,864 |
Security Description | Principal Amount | Value | |||
4.05%, 11/21/2039 | $ 700,000 | $ 802,417 | |||
4.25%, 11/14/2028 | 35,000 | 39,530 | |||
4.25%, 11/21/2049 | 340,000 | 408,201 | |||
4.30%, 5/14/2036 | 50,000 | 58,762 | |||
4.40%, 11/6/2042 | 50,000 | 59,986 | |||
4.45%, 5/14/2046 | 150,000 | 181,246 | |||
4.50%, 5/14/2035 | 50,000 | 59,769 | |||
4.55%, 3/15/2035 | 350,000 | 418,449 | |||
4.75%, 3/15/2045 | 75,000 | 93,211 | |||
4.88%, 11/14/2048 | 25,000 | 32,362 | |||
AmerisourceBergen Corp.: | |||||
0.74%, 3/15/2023 | 105,000 | 104,741 | |||
2.70%, 3/15/2031 | 200,000 | 202,326 | |||
2.80%, 5/15/2030 | 100,000 | 102,812 | |||
3.45%, 12/15/2027 | 50,000 | 53,870 | |||
Astrazeneca Finance LLC: | |||||
0.70%, 5/28/2024 | 80,000 | 79,381 | |||
1.20%, 5/28/2026 | 785,000 | 775,399 | |||
1.75%, 5/28/2028 | 55,000 | 54,646 | |||
2.25%, 5/28/2031 (b) | 20,000 | 20,214 | |||
AstraZeneca PLC: | |||||
0.30%, 5/26/2023 | 75,000 | 74,574 | |||
0.70%, 4/8/2026 | 500,000 | 483,610 | |||
3.00%, 5/28/2051 (b) | 780,000 | 820,552 | |||
3.38%, 11/16/2025 | 35,000 | 37,555 | |||
3.50%, 8/17/2023 (b) | 50,000 | 52,157 | |||
4.00%, 1/17/2029 | 35,000 | 39,458 | |||
4.00%, 9/18/2042 | 25,000 | 29,808 | |||
4.38%, 8/17/2048 | 40,000 | 51,598 | |||
6.45%, 9/15/2037 | 25,000 | 36,860 | |||
Becton Dickinson & Co.: | |||||
1.96%, 2/11/2031 | 65,000 | 62,650 | |||
3.36%, 6/6/2024 | 23,000 | 24,082 | |||
3.70%, 6/6/2027 | 163,000 | 177,740 | |||
3.73%, 12/15/2024 | 14,000 | 14,891 | |||
4.69%, 12/15/2044 | 20,000 | 25,148 | |||
Becton Dickinson and Co. 4.67%, 6/6/2047 | 210,000 | 264,648 | |||
Bristol-Myers Squibb Co.: | |||||
0.54%, 11/13/2023 | 35,000 | 34,822 | |||
0.75%, 11/13/2025 | 50,000 | 48,887 | |||
1.13%, 11/13/2027 | 50,000 | 48,698 | |||
1.45%, 11/13/2030 | 30,000 | 28,565 | |||
2.35%, 11/13/2040 | 520,000 | 492,310 | |||
2.55%, 11/13/2050 | 30,000 | 28,451 | |||
2.90%, 7/26/2024 | 319,000 | 333,483 | |||
3.25%, 2/20/2023 | 48,000 | 49,286 | |||
3.25%, 2/27/2027 | 250,000 | 270,392 | |||
3.25%, 8/1/2042 | 50,000 | 53,354 | |||
3.40%, 7/26/2029 | 500,000 | 546,895 | |||
3.88%, 8/15/2025 | 130,000 | 140,741 | |||
3.90%, 2/20/2028 | 100,000 | 111,506 | |||
4.13%, 6/15/2039 | 535,000 | 632,803 | |||
4.25%, 10/26/2049 | 150,000 | 185,541 | |||
4.35%, 11/15/2047 | 225,000 | 278,964 |
Security Description | Principal Amount | Value | |||
4.55%, 2/20/2048 | $ 100,000 | $ 127,821 | |||
5.00%, 8/15/2045 | 114,000 | 151,813 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 259,267 | |||
3.41%, 6/15/2027 (b) | 300,000 | 322,032 | |||
4.90%, 9/15/2045 | 25,000 | 30,041 | |||
Cigna Corp.: | |||||
1.25%, 3/15/2026 (b) | 565,000 | 557,695 | |||
2.38%, 3/15/2031 | 560,000 | 562,307 | |||
2.40%, 3/15/2030 | 120,000 | 120,828 | |||
3.05%, 10/15/2027 | 50,000 | 53,113 | |||
3.20%, 3/15/2040 | 585,000 | 604,206 | |||
3.40%, 3/15/2050 | 415,000 | 432,862 | |||
3.40%, 3/15/2051 | 540,000 | 567,702 | |||
3.75%, 7/15/2023 | 36,000 | 37,470 | |||
4.38%, 10/15/2028 | 310,000 | 352,408 | |||
4.80%, 8/15/2038 | 60,000 | 73,748 | |||
4.90%, 12/15/2048 | 295,000 | 380,916 | |||
6.13%, 11/15/2041 | 25,000 | 35,801 | |||
CVS Health Corp.: | |||||
1.30%, 8/21/2027 | 300,000 | 291,180 | |||
1.88%, 2/28/2031 | 250,000 | 239,880 | |||
2.70%, 8/21/2040 | 850,000 | 816,374 | |||
2.88%, 6/1/2026 | 210,000 | 219,981 | |||
3.38%, 8/12/2024 | 25,000 | 26,276 | |||
3.75%, 4/1/2030 | 250,000 | 274,537 | |||
3.88%, 7/20/2025 | 20,000 | 21,512 | |||
4.10%, 3/25/2025 | 311,000 | 335,249 | |||
4.13%, 4/1/2040 | 350,000 | 400,711 | |||
4.30%, 3/25/2028 | 179,000 | 201,008 | |||
4.78%, 3/25/2038 | 675,000 | 822,467 | |||
4.88%, 7/20/2035 | 45,000 | 55,195 | |||
5.05%, 3/25/2048 | 300,000 | 392,535 | |||
5.13%, 7/20/2045 | 185,000 | 240,546 | |||
Eli Lilly & Co.: | |||||
2.25%, 5/15/2050 | 100,000 | 92,017 | |||
2.50%, 9/15/2060 | 250,000 | 234,477 | |||
GlaxoSmithKline Capital PLC: | |||||
0.53%, 10/1/2023 | 100,000 | 99,577 | |||
3.00%, 6/1/2024 | 70,000 | 73,115 | |||
3.38%, 6/1/2029 (b) | 835,000 | 909,791 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 25,618 | |||
3.38%, 5/15/2023 | 100,000 | 103,568 | |||
3.63%, 5/15/2025 | 55,000 | 59,193 | |||
3.88%, 5/15/2028 (b) | 100,000 | 111,761 | |||
4.20%, 3/18/2043 | 25,000 | 30,442 | |||
6.38%, 5/15/2038 | 50,000 | 73,659 | |||
Johnson & Johnson: | |||||
0.55%, 9/1/2025 | 800,000 | 780,304 | |||
0.95%, 9/1/2027 | 65,000 | 63,583 | |||
1.30%, 9/1/2030 | 570,000 | 548,819 | |||
2.10%, 9/1/2040 | 65,000 | 61,574 | |||
2.25%, 9/1/2050 (b) | 100,000 | 93,265 | |||
2.45%, 3/1/2026 | 30,000 | 31,273 |
Security Description | Principal Amount | Value | |||
2.45%, 9/1/2060 | $ 65,000 | $ 61,447 | |||
2.90%, 1/15/2028 | 250,000 | 266,652 | |||
3.38%, 12/5/2023 | 25,000 | 26,249 | |||
3.40%, 1/15/2038 | 100,000 | 111,930 | |||
3.55%, 3/1/2036 | 150,000 | 171,510 | |||
3.63%, 3/3/2037 | 200,000 | 230,266 | |||
3.75%, 3/3/2047 (b) | 100,000 | 118,996 | |||
4.50%, 12/5/2043 | 50,000 | 63,648 | |||
McKesson Corp. 0.90%, 12/3/2025 | 370,000 | 358,841 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 32,250 | |||
Merck & Co., Inc.: | |||||
0.75%, 2/24/2026 (b) | 350,000 | 342,849 | |||
1.45%, 6/24/2030 | 55,000 | 52,610 | |||
1.70%, 6/10/2027 | 100,000 | 100,666 | |||
1.90%, 12/10/2028 (b) | 100,000 | 100,436 | |||
2.15%, 12/10/2031 | 595,000 | 596,791 | |||
2.35%, 6/24/2040 | 70,000 | 66,906 | |||
2.75%, 2/10/2025 | 325,000 | 340,213 | |||
2.75%, 12/10/2051 | 500,000 | 497,490 | |||
2.90%, 3/7/2024 | 45,000 | 46,880 | |||
3.40%, 3/7/2029 | 100,000 | 109,033 | |||
3.60%, 9/15/2042 | 25,000 | 28,209 | |||
3.70%, 2/10/2045 | 50,000 | 57,481 | |||
3.90%, 3/7/2039 | 100,000 | 117,212 | |||
4.00%, 3/7/2049 | 65,000 | 79,104 | |||
Novartis Capital Corp.: | |||||
1.75%, 2/14/2025 | 100,000 | 101,556 | |||
2.00%, 2/14/2027 | 100,000 | 101,854 | |||
2.20%, 8/14/2030 | 100,000 | 101,523 | |||
2.75%, 8/14/2050 | 815,000 | 825,375 | |||
3.00%, 11/20/2025 (b) | 25,000 | 26,497 | |||
3.10%, 5/17/2027 | 30,000 | 32,089 | |||
3.40%, 5/6/2024 | 25,000 | 26,380 | |||
4.00%, 11/20/2045 | 50,000 | 60,674 | |||
Pfizer, Inc.: | |||||
0.80%, 5/28/2025 | 750,000 | 740,745 | |||
1.70%, 5/28/2030 | 150,000 | 146,722 | |||
1.75%, 8/18/2031 (b) | 65,000 | 63,574 | |||
2.55%, 5/28/2040 | 150,000 | 149,172 | |||
2.70%, 5/28/2050 (b) | 250,000 | 251,782 | |||
2.95%, 3/15/2024 | 100,000 | 104,098 | |||
3.00%, 12/15/2026 (b) | 150,000 | 161,610 | |||
3.20%, 9/15/2023 | 50,000 | 51,998 | |||
3.40%, 5/15/2024 | 25,000 | 26,470 | |||
3.45%, 3/15/2029 | 100,000 | 110,280 | |||
3.60%, 9/15/2028 | 100,000 | 111,170 | |||
3.90%, 3/15/2039 | 25,000 | 29,246 | |||
4.00%, 12/15/2036 | 150,000 | 177,838 | |||
4.00%, 3/15/2049 | 100,000 | 122,589 | |||
4.10%, 9/15/2038 | 200,000 | 237,902 | |||
4.20%, 9/15/2048 | 35,000 | 44,004 | |||
7.20%, 3/15/2039 | 75,000 | 120,749 |
Security Description | Principal Amount | Value | ||||
Sanofi 3.63%, 6/19/2028 | $ 100,000 | $ 112,532 | ||||
Shire Acquisitions Investments Ireland DAC: | ||||||
2.88%, 9/23/2023 | 100,000 | 102,825 | ||||
3.20%, 9/23/2026 | 30,000 | 31,832 | ||||
Takeda Pharmaceutical Co., Ltd.: | ||||||
2.05%, 3/31/2030 | 250,000 | 243,725 | ||||
3.03%, 7/9/2040 | 200,000 | 201,394 | ||||
3.18%, 7/9/2050 | 500,000 | 506,895 | ||||
4.40%, 11/26/2023 | 100,000 | 105,827 | ||||
5.00%, 11/26/2028 | 100,000 | 117,486 | ||||
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | 250,000 | 306,507 | ||||
Viatris, Inc.: | ||||||
2.70%, 6/22/2030 | 150,000 | 150,564 | ||||
3.85%, 6/22/2040 | 500,000 | 533,330 | ||||
4.00%, 6/22/2050 | 150,000 | 160,365 | ||||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 35,155 | ||||
Zoetis, Inc.: | ||||||
3.00%, 9/12/2027 | 50,000 | 52,874 | ||||
3.00%, 5/15/2050 | 105,000 | 109,704 | ||||
3.90%, 8/20/2028 | 50,000 | 55,600 | ||||
4.45%, 8/20/2048 | 25,000 | 31,974 | ||||
4.70%, 2/1/2043 | 25,000 | 31,853 | ||||
35,084,032 | ||||||
PIPELINES — 0.8% | ||||||
Boardwalk Pipelines L.P.: | ||||||
3.40%, 2/15/2031 | 45,000 | 46,427 | ||||
4.80%, 5/3/2029 | 40,000 | 44,843 | ||||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 | 90,000 | 96,316 | ||||
Enable Midstream Partners L.P.: | ||||||
4.15%, 9/15/2029 | 100,000 | 107,443 | ||||
4.40%, 3/15/2027 | 50,000 | 54,037 | ||||
4.95%, 5/15/2028 | 30,000 | 33,363 | ||||
Enbridge, Inc.: | ||||||
2.50%, 8/1/2033 | 200,000 | 196,756 | ||||
3.40%, 8/1/2051 | 145,000 | 147,883 | ||||
3.70%, 7/15/2027 (b) | 50,000 | 54,025 | ||||
4.00%, 11/15/2049 (b) | 100,000 | 112,375 | ||||
4.25%, 12/1/2026 | 50,000 | 55,162 | ||||
Energy Transfer L.P.: | ||||||
2.90%, 5/15/2025 | 500,000 | 516,640 | ||||
4.00%, 10/1/2027 | 50,000 | 53,720 | ||||
4.20%, 4/15/2027 | 50,000 | 54,143 | ||||
4.75%, 1/15/2026 | 225,000 | 246,089 | ||||
5.00%, 5/15/2050 | 250,000 | 287,860 | ||||
5.15%, 2/1/2043 | 25,000 | 27,722 | ||||
5.15%, 3/15/2045 | 225,000 | 255,319 | ||||
5.25%, 4/15/2029 | 275,000 | 315,950 |
Security Description | Principal Amount | Value | |||
5.30%, 4/1/2044 | $ 25,000 | $ 28,630 | |||
5.35%, 5/15/2045 | 25,000 | 28,891 | |||
5.40%, 10/1/2047 | 150,000 | 176,913 | |||
5.88%, 1/15/2024 | 250,000 | 269,775 | |||
6.25%, 4/15/2049 | 275,000 | 359,626 | |||
Enterprise Products Operating LLC: | |||||
3.13%, 7/31/2029 (b) | 100,000 | 106,227 | |||
3.20%, 2/15/2052 | 200,000 | 196,510 | |||
3.30%, 2/15/2053 | 250,000 | 249,212 | |||
3.70%, 1/31/2051 | 1,250,000 | 1,315,737 | |||
3.75%, 2/15/2025 | 75,000 | 79,859 | |||
3.95%, 2/15/2027 | 200,000 | 218,682 | |||
4.15%, 10/16/2028 | 25,000 | 28,048 | |||
4.20%, 1/31/2050 | 65,000 | 73,500 | |||
4.80%, 2/1/2049 | 25,000 | 30,504 | |||
4.85%, 3/15/2044 | 50,000 | 60,191 | |||
4.90%, 5/15/2046 | 50,000 | 60,822 | |||
5.10%, 2/15/2045 | 200,000 | 248,584 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | 150,000 | 153,423 | |||
Kinder Morgan Energy Partners L.P. 5.40%, 9/1/2044 | 25,000 | 30,642 | |||
Kinder Morgan, Inc.: | |||||
2.00%, 2/15/2031 | 110,000 | 104,953 | |||
3.15%, 1/15/2023 | 450,000 | 460,318 | |||
3.25%, 8/1/2050 | 650,000 | 618,767 | |||
3.60%, 2/15/2051 | 100,000 | 101,123 | |||
4.30%, 6/1/2025 | 300,000 | 324,642 | |||
5.05%, 2/15/2046 | 50,000 | 59,872 | |||
5.30%, 12/1/2034 | 200,000 | 241,092 | |||
5.55%, 6/1/2045 | 150,000 | 189,837 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 54,627 | |||
4.85%, 2/1/2049 | 275,000 | 330,841 | |||
5.00%, 3/1/2026 | 50,000 | 55,873 | |||
MPLX L.P.: | |||||
1.75%, 3/1/2026 | 35,000 | 34,759 | |||
2.65%, 8/15/2030 | 500,000 | 499,130 | |||
4.00%, 3/15/2028 | 35,000 | 38,047 | |||
4.50%, 4/15/2038 | 180,000 | 202,534 | |||
4.70%, 4/15/2048 | 100,000 | 116,453 | |||
4.80%, 2/15/2029 | 105,000 | 120,041 | |||
4.88%, 6/1/2025 | 50,000 | 54,716 | |||
4.90%, 4/15/2058 | 25,000 | 29,148 | |||
5.20%, 3/1/2047 | 100,000 | 122,382 | |||
5.20%, 12/1/2047 | 100,000 | 122,425 | |||
ONEOK, Inc.: | |||||
2.20%, 9/15/2025 | 25,000 | 25,307 | |||
2.75%, 9/1/2024 | 100,000 | 103,019 | |||
3.10%, 3/15/2030 | 525,000 | 535,993 | |||
3.40%, 9/1/2029 | 100,000 | 103,634 | |||
4.00%, 7/13/2027 | 30,000 | 32,447 |
Security Description | Principal Amount | Value | ||||
4.45%, 9/1/2049 | $ 40,000 | $ 44,198 | ||||
4.50%, 3/15/2050 | 25,000 | 27,745 | ||||
4.55%, 7/15/2028 | 50,000 | 55,337 | ||||
4.95%, 7/13/2047 | 150,000 | 174,782 | ||||
5.20%, 7/15/2048 | 25,000 | 30,300 | ||||
Phillips 66 Partners L.P.: | ||||||
2.45%, 12/15/2024 | 100,000 | 102,430 | ||||
3.15%, 12/15/2029 | 100,000 | 103,514 | ||||
3.55%, 10/1/2026 | 10,000 | 10,659 | ||||
3.75%, 3/1/2028 | 25,000 | 26,861 | ||||
4.90%, 10/1/2046 | 10,000 | 12,193 | ||||
Plains All American Pipeline L.P./PAA Finance Corp.: | ||||||
3.60%, 11/1/2024 | 25,000 | 26,151 | ||||
4.50%, 12/15/2026 | 50,000 | 54,890 | ||||
4.65%, 10/15/2025 | 400,000 | 436,336 | ||||
4.70%, 6/15/2044 | 25,000 | 26,665 | ||||
Sabine Pass Liquefaction LLC: | ||||||
4.20%, 3/15/2028 | 100,000 | 109,779 | ||||
5.63%, 3/1/2025 | 200,000 | 222,126 | ||||
5.75%, 5/15/2024 | 75,000 | 81,582 | ||||
5.88%, 6/30/2026 | 250,000 | 286,882 | ||||
4.50%, 5/15/2030 | 250,000 | 282,512 | ||||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 373,411 | ||||
TransCanada PipeLines, Ltd.: | ||||||
1.00%, 10/12/2024 | 120,000 | 119,162 | ||||
4.10%, 4/15/2030 | 700,000 | 781,326 | ||||
4.63%, 3/1/2034 | 250,000 | 294,377 | ||||
4.75%, 5/15/2038 | 100,000 | 119,339 | ||||
7.63%, 1/15/2039 | 25,000 | 38,924 | ||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||
3.25%, 5/15/2030 | 750,000 | 790,845 | ||||
7.85%, 2/1/2026 | 200,000 | 244,320 | ||||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 55,430 | ||||
Williams Cos., Inc.: | ||||||
2.60%, 3/15/2031 | 750,000 | 747,780 | ||||
3.50%, 11/15/2030 | 100,000 | 106,812 | ||||
3.70%, 1/15/2023 | 20,000 | 20,434 | ||||
3.75%, 6/15/2027 | 200,000 | 216,088 | ||||
3.90%, 1/15/2025 | 50,000 | 53,273 | ||||
4.55%, 6/24/2024 | 65,000 | 69,656 | ||||
5.10%, 9/15/2045 | 125,000 | 154,309 | ||||
5.75%, 6/24/2044 | 25,000 | 32,551 | ||||
17,436,808 | ||||||
REAL ESTATE — 0.0% (a) | ||||||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 55,967 | ||||
REAL ESTATE INVESTMENT TRUSTS — 0.9% | ||||||
Agree L.P. 2.00%, 6/15/2028 | 65,000 | 63,888 |
Security Description | Principal Amount | Value | |||
Alexandria Real Estate Equities, Inc.: | |||||
2.00%, 5/18/2032 | $ 125,000 | $ 120,001 | |||
3.00%, 5/18/2051 | 250,000 | 248,262 | |||
3.38%, 8/15/2031 | 60,000 | 64,897 | |||
3.45%, 4/30/2025 | 100,000 | 106,309 | |||
4.00%, 2/1/2050 | 100,000 | 116,545 | |||
4.70%, 7/1/2030 | 35,000 | 40,994 | |||
American Campus Communities Operating Partnership L.P.: | |||||
2.25%, 1/15/2029 | 100,000 | 98,926 | |||
3.30%, 7/15/2026 | 50,000 | 53,017 | |||
3.63%, 11/15/2027 | 30,000 | 32,090 | |||
American Tower Corp.: | |||||
1.45%, 9/15/2026 | 200,000 | 196,070 | |||
1.50%, 1/31/2028 | 500,000 | 478,830 | |||
2.30%, 9/15/2031 | 145,000 | 140,972 | |||
2.75%, 1/15/2027 | 200,000 | 206,274 | |||
3.00%, 6/15/2023 | 250,000 | 257,050 | |||
3.10%, 6/15/2050 | 100,000 | 97,248 | |||
3.13%, 1/15/2027 | 100,000 | 104,772 | |||
3.38%, 10/15/2026 | 75,000 | 79,683 | |||
3.50%, 1/31/2023 | 50,000 | 51,355 | |||
AvalonBay Communities, Inc.: | |||||
2.05%, 1/15/2032 (b) | 140,000 | 138,261 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 52,836 | |||
Series MTN, 2.45%, 1/15/2031 | 70,000 | 71,826 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 42,820 | |||
Series MTN, 3.30%, 6/1/2029 | 65,000 | 70,187 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 59,229 | |||
Boston Properties L.P.: | |||||
2.45%, 10/1/2033 | 50,000 | 48,438 | |||
2.55%, 4/1/2032 | 200,000 | 199,020 | |||
2.75%, 10/1/2026 | 150,000 | 156,204 | |||
2.90%, 3/15/2030 | 35,000 | 35,724 | |||
3.40%, 6/21/2029 | 100,000 | 106,185 | |||
3.65%, 2/1/2026 | 100,000 | 107,177 | |||
Brixmor Operating Partnership L.P.: | |||||
2.25%, 4/1/2028 | 50,000 | 49,913 | |||
2.50%, 8/16/2031 | 50,000 | 48,917 | |||
3.65%, 6/15/2024 | 50,000 | 52,460 | |||
4.05%, 7/1/2030 | 25,000 | 27,452 | |||
4.13%, 6/15/2026 | 50,000 | 54,233 | |||
4.13%, 5/15/2029 | 100,000 | 110,714 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 69,178 | |||
4.10%, 10/15/2028 | 20,000 | 22,559 |
Security Description | Principal Amount | Value | |||
Corporate Office Properties L.P.: | |||||
2.25%, 3/15/2026 | $ 35,000 | $ 35,363 | |||
2.75%, 4/15/2031 | 40,000 | 39,785 | |||
Crown Castle International Corp.: | |||||
2.10%, 4/1/2031 | 500,000 | 479,715 | |||
2.50%, 7/15/2031 | 500,000 | 496,795 | |||
2.90%, 4/1/2041 | 500,000 | 485,830 | |||
3.20%, 9/1/2024 | 250,000 | 261,302 | |||
3.65%, 9/1/2027 | 150,000 | 161,500 | |||
3.70%, 6/15/2026 | 15,000 | 16,092 | |||
4.00%, 3/1/2027 | 20,000 | 21,793 | |||
4.75%, 5/15/2047 | 100,000 | 122,645 | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 | 100,000 | 104,336 | |||
4.38%, 2/15/2029 | 30,000 | 34,003 | |||
CyrusOne L.P./CyrusOne Finance Corp.: | |||||
2.90%, 11/15/2024 | 150,000 | 155,157 | |||
3.45%, 11/15/2029 | 60,000 | 65,133 | |||
Digital Realty Trust L.P. 3.70%, 8/15/2027 | 150,000 | 162,862 | |||
Duke Realty L.P.: | |||||
1.75%, 2/1/2031 | 70,000 | 66,337 | |||
2.25%, 1/15/2032 | 100,000 | 97,919 | |||
3.05%, 3/1/2050 | 10,000 | 9,877 | |||
4.00%, 9/15/2028 | 100,000 | 111,735 | |||
Equinix, Inc.: | |||||
1.00%, 9/15/2025 | 150,000 | 145,984 | |||
1.45%, 5/15/2026 | 70,000 | 68,698 | |||
1.55%, 3/15/2028 | 75,000 | 72,268 | |||
2.00%, 5/15/2028 | 70,000 | 68,725 | |||
2.50%, 5/15/2031 | 100,000 | 100,058 | |||
2.63%, 11/18/2024 | 65,000 | 67,055 | |||
2.95%, 9/15/2051 | 150,000 | 141,573 | |||
3.20%, 11/18/2029 | 45,000 | 47,271 | |||
3.40%, 2/15/2052 | 50,000 | 51,022 | |||
ERP Operating L.P.: | |||||
1.85%, 8/1/2031 | 200,000 | 193,982 | |||
3.00%, 7/1/2029 | 25,000 | 26,493 | |||
3.50%, 3/1/2028 | 100,000 | 108,907 | |||
4.00%, 8/1/2047 (b) | 50,000 | 60,201 | |||
4.15%, 12/1/2028 | 100,000 | 113,235 | |||
Essex Portfolio L.P.: | |||||
1.70%, 3/1/2028 | 165,000 | 161,033 | |||
2.55%, 6/15/2031 | 30,000 | 30,092 | |||
3.00%, 1/15/2030 | 25,000 | 26,196 | |||
3.63%, 5/1/2027 (b) | 50,000 | 53,893 | |||
4.00%, 3/1/2029 | 65,000 | 72,152 | |||
4.50%, 3/15/2048 (b) | 50,000 | 61,559 | |||
Extra Space Storage L.P. 2.35%, 3/15/2032 | 70,000 | 68,335 | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | 75,000 | 79,341 |
Security Description | Principal Amount | Value | |||
3.25%, 7/15/2027 | $ 50,000 | $ 52,955 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.25%, 1/15/2032 | 100,000 | 100,511 | |||
3.35%, 9/1/2024 | 55,000 | 57,032 | |||
4.00%, 1/15/2030 | 65,000 | 68,891 | |||
4.00%, 1/15/2031 | 50,000 | 53,367 | |||
5.25%, 6/1/2025 | 20,000 | 21,976 | |||
5.38%, 11/1/2023 | 20,000 | 21,241 | |||
5.38%, 4/15/2026 | 40,000 | 44,678 | |||
5.75%, 6/1/2028 | 20,000 | 23,119 | |||
Healthcare Realty Trust, Inc. 2.40%, 3/15/2030 | 25,000 | 24,958 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.00%, 3/15/2031 (b) | 55,000 | 52,205 | |||
3.50%, 8/1/2026 | 25,000 | 26,713 | |||
Healthpeak Properties, Inc.: | |||||
1.35%, 2/1/2027 | 100,000 | 97,577 | |||
2.13%, 12/1/2028 (b) | 125,000 | 125,285 | |||
2.88%, 1/15/2031 | 125,000 | 129,994 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 25,805 | |||
3.88%, 3/1/2027 | 50,000 | 54,437 | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | 50,000 | 52,317 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 153,432 | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | 200,000 | 208,388 | |||
4.65%, 4/1/2029 | 25,000 | 28,350 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 51,800 | |||
3.45%, 12/15/2024 | 50,000 | 52,471 | |||
4.75%, 12/15/2028 | 25,000 | 28,697 | |||
Kimco Realty Corp.: | |||||
2.25%, 12/1/2031 | 180,000 | 175,428 | |||
2.80%, 10/1/2026 | 50,000 | 52,089 | |||
3.30%, 2/1/2025 | 40,000 | 42,046 | |||
3.70%, 10/1/2049 | 100,000 | 107,175 | |||
3.80%, 4/1/2027 | 25,000 | 27,129 | |||
Life Storage L.P.: | |||||
2.40%, 10/15/2031 | 70,000 | 68,851 | |||
4.00%, 6/15/2029 | 100,000 | 110,870 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 54,104 | |||
3.95%, 3/15/2029 | 100,000 | 111,772 | |||
National Retail Properties, Inc.: | |||||
3.00%, 4/15/2052 | 250,000 | 237,185 | |||
3.10%, 4/15/2050 | 100,000 | 97,534 | |||
3.50%, 4/15/2051 | 45,000 | 46,665 | |||
3.60%, 12/15/2026 | 50,000 | 53,498 | |||
4.30%, 10/15/2028 | 35,000 | 39,453 |
Security Description | Principal Amount | Value | |||
Office Properties Income Trust: | |||||
2.40%, 2/1/2027 | $ 50,000 | $ 48,520 | |||
4.25%, 5/15/2024 | 50,000 | 52,178 | |||
4.50%, 2/1/2025 | 25,000 | 26,379 | |||
Omega Healthcare Investors, Inc.: | |||||
3.25%, 4/15/2033 | 200,000 | 195,964 | |||
3.63%, 10/1/2029 | 50,000 | 51,949 | |||
4.38%, 8/1/2023 | 31,000 | 32,316 | |||
Physicians Realty L.P.: | |||||
2.63%, 11/1/2031 | 25,000 | 24,950 | |||
3.95%, 1/15/2028 | 100,000 | 109,566 | |||
Piedmont Operating Partnership L.P. 3.15%, 8/15/2030 | 100,000 | 102,557 | |||
Prologis L.P.: | |||||
1.25%, 10/15/2030 | 30,000 | 27,941 | |||
1.63%, 3/15/2031 (b) | 250,000 | 238,460 | |||
2.13%, 4/15/2027 | 50,000 | 50,863 | |||
2.25%, 4/15/2030 | 65,000 | 65,331 | |||
3.00%, 4/15/2050 | 50,000 | 51,770 | |||
4.38%, 2/1/2029 | 65,000 | 74,615 | |||
Public Storage: | |||||
1.50%, 11/9/2026 (b) | 50,000 | 49,991 | |||
1.85%, 5/1/2028 | 250,000 | 249,572 | |||
2.25%, 11/9/2031 | 65,000 | 65,205 | |||
Realty Income Corp.: | |||||
0.75%, 3/15/2026 (b) | 250,000 | 240,977 | |||
1.80%, 3/15/2033 | 300,000 | 282,798 | |||
2.85%, 12/15/2032 | 250,000 | 260,027 | |||
3.10%, 12/15/2029 | 150,000 | 159,307 | |||
3.65%, 1/15/2028 | 100,000 | 108,898 | |||
3.88%, 4/15/2025 | 100,000 | 107,695 | |||
3.95%, 8/15/2027 | 40,000 | 44,395 | |||
4.13%, 10/15/2026 | 50,000 | 55,250 | |||
4.60%, 2/6/2024 | 5,000 | 5,317 | |||
4.63%, 11/1/2025 | 50,000 | 55,461 | |||
4.88%, 6/1/2026 | 10,000 | 11,274 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 55,632 | |||
4.40%, 2/1/2047 | 150,000 | 177,693 | |||
Sabra Health Care L.P.: | |||||
3.20%, 12/1/2031 | 150,000 | 146,677 | |||
5.13%, 8/15/2026 | 25,000 | 27,542 | |||
Simon Property Group L.P.: | |||||
1.38%, 1/15/2027 | 200,000 | 195,916 | |||
1.75%, 2/1/2028 | 250,000 | 245,785 | |||
2.20%, 2/1/2031 (b) | 250,000 | 244,992 | |||
2.65%, 7/15/2030 (b) | 350,000 | 357,049 | |||
2.75%, 6/1/2023 | 200,000 | 204,324 | |||
4.25%, 11/30/2046 | 50,000 | 59,479 | |||
Spirit Realty L.P.: | |||||
2.10%, 3/15/2028 | 50,000 | 48,902 | |||
2.70%, 2/15/2032 | 60,000 | 59,519 |
Security Description | Principal Amount | Value | ||||
3.40%, 1/15/2030 | $ 100,000 | $ 105,031 | ||||
STORE Capital Corp.: | ||||||
2.70%, 12/1/2031 | 100,000 | 97,904 | ||||
4.50%, 3/15/2028 | 50,000 | 55,468 | ||||
Sun Communities Operating L.P.: | ||||||
2.30%, 11/1/2028 | 65,000 | 64,544 | ||||
2.70%, 7/15/2031 | 40,000 | 39,840 | ||||
Tanger Properties L.P. 3.88%, 7/15/2027 (b) | 50,000 | 53,501 | ||||
UDR, Inc.: | ||||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 160,546 | ||||
Series MTN, 1.90%, 3/15/2033 | 250,000 | 231,560 | ||||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 26,011 | ||||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 53,487 | ||||
Ventas Realty L.P.: | ||||||
2.65%, 1/15/2025 | 25,000 | 25,828 | ||||
3.00%, 1/15/2030 (b) | 50,000 | 51,929 | ||||
3.85%, 4/1/2027 | 100,000 | 109,006 | ||||
4.00%, 3/1/2028 | 100,000 | 110,633 | ||||
4.38%, 2/1/2045 | 75,000 | 87,933 | ||||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 52,441 | ||||
Welltower, Inc.: | ||||||
2.05%, 1/15/2029 | 560,000 | 552,350 | ||||
2.70%, 2/15/2027 | 50,000 | 52,126 | ||||
2.80%, 6/1/2031 | 200,000 | 204,468 | ||||
3.10%, 1/15/2030 | 55,000 | 57,746 | ||||
4.00%, 6/1/2025 | 175,000 | 188,597 | ||||
4.13%, 3/15/2029 | 100,000 | 111,844 | ||||
Weyerhaeuser Co. 4.00%, 11/15/2029 | 200,000 | 223,126 | ||||
WP Carey, Inc.: | ||||||
2.25%, 4/1/2033 | 50,000 | 47,586 | ||||
3.85%, 7/15/2029 | 100,000 | 110,550 | ||||
19,153,857 | ||||||
RETAIL — 0.7% | ||||||
Advance Auto Parts, Inc. 3.90%, 4/15/2030 | 100,000 | 109,437 | ||||
AutoNation, Inc. 4.75%, 6/1/2030 | 50,000 | 57,180 | ||||
AutoZone, Inc.: | ||||||
1.65%, 1/15/2031 | 40,000 | 37,672 | ||||
3.13%, 4/18/2024 | 100,000 | 104,183 | ||||
3.75%, 6/1/2027 | 100,000 | 109,407 | ||||
Best Buy Co., Inc. 4.45%, 10/1/2028 | 50,000 | 56,759 | ||||
Costco Wholesale Corp.: | ||||||
1.38%, 6/20/2027 | 100,000 | 99,280 | ||||
1.60%, 4/20/2030 | 65,000 | 62,984 | ||||
1.75%, 4/20/2032 | 530,000 | 513,379 |
Security Description | Principal Amount | Value | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 | $ 15,000 | $ 16,296 | |||
4.55%, 2/15/2048 | 15,000 | 17,353 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 | 70,000 | 77,864 | |||
4.15%, 11/1/2025 | 25,000 | 27,195 | |||
Dollar Tree, Inc.: | |||||
2.65%, 12/1/2031 (b) | 200,000 | 200,410 | |||
4.00%, 5/15/2025 | 100,000 | 107,475 | |||
4.20%, 5/15/2028 (b) | 45,000 | 50,240 | |||
Home Depot, Inc.: | |||||
1.50%, 9/15/2028 (b) | 100,000 | 98,562 | |||
1.88%, 9/15/2031 (b) | 40,000 | 39,354 | |||
2.13%, 9/15/2026 | 150,000 | 154,849 | |||
2.38%, 3/15/2051 | 500,000 | 460,750 | |||
2.50%, 4/15/2027 (b) | 350,000 | 365,995 | |||
2.70%, 4/15/2030 | 250,000 | 262,570 | |||
2.75%, 9/15/2051 | 100,000 | 99,271 | |||
2.80%, 9/14/2027 | 250,000 | 265,335 | |||
3.00%, 4/1/2026 | 350,000 | 372,102 | |||
3.13%, 12/15/2049 | 100,000 | 105,412 | |||
3.30%, 4/15/2040 | 250,000 | 270,795 | |||
3.35%, 4/15/2050 | 150,000 | 163,984 | |||
3.75%, 2/15/2024 | 25,000 | 26,311 | |||
4.25%, 4/1/2046 | 35,000 | 43,029 | |||
5.95%, 4/1/2041 | 50,000 | 71,666 | |||
Kohl's Corp.: | |||||
3.38%, 5/1/2031 (b) | 90,000 | 91,615 | |||
5.55%, 7/17/2045 | 20,000 | 23,165 | |||
Lowe's Companies, Inc. 3.00%, 10/15/2050 | 265,000 | 261,725 | |||
Lowe's Cos., Inc.: | |||||
1.30%, 4/15/2028 | 20,000 | 19,184 | |||
1.70%, 9/15/2028 | 25,000 | 24,492 | |||
1.70%, 10/15/2030 | 520,000 | 494,005 | |||
2.50%, 4/15/2026 | 50,000 | 52,084 | |||
2.63%, 4/1/2031 | 100,000 | 102,332 | |||
3.10%, 5/3/2027 (b) | 200,000 | 213,450 | |||
3.38%, 9/15/2025 | 25,000 | 26,666 | |||
3.50%, 4/1/2051 | 50,000 | 53,875 | |||
3.70%, 4/15/2046 | 50,000 | 54,785 | |||
4.05%, 5/3/2047 | 300,000 | 346,365 | |||
McDonald's Corp.: | |||||
Series MTN, 1.45%, 9/1/2025 | 15,000 | 15,131 | |||
Series MTN, 2.13%, 3/1/2030 (b) | 15,000 | 14,964 | |||
Series MTN, 2.63%, 9/1/2029 | 75,000 | 77,284 | |||
Series MTN, 3.35%, 4/1/2023 | 80,000 | 82,375 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 54,165 | |||
Series MTN, 3.60%, 7/1/2030 (b) | 250,000 | 276,455 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.63%, 9/1/2049 | $ 160,000 | $ 176,936 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 81,064 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 109,911 | |||
Series MTN, 4.20%, 4/1/2050 | 750,000 | 910,545 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 152,767 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 24,657 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 183,582 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 128,776 | |||
O'Reilly Automotive, Inc.: | |||||
1.75%, 3/15/2031 (b) | 45,000 | 42,696 | |||
3.60%, 9/1/2027 | 50,000 | 54,276 | |||
4.35%, 6/1/2028 | 100,000 | 112,729 | |||
Starbucks Corp.: | |||||
2.00%, 3/12/2027 | 100,000 | 101,067 | |||
2.25%, 3/12/2030 | 100,000 | 99,913 | |||
2.55%, 11/15/2030 | 100,000 | 102,055 | |||
3.35%, 3/12/2050 | 25,000 | 26,072 | |||
3.50%, 11/15/2050 | 150,000 | 161,680 | |||
3.80%, 8/15/2025 | 50,000 | 54,016 | |||
3.85%, 10/1/2023 | 25,000 | 26,092 | |||
4.00%, 11/15/2028 | 50,000 | 55,947 | |||
4.45%, 8/15/2049 | 100,000 | 123,215 | |||
4.50%, 11/15/2048 | 30,000 | 37,124 | |||
Target Corp.: | |||||
2.25%, 4/15/2025 | 500,000 | 515,915 | |||
2.50%, 4/15/2026 | 50,000 | 52,433 | |||
3.38%, 4/15/2029 | 100,000 | 110,010 | |||
TJX Cos., Inc.: | |||||
1.60%, 5/15/2031 (b) | 250,000 | 239,035 | |||
2.25%, 9/15/2026 | 50,000 | 51,703 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.20%, 4/15/2030 (b) | 50,000 | 52,975 | |||
3.45%, 6/1/2026 | 250,000 | 266,235 | |||
4.10%, 4/15/2050 | 350,000 | 392,735 | |||
Walmart, Inc.: | |||||
1.05%, 9/17/2026 | 165,000 | 163,426 | |||
1.50%, 9/22/2028 | 500,000 | 497,195 | |||
1.80%, 9/22/2031 | 570,000 | 564,460 | |||
2.50%, 9/22/2041 | 750,000 | 757,672 | |||
2.65%, 12/15/2024 | 150,000 | 157,060 | |||
2.65%, 9/22/2051 | 750,000 | 766,560 | |||
3.25%, 7/8/2029 | 80,000 | 88,180 | |||
3.30%, 4/22/2024 | 325,000 | 340,948 | |||
3.40%, 6/26/2023 | 325,000 | 338,286 | |||
14,851,164 |
Security Description | Principal Amount | Value | ||||
SEMICONDUCTORS — 0.7% | ||||||
Analog Devices, Inc. 2.10%, 10/1/2031 | $ 500,000 | $ 500,685 | ||||
Applied Materials, Inc.: | ||||||
1.75%, 6/1/2030 | 30,000 | 29,432 | ||||
3.90%, 10/1/2025 | 25,000 | 27,191 | ||||
4.35%, 4/1/2047 | 100,000 | 127,441 | ||||
5.10%, 10/1/2035 | 50,000 | 64,923 | ||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%, 1/15/2027 | 350,000 | 379,501 | ||||
Broadcom, Inc.: | ||||||
1.95%, 2/15/2028 (d) | 80,000 | 78,806 | ||||
2.45%, 2/15/2031 (d) | 700,000 | 683,963 | ||||
2.60%, 2/15/2033 (d) | 200,000 | 193,978 | ||||
3.14%, 11/15/2035 (d) | 750,000 | 753,907 | ||||
3.15%, 11/15/2025 | 80,000 | 83,996 | ||||
3.42%, 4/15/2033 (d) | 315,000 | 328,851 | ||||
3.47%, 4/15/2034 (d) | 250,000 | 260,832 | ||||
3.50%, 2/15/2041 (d) | 565,000 | 575,323 | ||||
3.75%, 2/15/2051 (d) | 40,000 | 41,790 | ||||
4.11%, 9/15/2028 | 159,000 | 174,466 | ||||
4.15%, 11/15/2030 | 100,000 | 110,900 | ||||
4.25%, 4/15/2026 | 500,000 | 546,645 | ||||
4.30%, 11/15/2032 | 55,000 | 61,943 | ||||
4.75%, 4/15/2029 | 150,000 | 170,872 | ||||
5.00%, 4/15/2030 | 200,000 | 232,832 | ||||
Intel Corp.: | ||||||
1.60%, 8/12/2028 | 55,000 | 54,336 | ||||
2.00%, 8/12/2031 (b) | 100,000 | 99,357 | ||||
2.45%, 11/15/2029 | 150,000 | 155,161 | ||||
2.88%, 5/11/2024 | 200,000 | 208,176 | ||||
3.05%, 8/12/2051 (b) | 350,000 | 358,977 | ||||
3.10%, 2/15/2060 | 150,000 | 151,136 | ||||
3.15%, 5/11/2027 | 200,000 | 214,530 | ||||
3.25%, 11/15/2049 | 150,000 | 158,488 | ||||
3.40%, 3/25/2025 | 500,000 | 532,290 | ||||
3.75%, 3/25/2027 | 300,000 | 330,225 | ||||
4.10%, 5/19/2046 | 370,000 | 438,650 | ||||
4.10%, 5/11/2047 | 50,000 | 59,932 | ||||
4.75%, 3/25/2050 | 150,000 | 199,521 | ||||
KLA Corp.: | ||||||
3.30%, 3/1/2050 | 50,000 | 53,439 | ||||
4.10%, 3/15/2029 | 65,000 | 73,546 | ||||
Lam Research Corp.: | ||||||
3.75%, 3/15/2026 | 50,000 | 54,519 | ||||
4.00%, 3/15/2029 | 280,000 | 314,037 | ||||
4.88%, 3/15/2049 | 25,000 | 33,988 | ||||
Marvell Technology, Inc.: | ||||||
1.65%, 4/15/2026 | 65,000 | 64,290 | ||||
2.45%, 4/15/2028 | 65,000 | 65,989 | ||||
2.95%, 4/15/2031 | 60,000 | 61,369 | ||||
Micron Technology, Inc.: | ||||||
2.70%, 4/15/2032 | 110,000 | 110,447 | ||||
4.66%, 2/15/2030 | 200,000 | 230,042 |
Security Description | Principal Amount | Value | ||||
NVIDIA Corp.: | ||||||
0.31%, 6/15/2023 | $ 85,000 | $ 84,495 | ||||
0.58%, 6/14/2024 | 75,000 | 74,332 | ||||
1.55%, 6/15/2028 | 100,000 | 98,718 | ||||
2.00%, 6/15/2031 | 100,000 | 99,305 | ||||
3.20%, 9/16/2026 (b) | 50,000 | 53,816 | ||||
3.50%, 4/1/2040 | 300,000 | 336,738 | ||||
3.50%, 4/1/2050 | 150,000 | 171,243 | ||||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (d) | 100,000 | 107,411 | ||||
NXP B.V./NXP Funding LLC/NXP USA, Inc.: | ||||||
2.70%, 5/1/2025 (d) | 10,000 | 10,331 | ||||
3.15%, 5/1/2027 (d) | 15,000 | 15,780 | ||||
3.25%, 5/11/2041 (d) | 350,000 | 359,817 | ||||
3.40%, 5/1/2030 (d) | 20,000 | 21,326 | ||||
QUALCOMM, Inc.: | ||||||
1.30%, 5/20/2028 | 250,000 | 242,257 | ||||
2.15%, 5/20/2030 | 100,000 | 100,839 | ||||
2.60%, 1/30/2023 | 200,000 | 203,896 | ||||
2.90%, 5/20/2024 | 200,000 | 208,420 | ||||
3.25%, 5/20/2027 | 50,000 | 53,989 | ||||
3.25%, 5/20/2050 (b) | 45,000 | 49,432 | ||||
3.45%, 5/20/2025 | 50,000 | 53,258 | ||||
4.30%, 5/20/2047 | 50,000 | 62,810 | ||||
4.80%, 5/20/2045 | 25,000 | 33,189 | ||||
Texas Instruments, Inc.: | ||||||
2.90%, 11/3/2027 (b) | 70,000 | 75,044 | ||||
3.88%, 3/15/2039 | 250,000 | 295,137 | ||||
4.15%, 5/15/2048 | 150,000 | 188,419 | ||||
TSMC Arizona Corp.: | ||||||
1.75%, 10/25/2026 | 750,000 | 750,375 | ||||
3.13%, 10/25/2041 | 750,000 | 781,710 | ||||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 51,934 | ||||
14,034,743 | ||||||
SHIPBUILDING — 0.0% (a) | ||||||
Huntington Ingalls Industries, Inc.: | ||||||
0.67%, 8/16/2023 (d) | 30,000 | 29,744 | ||||
2.04%, 8/16/2028 (d) | 100,000 | 97,963 | ||||
127,707 | ||||||
SOFTWARE — 0.8% | ||||||
Activision Blizzard, Inc. 4.50%, 6/15/2047 | 150,000 | 180,330 | ||||
Adobe, Inc.: | ||||||
1.70%, 2/1/2023 | 20,000 | 20,225 | ||||
1.90%, 2/1/2025 (b) | 30,000 | 30,734 | ||||
2.30%, 2/1/2030 | 30,000 | 30,669 | ||||
3.25%, 2/1/2025 | 25,000 | 26,457 | ||||
Autodesk, Inc.: | ||||||
2.40%, 12/15/2031 | 160,000 | 159,765 | ||||
3.50%, 6/15/2027 | 50,000 | 53,804 |
Security Description | Principal Amount | Value | |||
Broadridge Financial Solutions, Inc.: | |||||
2.60%, 5/1/2031 | $ 150,000 | $ 151,369 | |||
2.90%, 12/1/2029 | 50,000 | 51,664 | |||
Citrix Systems, Inc.: | |||||
1.25%, 3/1/2026 | 55,000 | 53,508 | |||
3.30%, 3/1/2030 (b) | 100,000 | 101,461 | |||
Electronic Arts, Inc.: | |||||
1.85%, 2/15/2031 | 90,000 | 86,127 | |||
2.95%, 2/15/2051 | 65,000 | 61,688 | |||
Fidelity National Information Services, Inc.: | |||||
0.38%, 3/1/2023 | 40,000 | 39,807 | |||
0.60%, 3/1/2024 | 35,000 | 34,490 | |||
1.15%, 3/1/2026 | 805,000 | 785,430 | |||
1.65%, 3/1/2028 | 35,000 | 33,889 | |||
2.25%, 3/1/2031 | 100,000 | 97,827 | |||
3.10%, 3/1/2041 | 15,000 | 15,116 | |||
Fiserv, Inc.: | |||||
2.25%, 6/1/2027 | 50,000 | 50,858 | |||
2.65%, 6/1/2030 | 50,000 | 50,762 | |||
2.75%, 7/1/2024 | 100,000 | 103,426 | |||
3.20%, 7/1/2026 | 275,000 | 291,085 | |||
3.50%, 7/1/2029 | 65,000 | 69,908 | |||
3.80%, 10/1/2023 | 150,000 | 156,874 | |||
4.20%, 10/1/2028 (b) | 65,000 | 72,855 | |||
4.40%, 7/1/2049 | 60,000 | 71,554 | |||
Intuit, Inc.: | |||||
0.95%, 7/15/2025 (b) | 15,000 | 14,798 | |||
1.65%, 7/15/2030 | 15,000 | 14,489 | |||
Microsoft Corp.: | |||||
2.00%, 8/8/2023 | 50,000 | 50,949 | |||
2.40%, 8/8/2026 | 200,000 | 209,310 | |||
2.53%, 6/1/2050 | 1,668,000 | 1,636,942 | |||
2.68%, 6/1/2060 | 288,000 | 286,770 | |||
2.88%, 2/6/2024 | 500,000 | 520,215 | |||
2.92%, 3/17/2052 | 860,000 | 910,663 | |||
3.04%, 3/17/2062 | 312,000 | 335,918 | |||
3.13%, 11/3/2025 | 50,000 | 53,306 | |||
3.30%, 2/6/2027 | 280,000 | 304,828 | |||
3.45%, 8/8/2036 | 262,000 | 300,501 | |||
3.63%, 12/15/2023 | 25,000 | 26,283 | |||
Oracle Corp.: | |||||
1.65%, 3/25/2026 | 590,000 | 585,097 | |||
2.30%, 3/25/2028 | 105,000 | 104,534 | |||
2.40%, 9/15/2023 | 200,000 | 203,960 | |||
2.50%, 4/1/2025 | 600,000 | 614,580 | |||
2.63%, 2/15/2023 | 235,000 | 239,159 | |||
2.65%, 7/15/2026 | 45,000 | 46,295 | |||
2.80%, 4/1/2027 | 250,000 | 257,920 | |||
2.88%, 3/25/2031 | 370,000 | 371,854 | |||
2.95%, 5/15/2025 | 10,000 | 10,379 | |||
2.95%, 4/1/2030 | 300,000 | 303,219 | |||
3.60%, 4/1/2040 | 750,000 | 753,930 | |||
3.60%, 4/1/2050 | 525,000 | 514,143 |
Security Description | Principal Amount | Value | ||||
3.65%, 3/25/2041 | $ 910,000 | $ 921,384 | ||||
3.80%, 11/15/2037 | 180,000 | 187,553 | ||||
3.85%, 7/15/2036 | 150,000 | 157,915 | ||||
3.85%, 4/1/2060 | 250,000 | 247,377 | ||||
3.90%, 5/15/2035 | 5,000 | 5,349 | ||||
3.95%, 3/25/2051 | 370,000 | 385,007 | ||||
4.00%, 7/15/2046 | 180,000 | 187,162 | ||||
4.10%, 3/25/2061 | 145,000 | 151,386 | ||||
4.30%, 7/8/2034 | 200,000 | 221,792 | ||||
4.38%, 5/15/2055 | 10,000 | 10,947 | ||||
Roper Technologies, Inc.: | ||||||
1.75%, 2/15/2031 | 250,000 | 235,037 | ||||
2.00%, 6/30/2030 | 30,000 | 28,886 | ||||
2.95%, 9/15/2029 | 40,000 | 41,437 | ||||
3.80%, 12/15/2026 | 30,000 | 32,921 | ||||
4.20%, 9/15/2028 | 65,000 | 73,014 | ||||
salesforce.com, Inc.: | ||||||
0.63%, 7/15/2024 | 55,000 | 54,518 | ||||
1.50%, 7/15/2028 (b) | 65,000 | 64,254 | ||||
1.95%, 7/15/2031 (b) | 120,000 | 118,853 | ||||
2.70%, 7/15/2041 | 60,000 | 59,840 | ||||
2.90%, 7/15/2051 | 100,000 | 101,954 | ||||
3.05%, 7/15/2061 | 50,000 | 51,490 | ||||
3.25%, 4/11/2023 | 275,000 | 283,654 | ||||
3.70%, 4/11/2028 | 25,000 | 27,720 | ||||
ServiceNow, Inc. 1.40%, 9/1/2030 | 65,000 | 60,608 | ||||
VMware, Inc.: | ||||||
1.40%, 8/15/2026 | 500,000 | 491,775 | ||||
3.90%, 8/21/2027 | 150,000 | 163,848 | ||||
15,917,405 | ||||||
TELECOMMUNICATIONS — 1.4% | ||||||
America Movil SAB de CV: | ||||||
2.88%, 5/7/2030 | 200,000 | 206,970 | ||||
4.38%, 7/16/2042 | 50,000 | 59,158 | ||||
4.38%, 4/22/2049 (b) | 200,000 | 243,256 | ||||
6.13%, 3/30/2040 | 100,000 | 138,347 | ||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 850,000 | 846,617 | ||||
1.65%, 2/1/2028 | 530,000 | 519,040 | ||||
1.70%, 3/25/2026 | 850,000 | 846,498 | ||||
2.25%, 2/1/2032 | 125,000 | 120,946 | ||||
2.30%, 6/1/2027 | 550,000 | 560,538 | ||||
2.55%, 12/1/2033 | 350,000 | 342,762 | ||||
2.75%, 6/1/2031 | 350,000 | 356,912 | ||||
3.10%, 2/1/2043 | 150,000 | 145,271 | ||||
3.30%, 2/1/2052 | 90,000 | 88,165 | ||||
3.40%, 5/15/2025 | 250,000 | 264,527 | ||||
3.50%, 6/1/2041 | 600,000 | 617,406 | ||||
3.50%, 9/15/2053 | 1,400,000 | 1,415,050 | ||||
3.50%, 2/1/2061 | 100,000 | 98,707 | ||||
3.55%, 9/15/2055 | 429,000 | 429,794 | ||||
3.65%, 6/1/2051 | 100,000 | 103,779 | ||||
3.65%, 9/15/2059 | 294,000 | 296,775 | ||||
3.80%, 2/15/2027 | 150,000 | 163,080 |
Security Description | Principal Amount | Value | |||
3.80%, 12/1/2057 | $ 471,000 | $ 490,763 | |||
3.85%, 6/1/2060 | 45,000 | 47,003 | |||
4.10%, 2/15/2028 | 184,000 | 204,518 | |||
4.13%, 2/17/2026 | 350,000 | 381,545 | |||
4.45%, 4/1/2024 | 25,000 | 26,697 | |||
4.50%, 5/15/2035 | 300,000 | 346,233 | |||
4.55%, 3/9/2049 | 208,000 | 245,180 | |||
4.65%, 6/1/2044 | 25,000 | 29,335 | |||
4.75%, 5/15/2046 | 30,000 | 36,265 | |||
4.85%, 3/1/2039 | 570,000 | 680,985 | |||
Bell Telephone Co. of Canada or Bell Canada: | |||||
4.30%, 7/29/2049 | 55,000 | 66,910 | |||
4.46%, 4/1/2048 | 30,000 | 37,193 | |||
Series US-3, 0.75%, 3/17/2024 | 150,000 | 148,536 | |||
Series US-4, 3.65%, 3/17/2051 | 150,000 | 163,733 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 225,936 | |||
Cisco Systems, Inc.: | |||||
3.50%, 6/15/2025 | 25,000 | 26,905 | |||
3.63%, 3/4/2024 | 25,000 | 26,523 | |||
5.50%, 1/15/2040 | 300,000 | 419,388 | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | 25,000 | 29,933 | |||
5.35%, 11/15/2048 | 100,000 | 138,353 | |||
5.75%, 8/15/2040 | 25,000 | 33,943 | |||
Deutsche Telekom International Finance B.V. 8.75%, 6/15/2030 | 250,000 | 363,495 | |||
Juniper Networks, Inc.: | |||||
1.20%, 12/10/2025 | 250,000 | 246,222 | |||
2.00%, 12/10/2030 | 250,000 | 236,720 | |||
3.75%, 8/15/2029 | 100,000 | 108,360 | |||
Motorola Solutions, Inc.: | |||||
2.75%, 5/24/2031 | 100,000 | 100,249 | |||
4.00%, 9/1/2024 | 23,000 | 24,523 | |||
4.60%, 2/23/2028 | 125,000 | 141,260 | |||
4.60%, 5/23/2029 | 50,000 | 57,110 | |||
Orange SA 5.50%, 2/6/2044 | 50,000 | 68,505 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 | 30,000 | 30,568 | |||
3.70%, 11/15/2049 | 50,000 | 52,625 | |||
4.30%, 2/15/2048 | 40,000 | 45,828 | |||
4.35%, 5/1/2049 | 155,000 | 180,155 | |||
5.00%, 3/15/2044 | 50,000 | 61,634 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 173,133 | |||
5.21%, 3/8/2047 | 300,000 | 372,312 | |||
5.52%, 3/1/2049 | 150,000 | 195,687 | |||
7.05%, 6/20/2036 | 25,000 | 35,804 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 35,504 |
Security Description | Principal Amount | Value | ||||
TELUS Corp. 4.60%, 11/16/2048 | $ 150,000 | $ 191,651 | ||||
T-Mobile USA, Inc.: | ||||||
2.05%, 2/15/2028 | 45,000 | 44,757 | ||||
2.25%, 11/15/2031 (b) | 50,000 | 48,511 | ||||
2.55%, 2/15/2031 | 165,000 | 164,231 | ||||
2.70%, 3/15/2032 (d) | 500,000 | 503,520 | ||||
3.00%, 2/15/2041 | 555,000 | 540,798 | ||||
3.30%, 2/15/2051 | 850,000 | 829,829 | ||||
3.50%, 4/15/2025 | 650,000 | 688,824 | ||||
3.60%, 11/15/2060 | 20,000 | 19,923 | ||||
3.75%, 4/15/2027 | 150,000 | 162,419 | ||||
3.88%, 4/15/2030 | 380,000 | 415,823 | ||||
4.38%, 4/15/2040 | 350,000 | 399,031 | ||||
4.50%, 4/15/2050 | 545,000 | 638,549 | ||||
Verizon Communications, Inc.: | ||||||
0.75%, 3/22/2024 | 555,000 | 553,252 | ||||
0.85%, 11/20/2025 (b) | 200,000 | 195,176 | ||||
1.45%, 3/20/2026 | 580,000 | 577,320 | ||||
1.50%, 9/18/2030 | 60,000 | 56,279 | ||||
1.68%, 10/30/2030 | 55,000 | 52,311 | ||||
1.75%, 1/20/2031 | 200,000 | 189,296 | ||||
2.55%, 3/21/2031 | 500,000 | 505,085 | ||||
2.63%, 8/15/2026 | 50,000 | 52,084 | ||||
2.65%, 11/20/2040 | 200,000 | 189,830 | ||||
2.88%, 11/20/2050 | 200,000 | 189,968 | ||||
2.99%, 10/30/2056 | 837,000 | 793,802 | ||||
3.00%, 11/20/2060 | 175,000 | 165,650 | ||||
3.15%, 3/22/2030 | 500,000 | 528,510 | ||||
3.38%, 2/15/2025 | 500,000 | 531,440 | ||||
3.40%, 3/22/2041 | 500,000 | 524,730 | ||||
3.55%, 3/22/2051 | 1,250,000 | 1,346,975 | ||||
3.70%, 3/22/2061 | 500,000 | 541,245 | ||||
3.88%, 2/8/2029 | 10,000 | 11,093 | ||||
4.00%, 3/22/2050 | 500,000 | 574,995 | ||||
4.02%, 12/3/2029 | 350,000 | 392,311 | ||||
4.27%, 1/15/2036 | 28,000 | 32,907 | ||||
4.33%, 9/21/2028 | 285,000 | 324,136 | ||||
4.40%, 11/1/2034 | 250,000 | 291,055 | ||||
4.50%, 8/10/2033 | 250,000 | 294,542 | ||||
4.81%, 3/15/2039 | 100,000 | 125,525 | ||||
Vodafone Group PLC: | ||||||
4.13%, 5/30/2025 | 50,000 | 54,116 | ||||
4.38%, 5/30/2028 | 500,000 | 563,340 | ||||
4.38%, 2/19/2043 | 75,000 | 87,333 | ||||
5.00%, 5/30/2038 | 250,000 | 310,970 | ||||
5.25%, 5/30/2048 | 225,000 | 293,832 | ||||
29,196,143 | ||||||
TEXTILES — 0.0% (a) | ||||||
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 100,000 | 107,506 |
Security Description | Principal Amount | Value | ||||
TOYS/GAMES/HOBBIES — 0.0% (a) | ||||||
Hasbro, Inc.: | ||||||
3.50%, 9/15/2027 | $ 30,000 | $ 32,381 | ||||
3.90%, 11/19/2029 | 100,000 | 110,244 | ||||
142,625 | ||||||
TRANSPORTATION — 0.5% | ||||||
Burlington Northern Santa Fe LLC: | ||||||
3.05%, 2/15/2051 (b) | 15,000 | 15,558 | ||||
3.30%, 9/15/2051 | 350,000 | 381,080 | ||||
3.40%, 9/1/2024 | 100,000 | 105,533 | ||||
3.55%, 2/15/2050 | 250,000 | 281,355 | ||||
3.75%, 4/1/2024 | 25,000 | 26,330 | ||||
3.90%, 8/1/2046 | 100,000 | 116,746 | ||||
4.05%, 6/15/2048 | 155,000 | 186,437 | ||||
4.13%, 6/15/2047 | 150,000 | 181,323 | ||||
4.15%, 12/15/2048 | 30,000 | 36,767 | ||||
4.45%, 3/15/2043 | 50,000 | 61,688 | ||||
4.55%, 9/1/2044 | 50,000 | 62,877 | ||||
4.90%, 4/1/2044 | 125,000 | 163,652 | ||||
Canadian National Railway Co.: | ||||||
2.45%, 5/1/2050 | 15,000 | 13,976 | ||||
2.75%, 3/1/2026 (b) | 100,000 | 104,754 | ||||
2.95%, 11/21/2024 | 50,000 | 52,169 | ||||
3.20%, 8/2/2046 | 25,000 | 26,390 | ||||
3.65%, 2/3/2048 | 50,000 | 56,701 | ||||
Canadian Pacific Railway Co.: | ||||||
1.35%, 12/2/2024 | 150,000 | 150,178 | ||||
1.75%, 12/2/2026 | 80,000 | 80,358 | ||||
2.05%, 3/5/2030 | 35,000 | 34,590 | ||||
2.45%, 12/2/2031 | 565,000 | 575,040 | ||||
3.00%, 12/2/2041 | 350,000 | 357,861 | ||||
4.00%, 6/1/2028 | 100,000 | 111,540 | ||||
4.80%, 9/15/2035 | 30,000 | 37,043 | ||||
CSX Corp.: | ||||||
2.40%, 2/15/2030 (b) | 50,000 | 50,835 | ||||
2.50%, 5/15/2051 | 60,000 | 55,552 | ||||
3.25%, 6/1/2027 | 50,000 | 53,657 | ||||
3.35%, 9/15/2049 | 65,000 | 69,147 | ||||
3.40%, 8/1/2024 | 25,000 | 26,316 | ||||
3.80%, 3/1/2028 | 50,000 | 54,950 | ||||
3.80%, 11/1/2046 | 100,000 | 113,226 | ||||
4.10%, 3/15/2044 | 75,000 | 87,169 | ||||
4.25%, 3/15/2029 | 95,000 | 107,359 | ||||
4.30%, 3/1/2048 | 50,000 | 60,893 | ||||
4.50%, 3/15/2049 | 125,000 | 156,294 | ||||
4.65%, 3/1/2068 | 50,000 | 65,212 | ||||
FedEx Corp.: | ||||||
2.40%, 5/15/2031 | 65,000 | 65,159 | ||||
3.25%, 5/15/2041 | 65,000 | 66,528 | ||||
3.40%, 2/15/2028 | 50,000 | 53,993 | ||||
3.90%, 2/1/2035 | 200,000 | 222,966 | ||||
4.05%, 2/15/2048 | 50,000 | 56,473 | ||||
4.55%, 4/1/2046 | 100,000 | 119,763 |
Security Description | Principal Amount | Value | ||||
4.75%, 11/15/2045 | $ 25,000 | $ 30,522 | ||||
4.95%, 10/17/2048 | 100,000 | 127,560 | ||||
5.25%, 5/15/2050 | 250,000 | 335,025 | ||||
Kansas City Southern: | ||||||
2.88%, 11/15/2029 | 65,000 | 67,460 | ||||
3.50%, 5/1/2050 | 25,000 | 26,707 | ||||
4.70%, 5/1/2048 | 50,000 | 62,602 | ||||
Norfolk Southern Corp.: | ||||||
2.90%, 6/15/2026 | 150,000 | 158,215 | ||||
2.90%, 8/25/2051 | 150,000 | 147,972 | ||||
3.05%, 5/15/2050 | 350,000 | 355,138 | ||||
3.15%, 6/1/2027 | 50,000 | 53,160 | ||||
3.16%, 5/15/2055 | 68,000 | 69,440 | ||||
3.40%, 11/1/2049 | 100,000 | 106,644 | ||||
3.94%, 11/1/2047 | 100,000 | 115,656 | ||||
4.45%, 6/15/2045 | 19,000 | 23,413 | ||||
Ryder System, Inc.: | ||||||
Series MTN, 1.75%, 9/1/2026 | 125,000 | 124,505 | ||||
Series MTN, 2.50%, 9/1/2024 | 40,000 | 41,178 | ||||
Union Pacific Corp.: | ||||||
2.15%, 2/5/2027 | 250,000 | 256,852 | ||||
2.38%, 5/20/2031 | 40,000 | 40,844 | ||||
2.40%, 2/5/2030 | 500,000 | 511,030 | ||||
2.75%, 3/1/2026 | 50,000 | 52,459 | ||||
2.97%, 9/16/2062 | 110,000 | 108,657 | ||||
3.20%, 5/20/2041 | 70,000 | 74,506 | ||||
3.25%, 2/5/2050 | 700,000 | 751,772 | ||||
3.50%, 6/8/2023 | 50,000 | 51,800 | ||||
3.55%, 5/20/2061 (b) | 100,000 | 110,667 | ||||
3.80%, 10/1/2051 | 52,000 | 60,874 | ||||
3.80%, 4/6/2071 | 175,000 | 202,870 | ||||
3.84%, 3/20/2060 | 130,000 | 152,853 | ||||
4.10%, 9/15/2067 | 15,000 | 18,254 | ||||
United Parcel Service, Inc.: | ||||||
2.40%, 11/15/2026 | 30,000 | 31,245 | ||||
2.50%, 4/1/2023 | 150,000 | 153,108 | ||||
3.05%, 11/15/2027 | 50,000 | 53,906 | ||||
3.75%, 11/15/2047 | 175,000 | 208,182 | ||||
3.90%, 4/1/2025 | 500,000 | 540,145 | ||||
5.30%, 4/1/2050 | 200,000 | 295,854 | ||||
10,226,513 | ||||||
TRUCKING & LEASING — 0.0% (a) | ||||||
GATX Corp.: | ||||||
1.90%, 6/1/2031 | 200,000 | 190,064 | ||||
3.10%, 6/1/2051 | 250,000 | 243,695 | ||||
3.85%, 3/30/2027 | 50,000 | 54,092 | ||||
4.55%, 11/7/2028 | 50,000 | 57,023 | ||||
4.70%, 4/1/2029 | 25,000 | 28,785 | ||||
573,659 |
Security Description | Principal Amount | Value | ||||
WATER — 0.0% (a) | ||||||
American Water Capital Corp.: | ||||||
2.30%, 6/1/2031 | $ 100,000 | $ 100,057 | ||||
2.95%, 9/1/2027 | 121,000 | 127,867 | ||||
3.25%, 6/1/2051 | 100,000 | 104,427 | ||||
3.40%, 3/1/2025 | 25,000 | 26,462 | ||||
3.45%, 5/1/2050 | 50,000 | 53,677 | ||||
3.75%, 9/1/2028 | 100,000 | 109,909 | ||||
3.75%, 9/1/2047 | 100,000 | 111,986 | ||||
4.30%, 12/1/2042 | 25,000 | 29,991 | ||||
Essential Utilities, Inc.: | ||||||
2.40%, 5/1/2031 | 105,000 | 104,310 | ||||
2.70%, 4/15/2030 | 60,000 | 60,873 | ||||
829,559 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $521,968,636) | 535,812,859 | |||||
ASSET-BACKED SECURITIES — 0.3% | ||||||
ASSET-BACKED - OTHER — 0.0% (a) | ||||||
Ford Credit Floorplan Master Owner Trust Series 2020-1, Class A1, 0.70%, 9/15/2025 | 350,000 | 348,532 | ||||
AUTOMOBILE — 0.2% | ||||||
CarMax Auto Owner Trust Series 2021-2, Class A3, 0.52%, 2/17/2026 | 100,000 | 99,536 | ||||
Carvana Auto Receivables Trust Series 2021-P4, Class A3, 1.31%, 1/11/2027 | 175,000 | 174,980 | ||||
Drive Auto Receivables Trust Series 2021-3, Class A3, 0.79%, 10/15/2025 | 130,000 | 129,610 | ||||
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | 350,000 | 348,757 | ||||
Ford Credit Auto Lease Trust Series 2021-B, Class A3, 0.37%, 10/15/2024 | 219,000 | 217,451 | ||||
GM Financial Automobile Leasing Trust Series 2021-2, Class A3, 0.34%, 5/20/2024 | 267,000 | 265,720 | ||||
GM Financial Consumer Automobile Receivables Trust Series 2021-2, Class A3, 0.51%, 4/16/2026 | 155,000 | 153,973 |
Security Description | Principal Amount | Value | |||
Honda Auto Receivables Owner Trust Series 2021-2, Class A3, 0.33%, 8/15/2025 | $ 215,000 | $ 213,013 | |||
Hyundai Auto Receivables Trust: | |||||
Series 2021-C, Class A3, 0.74%, 5/15/2026 | 350,000 | 347,720 | |||
Series 2021-A, Class A3, 0.38%, 9/15/2025 | 87,000 | 86,224 | |||
Mercedes-Benz Auto Trust Series 2021-B, Class A3, 0.40%, 11/15/2024 | 200,000 | 198,601 | |||
Toyota Auto Receivables Owner Trust Series 2020-D, Class A4, 0.47%, 1/15/2026 | 250,000 | 247,382 | |||
Volkswagen Auto Loan Enhanced Trust Series 2021-1, Class A3, 1.02%, 6/22/2026 | 100,000 | 100,054 | |||
World Omni Auto Receivables Trust Series 2021-A, Class A3, 0.30%, 1/15/2026 | 300,000 | 298,256 | |||
2,881,277 | |||||
CREDIT CARD — 0.1% | |||||
American Express Credit Account Master Trust Series 2021-1, Class A, 0.90%, 11/15/2026 | 368,000 | 365,288 | |||
BA Credit Card Trust Series 2021-A1, Class A1, 0.44%, 9/15/2026 | 45,000 | 44,416 | |||
Capital One Multi-Asset Execution Trust Series 2021-A2, Class A2, 1.39%, 7/15/2030 | 350,000 | 344,445 | |||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 200,000 | 229,400 | |||
Discover Card Execution Note Trust Series 2021-A2, Class A2, 1.03%, 9/15/2028 | 271,000 | 265,501 | |||
1,249,050 | |||||
OTHER ABS — 0.0% (a) | |||||
CNH Equipment Trust Series 2021-B, Class A3, 0.44%, 8/17/2026 | 200,000 | 197,159 | |||
John Deere Owner Trust Series 2021-B, Class A3, 0.52%, 3/16/2026 | 86,000 | 84,828 |
Security Description | Principal Amount | Value | |||
Verizon Owner Trust Series 2020-B, Class A, 0.47%, 2/20/2025 | $ 500,000 | $ 498,644 | |||
780,631 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $5,292,669) | 5,259,490 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.4% | |||||
AUSTRIA — 0.0% (a) | |||||
Oesterreichische Kontrollbank AG: | |||||
0.38%, 09/17/2025 | 90,000 | 87,238 | |||
1.50%, 02/12/2025 | 50,000 | 50,627 | |||
Series GMTN, 0.50%, 02/02/2026 | 500,000 | 485,010 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 102,700 | |||
725,575 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond: | |||||
0.75%, 05/19/2026 | 500,000 | 488,995 | |||
1.63%, 01/22/2025 | 1,250,000 | 1,271,662 | |||
Export Development Canada: | |||||
1.38%, 02/24/2023 | 250,000 | 252,300 | |||
2.50%, 01/24/2023 | 200,000 | 204,162 | |||
Province of Alberta Canada: | |||||
1.00%, 05/20/2025 (b) | 500,000 | 496,200 | |||
1.30%, 07/22/2030 | 400,000 | 382,100 | |||
3.30%, 03/15/2028 | 650,000 | 711,925 | |||
Province of British Columbia Canada: | |||||
0.90%, 07/20/2026 | 500,000 | 489,755 | |||
1.30%, 01/29/2031 (b) | 200,000 | 192,818 | |||
2.25%, 06/02/2026 | 150,000 | 155,871 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 | 250,000 | 257,970 | |||
Series GX, 2.60%, 04/16/2024 (b) | 100,000 | 103,741 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 55,984 | |||
Province of Ontario Canada: | |||||
0.63%, 01/21/2026 | 440,000 | 427,830 | |||
1.05%, 04/14/2026 | 200,000 | 197,186 | |||
1.13%, 10/07/2030 | 500,000 | 473,240 | |||
1.60%, 02/25/2031 | 250,000 | 245,035 | |||
2.00%, 10/02/2029 | 350,000 | 356,104 | |||
2.50%, 04/27/2026 | 350,000 | 366,160 | |||
3.40%, 10/17/2023 | 350,000 | 365,995 | |||
Province of Quebec Canada: | |||||
0.60%, 07/23/2025 (b) | 1,000,000 | 978,120 | |||
1.35%, 05/28/2030 | 300,000 | 291,384 |
Security Description | Principal Amount | Value | |||
1.90%, 04/21/2031 (b) | $ 500,000 | $ 504,145 | |||
2.50%, 04/20/2026 | 250,000 | 262,023 | |||
2.75%, 04/12/2027 (b) | 200,000 | 212,640 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 210,092 | |||
Series QX, 1.50%, 02/11/2025 | 500,000 | 505,565 | |||
10,459,002 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.45%, 01/31/2031 (b) | 200,000 | 198,716 | |||
2.55%, 07/27/2033 | 250,000 | 243,398 | |||
3.10%, 01/22/2061 | 250,000 | 232,835 | |||
3.13%, 01/21/2026 (b) | 50,000 | 52,631 | |||
3.24%, 02/06/2028 | 200,000 | 210,804 | |||
3.25%, 09/21/2071 | 250,000 | 231,385 | |||
3.86%, 06/21/2047 | 300,000 | 333,315 | |||
1,503,084 | |||||
GERMANY — 0.3% | |||||
FMS Wertmanagement 2.75%, 1/30/2024 | 250,000 | 259,925 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
0.01%, 06/29/2037 | 100,000 | 75,627 | |||
0.25%, 04/25/2023 | 130,000 | 129,474 | |||
0.25%, 10/19/2023 | 300,000 | 297,513 | |||
0.25%, 03/08/2024 | 1,165,000 | 1,151,032 | |||
0.38%, 07/18/2025 | 250,000 | 243,410 | |||
0.50%, 09/20/2024 | 500,000 | 493,910 | |||
0.63%, 01/22/2026 | 225,000 | 219,488 | |||
0.75%, 09/30/2030 (b) | 500,000 | 467,440 | |||
1.38%, 08/05/2024 | 500,000 | 505,770 | |||
1.63%, 02/15/2023 (b) | 500,000 | 506,160 | |||
1.75%, 09/14/2029 | 250,000 | 254,032 | |||
2.00%, 05/02/2025 | 100,000 | 102,940 | |||
2.13%, 01/17/2023 | 100,000 | 101,690 | |||
2.50%, 11/20/2024 (b) | 300,000 | 312,789 | |||
2.63%, 02/28/2024 | 250,000 | 259,742 | |||
2.88%, 04/03/2028 (b) | 290,000 | 314,838 | |||
Landwirtschaftliche Rentenbank: | |||||
0.88%, 03/30/2026 (b) | 240,000 | 236,011 | |||
0.88%, 09/03/2030 | 200,000 | 188,618 | |||
3.13%, 11/14/2023 (b) | 100,000 | 104,335 | |||
Series 37, 2.50%, 11/15/2027 (b) | 50,000 | 52,858 | |||
Series 40, 0.50%, 05/27/2025 | 90,000 | 88,074 | |||
6,365,676 | |||||
HUNGARY — 0.0% (a) | |||||
Hungary Government International Bond 5.38%, 3/25/2024 | 350,000 | 380,496 |
Security Description | Principal Amount | Value | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
1.85%, 03/12/2031 (b) | $ 500,000 | $ 487,760 | |||
2.95%, 01/11/2023 | 275,000 | 280,819 | |||
3.05%, 03/12/2051 (b) | 250,000 | 247,912 | |||
4.45%, 04/15/2070 | 200,000 | 237,750 | |||
4.75%, 02/11/2029 (b) | 150,000 | 174,710 | |||
5.35%, 02/11/2049 (b) | 100,000 | 131,688 | |||
1,560,639 | |||||
ISRAEL — 0.1% | |||||
Israel Government International Bond: | |||||
2.75%, 07/03/2030 | 200,000 | 212,786 | |||
2.88%, 03/16/2026 | 100,000 | 105,781 | |||
3.25%, 01/17/2028 | 100,000 | 108,441 | |||
3.88%, 07/03/2050 | 200,000 | 234,538 | |||
4.13%, 01/17/2048 | 100,000 | 123,042 | |||
State of Israel 3.38%, 1/15/2050 | 300,000 | 325,788 | |||
1,110,376 | |||||
ITALY — 0.1% | |||||
Republic of Italy Government International Bond: | |||||
0.88%, 05/06/2024 | 200,000 | 197,798 | |||
1.25%, 02/17/2026 | 250,000 | 243,502 | |||
2.38%, 10/17/2024 | 250,000 | 256,182 | |||
2.88%, 10/17/2029 | 500,000 | 511,065 | |||
3.88%, 05/06/2051 | 200,000 | 214,686 | |||
4.00%, 10/17/2049 | 200,000 | 221,154 | |||
5.38%, 06/15/2033 | 50,000 | 61,941 | |||
1,706,328 | |||||
JAPAN — 0.1% | |||||
Japan Bank for International Cooperation: | |||||
0.38%, 09/15/2023 | 250,000 | 248,220 | |||
0.63%, 07/15/2025 | 450,000 | 439,816 | |||
1.25%, 01/21/2031 | 250,000 | 240,288 | |||
1.88%, 04/15/2031 | 200,000 | 202,354 | |||
2.75%, 11/16/2027 | 200,000 | 212,560 | |||
2.88%, 07/21/2027 | 100,000 | 106,775 | |||
3.25%, 07/20/2023 | 150,000 | 155,696 | |||
3.25%, 07/20/2028 | 250,000 | 275,517 | |||
3.38%, 10/31/2023 | 200,000 | 209,132 | |||
Series DTC, 1.75%, 10/17/2024 | 200,000 | 203,606 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 208,006 | |||
Series DTC, 2.50%, 05/23/2024 | 200,000 | 207,116 | |||
Japan International Cooperation Agency 1.75%, 4/28/2031 | 200,000 | 200,600 | |||
2,909,686 |
Security Description | Principal Amount | Value | |||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
2.66%, 05/24/2031 (b) | $ 450,000 | $ 439,173 | |||
3.25%, 04/16/2030 (b) | 350,000 | 360,129 | |||
3.75%, 01/11/2028 | 100,000 | 107,621 | |||
3.77%, 05/24/2061 | 200,000 | 184,372 | |||
3.90%, 04/27/2025 | 500,000 | 535,910 | |||
4.13%, 01/21/2026 | 125,000 | 137,284 | |||
4.15%, 03/28/2027 | 200,000 | 221,012 | |||
4.28%, 08/14/2041 | 525,000 | 545,543 | |||
4.50%, 04/22/2029 | 250,000 | 278,565 | |||
4.50%, 01/31/2050 (b) | 250,000 | 265,833 | |||
4.60%, 02/10/2048 | 200,000 | 213,886 | |||
4.75%, 04/27/2032 | 200,000 | 226,318 | |||
5.00%, 04/27/2051 (b) | 200,000 | 228,226 | |||
5.55%, 01/21/2045 (b) | 450,000 | 540,094 | |||
6.05%, 01/11/2040 | 30,000 | 37,442 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 109,316 | |||
4,430,724 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
2.25%, 09/29/2032 (b) | 200,000 | 190,406 | |||
3.16%, 01/23/2030 | 200,000 | 207,472 | |||
3.75%, 03/16/2025 | 150,000 | 158,929 | |||
3.87%, 07/23/2060 | 200,000 | 200,054 | |||
3.88%, 03/17/2028 | 200,000 | 216,014 | |||
4.50%, 05/15/2047 | 50,000 | 55,324 | |||
4.50%, 04/16/2050 | 700,000 | 773,290 | |||
6.70%, 01/26/2036 | 50,000 | 66,986 | |||
1,868,475 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond: | |||||
2.39%, 01/23/2026 | 250,000 | 253,772 | |||
2.78%, 01/23/2031 | 320,000 | 318,784 | |||
2.78%, 12/01/2060 | 150,000 | 132,347 | |||
2.84%, 06/20/2030 | 55,000 | 55,835 | |||
3.00%, 01/15/2034 | 250,000 | 249,497 | |||
3.23%, 07/28/2121 | 150,000 | 129,782 | |||
3.30%, 03/11/2041 | 815,000 | 818,570 | |||
3.55%, 03/10/2051 | 70,000 | 73,133 | |||
3.60%, 01/15/2072 | 250,000 | 245,445 | |||
4.13%, 08/25/2027 (b) | 150,000 | 164,793 | |||
5.63%, 11/18/2050 (b) | 150,000 | 211,189 | |||
6.55%, 03/14/2037 | 25,000 | 34,076 | |||
2,687,223 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
1.65%, 06/10/2031 | 250,000 | 242,027 | |||
1.95%, 01/06/2032 | 200,000 | 196,824 |
Security Description | Principal Amount | Value | |||
2.46%, 05/05/2030 | $ 200,000 | $ 206,432 | |||
2.65%, 12/10/2045 | 250,000 | 238,038 | |||
2.95%, 05/05/2045 | 250,000 | 247,752 | |||
3.70%, 03/01/2041 (b) | 200,000 | 219,414 | |||
3.70%, 02/02/2042 | 100,000 | 109,730 | |||
3.95%, 01/20/2040 | 200,000 | 224,616 | |||
4.20%, 01/21/2024 | 300,000 | 319,578 | |||
5.00%, 01/13/2037 | 150,000 | 187,092 | |||
7.75%, 01/14/2031 | 100,000 | 145,747 | |||
Republic of Philippines 3.20%, 7/6/2046 | 200,000 | 204,482 | |||
2,541,732 | |||||
POLAND — 0.0% (a) | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | 50,000 | 51,370 | |||
3.25%, 04/06/2026 | 175,000 | 187,726 | |||
4.00%, 01/22/2024 | 150,000 | 158,955 | |||
398,051 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
0.63%, 06/29/2024 | 500,000 | 494,990 | |||
0.63%, 02/09/2026 (b) | 200,000 | 193,646 | |||
1.13%, 12/29/2026 | 200,000 | 196,096 | |||
2.38%, 04/21/2027 | 25,000 | 25,935 | |||
2.50%, 06/29/2041 | 250,000 | 254,657 | |||
3.25%, 11/10/2025 | 150,000 | 160,674 | |||
Korea Development Bank: | |||||
0.40%, 06/19/2024 | 215,000 | 212,072 | |||
0.80%, 07/19/2026 | 250,000 | 242,587 | |||
1.63%, 01/19/2031 (b) | 250,000 | 245,300 | |||
2.75%, 03/19/2023 (b) | 200,000 | 204,656 | |||
3.00%, 01/13/2026 (b) | 100,000 | 106,154 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 223,866 | |||
Korea International Bond 1.00%, 9/16/2030 | 200,000 | 189,562 | |||
2,750,195 | |||||
SUPRANATIONAL — 1.3% | |||||
African Development Bank: | |||||
0.75%, 04/03/2023 | 350,000 | 350,703 | |||
0.88%, 03/23/2026 | 150,000 | 147,621 | |||
3.00%, 09/20/2023 | 150,000 | 155,813 | |||
Asian Development Bank: | |||||
0.63%, 04/29/2025 | 500,000 | 492,370 | |||
1.50%, 10/18/2024 | 200,000 | 202,858 | |||
1.63%, 01/24/2023 | 500,000 | 505,975 | |||
2.63%, 01/30/2024 | 200,000 | 207,608 | |||
Series GMTN, 0.25%, 07/14/2023 | 275,000 | 273,372 | |||
Series GMTN, 0.25%, 10/06/2023 | 200,000 | 198,436 | |||
Series GMTN, 0.38%, 06/11/2024 | 725,000 | 716,256 |
Security Description | Principal Amount | Value | |||
Series GMTN, 0.38%, 09/03/2025 | $ 250,000 | $ 242,898 | |||
Series GMTN, 0.50%, 02/04/2026 | 250,000 | 242,793 | |||
Series GMTN, 0.75%, 10/08/2030 | 200,000 | 186,848 | |||
Series GMTN, 1.00%, 04/14/2026 | 100,000 | 98,957 | |||
Series GMTN, 1.25%, 06/09/2028 | 100,000 | 98,781 | |||
Series GMTN, 1.50%, 03/04/2031 | 250,000 | 248,500 | |||
Series GMTN, 1.88%, 01/24/2030 | 500,000 | 513,355 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 103,071 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 52,591 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 105,872 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 53,088 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 87,246 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 55,242 | |||
Asian Infrastructure Investment Bank: | |||||
0.25%, 09/29/2023 | 165,000 | 163,617 | |||
0.50%, 05/28/2025 | 200,000 | 195,662 | |||
0.50%, 01/27/2026 | 500,000 | 485,135 | |||
Corp. Andina de Fomento: | |||||
1.25%, 10/26/2024 | 68,000 | 67,687 | |||
2.38%, 05/12/2023 | 150,000 | 152,777 | |||
2.75%, 01/06/2023 | 100,000 | 101,898 | |||
Council Of Europe Development Bank: | |||||
0.38%, 06/10/2024 | 250,000 | 246,800 | |||
0.88%, 09/22/2026 (b) | 100,000 | 97,974 | |||
2.50%, 02/27/2024 (b) | 30,000 | 31,067 | |||
2.63%, 02/13/2023 | 60,000 | 61,360 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 0.25%, 07/10/2023 | 100,000 | 99,406 | |||
Series GMTN, 0.50%, 11/25/2025 | 250,000 | 243,155 | |||
Series GMTN, 0.50%, 01/28/2026 (b) | 200,000 | 194,140 | |||
Series GMTN, 1.50%, 02/13/2025 | 250,000 | 253,360 | |||
European Investment Bank: | |||||
0.25%, 09/15/2023 | 365,000 | 362,193 | |||
0.38%, 12/15/2025 (b) | 200,000 | 193,536 | |||
0.38%, 03/26/2026 | 750,000 | 723,112 | |||
0.63%, 07/25/2025 | 350,000 | 343,675 |
Security Description | Principal Amount | Value | |||
0.75%, 10/26/2026 (b) | $ 250,000 | $ 243,413 | |||
0.75%, 09/23/2030 | 200,000 | 187,094 | |||
1.25%, 02/14/2031 (b) | 390,000 | 379,642 | |||
1.38%, 05/15/2023 | 350,000 | 353,794 | |||
1.63%, 03/14/2025 | 485,000 | 493,342 | |||
1.63%, 05/13/2031 (b) | 100,000 | 100,481 | |||
1.88%, 02/10/2025 | 100,000 | 102,536 | |||
2.13%, 04/13/2026 | 100,000 | 103,656 | |||
2.38%, 05/24/2027 | 100,000 | 105,115 | |||
2.50%, 03/15/2023 | 145,000 | 148,389 | |||
2.50%, 10/15/2024 (b) | 25,000 | 26,048 | |||
2.63%, 03/15/2024 | 1,100,000 | 1,143,329 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 362,327 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 365,834 | |||
Inter-American Development Bank: | |||||
0.25%, 11/15/2023 | 150,000 | 148,679 | |||
0.50%, 05/24/2023 (b) | 500,000 | 499,375 | |||
0.50%, 09/23/2024 | 850,000 | 839,511 | |||
0.63%, 07/15/2025 | 500,000 | 491,140 | |||
0.63%, 09/16/2027 (b) | 500,000 | 477,570 | |||
0.88%, 04/03/2025 | 500,000 | 496,800 | |||
1.13%, 07/20/2028 | 200,000 | 195,434 | |||
2.00%, 07/23/2026 | 100,000 | 103,070 | |||
2.25%, 06/18/2029 | 250,000 | 262,562 | |||
2.38%, 07/07/2027 | 100,000 | 105,076 | |||
2.50%, 01/18/2023 | 100,000 | 102,071 | |||
2.63%, 01/16/2024 | 350,000 | 363,093 | |||
3.00%, 02/21/2024 | 100,000 | 104,655 | |||
3.13%, 09/18/2028 | 100,000 | 110,366 | |||
4.38%, 01/24/2044 | 75,000 | 104,258 | |||
Series GMTN, 0.88%, 04/20/2026 | 250,000 | 245,988 | |||
Series GMTN, 1.13%, 01/13/2031 | 250,000 | 240,843 | |||
Series GMTN, 1.75%, 03/14/2025 | 250,000 | 255,297 | |||
International Bank for Reconstruction & Development: | |||||
0.25%, 11/24/2023 | 75,000 | 74,330 | |||
0.38%, 07/28/2025 | 750,000 | 729,960 | |||
0.50%, 10/28/2025 | 250,000 | 243,628 | |||
0.63%, 04/22/2025 | 550,000 | 541,827 | |||
0.75%, 03/11/2025 | 500,000 | 495,155 | |||
0.75%, 11/24/2027 (b) | 390,000 | 374,665 | |||
0.75%, 08/26/2030 | 170,000 | 159,278 | |||
0.88%, 07/15/2026 | 1,000,000 | 982,320 | |||
0.88%, 05/14/2030 | 250,000 | 237,008 | |||
1.13%, 09/13/2028 | 500,000 | 488,435 | |||
1.25%, 02/10/2031 | 500,000 | 486,555 | |||
1.63%, 01/15/2025 | 350,000 | 356,387 | |||
1.63%, 11/03/2031 | 500,000 | 500,235 | |||
2.50%, 03/19/2024 | 350,000 | 362,929 |
Security Description | Principal Amount | Value | |||
3.00%, 09/27/2023 | $ 350,000 | $ 363,821 | |||
Series GDIF, 1.38%, 04/20/2028 | 250,000 | 249,005 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 253,892 | |||
Series GDIF, 1.88%, 06/19/2023 | 300,000 | 305,535 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 313,014 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 209,408 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 264,742 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 33,228 | |||
International Finance Corp.: | |||||
Series GMTN, 0.38%, 07/16/2025 | 250,000 | 243,420 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 103,674 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 155,160 | |||
International Finance Corp. Series GMTN, 0.75%, 10/8/2026 | 500,000 | 487,120 | |||
Nordic Investment Bank: | |||||
0.38%, 09/20/2024 | 200,000 | 196,934 | |||
0.38%, 09/11/2025 | 200,000 | 194,236 | |||
Series GMTN, 0.50%, 01/21/2026 (b) | 200,000 | 194,330 | |||
28,217,827 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
0.50%, 11/10/2023 | 500,000 | 497,090 | |||
0.50%, 08/26/2025 | 350,000 | 341,205 | |||
Series USMT, 0.38%, 03/11/2024 (b) | 500,000 | 494,700 | |||
1,332,995 | |||||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 252,832 | |||
4.38%, 01/23/2031 | 280,000 | 322,552 | |||
4.98%, 04/20/2055 | 400,000 | 525,276 | |||
5.10%, 06/18/2050 | 175,000 | 232,111 | |||
1,332,771 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $71,811,036) | 72,280,855 |
Security Description | Principal Amount | Value | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.5% | |||||
Federal Farm Credit Banks: | |||||
2.88%, 7/17/2023 | $ 100,000 | $ 103,306 | |||
3.50%, 12/20/2023 | 50,000 | 52,634 | |||
Federal Farm Credit Banks Funding Corp.: | |||||
0.13%, 4/13/2023 | 500,000 | 497,600 | |||
0.13%, 5/10/2023 | 300,000 | 298,164 | |||
0.25%, 2/26/2024 | 105,000 | 103,822 | |||
0.30%, 11/12/2024 | 250,000 | 244,825 | |||
0.35%, 5/16/2024 | 250,000 | 246,725 | |||
0.47%, 8/19/2024 | 100,000 | 98,626 | |||
0.50%, 12/1/2023 | 250,000 | 248,855 | |||
0.68%, 8/4/2025 | 100,000 | 98,136 | |||
0.68%, 1/13/2027 | 250,000 | 241,087 | |||
0.70%, 1/27/2027 | 100,000 | 96,397 | |||
0.79%, 6/21/2027 | 125,000 | 120,501 | |||
0.88%, 11/18/2024 | 185,000 | 184,471 | |||
0.90%, 8/19/2027 | 100,000 | 96,393 | |||
1.00%, 8/3/2027 | 100,000 | 97,204 | |||
1.04%, 1/25/2029 | 150,000 | 142,871 | |||
1.10%, 8/10/2029 | 150,000 | 142,776 | |||
1.14%, 8/20/2029 | 150,000 | 143,421 | |||
1.15%, 8/12/2030 | 100,000 | 94,680 | |||
1.32%, 9/9/2030 | 100,000 | 95,751 | |||
1.38%, 1/14/2031 | 250,000 | 239,493 | |||
1.65%, 7/23/2035 | 100,000 | 93,477 | |||
1.69%, 8/20/2035 | 100,000 | 93,494 | |||
1.95%, 8/13/2040 | 100,000 | 91,818 | |||
1.99%, 3/17/2031 | 500,000 | 495,075 | |||
Federal Home Loan Bank: | |||||
0.13%, 3/17/2023 | 400,000 | 398,160 | |||
0.13%, 6/2/2023 | 325,000 | 322,949 | |||
0.13%, 8/28/2023 | 800,000 | 793,056 | |||
0.50%, 4/14/2025 | 205,000 | 201,292 | |||
0.55%, 1/20/2026 | 150,000 | 145,829 | |||
0.65%, 1/28/2026 | 150,000 | 146,393 | |||
0.65%, 2/26/2026 | 100,000 | 96,933 | |||
0.70%, 1/28/2026 | 150,000 | 146,226 | |||
0.75%, 2/24/2026 | 100,000 | 97,687 | |||
0.83%, 2/10/2027 | 100,000 | 96,857 | |||
0.90%, 2/26/2027 | 150,000 | 145,601 | |||
1.00%, 8/16/2028 | 250,000 | 240,207 | |||
1.25%, 12/21/2026 | 1,000,000 | 998,670 | |||
1.38%, 2/17/2023 | 750,000 | 758,190 | |||
1.50%, 8/15/2024 (b) | 190,000 | 192,943 | |||
1.88%, 12/9/2022 | 250,000 | 253,445 | |||
2.50%, 2/13/2024 (b) | 220,000 | 227,909 | |||
2.88%, 9/13/2024 | 50,000 | 52,545 | |||
3.25%, 6/9/2028 | 500,000 | 553,085 | |||
3.25%, 11/16/2028 | 280,000 | 312,654 | |||
3.38%, 12/8/2023 | 50,000 | 52,454 | |||
5.50%, 7/15/2036 | 135,000 | 195,346 |
Security Description | Principal Amount | Value | |||
Federal Home Loan Mortgage Corp.: | |||||
0.13%, 10/16/2023 | $ 190,000 | $ 188,151 | |||
0.25%, 6/26/2023 | 500,000 | 497,805 | |||
0.25%, 8/24/2023 | 215,000 | 213,615 | |||
0.25%, 9/8/2023 | 750,000 | 744,870 | |||
0.25%, 11/6/2023 | 650,000 | 644,403 | |||
0.25%, 12/4/2023 | 875,000 | 867,370 | |||
0.32%, 11/2/2023 | 150,000 | 148,599 | |||
0.36%, 5/15/2024 | 250,000 | 246,722 | |||
0.38%, 4/20/2023 | 250,000 | 249,507 | |||
0.38%, 5/5/2023 | 350,000 | 349,268 | |||
0.38%, 9/23/2025 (b) | 730,000 | 710,188 | |||
0.60%, 10/15/2025 | 110,000 | 107,097 | |||
0.60%, 10/20/2025 | 150,000 | 146,120 | |||
0.63%, 11/25/2025 | 175,000 | 170,422 | |||
0.68%, 8/6/2025 | 100,000 | 97,940 | |||
0.75%, 6/23/2026 | 150,000 | 146,016 | |||
1.50%, 2/12/2025 | 500,000 | 507,615 | |||
1.50%, 2/1/2051 | 2,335,821 | 2,265,944 | |||
1.50%, 10/1/2051 | 1,982,471 | 1,919,366 | |||
1.50%, 11/1/2051 | 5,832,061 | 5,646,419 | |||
2.00%, 6/1/2036 | 2,371,011 | 2,430,805 | |||
2.00%, 10/1/2050 | 1,417,781 | 1,417,247 | |||
2.00%, 12/1/2050 | 1,076,013 | 1,075,608 | |||
2.00%, 1/1/2051 | 2,724,681 | 2,723,654 | |||
2.00%, 9/1/2051 | 4,905,673 | 4,896,340 | |||
2.00%, 11/1/2051 | 7,792,362 | 7,777,539 | |||
2.22%, 7/13/2040 | 150,000 | 141,828 | |||
2.50%, 10/1/2029 | 19,594 | 20,291 | |||
2.50%, 1/1/2031 | 41,009 | 42,528 | |||
2.50%, 5/1/2031 | 63,741 | 66,117 | |||
2.50%, 6/1/2031 | 118,659 | 123,083 | |||
2.50%, 10/1/2031 | 112,980 | 117,192 | |||
2.50%, 12/1/2031 | 151,516 | 157,463 | |||
2.50%, 12/1/2032 | 516,000 | 535,169 | |||
2.50%, 2/1/2033 | 563,456 | 584,387 | |||
2.50%, 9/1/2035 | 643,461 | 665,834 | |||
2.50%, 9/1/2046 | 763,721 | 785,800 | |||
2.50%, 7/1/2050 | 3,282,092 | 3,351,852 | |||
2.50%, 10/1/2050 | 2,127,453 | 2,172,671 | |||
2.50%, 2/1/2051 | 2,804,054 | 2,863,892 | |||
2.50%, 9/1/2051 | 5,565,319 | 5,685,855 | |||
2.50%, 10/1/2051 | 4,623,129 | 4,723,617 | |||
2.50%, 11/1/2051 | 5,595,718 | 5,717,779 | |||
2.50%, 12/1/2051 | 4,758,134 | 4,862,293 | |||
3.00%, 10/1/2030 | 294,467 | 309,624 | |||
3.00%, 12/1/2030 | 50,783 | 53,268 | |||
3.00%, 5/1/2031 | 37,778 | 39,606 | |||
3.00%, 12/1/2031 | 201,501 | 211,255 | |||
3.00%, 2/1/2032 | 277,356 | 290,782 | |||
3.00%, 5/1/2032 | 277,633 | 291,170 | |||
3.00%, 7/1/2032 | 81,008 | 84,958 | |||
3.00%, 1/1/2033 | 337,906 | 354,382 | |||
3.00%, 3/1/2035 | 1,390,946 | 1,454,552 |
Security Description | Principal Amount | Value | |||
3.00%, 5/1/2035 | $ 667,337 | $ 697,610 | |||
3.00%, 4/1/2036 | 178,893 | 187,756 | |||
3.00%, 6/1/2036 | 108,666 | 114,050 | |||
3.00%, 2/1/2038 | 334,508 | 350,444 | |||
3.00%, 1/1/2043 | 1,447,237 | 1,525,636 | |||
3.00%, 7/1/2043 | 1,574,377 | 1,658,551 | |||
3.00%, 6/1/2045 | 36,836 | 38,715 | |||
3.00% 8/1/2045 | 237,800 | 250,433 | |||
3.00%, 4/1/2046 | 140,200 | 146,861 | |||
3.00% 6/1/2046 | 1,837,299 | 1,934,701 | |||
3.00%, 7/1/2046 | 2,349,341 | 2,468,180 | |||
3.00%, 8/1/2046 | 266,445 | 279,102 | |||
3.00%, 9/1/2046 | 87,450 | 91,605 | |||
3.00%, 10/1/2046 | 148,604 | 155,663 | |||
3.00% 11/1/2046 | 531,980 | 557,252 | |||
3.00% 12/1/2046 | 475,557 | 498,148 | |||
3.00%, 1/1/2047 | 348,443 | 364,995 | |||
3.00% 2/1/2047 | 926,088 | 977,093 | |||
3.00%, 4/1/2047 | 2,324,907 | 2,442,510 | |||
3.00%, 9/1/2049 | 238,388 | 247,261 | |||
3.00%, 12/1/2049 | 231,400 | 240,012 | |||
3.00%, 2/1/2050 | 857,718 | 889,641 | |||
3.00%, 4/1/2050 | 1,577,163 | 1,633,931 | |||
3.00%, 5/1/2050 | 2,159,493 | 2,243,671 | |||
3.00%, 6/1/2051 | 1,763,688 | 1,828,607 | |||
3.50%, 4/1/2032 | 150,547 | 159,282 | |||
3.50%, 6/1/2033 | 280,299 | 296,440 | |||
3.50%, 9/1/2033 | 191,116 | 202,122 | |||
3.50%, 11/1/2034 | 115,845 | 123,358 | |||
3.50%, 3/1/2037 | 142,615 | 151,964 | |||
3.50%, 4/1/2042 | 149,171 | 161,740 | |||
3.50%, 12/1/2042 | 96,114 | 103,144 | |||
3.50%, 8/1/2043 | 263,598 | 282,781 | |||
3.50%, 5/1/2044 | 1,147,779 | 1,239,210 | |||
3.50%, 11/1/2044 | 16,345 | 17,489 | |||
3.50%, 1/1/2045 | 22,458 | 24,030 | |||
3.50% 7/1/2045 | 137,584 | 147,069 | |||
3.50%, 10/1/2045 | 21,323 | 22,771 | |||
3.50% 12/1/2045 | 263,197 | 281,208 | |||
3.50%, 1/1/2046 | 32,003 | 34,176 | |||
3.50%, 3/1/2046 | 64,641 | 68,890 | |||
3.50%, 4/1/2046 | 95,516 | 101,795 | |||
3.50%, 6/1/2046 | 111,279 | 118,595 | |||
3.50%, 8/1/2046 | 1,251,284 | 1,336,242 | |||
3.50%, 12/1/2046 | 367,006 | 391,132 | |||
3.50%, 2/1/2047 | 237,998 | 253,644 | |||
3.50%, 3/1/2047 | 225,921 | 240,772 | |||
3.50%, 4/1/2047 | 129,692 | 137,458 | |||
3.50%, 6/1/2047 | 123,639 | 131,043 | |||
3.50% 10/1/2047 | 225,605 | 239,113 | |||
3.50%, 11/1/2047 | 79,610 | 84,378 | |||
3.50%, 12/1/2047 | 175,150 | 185,639 | |||
3.50%, 4/1/2049 | 192,920 | 203,514 | |||
3.50%, 7/1/2049 | 520,102 | 548,552 | |||
3.50%, 10/1/2049 | 56,547 | 59,640 |
Security Description | Principal Amount | Value | |||
3.50%, 3/1/2050 | $ 1,368,369 | $ 1,443,222 | |||
4.00%, 11/1/2033 | 212,770 | 224,307 | |||
4.00%, 4/1/2042 | 15,003 | 16,364 | |||
4.00%, 6/1/2042 | 41,159 | 44,881 | |||
4.00%, 7/1/2042 | 845,748 | 922,406 | |||
4.00%, 12/1/2044 | 16,878 | 18,367 | |||
4.00%, 4/1/2045 | 13,368 | 14,455 | |||
4.00%, 10/1/2045 | 29,953 | 32,388 | |||
4.00%, 12/1/2045 | 54,493 | 58,924 | |||
4.00%, 1/1/2046 | 214,748 | 232,211 | |||
4.00%, 2/1/2046 | 84,826 | 91,723 | |||
4.00%, 1/1/2047 | 266,256 | 287,511 | |||
4.00%, 2/1/2047 | 103,575 | 111,840 | |||
4.00%, 6/1/2047 | 185,298 | 198,490 | |||
4.00%, 9/1/2047 | 232,395 | 248,939 | |||
4.00%, 11/1/2047 | 173,609 | 185,968 | |||
4.00%, 1/1/2048 | 453,777 | 486,081 | |||
4.00%, 10/1/2048 | 877,344 | 934,404 | |||
4.00%, 4/1/2049 | 70,997 | 75,703 | |||
4.50%, 5/1/2042 | 393,726 | 433,835 | |||
4.50%, 5/1/2044 | 129,666 | 142,858 | |||
4.50%, 12/1/2045 | 244,706 | 269,600 | |||
4.50%, 9/1/2046 | 201,184 | 221,508 | |||
4.50%, 4/1/2047 | 100,040 | 108,253 | |||
4.50%, 10/1/2047 | 153,950 | 166,590 | |||
4.50%, 11/1/2047 | 129,077 | 139,675 | |||
4.50%, 12/1/2047 | 69,386 | 75,083 | |||
4.50%, 7/1/2048 | 372,676 | 399,213 | |||
4.50%, 9/1/2048 | 611,421 | 654,854 | |||
4.50%, 11/1/2048 | 219,769 | 235,418 | |||
4.50%, 6/1/2049 | 285,443 | 305,691 | |||
4.50%, 11/1/2049 | 622,411 | 666,561 | |||
5.00%, 7/1/2041 | 82,628 | 93,026 | |||
5.00%, 11/1/2048 | 249,863 | 272,116 | |||
5.50%, 8/1/2038 | 234,798 | 266,277 | |||
6.00%, 7/1/2040 | 97,755 | 112,788 | |||
6.25%, 7/15/2032 (b) | 460,000 | 663,113 | |||
Series *, 2.75%, 6/19/2023 | 500,000 | 515,660 | |||
Series 0000, 0.64%, 11/24/2025 | 175,000 | 170,191 | |||
Series 0001, 0.60%, 11/12/2025 | 150,000 | 146,070 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 419,898 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 604,587 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 211,012 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 525,065 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 435,657 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (c) | 250,000 | 285,658 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (c) | 160,001 | 181,856 |
Security Description | Principal Amount | Value | |||
Series K087, Class A2, Class A2, 3.77%, 12/25/2028 | $ 1,607,000 | $ 1,818,490 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 182,229 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 387,054 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 108,470 | |||
Series K094, Class A2, 2.90%, 6/25/2029 | 352,767 | 381,168 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 104,889 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 106,117 | |||
Series K101, Class A2, 2.52%, 10/25/2029 | 200,000 | 211,477 | |||
Series K109, Class A2, 1.56%, 4/25/2030 | 100,000 | 98,696 | |||
Series K114, Class A2, 1.37%, 6/25/2030 | 85,000 | 82,475 | |||
Series K115, Class A2, 1.38%, 6/25/2030 | 400,000 | 388,670 | |||
Series K118, Class A2, 1.49%, 9/25/2030 | 750,000 | 734,394 | |||
Series K121, Class A2, 1.55%, 10/25/2030 | 320,000 | 314,288 | |||
Series K123, Class A2, 1.62%, 12/25/2030 | 233,333 | 230,490 | |||
Series K124, Class A2, 1.66%, 12/25/2030 | 500,000 | 495,300 | |||
Series K126, Class A2, 2.07%, 1/25/2031 | 500,000 | 511,929 | |||
Series K127, Class A2, 2.11%, 1/25/2031 | 450,000 | 461,998 | |||
Series K131, Class A2, 1.85%, 7/25/2031 | 500,000 | 502,415 | |||
Series K-1515, Class A2, 1.94%, 2/25/2035 | 293,000 | 286,419 | |||
Series K-1519, Class A2, 2.01%, 12/25/2035 | 250,000 | 245,348 | |||
Series K-1520, Class A2, 2.44%, 2/25/2036 | 520,000 | 534,688 | |||
Series K1522, Class A2, 2.36%, 10/25/2036 | 250,000 | 254,627 | |||
Series K157, Class A2, 3.99%, 5/25/2033 (c) | 500,000 | 579,701 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 373,577 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 211,590 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 310,804 | |||
Series K743, Class A2, 1.77%, 5/25/2028 | 300,000 | 303,276 | |||
Series USD, 0.38%, 7/21/2025 | 110,000 | 107,179 |
Security Description | Principal Amount | Value | |||
Federal National Mortgage Association: | |||||
0.25%, 5/22/2023 | $ 350,000 | $ 348,537 | |||
0.25%, 7/10/2023 | 725,000 | 721,186 | |||
0.25%, 11/27/2023 | 210,000 | 208,156 | |||
0.38%, 8/25/2025 | 665,000 | 646,759 | |||
0.50%, 6/17/2025 (b) | 1,000,000 | 980,370 | |||
0.50%, 11/7/2025 | 235,000 | 229,158 | |||
0.63%, 4/22/2025 | 215,000 | 212,020 | |||
0.65%, 12/10/2025 | 100,000 | 97,436 | |||
0.65%, 12/17/2025 | 125,000 | 121,730 | |||
0.70%, 7/30/2025 | 100,000 | 98,014 | |||
0.75%, 10/8/2027 | 700,000 | 676,935 | |||
0.88%, 12/18/2026 | 125,000 | 121,841 | |||
0.88%, 8/5/2030 | 900,000 | 849,474 | |||
1.50%, 7/1/2036 | 4,240,039 | 4,256,146 | |||
1.50%, 3/1/2051 | 2,964,493 | 2,870,122 | |||
1.50%, 11/1/2051 | 5,966,178 | 5,776,251 | |||
1.63%, 1/7/2025 | 215,000 | 218,876 | |||
2.00%, 11/1/2031 | 73,520 | 75,364 | |||
2.00%, 8/1/2035 | 932,261 | 955,534 | |||
2.00% 11/1/2035 | 2,286,538 | 2,343,621 | |||
2.00%, 12/1/2035 | 1,290,271 | 1,322,482 | |||
2.00%, 2/1/2036 | 2,684,755 | 2,751,779 | |||
2.00% 6/1/2036 | 4,065,447 | 4,168,216 | |||
2.00%, 12/1/2036 | 5,758,780 | 5,903,261 | |||
2.00%, 7/1/2050 | 861,898 | 861,574 | |||
2.00%, 8/1/2050 | 1,510,147 | 1,509,578 | |||
2.00%, 10/1/2050 | 4,186,356 | 4,184,779 | |||
2.00%, 11/1/2050 | 4,286,346 | 4,284,731 | |||
2.00% 1/1/2051 | 5,530,458 | 5,528,374 | |||
2.00%, 2/1/2051 | 3,189,457 | 3,188,255 | |||
2.00% 3/1/2051 | 15,926,860 | 15,904,002 | |||
2.00%, 4/1/2051 | 5,180,735 | 5,170,877 | |||
2.00%, 5/1/2051 | 4,895,281 | 4,885,966 | |||
2.00%, 7/1/2051 | 8,621,624 | 8,605,219 | |||
2.00%, 11/1/2051 | 9,934,806 | 9,915,902 | |||
2.00%, 1/1/2052 | 5,000,000 | 4,990,486 | |||
2.13%, 4/24/2026 (b) | 200,000 | 207,500 | |||
2.50%, 2/5/2024 (b) | 250,000 | 258,957 | |||
2.50%, 3/1/2029 | 115,515 | 119,682 | |||
2.50%, 7/1/2030 | 628,837 | 651,097 | |||
2.50%, 2/1/2031 | 65,714 | 68,123 | |||
2.50%, 10/1/2031 | 112,203 | 116,346 | |||
2.50%, 12/1/2031 | 198,923 | 206,268 | |||
2.50%, 1/1/2032 | 72,259 | 74,927 | |||
2.50%, 4/1/2032 | 691,444 | 716,974 | |||
2.50%, 6/1/2032 | 1,878,073 | 1,947,419 | |||
2.50%, 10/1/2032 | 234,335 | 242,952 | |||
2.50%, 12/1/2032 | 478,832 | 496,440 | |||
2.50%, 1/1/2033 | 267,775 | 277,622 | |||
2.50%, 2/1/2035 | 2,010,341 | 2,084,569 | |||
2.50% 8/1/2035 | 1,599,754 | 1,655,494 | |||
2.50%, 9/1/2035 | 3,806,538 | 3,939,167 | |||
2.50%, 6/1/2040 | 330,421 | 339,689 |
Security Description | Principal Amount | Value | |||
2.50%, 8/1/2040 | $ 192,157 | $ 197,548 | |||
2.50%, 11/1/2049 | 1,754,326 | 1,791,276 | |||
2.50%, 12/1/2049 | 793,012 | 809,715 | |||
2.50%, 7/1/2050 | 1,423,059 | 1,453,277 | |||
2.50%, 8/1/2050 | 3,438,432 | 3,511,445 | |||
2.50%, 10/1/2050 | 2,182,854 | 2,229,205 | |||
2.50%, 11/1/2050 | 2,699,951 | 2,757,282 | |||
2.50%, 12/1/2050 | 1,532,095 | 1,564,628 | |||
2.50%, 4/1/2051 | 3,463,365 | 3,538,042 | |||
2.50%, 7/1/2051 | 8,308,566 | 8,487,716 | |||
2.50%, 8/1/2051 | 13,488,306 | 13,779,242 | |||
2.50%, 9/1/2051 | 4,610,245 | 4,710,042 | |||
2.63%, 9/6/2024 (b) | 250,000 | 261,417 | |||
2.88%, 9/12/2023 | 500,000 | 518,495 | |||
3.00%, 10/1/2028 | 37,365 | 39,104 | |||
3.00%, 8/1/2029 | 20,117 | 21,090 | |||
3.00%, 5/1/2030 | 111,132 | 116,274 | |||
3.00%, 6/1/2030 | 20,095 | 21,070 | |||
3.00%, 8/1/2030 | 370,765 | 389,184 | |||
3.00%, 9/1/2030 | 20,457 | 21,450 | |||
3.00%, 11/1/2030 | 43,206 | 45,302 | |||
3.00% 12/1/2030 | 268,330 | 281,622 | |||
3.00%, 4/1/2031 | 139,698 | 146,408 | |||
3.00%, 12/1/2031 | 210,263 | 220,362 | |||
3.00% 2/1/2032 | 699,674 | 734,159 | |||
3.00%, 5/1/2032 | 246,463 | 258,391 | |||
3.00%, 8/1/2032 | 80,727 | 84,634 | |||
3.00%, 10/1/2032 | 140,771 | 147,583 | |||
3.00%, 2/1/2034 | 641,473 | 672,516 | |||
3.00%, 7/1/2034 | 169,118 | 176,845 | |||
3.00%, 6/1/2036 | 32,248 | 33,828 | |||
3.00%, 8/1/2036 | 162,161 | 170,106 | |||
3.00%, 9/1/2036 | 294,694 | 309,132 | |||
3.00%, 10/1/2036 | 88,591 | 92,932 | |||
3.00%, 12/1/2036 | 162,608 | 170,574 | |||
3.00%, 11/1/2037 | 322,027 | 339,314 | |||
3.00%, 6/1/2042 | 627,260 | 660,931 | |||
3.00%, 6/1/2043 | 184,200 | 195,977 | |||
3.00%, 7/1/2043 | 38,440 | 40,476 | |||
3.00%, 2/1/2044 | 331,819 | 349,400 | |||
3.00%, 1/1/2045 | 584,130 | 615,080 | |||
3.00%, 5/1/2045 | 523,416 | 551,149 | |||
3.00%, 9/1/2045 | 32,144 | 33,770 | |||
3.00% 11/1/2045 | 215,984 | 226,909 | |||
3.00%, 12/1/2045 | 40,513 | 42,563 | |||
3.00%, 5/1/2046 | 294,939 | 308,829 | |||
3.00%, 7/1/2046 | 328,169 | 343,624 | |||
3.00%, 10/1/2046 | 209,113 | 218,960 | |||
3.00%, 11/1/2046 | 441,913 | 462,723 | |||
3.00% 12/1/2046 | 392,608 | 411,097 | |||
3.00% 1/1/2047 | 1,094,992 | 1,146,557 | |||
3.00%, 2/1/2047 | 349,585 | 366,047 | |||
3.00%, 5/1/2047 | 392,030 | 408,922 | |||
3.00%, 11/1/2047 | 207,130 | 216,055 | |||
3.00%, 9/1/2049 | 2,144,194 | 2,223,914 |
Security Description | Principal Amount | Value | |||
3.00%, 11/1/2049 | $ 706,155 | $ 732,410 | |||
3.00%, 12/1/2049 | 1,771,346 | 1,837,203 | |||
3.00%, 1/1/2050 | 1,337,585 | 1,387,316 | |||
3.00%, 3/1/2050 | 1,283,042 | 1,329,256 | |||
3.00%, 5/1/2050 | 1,451,284 | 1,503,559 | |||
3.00%, 7/1/2050 | 1,237,923 | 1,282,512 | |||
3.00%, 8/1/2050 | 523,314 | 542,164 | |||
3.00%, 10/1/2050 | 242,108 | 250,829 | |||
3.00%, 9/1/2051 | 2,871,615 | 2,980,705 | |||
3.50%, 11/1/2025 | 14,301 | 15,063 | |||
3.50%, 1/1/2027 | 15,326 | 16,143 | |||
3.50%, 5/1/2029 | 22,726 | 23,976 | |||
3.50%, 10/1/2029 | 20,204 | 21,315 | |||
3.50%, 2/1/2031 | 168,603 | 177,631 | |||
3.50%, 3/1/2032 | 123,303 | 130,418 | |||
3.50%, 4/1/2032 | 178,608 | 188,913 | |||
3.50%, 2/1/2033 | 355,687 | 376,210 | |||
3.50%, 4/1/2033 | 106,786 | 112,897 | |||
3.50%, 11/1/2034 | 735,342 | 774,965 | |||
3.50%, 12/1/2035 | 21,271 | 22,655 | |||
3.50%, 1/1/2037 | 157,842 | 168,086 | |||
3.50%, 2/1/2037 | 225,782 | 240,435 | |||
3.50%, 7/1/2037 | 94,432 | 100,606 | |||
3.50%, 4/1/2038 | 202,393 | 214,086 | |||
3.50%, 2/1/2041 | 67,208 | 72,858 | |||
3.50%, 10/1/2044 | 15,252 | 16,312 | |||
3.50% 1/1/2045 | 41,444 | 44,324 | |||
3.50% 2/1/2045 | 1,804,081 | 1,935,316 | |||
3.50%, 5/1/2045 | 16,176 | 17,270 | |||
3.50% 8/1/2045 | 55,516 | 59,321 | |||
3.50%, 11/1/2045 | 18,968 | 20,250 | |||
3.50% 12/1/2045 | 290,625 | 310,274 | |||
3.50%, 1/1/2046 | 188,444 | 201,186 | |||
3.50% 2/1/2046 | 252,559 | 269,636 | |||
3.50% 4/1/2046 | 152,131 | 162,089 | |||
3.50% 5/1/2046 | 207,551 | 221,135 | |||
3.50%, 6/1/2046 | 56,096 | 59,767 | |||
3.50%, 7/1/2046 | 162,384 | 173,013 | |||
3.50%, 8/1/2046 | 1,607,035 | 1,723,418 | |||
3.50%, 1/1/2047 | 246,806 | 262,960 | |||
3.50% 2/1/2047 | 1,073,156 | 1,155,846 | |||
3.50%, 3/1/2047 | 234,959 | 250,338 | |||
3.50%, 4/1/2047 | 467,958 | 495,815 | |||
3.50% 5/1/2047 | 1,816,002 | 1,935,570 | |||
3.50%, 6/1/2047 | 191,154 | 202,534 | |||
3.50% 7/1/2047 | 2,390,350 | 2,564,232 | |||
3.50%, 9/1/2047 | 171,177 | 181,367 | |||
3.50%, 10/1/2047 | 201,574 | 213,573 | |||
3.50%, 11/1/2047 | 45,655 | 48,373 | |||
3.50%, 12/1/2047 | 315,389 | 334,164 | |||
3.50%, 1/1/2048 | 95,912 | 101,622 | |||
3.50%, 2/1/2048 | 145,805 | 155,876 | |||
3.50%, 6/1/2048 | 268,702 | 283,596 | |||
3.50%, 10/1/2048 | 872,277 | 924,203 | |||
3.50% 11/1/2048 | 1,552,656 | 1,649,850 |
Security Description | Principal Amount | Value | |||
3.50%, 3/1/2049 | $ 1,797,623 | $ 1,904,634 | |||
3.50%, 5/1/2049 | 1,916,315 | 2,020,965 | |||
3.50%, 6/1/2049 | 4,397,878 | 4,659,680 | |||
3.50%, 7/1/2049 | 260,219 | 274,429 | |||
3.50%, 8/1/2049 | 738,055 | 778,360 | |||
3.50%, 6/1/2050 | 417,851 | 439,704 | |||
3.50%, 12/1/2051 | 437,271 | 462,274 | |||
4.00%, 3/1/2031 | 508,668 | 535,943 | |||
4.00%, 10/1/2033 | 80,635 | 86,712 | |||
4.00%, 10/1/2037 | 583,667 | 627,510 | |||
4.00%, 1/1/2039 | 67,627 | 72,545 | |||
4.00%, 2/1/2039 | 58,907 | 63,191 | |||
4.00%, 12/1/2040 | 26,530 | 28,918 | |||
4.00%, 2/1/2043 | 161,913 | 176,490 | |||
4.00% 10/1/2043 | 360,502 | 392,998 | |||
4.00%, 11/1/2043 | 109,514 | 119,043 | |||
4.00%, 12/1/2043 | 134,721 | 146,443 | |||
4.00% 10/1/2044 | 18,442 | 20,062 | |||
4.00%, 1/1/2045 | 332,810 | 362,791 | |||
4.00%, 3/1/2045 | 21,225 | 22,944 | |||
4.00%, 5/1/2045 | 953,574 | 1,037,307 | |||
4.00%, 7/1/2045 | 19,302 | 20,865 | |||
4.00% 9/1/2045 | 78,535 | 84,895 | |||
4.00% 12/1/2045 | 30,847 | 33,344 | |||
4.00%, 2/1/2046 | 1,835,776 | 2,001,136 | |||
4.00%, 4/1/2046 | 72,081 | 77,795 | |||
4.00%, 7/1/2046 | 120,544 | 130,101 | |||
4.00%, 10/1/2046 | 1,842,000 | 2,008,089 | |||
4.00% 11/1/2046 | 918,120 | 995,819 | |||
4.00%, 12/1/2046 | 250,990 | 270,890 | |||
4.00% 4/1/2047 | 378,651 | 405,482 | |||
4.00%, 7/1/2047 | 2,021,741 | 2,164,999 | |||
4.00%, 8/1/2047 | 178,988 | 191,671 | |||
4.00%, 9/1/2047 | 183,734 | 196,753 | |||
4.00%, 12/1/2047 | 255,030 | 273,101 | |||
4.00%, 2/1/2048 | 561,044 | 600,799 | |||
4.00%, 6/1/2048 | 438,996 | 467,428 | |||
4.00%, 7/1/2048 | 172,587 | 183,988 | |||
4.00%, 9/1/2048 | 997,190 | 1,061,773 | |||
4.00%, 11/1/2048 | 1,901,654 | 2,024,815 | |||
4.00%, 6/1/2049 | 855,557 | 916,181 | |||
4.00%, 7/1/2049 | 683,510 | 728,201 | |||
4.00%, 8/1/2049 | 1,030,327 | 1,098,396 | |||
4.00%, 9/1/2049 | 256,289 | 273,047 | |||
4.00%, 2/1/2050 | 792,882 | 844,724 | |||
4.00%, 7/1/2050 | 1,956,248 | 2,082,946 | |||
4.50%, 9/1/2039 | 206,662 | 227,639 | |||
4.50%, 12/1/2040 | 31,300 | 34,489 | |||
4.50%, 1/1/2042 | 36,107 | 39,791 | |||
4.50% 9/1/2043 | 65,154 | 71,771 | |||
4.50%, 11/1/2043 | 30,499 | 33,565 | |||
4.50%, 5/1/2044 | 99,236 | 109,304 | |||
4.50%, 6/1/2044 | 31,522 | 34,720 | |||
4.50%, 2/1/2046 | 123,556 | 136,146 | |||
4.50%, 3/1/2046 | 407,156 | 448,075 |
Security Description | Principal Amount | Value | |||
4.50%, 5/1/2046 | $ 323,669 | $ 356,436 | |||
4.50%, 7/1/2046 | 106,091 | 115,460 | |||
4.50%, 11/1/2047 | 342,073 | 370,042 | |||
4.50%, 4/1/2048 | 154,429 | 165,365 | |||
4.50%, 7/1/2048 | 791,467 | 847,514 | |||
4.50% 8/1/2048 | 544,729 | 583,524 | |||
4.50%, 12/1/2048 | 200,414 | 214,606 | |||
4.50%, 1/1/2049 | 66,205 | 70,893 | |||
4.50%, 4/1/2049 | 106,160 | 113,662 | |||
4.50%, 3/1/2050 | 760,959 | 814,796 | |||
5.00%, 1/1/2039 | 323,030 | 363,561 | |||
5.00%, 6/1/2040 | 124,803 | 140,217 | |||
5.00%, 7/1/2041 | 18,757 | 21,074 | |||
5.00%, 5/1/2042 | 26,395 | 29,655 | |||
5.00%, 11/1/2044 | 334,271 | 375,554 | |||
5.00%, 1/1/2045 | 20,826 | 23,195 | |||
5.00%, 6/1/2048 | 296,412 | 322,700 | |||
5.00%, 9/1/2048 | 290,986 | 316,794 | |||
5.00%, 3/1/2050 | 396,692 | 431,755 | |||
5.50%, 2/1/2037 | 16,596 | 18,828 | |||
5.50%, 4/1/2038 | 78,243 | 88,915 | |||
5.50%, 9/1/2040 | 24,573 | 27,959 | |||
5.50%, 9/1/2041 | 38,808 | 44,137 | |||
5.50% 5/1/2044 | 452,012 | 514,382 | |||
5.63%, 7/15/2037 | 80,000 | 119,374 | |||
6.63%, 11/15/2030 | 365,000 | 515,566 | |||
7.25%, 5/15/2030 | 75,000 | 108,224 | |||
2.00%, 10/1/2051 | 9,607,334 | 9,589,053 | |||
Series 0000, 0.56%, 11/17/2025 | 350,000 | 339,549 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 512,240 | 531,314 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 249,723 | 258,596 | |||
Series 2017-M12, Class A2, 3.07%, 6/25/2027 (c) | 336,049 | 361,988 | |||
Series 2017-M13, Class A2, 2.93%, 9/25/2027 (c) | 291,087 | 311,963 | |||
Series 2018-M2, Class A2, 2.90%, 1/25/2028 (c) | 250,000 | 268,411 | |||
Series 2020-M14, Class A2, 1.78%, 5/25/2030 | 500,000 | 501,343 | |||
Series 2020-M42, Class A2, 1.27%, 7/25/2030 | 200,000 | 191,590 | |||
Series 2020-M8, Class A2, 1.82%, 2/25/2030 | 144,700 | 145,471 | |||
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (c) | 725,000 | 703,682 | |||
Series 2021-M19, Class A2, 1.74%, 10/25/2031 (c) | 300,000 | 297,793 | |||
TBA, 1.50%, 1/1/2037 | 9,500,000 | 9,529,925 |
Security Description | Principal Amount | Value | |||
TBA, 2.00%, 1/1/2037 | $ 6,350,000 | $ 6,504,686 | |||
TBA, 2.00%, 1/1/2052 | 39,150,000 | 39,049,228 | |||
TBA, 2.50%, 1/18/2037 | 2,000,000 | 2,069,260 | |||
TBA, 2.50%, 1/1/2052 | 19,500,000 | 19,908,915 | |||
TBA, 3.00%, 1/1/2052 | 13,090,000 | 13,564,120 | |||
TBA, 3.50%, 2/25/2049 | 5,300,000 | 5,580,370 | |||
Series 2020-M29, Class A2, VRN, 1.49%, 5/25/2030 (c) | 272,000 | 267,092 | |||
Series 2020-M52, Class A2, VRN, 1.32%, 10/25/2030 (c) | 350,000 | 336,336 | |||
Series 2020-M53, Class A2, VRN, 1.68%, 11/25/2032 (c) | 550,000 | 540,382 | |||
Series 2021-M1, Class A2, VRN, 1.39%, 11/25/2030 (c) | 61,250 | 59,157 | |||
Series 2021-M4, Class A2, VRN, 1.47%, 2/25/2031 (c) | 280,000 | 272,339 | |||
Government National Mortgage Association: | |||||
2.00%, 9/20/2050 | 828,768 | 837,590 | |||
2.00%, 1/20/2051 | 2,238,394 | 2,262,221 | |||
2.00%, 4/20/2051 | 4,730,753 | 4,780,078 | |||
2.00%, 5/20/2051 | 2,494,004 | 2,520,007 | |||
2.00%, 6/20/2051 | 4,306,798 | 4,351,702 | |||
2.00%, 9/20/2051 | 7,762,236 | 7,843,167 | |||
2.00%, 12/20/2051 | 2,950,000 | 2,980,758 | |||
2.50%, 12/20/2046 | 4,395,931 | 4,530,401 | |||
2.50%, 8/20/2050 | 2,176,202 | 2,231,104 | |||
2.50%, 9/20/2050 | 1,399,344 | 1,434,647 | |||
2.50%, 10/20/2050 | 2,494,531 | 2,557,464 | |||
2.50%, 4/20/2051 | 4,650,641 | 4,770,285 | |||
2.50%, 7/20/2051 | 2,920,670 | 2,995,808 | |||
2.50%, 8/20/2051 | 2,694,474 | 2,763,793 | |||
2.50%, 10/20/2051 | 1,861,083 | 1,908,962 | |||
3.00%, 1/20/2043 | 282,555 | 298,970 | |||
3.00%, 5/20/2043 | 140,499 | 148,302 | |||
3.00%, 12/20/2044 | 22,213 | 23,354 | |||
3.00%, 3/20/2045 | 11,471 | 12,035 | |||
3.00%, 4/20/2045 | 35,073 | 36,796 | |||
3.00%, 6/20/2045 | 536,393 | 562,753 | |||
3.00%, 7/20/2045 | 35,236 | 36,968 | |||
3.00%, 8/20/2045 | 34,003 | 35,674 | |||
3.00%, 2/20/2046 | 978,496 | 1,032,841 | |||
3.00%, 3/20/2046 | 320,506 | 335,044 | |||
3.00%, 4/20/2046 | 1,780,039 | 1,860,777 | |||
3.00%, 5/20/2046 | 52,395 | 54,771 | |||
3.00%, 7/20/2046 | 33,852 | 35,388 | |||
3.00%, 8/20/2046 | 108,740 | 113,672 | |||
3.00%, 9/20/2046 | 78,184 | 81,730 | |||
3.00%, 10/20/2046 | 79,229 | 82,823 | |||
3.00%, 11/20/2046 | 143,876 | 150,402 | |||
3.00%, 12/20/2046 | 572,079 | 598,027 |
Security Description | Principal Amount | Value | |||
3.00%, 2/20/2047 | $ 293,133 | $ 306,428 | |||
3.00%, 4/20/2047 | 421,957 | 440,026 | |||
3.00%, 6/20/2047 | 129,102 | 134,630 | |||
3.00%, 7/20/2047 | 245,179 | 255,678 | |||
3.00%, 8/20/2047 | 121,269 | 126,462 | |||
3.00%, 10/20/2047 | 177,579 | 185,184 | |||
3.00%, 1/20/2048 | 667,165 | 695,734 | |||
3.00%, 2/20/2048 | 399,229 | 416,325 | |||
3.00%, 3/20/2048 | 700,631 | 730,633 | |||
3.00%, 11/20/2049 | 1,105,210 | 1,146,657 | |||
3.00%, 12/20/2049 | 675,131 | 700,449 | |||
3.00%, 2/20/2050 | 685,100 | 710,436 | |||
3.00%, 6/20/2050 | 1,852,924 | 1,926,580 | |||
3.00%, 7/20/2050 | 2,266,111 | 2,356,312 | |||
3.00%, 12/20/2050 | 2,772,886 | 2,883,702 | |||
3.50%, 10/20/2042 | 221,155 | 237,353 | |||
3.50%, 1/20/2043 | 973,035 | 1,044,306 | |||
3.50%, 5/20/2043 | 34,314 | 36,878 | |||
3.50%, 9/20/2043 | 22,399 | 24,073 | |||
3.50%, 11/20/2043 | 175,014 | 188,094 | |||
3.50%, 6/20/2044 | 890,823 | 943,262 | |||
3.50%, 10/20/2044 | 19,623 | 20,778 | |||
3.50%, 12/20/2044 | 13,115 | 13,887 | |||
3.50%, 3/20/2045 | 11,524 | 12,208 | |||
3.50%, 4/20/2045 | 38,480 | 40,776 | |||
3.50%, 6/20/2045 | 516,690 | 547,377 | |||
3.50%, 10/20/2045 | 1,003,231 | 1,062,814 | |||
3.50% 1/20/2046 | 1,471,414 | 1,558,803 | |||
3.50%, 3/20/2046 | 81,575 | 86,102 | |||
3.50%, 4/20/2046 | 43,657 | 46,080 | |||
3.50%, 5/20/2046 | 44,378 | 46,840 | |||
3.50%, 6/20/2046 | 681,893 | 719,732 | |||
3.50%, 7/20/2046 | 107,404 | 113,364 | |||
3.50%, 10/20/2046 | 216,601 | 228,621 | |||
3.50%, 11/20/2046 | 756,832 | 798,830 | |||
3.50%, 12/20/2046 | 481,740 | 508,472 | |||
3.50%, 5/20/2047 | 326,057 | 342,306 | |||
3.50%, 6/20/2047 | 224,620 | 235,814 | |||
3.50%, 7/20/2047 | 173,838 | 182,501 | |||
3.50%, 8/20/2047 | 277,771 | 291,614 | |||
3.50%, 9/20/2047 | 113,350 | 118,999 | |||
3.50%, 10/20/2047 | 110,228 | 115,721 | |||
3.50%, 11/20/2047 | 1,391,142 | 1,460,469 | |||
3.50%, 12/20/2047 | 520,497 | 546,436 | |||
3.50%, 6/20/2048 | 166,312 | 174,600 | |||
3.50%, 8/20/2048 | 120,954 | 126,927 | |||
3.50%, 8/20/2049 | 434,920 | 454,292 | |||
3.50%, 9/20/2049 | 1,276,930 | 1,332,694 | |||
3.50%, 12/20/2049 | 272,172 | 283,821 | |||
3.50%, 2/20/2050 | 462,617 | 482,417 | |||
3.50%, 7/20/2050 | 618,395 | 644,192 | |||
3.50%, 10/20/2050 | 2,351,629 | 2,453,303 | |||
4.00%, 4/15/2040 | 25,472 | 27,719 | |||
4.00%, 2/20/2042 | 10,685 | 11,664 | |||
4.00%, 7/20/2042 | 7,731 | 8,432 |
Security Description | Principal Amount | Value | |||
4.00%, 7/15/2044 | $ 26,431 | $ 28,539 | |||
4.00%, 8/20/2044 | 14,149 | 15,328 | |||
4.00%, 10/20/2044 | 127,255 | 137,856 | |||
4.00%, 5/15/2045 | 11,963 | 12,868 | |||
4.00%, 6/15/2045 | 33,088 | 35,590 | |||
4.00%, 8/20/2045 | 12,644 | 13,646 | |||
4.00%, 11/20/2045 | 158,190 | 170,734 | |||
4.00%, 2/20/2046 | 122,801 | 132,539 | |||
4.00%, 5/20/2046 | 125,734 | 135,704 | |||
4.00%, 6/20/2046 | 88,138 | 94,620 | |||
4.00%, 1/20/2047 | 260,600 | 279,766 | |||
4.00%, 3/20/2047 | 109,098 | 117,122 | |||
4.00%, 4/20/2047 | 210,356 | 224,684 | |||
4.00%, 5/20/2047 | 141,709 | 151,249 | |||
4.00%, 7/20/2047 | 143,969 | 153,435 | |||
4.00%, 8/20/2047 | 61,758 | 65,770 | |||
4.00%, 1/20/2048 | 99,047 | 105,092 | |||
4.00%, 6/20/2048 | 2,580,388 | 2,736,372 | |||
4.00%, 8/20/2048 | 532,902 | 564,578 | |||
4.00%, 10/20/2048 | 220,799 | 233,850 | |||
4.00%, 11/20/2048 | 176,794 | 187,185 | |||
4.00%, 4/20/2049 | 161,716 | 170,215 | |||
4.00%, 6/20/2049 | 359,726 | 379,045 | |||
4.00%, 7/20/2049 | 195,493 | 205,992 | |||
4.00%, 1/20/2050 | 302,431 | 318,673 | |||
4.00%, 3/20/2050 | 553,755 | 583,494 | |||
4.50%, 1/20/2044 | 69,221 | 76,758 | |||
4.50%, 11/20/2044 | 19,883 | 21,953 | |||
4.50%, 12/20/2044 | 16,433 | 18,144 | |||
4.50%, 4/20/2046 | 87,812 | 96,955 | |||
4.50%, 6/20/2046 | 59,543 | 65,743 | |||
4.50%, 7/20/2046 | 78,633 | 86,820 | |||
4.50%, 4/20/2047 | 231,668 | 249,035 | |||
4.50%, 8/20/2047 | 66,474 | 71,457 | |||
4.50%, 11/20/2047 | 604,902 | 650,423 | |||
4.50%, 12/20/2047 | 36,456 | 39,164 | |||
4.50%, 11/20/2048 | 216,797 | 229,563 | |||
4.50%, 7/20/2049 | 235,523 | 249,115 | |||
5.00%, 6/15/2040 | 20,573 | 22,630 | |||
5.00%, 10/15/2041 | 71,776 | 80,196 | |||
5.00%, 3/20/2044 | 30,787 | 34,935 | |||
5.00%, 12/20/2045 | 114,579 | 130,044 | |||
5.00%, 1/20/2048 | 160,933 | 173,865 | |||
5.00%, 5/20/2048 | 120,442 | 129,834 | |||
5.00%, 9/20/2048 | 211,080 | 225,825 | |||
5.00%, 3/20/2050 | 247,013 | 266,862 | |||
5.50%, 10/20/2043 | 28,443 | 32,822 | |||
5.50%, 5/20/2045 | 334,685 | 385,065 | |||
TBA, 2.00%, 1/1/2052 | 7,075,000 | 7,142,495 | |||
TBA, 2.50%, 1/1/2052 | 9,850,000 | 10,094,083 | |||
TBA, 3.00%, 1/1/2052 | 5,950,000 | 6,158,488 | |||
TBA, 3.50%, 1/1/2052 | 2,000,000 | 2,082,740 | |||
Tennessee Valley Authority: | |||||
0.75%, 5/15/2025 (b) | 85,000 | 83,962 | |||
1.50%, 9/15/2031 | 75,000 | 73,622 |
Security Description | Principal Amount | Value | |||
2.88%, 9/15/2024 | $ 100,000 | $ 105,037 | |||
3.50%, 12/15/2042 | 525,000 | 613,583 | |||
4.25%, 9/15/2065 | 100,000 | 144,167 | |||
5.25%, 9/15/2039 | 150,000 | 213,060 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 160,629 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $621,331,021) | 619,541,029 | ||||
U.S. TREASURY OBLIGATIONS — 38.8% | |||||
Treasury Bonds: | |||||
1.13%, 5/15/2040 | 2,850,000 | 2,506,664 | |||
1.13%, 8/15/2040 | 6,500,000 | 5,692,578 | |||
1.25%, 5/15/2050 | 2,750,000 | 2,346,953 | |||
1.38%, 11/15/2040 | 6,750,000 | 6,170,977 | |||
1.38%, 8/15/2050 | 3,350,000 | 2,949,570 | |||
1.63%, 11/15/2050 | 3,500,000 | 3,275,781 | |||
1.75%, 8/15/2041 | 2,250,000 | 2,188,477 | |||
1.88%, 2/15/2041 | 8,000,000 | 7,942,500 | |||
1.88%, 2/15/2051 | 4,500,000 | 4,473,984 | |||
1.88%, 11/15/2051 (b) | 4,500,000 | 4,486,641 | |||
2.00%, 11/15/2041 | 7,250,000 | 7,356,484 | |||
2.00%, 2/15/2050 | 2,050,000 | 2,091,961 | |||
2.00%, 8/15/2051 | 3,250,000 | 3,329,219 | |||
2.25%, 5/15/2041 | 5,000,000 | 5,267,187 | |||
2.25%, 8/15/2046 | 3,425,000 | 3,635,316 | |||
2.25%, 8/15/2049 | 2,000,000 | 2,150,000 | |||
2.38%, 11/15/2049 | 2,500,000 | 2,758,203 | |||
2.38%, 5/15/2051 | 7,250,000 | 8,045,234 | |||
2.50%, 2/15/2045 | 3,340,000 | 3,689,134 | |||
2.50%, 2/15/2046 | 3,400,000 | 3,770,812 | |||
2.50%, 5/15/2046 | 1,850,000 | 2,052,922 | |||
2.75%, 8/15/2042 | 900,000 | 1,029,656 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,715,859 | |||
2.75%, 8/15/2047 | 1,700,000 | 1,986,609 | |||
2.75%, 11/15/2047 | 3,400,000 | 3,975,344 | |||
2.88%, 5/15/2043 | 1,850,000 | 2,157,852 | |||
2.88%, 8/15/2045 (b) | 5,480,000 | 6,461,262 | |||
2.88%, 11/15/2046 | 2,500,000 | 2,969,922 | |||
2.88%, 5/15/2049 | 2,450,000 | 2,963,734 | |||
3.00%, 5/15/2042 | 325,000 | 386,293 | |||
3.00%, 11/15/2044 | 3,075,000 | 3,682,793 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,252,344 | |||
3.00%, 11/15/2045 (b) | 1,900,000 | 2,292,469 | |||
3.00%, 2/15/2047 | 2,200,000 | 2,674,031 | |||
3.00%, 5/15/2047 | 3,300,000 | 4,021,359 | |||
3.00%, 2/15/2048 (b) | 3,200,000 | 3,922,000 | |||
3.00%, 8/15/2048 | 2,950,000 | 3,624,812 | |||
3.00%, 2/15/2049 | 2,650,000 | 3,271,508 | |||
3.13%, 11/15/2041 | 350,000 | 422,133 | |||
3.13%, 2/15/2042 | 725,000 | 876,570 | |||
3.13%, 2/15/2043 (b) | 1,075,000 | 1,300,582 | |||
3.13%, 8/15/2044 | 2,500,000 | 3,048,828 | |||
3.13%, 5/15/2048 | 2,375,000 | 2,980,254 |
Security Description | Principal Amount | Value | |||
3.38%, 5/15/2044 | $ 1,900,000 | $ 2,401,422 | |||
3.38%, 11/15/2048 | 3,100,000 | 4,072,625 | |||
3.50%, 2/15/2039 | 1,000,000 | 1,256,719 | |||
3.63%, 8/15/2043 | 1,600,000 | 2,083,000 | |||
3.63%, 2/15/2044 | 1,475,000 | 1,926,719 | |||
3.75%, 8/15/2041 | 2,000,000 | 2,620,312 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,891,465 | |||
3.88%, 8/15/2040 | 750,000 | 990,469 | |||
4.25%, 5/15/2039 | 1,500,000 | 2,060,391 | |||
4.25%, 11/15/2040 | 1,500,000 | 2,077,969 | |||
4.38%, 2/15/2038 | 650,000 | 896,797 | |||
4.38%, 11/15/2039 | 1,250,000 | 1,745,508 | |||
4.38%, 5/15/2040 | 575,000 | 806,348 | |||
4.38%, 5/15/2041 | 300,000 | 423,938 | |||
4.50%, 2/15/2036 (b) | 1,500,000 | 2,063,906 | |||
4.50%, 5/15/2038 | 200,000 | 279,969 | |||
4.50%, 8/15/2039 | 650,000 | 919,750 | |||
4.63%, 2/15/2040 | 400,000 | 575,625 | |||
4.75%, 2/15/2037 | 350,000 | 497,219 | |||
4.75%, 2/15/2041 | 650,000 | 958,141 | |||
5.00%, 5/15/2037 | 300,000 | 437,438 | |||
5.25%, 11/15/2028 | 450,000 | 563,063 | |||
6.50%, 11/15/2026 (b) | 1,500,000 | 1,870,547 | |||
Treasury Notes: | |||||
0.13%, 2/28/2023 | 7,750,000 | 7,718,818 | |||
0.13%, 3/31/2023 | 5,000,000 | 4,976,367 | |||
0.13%, 5/15/2023 | 2,000,000 | 1,988,594 | |||
0.13%, 5/31/2023 | 5,000,000 | 4,969,141 | |||
0.13%, 6/30/2023 | 7,500,000 | 7,449,609 | |||
0.13%, 7/15/2023 | 4,500,000 | 4,467,480 | |||
0.13%, 7/31/2023 | 5,000,000 | 4,960,937 | |||
0.13%, 8/15/2023 | 6,500,000 | 6,446,934 | |||
0.13%, 9/15/2023 | 5,000,000 | 4,954,297 | |||
0.13%, 10/15/2023 | 3,000,000 | 2,970,117 | |||
0.13%, 12/15/2023 | 6,000,000 | 5,932,031 | |||
0.13%, 1/15/2024 | 4,000,000 | 3,949,688 | |||
0.13%, 2/15/2024 (b) | 7,500,000 | 7,403,320 | |||
0.25%, 4/15/2023 | 1,500,000 | 1,494,961 | |||
0.25%, 6/15/2023 | 3,000,000 | 2,986,055 | |||
0.25%, 11/15/2023 (b) | 3,500,000 | 3,471,289 | |||
0.25%, 3/15/2024 | 14,500,000 | 14,327,812 | |||
0.25%, 5/15/2024 | 2,500,000 | 2,466,406 | |||
0.25%, 6/15/2024 | 10,000,000 | 9,854,687 | |||
0.25%, 5/31/2025 | 7,500,000 | 7,297,852 | |||
0.25%, 6/30/2025 | 3,000,000 | 2,915,859 | |||
0.25%, 8/31/2025 | 5,000,000 | 4,845,312 | |||
0.25%, 9/30/2025 | 5,000,000 | 4,843,750 | |||
0.25%, 10/31/2025 (b) | 7,750,000 | 7,493,887 | |||
0.38%, 10/31/2023 | 2,500,000 | 2,485,742 | |||
0.38%, 4/15/2024 | 5,000,000 | 4,950,391 | |||
0.38%, 7/15/2024 | 5,000,000 | 4,938,672 | |||
0.38%, 4/30/2025 | 4,000,000 | 3,912,813 | |||
0.38%, 11/30/2025 | 3,000,000 | 2,910,937 | |||
0.38%, 12/31/2025 | 6,000,000 | 5,818,125 | |||
0.38%, 1/31/2026 | 7,000,000 | 6,776,328 |
Security Description | Principal Amount | Value | |||
0.38%, 7/31/2027 | $ 2,000,000 | $ 1,900,938 | |||
0.38%, 9/30/2027 | 6,000,000 | 5,683,594 | |||
0.50%, 11/30/2023 (b) | 5,000,000 | 4,981,445 | |||
0.50%, 3/31/2025 (b) | 2,150,000 | 2,115,063 | |||
0.50%, 2/28/2026 | 6,000,000 | 5,832,187 | |||
0.50%, 6/30/2027 | 4,500,000 | 4,308,750 | |||
0.50%, 8/31/2027 | 4,000,000 | 3,819,688 | |||
0.50%, 10/31/2027 | 2,250,000 | 2,143,125 | |||
0.63%, 10/15/2024 (b) | 4,250,000 | 4,217,129 | |||
0.63%, 7/31/2026 | 1,500,000 | 1,459,453 | |||
0.63%, 11/30/2027 | 4,550,000 | 4,361,602 | |||
0.63%, 12/31/2027 | 6,000,000 | 5,745,000 | |||
0.63%, 5/15/2030 | 3,900,000 | 3,651,375 | |||
0.63%, 8/15/2030 | 4,750,000 | 4,436,055 | |||
0.75%, 12/31/2023 | 10,000,000 | 10,003,516 | |||
0.75%, 11/15/2024 | 8,000,000 | 7,957,500 | |||
0.75%, 3/31/2026 | 5,000,000 | 4,907,422 | |||
0.75%, 4/30/2026 | 3,500,000 | 3,432,461 | |||
0.75%, 8/31/2026 | 5,000,000 | 4,891,016 | |||
0.75%, 1/31/2028 | 6,500,000 | 6,264,375 | |||
0.88%, 6/30/2026 | 3,000,000 | 2,954,062 | |||
0.88%, 11/15/2030 (b) | 8,000,000 | 7,616,250 | |||
1.00%, 12/15/2024 | 14,000,000 | 14,018,594 | |||
1.00%, 7/31/2028 | 10,000,000 | 9,743,750 | |||
1.13%, 2/28/2025 | 2,000,000 | 2,007,813 | |||
1.13%, 10/31/2026 | 4,500,000 | 4,473,633 | |||
1.13%, 2/28/2027 | 1,250,000 | 1,241,113 | |||
1.13%, 2/29/2028 (b) | 4,500,000 | 4,438,125 | |||
1.13%, 8/31/2028 | 5,000,000 | 4,907,812 | |||
1.13%, 2/15/2031 (b) | 5,500,000 | 5,345,312 | |||
1.25%, 7/31/2023 (b) | 250,000 | 252,510 | |||
1.25%, 11/30/2026 (b) | 6,500,000 | 6,501,523 | |||
1.25%, 12/31/2026 | 7,500,000 | 7,497,070 | |||
1.25%, 3/31/2028 (b) | 11,000,000 | 10,910,625 | |||
1.25%, 4/30/2028 | 4,000,000 | 3,966,875 | |||
1.25%, 5/31/2028 | 13,000,000 | 12,882,187 | |||
1.25%, 6/30/2028 | 3,000,000 | 2,971,875 | |||
1.25%, 9/30/2028 | 4,000,000 | 3,956,250 | |||
1.25%, 8/15/2031 (b) | 3,500,000 | 3,427,266 | |||
1.38%, 2/15/2023 | 2,000,000 | 2,020,859 | |||
1.38%, 8/31/2023 | 2,250,000 | 2,276,631 | |||
1.38%, 9/30/2023 | 550,000 | 556,639 | |||
1.38%, 1/31/2025 | 2,000,000 | 2,023,281 | |||
1.38%, 8/31/2026 (b) | 3,000,000 | 3,019,687 | |||
1.38%, 10/31/2028 | 5,500,000 | 5,481,953 | |||
1.38%, 12/31/2028 | 7,500,000 | 7,473,047 | |||
1.38%, 11/15/2031 (b) | 3,500,000 | 3,461,172 | |||
1.50%, 1/15/2023 | 10,000,000 | 10,108,984 | |||
1.50%, 3/31/2023 (b) | 1,000,000 | 1,012,148 | |||
1.50%, 9/30/2024 | 5,000,000 | 5,080,078 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,523,789 | |||
1.50%, 11/30/2024 (b) | 1,500,000 | 1,524,023 | |||
1.50%, 8/15/2026 | 1,650,000 | 1,669,723 | |||
1.50%, 1/31/2027 | 2,000,000 | 2,023,438 | |||
1.50%, 11/30/2028 | 5,000,000 | 5,024,219 |
Security Description | Principal Amount | Value | |||
1.50%, 2/15/2030 | $ 5,850,000 | $ 5,887,477 | |||
1.63%, 4/30/2023 | 2,500,000 | 2,535,840 | |||
1.63%, 5/31/2023 (b) | 1,250,000 | 1,268,848 | |||
1.63%, 2/15/2026 | 1,925,000 | 1,959,139 | |||
1.63%, 5/15/2026 (b) | 2,750,000 | 2,797,910 | |||
1.63%, 9/30/2026 | 1,250,000 | 1,272,070 | |||
1.63%, 10/31/2026 | 1,250,000 | 1,272,070 | |||
1.63%, 8/15/2029 (b) | 2,250,000 | 2,284,453 | |||
1.63%, 5/15/2031 | 8,750,000 | 8,873,047 | |||
1.75%, 1/31/2023 | 2,925,000 | 2,965,904 | |||
1.75%, 5/15/2023 | 250,000 | 254,102 | |||
1.75%, 6/30/2024 (b) | 1,500,000 | 1,532,930 | |||
1.75%, 12/31/2024 (b) | 1,250,000 | 1,278,906 | |||
1.75%, 11/15/2029 | 3,000,000 | 3,078,750 | |||
1.88%, 8/31/2024 | 850,000 | 871,781 | |||
1.88%, 6/30/2026 (b) | 1,250,000 | 1,285,645 | |||
1.88%, 7/31/2026 | 1,000,000 | 1,028,984 | |||
2.00%, 2/15/2023 | 500,000 | 508,555 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,798,262 | |||
2.00%, 6/30/2024 | 350,000 | 359,789 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,446,992 | |||
2.00%, 8/15/2025 (b) | 1,500,000 | 1,547,578 | |||
2.00%, 11/15/2026 (b) | 2,250,000 | 2,329,102 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,026,797 | |||
2.13%, 3/31/2024 | 5,975,000 | 6,149,582 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,579,687 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,549,219 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,291,992 | |||
2.13%, 5/15/2025 (b) | 2,350,000 | 2,433,719 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,598,047 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,802,568 | |||
2.25%, 1/31/2024 | 1,000,000 | 1,030,703 | |||
2.25%, 4/30/2024 | 1,000,000 | 1,032,813 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,295,703 | |||
2.25%, 11/15/2024 (b) | 3,000,000 | 3,110,859 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,297,363 | |||
2.25%, 11/15/2025 (b) | 5,475,000 | 5,705,549 | |||
2.25%, 3/31/2026 | 3,000,000 | 3,130,312 | |||
2.25%, 2/15/2027 | 3,000,000 | 3,144,844 | |||
2.25%, 8/15/2027 (b) | 2,000,000 | 2,099,219 | |||
2.25%, 11/15/2027 | 4,750,000 | 4,990,098 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,530,996 | |||
2.38%, 2/29/2024 | 5,000,000 | 5,170,312 | |||
2.38%, 8/15/2024 | 1,950,000 | 2,025,105 | |||
2.38%, 5/15/2027 (b) | 2,900,000 | 3,062,672 | |||
2.38%, 5/15/2029 | 4,350,000 | 4,640,227 | |||
2.50%, 3/31/2023 | 1,250,000 | 1,280,664 | |||
2.50%, 8/15/2023 | 2,500,000 | 2,574,707 | |||
2.50%, 1/31/2024 | 2,000,000 | 2,071,719 | |||
2.50%, 5/15/2024 | 5,000,000 | 5,194,531 | |||
2.50%, 1/31/2025 | 1,000,000 | 1,045,781 | |||
2.50%, 2/28/2026 | 2,500,000 | 2,633,008 | |||
2.63%, 2/28/2023 | 4,000,000 | 4,098,750 | |||
2.63%, 6/30/2023 | 1,600,000 | 1,648,438 | |||
2.63%, 12/31/2023 | 3,000,000 | 3,111,914 |
Security Description | Principal Amount | Value | ||||
2.63%, 3/31/2025 | $ 1,000,000 | $ 1,051,250 | ||||
2.63%, 12/31/2025 | 3,250,000 | 3,437,891 | ||||
2.63%, 1/31/2026 | 2,250,000 | 2,380,078 | ||||
2.63%, 2/15/2029 | 4,450,000 | 4,814,344 | ||||
2.75%, 4/30/2023 | 3,250,000 | 3,344,834 | ||||
2.75%, 5/31/2023 | 1,500,000 | 1,546,172 | ||||
2.75%, 7/31/2023 | 1,000,000 | 1,033,516 | ||||
2.75%, 8/31/2023 | 3,750,000 | 3,879,053 | ||||
2.75%, 11/15/2023 (b) | 1,500,000 | 1,556,719 | ||||
2.75%, 2/15/2024 | 7,100,000 | 7,395,094 | ||||
2.75%, 2/28/2025 | 1,000,000 | 1,054,141 | ||||
2.75%, 6/30/2025 | 2,750,000 | 2,907,695 | ||||
2.75%, 8/31/2025 | 2,500,000 | 2,645,703 | ||||
2.75%, 2/15/2028 | 2,750,000 | 2,974,082 | ||||
2.88%, 9/30/2023 (b) | 2,000,000 | 2,076,406 | ||||
2.88%, 10/31/2023 | 2,000,000 | 2,078,828 | ||||
2.88%, 11/30/2023 (b) | 3,000,000 | 3,122,930 | ||||
2.88%, 4/30/2025 | 1,250,000 | 1,324,707 | ||||
2.88%, 5/31/2025 | 3,900,000 | 4,136,742 | ||||
2.88%, 7/31/2025 (b) | 4,000,000 | 4,252,500 | ||||
2.88%, 11/30/2025 | 1,500,000 | 1,599,375 | ||||
2.88%, 5/15/2028 | 4,000,000 | 4,360,938 | ||||
2.88%, 8/15/2028 | 7,750,000 | 8,469,297 | ||||
3.00%, 9/30/2025 | 2,500,000 | 2,672,070 | ||||
3.00%, 10/31/2025 | 2,750,000 | 2,942,070 | ||||
3.13%, 11/15/2028 | 5,500,000 | 6,117,891 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $810,823,397) | 814,068,730 | |||||
MUNICIPAL BONDS & NOTES — 0.6% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority: | ||||||
6.91%, 10/1/2050 | 25,000 | 44,089 | ||||
Series F-3, 3.13%, 4/1/2055 | 500,000 | 501,319 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 51,513 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 276,485 | ||||
7.30%, 10/1/2039 | 125,000 | 196,102 | ||||
7.50%, 4/1/2034 | 100,000 | 153,031 | ||||
7.55%, 4/1/2039 | 100,000 | 166,886 | ||||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | 100,000 | 115,084 | ||||
Los Angeles Community College District: | ||||||
1.61%, 8/1/2028 | 50,000 | 49,790 | ||||
1.81%, 8/1/2030 | 50,000 | 49,624 | ||||
2.11%, 8/1/2032 | 50,000 | 48,994 | ||||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 141,209 |
Security Description | Principal Amount | Value | |||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | $ 25,000 | $ 32,541 | |||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 77,369 | |||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 288,750 | |||
State of California 7.60%, 11/1/2040 | 250,000 | 430,953 | |||
University of California Series BG, 0.88%, 5/15/2025 | 15,000 | 14,834 | |||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 318,981 | |||
2,957,554 | |||||
FLORIDA — 0.0% (a) | |||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 137,090 | |||
State Board of Administration Finance Corp.: | |||||
Series A, 1.26%, 7/1/2025 | 50,000 | 49,756 | |||
Series A, 1.71%, 7/1/2027 | 50,000 | 49,875 | |||
Series A, 2.15%, 7/1/2030 | 50,000 | 49,882 | |||
286,603 | |||||
GEORGIA — 0.0% (a) | |||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 160,000 | 247,514 | |||
ILLINOIS — 0.1% | |||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | 50,000 | 68,478 | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | 50,000 | 65,796 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 298,264 | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | 50,000 | 57,794 | |||
6.63%, 2/1/2035 | 200,000 | 244,351 | |||
7.35%, 7/1/2035 | 100,000 | 125,880 | |||
860,563 | |||||
MASSACHUSETTS — 0.0% (a) | |||||
Commonwealth of Massachusetts Series C, 2.51%, 7/1/2041 | 15,000 | 14,777 | |||
Massachusetts School Building Authority: | |||||
Series B, 3.40%, 10/15/2040 | 20,000 | 20,930 | |||
Series C, 2.95%, 5/15/2043 | 100,000 | 101,647 | |||
137,354 |
Security Description | Principal Amount | Value | |||
MICHIGAN — 0.0% (a) | |||||
Michigan Strategic Fund 3.23%, 9/1/2047 | $ 750,000 | $ 755,019 | |||
MISSOURI — 0.0% (a) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue: | |||||
3.23%, 5/15/2050 | 300,000 | 333,131 | |||
3.65%, 8/15/2057 | 100,000 | 122,478 | |||
455,609 | |||||
NEW JERSEY — 0.0% (a) | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 221,735 | |||
4.13%, 6/15/2042 | 160,000 | 179,163 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 156,892 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 41,573 | |||
599,363 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 36,100 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 103,267 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 109,882 | |||
Port Authority of New York & New Jersey: | |||||
4.46%, 10/1/2062 | 190,000 | 251,840 | |||
5.65%, 11/1/2040 | 100,000 | 140,002 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
3.18%, 7/15/2060 | 1,000,000 | 991,876 | |||
4.03%, 9/1/2048 | 125,000 | 152,214 | |||
Series 192, 4.81%, 10/15/2065 | 25,000 | 34,300 | |||
Series AAA, 1.09%, 7/1/2023 | 150,000 | 150,799 | |||
1,970,280 | |||||
OHIO — 0.0% (a) | |||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | 150,000 | 248,013 | |||
OREGON — 0.0% (a) | |||||
Port of Morrow, OR, Oregon Transmission Facilities, Revenue 2.54%, 9/1/2040 | 750,000 | 731,646 |
Security Description | Principal Amount | Value | ||||
PENNSYLVANIA — 0.1% | ||||||
Commonwealth Financing Authority: | ||||||
Series A, 2.99%, 6/1/2042 | $ 750,000 | $ 767,977 | ||||
Series A, 4.14%, 6/1/2038 | 125,000 | 146,548 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 113,505 | ||||
1,028,030 | ||||||
TEXAS — 0.1% | ||||||
City of San Antonio TX Electric & Gas Systems Revenue 2.91%, 2/1/2048 | 75,000 | 75,451 | ||||
Dallas Area Rapid Transit: | ||||||
5.02%, 12/1/2048 | 100,000 | 140,027 | ||||
Series A, 2.61%, 12/1/2048 | 500,000 | 490,256 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 261,046 | ||||
Grand Parkway Transportation Corp. 3.24%, 10/1/2052 | 65,000 | 65,766 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 172,328 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 52,208 | ||||
Texas, StateTransportation Commission General Obligation: | ||||||
2.47%, 10/1/2044 | 150,000 | 146,653 | ||||
2.56%, 4/1/2042 | 40,000 | 39,664 | ||||
1,443,399 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 69,490 | ||||
University of Virginia, Revenue 2.26%, 9/1/2050 | 150,000 | 141,960 | ||||
211,450 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $11,301,629) | 11,932,397 | |||||
MORTGAGE-BACKED SECURITIES — 1.0% | ||||||
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | 100,000 | 106,398 | ||||
BANK 2017-BNK8: | ||||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 97,473 | ||||
Series 2017-BNK8, Class B, 3.93%, 11/15/2050 (c) | 50,000 | 54,091 |
Security Description | Principal Amount | Value | |||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (c) | $ 143,329 | $ 161,927 | |||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (c) | 100,000 | 114,204 | |||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 109,709 | |||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 107,234 | |||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2062 | 50,000 | 53,165 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 212,205 | |||
BANK 2020-BNK28 Series 2020-BN28, Class A4, 1.84%, 3/15/2063 | 93,750 | 91,576 | |||
BANK 2020-BNK29 Series 2020-BN29, Class A4, 2.00%, 11/15/2053 | 500,000 | 493,996 | |||
BANK 2021-BNK31 Series 2021-BN31, Class A4, 2.04%, 2/15/2054 | 234,783 | 232,394 | |||
BANK 2021-BNK32 Series 2021-BN32, Class A5, 2.64%, 4/15/2054 | 300,000 | 311,557 | |||
BANK 2021-BNK37 Series 2021-BN37, Class A4, 2.37%, 11/15/2064 | 500,000 | 508,552 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 164,203 | |||
BBCMS Mortgage Trust: | |||||
Series 2020-C8, Class A5, 2.04%, 10/15/2053 | 250,000 | 246,836 | |||
Series 2021-C9, Class A5, 2.30%, 2/15/2054 | 250,000 | 251,749 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (c) | 130,000 | 143,320 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 111,158 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 112,827 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 127,036 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 213,519 | |||
Series 2020-B16, Class A5, 2.73%, 2/15/2053 | 750,000 | 781,827 | |||
Series 2020-B18, Class A5, 1.93%, 7/15/2053 | 79,167 | 77,813 |
Security Description | Principal Amount | Value | |||
Series 2021-B24, Class A5, 2.58%, 3/15/2054 | $ 425,000 | $ 439,321 | |||
Series 2021-B25, Class A5, 2.58%, 4/15/2054 | 500,000 | 516,541 | |||
Series 2021-B28, Class A5, VRN, 2.22%, 8/15/2054 (c) | 300,000 | 300,807 | |||
CD Mortgage Trust: | |||||
Series 2017-CD3, Class A4, 3.63%, 2/10/2050 | 300,000 | 323,340 | |||
Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 210,230 | |||
CFCRE Commercial Mortgage Trust Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 325,482 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 76,683 | |||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 642,847 | |||
Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 268,999 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 104,846 | |||
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 150,000 | 159,231 | |||
Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 750,000 | 779,351 | |||
COMM Mortgage Trust: | |||||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 416,968 | |||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 105,354 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 419,462 | |||
Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 105,218 | |||
Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 53,055 | |||
Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 232,486 | 241,999 |
Security Description | Principal Amount | Value | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | $ 100,000 | $ 112,375 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 156,196 | |||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | 250,000 | 268,764 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (c) | 50,000 | 57,020 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 211,378 | |||
GS Mortgage Securities Trust: | |||||
Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 153,498 | |||
Series 2013-GC13, Class A5, 4.03%, 7/10/2046 (c) | 80,000 | 83,015 | |||
Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 86,987 | 90,799 | |||
Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 208,000 | |||
Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 269,017 | |||
Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 158,796 | |||
Series 2020-GSA2, Class A5, 2.01%, 12/12/2053 | 500,000 | 490,637 | |||
Series 2021-GSA3, Class A5, 2.62%, 12/15/2054 | 166,667 | 170,914 | |||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 62,905 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 51,876 | |||
Series 2015-C29, Class A4, 3.61%, 5/15/2048 | 100,000 | 105,699 | |||
Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 213,268 | |||
Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 106,955 | |||
Series 2016-C1, Class B, 4.73%, 3/15/2049 (c) | 300,000 | 324,056 |
Security Description | Principal Amount | Value | |||
JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | $ 500,000 | $ 537,435 | |||
JPMDB Commercial Mortgage Securities Trust Series 2020-COR7, Class A5, 2.18%, 5/13/2053 | 1,000,000 | 1,002,150 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | �� | ||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 209,032 | |||
Series 2017-C33, Class A5, 3.60%, 5/15/2050 | 420,000 | 453,882 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 230,363 | |||
Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 167,901 | |||
Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 214,975 | |||
Series 2021-L5, Class A4, 2.73%, 5/15/2054 | 350,000 | 364,136 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 441,620 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 109,526 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 177,602 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 132,756 | 136,713 | |||
Series 2015-C31, Class A3, 3.43%, 11/15/2048 | 83,785 | 86,815 | |||
Series 2015-SG1, Class A4, 3.79%, 9/15/2048 | 986,742 | 1,040,806 | |||
Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 316,506 | |||
Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 272,039 | |||
Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 171,608 | |||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 210,216 | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 100,000 | 106,304 | |||
Series 2021-C59, Class A5, 2.63%, 4/15/2054 | 350,000 | 361,841 |
Security Description | Principal Amount | Value | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2013-C17, Class AS, 4.26%, 12/15/2046 | $ 210,000 | $ 219,466 | |||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 114,067 | |||
Series 2014-C24, Class A4, 3.34%, 11/15/2047 | 425,000 | 442,011 | |||
Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 105,026 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $21,085,941) | 21,161,711 |
Shares | |||
SHORT-TERM INVESTMENTS — 9.8% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.04% (f) (g) | 114,486,457 | 114,497,906 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 91,540,533 | 91,540,533 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $206,044,208) | 206,038,439 | ||
TOTAL INVESTMENTS — 108.9% (Cost $2,269,658,537) | 2,286,095,510 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.9)% | (186,659,777) | ||
NET ASSETS — 100.0% | $ 2,099,435,733 |
(a) | Amount is less than 0.05% of net assets. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 0.4% of net assets as of December 31, 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 December 31, 2021. Maturity date shown is the final maturity. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
ABS | Asset-Backed Security |
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 | $ — | $ 535,812,859 | $— | $ 535,812,859 | ||||
Asset-Backed Securities | — | 5,259,490 | — | 5,259,490 | ||||
Foreign Government Obligations | — | 72,280,855 | — | 72,280,855 | ||||
U.S. Government Agency Obligations | — | 619,541,029 | — | 619,541,029 | ||||
U.S. Treasury Obligations | — | 814,068,730 | — | 814,068,730 | ||||
Municipal Bonds & Notes | — | 11,932,397 | — | 11,932,397 | ||||
Mortgage-Backed Securities | — | 21,161,711 | — | 21,161,711 | ||||
Short-Term Investments | 206,038,439 | — | — | 206,038,439 | ||||
TOTAL INVESTMENTS | $206,038,439 | $2,080,057,071 | $— | $2,286,095,510 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 48,860,303 | $ 48,870,075 | $ 760,689,568 | $ 695,050,078 | $(5,768) | $(5,891) | 114,486,457 | $ 114,497,906 | $ 72,497 | ||||||||
State Street Navigator Securities Lending Portfolio II | 60,700,873 | 60,700,873 | 859,843,134 | 829,003,474 | — | — | 91,540,533 | 91,540,533 | 163,297 | ||||||||
Total | $109,570,948 | $1,620,532,702 | $1,524,053,552 | $(5,768) | $(5,891) | $206,038,439 | $235,794 |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.1% | |||||
ARGENTINA — 0.0% (a) | |||||
IRSA Propiedades Comerciales SA ADR (b) | 55 | $ 124 | |||
AUSTRALIA — 5.0% | |||||
29Metals, Ltd. (b) | 35,626 | 79,519 | |||
Abacus Property Group REIT | 62,204 | 171,404 | |||
Accent Group, Ltd. | 61,268 | 109,135 | |||
Adelaide Brighton, Ltd. | 35,372 | 72,523 | |||
Afterpay, Ltd. (b) | 31,473 | 1,899,472 | |||
AGL Energy, Ltd. | 86,970 | 388,242 | |||
Alkane Resources, Ltd. (b) | 52,614 | 35,002 | |||
Allkem, Ltd. (b) | 80,834 | 611,212 | |||
ALS, Ltd. | 69,735 | 663,167 | |||
Altium, Ltd. | 16,308 | 535,806 | |||
Alumina, Ltd. | 373,383 | 506,288 | |||
AMP, Ltd. (b) | 550,600 | 404,317 | |||
Ampol, Ltd. | 35,119 | 757,317 | |||
Ansell, Ltd. | 18,077 | 414,132 | |||
APA Group Stapled Security | 167,357 | 1,224,070 | |||
Appen, Ltd. | 12,910 | 104,750 | |||
ARB Corp., Ltd. | 11,323 | 432,283 | |||
Arena REIT | 42,763 | 153,278 | |||
Aristocrat Leisure, Ltd. | 86,107 | 2,727,661 | |||
ASX, Ltd. | 27,875 | 1,882,760 | |||
Atlas Arteria, Ltd. Stapled Security | 138,730 | 697,977 | |||
AUB Group, Ltd. | 9,393 | 175,920 | |||
Aurizon Holdings, Ltd. | 265,759 | 674,338 | |||
AusNet Services, Ltd. | 288,646 | 539,340 | |||
Aussie Broadband, Ltd. (b) | 12,831 | 44,312 | |||
Austal, Ltd. | 34,296 | 48,623 | |||
Australia & New Zealand Banking Group, Ltd. | 411,824 | 8,236,953 | |||
Australian Agricultural Co., Ltd. (b) | 66,789 | 71,867 | |||
Australian Ethical Investment, Ltd. | 10,308 | 103,348 | |||
Australian Pharmaceutical Industries, Ltd. | 85,600 | 107,667 | |||
Australian Strategic Materials, Ltd. (b) | 12,000 | 93,004 | |||
Aventus Group REIT | 56,902 | 148,934 | |||
AVZ Minerals, Ltd. (b)(c) | 325,800 | 183,577 | |||
Bank of Queensland, Ltd. (c) | 92,710 | 545,305 | |||
Bapcor, Ltd. | 41,995 | 214,033 | |||
Beach Energy, Ltd. | 211,449 | 193,705 | |||
Bega Cheese, Ltd. | 33,033 | 136,174 | |||
Bellevue Gold, Ltd. (b) | 77,436 | 47,573 | |||
Bendigo & Adelaide Bank, Ltd. | 73,855 | 488,636 | |||
Betmakers Technology Group, Ltd. (b) | 71,137 | 41,376 | |||
BHP Group PLC | 305,529 | 9,102,054 | |||
BHP Group, Ltd. (c) | 426,778 | 12,876,993 | |||
Blackmores, Ltd. (c) | 2,380 | 157,949 |
Security Description | Shares | Value | |||
BlueScope Steel, Ltd. | 72,880 | $ 1,107,437 | |||
Boral, Ltd. (b) | 49,056 | 217,564 | |||
BrainChip Holdings, Ltd. (b)(c) | 161,401 | 79,796 | |||
Brambles, Ltd. | 208,565 | 1,611,904 | |||
Bravura Solutions, Ltd. | 28,443 | 51,078 | |||
Breville Group, Ltd. | 13,143 | 302,913 | |||
Brickworks, Ltd. | 10,320 | 181,276 | |||
BWP Trust REIT | 60,822 | 183,516 | |||
BWX, Ltd. | 22,386 | 70,799 | |||
Capricorn Metals, Ltd. (b) | 37,286 | 92,170 | |||
carsales.com, Ltd. | 39,019 | 711,772 | |||
Centuria Capital Group | 74,345 | 189,184 | |||
Centuria Industrial REIT | 93,741 | 285,567 | |||
Centuria Office REIT | 87,202 | 148,357 | |||
Cettire, Ltd. (b) | 17,989 | 46,561 | |||
Chalice Mining, Ltd. (b) | 45,916 | 320,479 | |||
Challenger, Ltd. | 76,866 | 364,932 | |||
Champion Iron, Ltd. (b) | 51,740 | 204,640 | |||
Charter Hall Group REIT | 71,135 | 1,064,371 | |||
Charter Hall Long Wale REIT | 95,395 | 350,253 | |||
Charter Hall Retail REIT | 70,371 | 217,955 | |||
Charter Hall Social Infrastructure REIT | 33,520 | 100,651 | |||
CIMIC Group, Ltd. (c) | 10,985 | 134,974 | |||
City Chic Collective, Ltd. (b) | 24,622 | 98,458 | |||
Cleanaway Waste Management, Ltd. | 297,705 | 677,477 | |||
Clinuvel Pharmaceuticals, Ltd. (c) | 6,455 | 127,699 | |||
Cochlear, Ltd. | 9,515 | 1,495,093 | |||
Codan, Ltd. | 10,768 | 73,043 | |||
Coles Group, Ltd. | 190,872 | 2,489,597 | |||
Collins Foods, Ltd. | 13,982 | 135,914 | |||
Commonwealth Bank of Australia | 256,638 | 18,845,458 | |||
Computershare, Ltd. | 76,906 | 1,118,290 | |||
Coronado Global Resources, Inc. CDI (b)(d) | 78,147 | 70,453 | |||
Corporate Travel Management, Ltd. (b) | 13,778 | 220,481 | |||
Costa Group Holdings, Ltd. | 57,156 | 125,913 | |||
Credit Corp. Group, Ltd. | 8,972 | 218,393 | |||
Cromwell Property Group REIT | 181,739 | 114,956 | |||
Crown Resorts, Ltd. (b)(c) | 53,460 | 464,862 | |||
CSL, Ltd. | 69,176 | 14,621,593 | |||
CSR, Ltd. | 70,162 | 299,946 | |||
Data#3, Ltd. | 12,944 | 55,336 | |||
De Grey Mining, Ltd. (b)(c) | 195,324 | 172,543 | |||
Deterra Royalties, Ltd. | 72,884 | 227,858 | |||
Dexus REIT | 155,589 | 1,257,906 | |||
Dexus Industria REIT (c) | 27,326 | 69,734 | |||
Dicker Data, Ltd. (c) | 13,173 | 142,129 | |||
Domain Holdings Australia, Ltd. | 51,929 | 213,316 |
Security Description | Shares | Value | |||
Domino's Pizza Enterprises, Ltd. | 8,762 | $ 751,900 | |||
Downer EDI, Ltd. | 102,742 | 445,204 | |||
Dubber Corp., Ltd. (b) | 30,000 | 59,545 | |||
Eagers Automotive, Ltd. | 22,732 | 222,127 | |||
Elders, Ltd. | 26,825 | 239,108 | |||
Emeco Holdings, Ltd. | 91,638 | 58,630 | |||
EML Payments, Ltd. (b) | 43,295 | 101,673 | |||
Endeavour Group, Ltd. | 197,446 | 967,548 | |||
EVENT Hospitality and Entertainment, Ltd. (b) | 11,828 | 127,101 | |||
Evolution Mining, Ltd. | 253,067 | 747,009 | |||
Flight Centre Travel Group, Ltd. (b)(c) | 23,087 | 295,759 | |||
Fortescue Metals Group, Ltd. | 244,969 | 3,421,392 | |||
G8 Education, Ltd. (b) | 123,292 | 99,500 | |||
GDI Property Group REIT | 67,675 | 54,369 | |||
Genworth Mortgage Insurance Australia, Ltd. | 52,077 | 87,841 | |||
Glencore PLC (b) | 1,444,527 | 7,336,046 | |||
Gold Road Resources, Ltd. | 127,332 | 145,346 | |||
Goodman Group REIT | 240,521 | 4,634,077 | |||
GPT Group REIT | 277,104 | 1,091,959 | |||
GrainCorp, Ltd. Class A | 34,811 | 209,055 | |||
Growthpoint Properties Australia, Ltd. REIT | 38,972 | 123,539 | |||
GUD Holdings, Ltd. | 24,742 | 204,531 | |||
GWA Group, Ltd. | 32,768 | 65,516 | |||
Hansen Technologies, Ltd. | 29,249 | 113,770 | |||
Harvey Norman Holdings, Ltd. | 71,585 | 257,107 | |||
Healius, Ltd. | 80,610 | 309,448 | |||
Home Consortium, Ltd. REIT | 25,136 | 145,287 | |||
HomeCo Daily Needs REIT (c) | 63,958 | 74,169 | |||
HUB24, Ltd. | 6,901 | 141,992 | |||
IDP Education, Ltd. (b) | 30,363 | 764,913 | |||
IGO, Ltd. | 93,784 | 782,090 | |||
Iluka Resources, Ltd. | 56,169 | 412,461 | |||
Imdex, Ltd. | 53,000 | 113,674 | |||
Imugene, Ltd. (b) | 646,853 | 188,118 | |||
Incitec Pivot, Ltd. | 280,959 | 661,839 | |||
Ingenia Communities Group REIT | 49,167 | 222,346 | |||
Inghams Group, Ltd. (c) | 49,503 | 125,969 | |||
Insignia Financial, Ltd. | 96,661 | 254,404 | |||
Insurance Australia Group, Ltd. | 356,597 | 1,104,464 | |||
Integral Diagnostics, Ltd. | 37,623 | 135,128 | |||
InvoCare, Ltd. | 18,187 | 155,501 | |||
ioneer, Ltd. (b)(c) | 192,776 | 112,126 | |||
IPH, Ltd. | 26,936 | 171,946 | |||
IRESS, Ltd. | 27,996 | 254,431 | |||
Irongate Group REIT | 126,513 | 159,128 | |||
JB Hi-Fi, Ltd. | 16,619 | 583,843 | |||
Johns Lyng Group, Ltd. (c) | 32,604 | 216,424 | |||
Jumbo Interactive, Ltd. | 6,701 | 93,737 |
Security Description | Shares | Value | |||
Karoon Energy, Ltd. (b) | 70,000 | $ 85,501 | |||
Kelsian Group, Ltd. | 17,921 | 96,157 | |||
Kogan.com, Ltd. (b)(c) | 10,762 | 69,012 | |||
LendLease Corp., Ltd. Stapled Security | 106,686 | 829,181 | |||
Lifestyle Communities, Ltd. | 11,878 | 179,454 | |||
Link Administration Holdings, Ltd. | 65,766 | 266,331 | |||
Liontown Resources, Ltd. (b) | 265,944 | 320,969 | |||
Lovisa Holdings, Ltd. | 8,077 | 117,976 | |||
Lynas Rare Earths, Ltd. (b) | 127,163 | 940,256 | |||
MA Financial Group, Ltd. | 8,793 | 57,217 | |||
Maas Group Holdings, Ltd. | 10,150 | 39,112 | |||
Macquarie Group, Ltd. | 50,686 | 7,569,249 | |||
Magellan Financial Group, Ltd. (c) | 22,170 | 342,361 | |||
Mayne Pharma Group, Ltd. (b) | 178,522 | 38,289 | |||
McMillan Shakespeare, Ltd. | 6,570 | 57,703 | |||
Medibank Pvt, Ltd. | 398,389 | 970,323 | |||
Megaport, Ltd. (b) | 20,407 | 275,373 | |||
Mesoblast, Ltd. (b)(c) | 73,703 | 75,556 | |||
Metcash, Ltd. | 150,901 | 493,707 | |||
Mineral Resources, Ltd. | 23,190 | 944,176 | |||
Mirvac Group REIT | 574,672 | 1,215,843 | |||
Monadelphous Group, Ltd. (c) | 8,112 | 56,914 | |||
Nanosonics, Ltd. (b) | 34,472 | 158,147 | |||
National Australia Bank, Ltd. | 476,367 | 9,988,523 | |||
National Storage REIT | 153,354 | 296,579 | |||
nearmap, Ltd. (b)(c) | 42,091 | 47,281 | |||
Netwealth Group, Ltd. | 13,597 | 174,878 | |||
New Hope Corp., Ltd. (c) | 83,313 | 135,077 | |||
Newcrest Mining, Ltd. | 118,139 | 2,102,660 | |||
NEXTDC, Ltd. (b) | 66,060 | 614,290 | |||
nib holdings, Ltd. | 61,904 | 315,501 | |||
Nick Scali, Ltd. (c) | 7,545 | 84,204 | |||
Nine Entertainment Co. Holdings, Ltd. | 253,061 | 535,405 | |||
Northern Star Resources, Ltd. | 159,998 | 1,094,633 | |||
Novonix, Ltd. (b) | 35,826 | 239,375 | |||
NRW Holdings, Ltd. | 47,497 | 60,950 | |||
Nufarm, Ltd. | 39,475 | 139,196 | |||
Nuix, Ltd. (b) | 24,035 | 38,444 | |||
Objective Corp., Ltd. | 2,964 | 42,884 | |||
OceanaGold Corp. (b)(c) | 95,200 | 165,808 | |||
Omni Bridgeway, Ltd. (b) | 33,098 | 88,555 | |||
oOh!media, Ltd. (b) | 54,746 | 67,267 | |||
Orica, Ltd. | 58,950 | 586,748 | |||
Origin Energy, Ltd. | 254,774 | 970,623 | |||
Orora, Ltd. | 139,332 | 354,555 | |||
OZ Minerals, Ltd. | 57,195 | 1,173,490 | |||
Pact Group Holdings, Ltd. | 44,824 | 82,451 | |||
Paladin Energy, Ltd. (b) | 276,815 | 177,107 | |||
Pendal Group, Ltd. | 46,433 | 188,038 | |||
Perenti Global, Ltd. | 51,384 | 34,557 |
Security Description | Shares | Value | |||
Perpetual, Ltd. | 7,306 | $ 191,066 | |||
Perseus Mining, Ltd. (b) | 156,849 | 184,740 | |||
PEXA Group, Ltd. (b) | 13,165 | 190,475 | |||
Pilbara Minerals, Ltd. (b) | 499,501 | 1,162,119 | |||
Pinnacle Investment Management Group, Ltd. | 13,754 | 156,098 | |||
Platinum Asset Management, Ltd. | 48,574 | 95,352 | |||
PointsBet Holdings, Ltd. (b)(c) | 23,912 | 122,566 | |||
PolyNovo, Ltd. (b)(c) | 74,443 | 82,539 | |||
Premier Investments, Ltd. | 11,030 | 243,147 | |||
Pro Medicus, Ltd. | 6,177 | 280,417 | |||
Qantas Airways, Ltd. (b) | 138,100 | 503,032 | |||
QBE Insurance Group, Ltd. | 213,395 | 1,760,940 | |||
Qube Holdings, Ltd. | 250,151 | 576,535 | |||
Ramelius Resources, Ltd. | 102,763 | 117,301 | |||
Ramsay Health Care, Ltd. | 26,488 | 1,376,954 | |||
REA Group, Ltd. | 8,014 | 976,768 | |||
Redbubble, Ltd. (b)(c) | 20,611 | 49,002 | |||
Reece, Ltd. | 42,051 | 826,393 | |||
Regis Resources, Ltd. | 95,189 | 134,954 | |||
Rio Tinto PLC | 162,464 | 10,764,816 | |||
Rio Tinto, Ltd. | 53,700 | 3,908,554 | |||
Rural Funds Group REIT | 75,316 | 173,584 | |||
Sandfire Resources, Ltd. | 81,203 | 388,474 | |||
Santos, Ltd. | 465,448 | 2,135,329 | |||
Sayona Mining, Ltd. (b) | 692,726 | 65,474 | |||
Scentre Group REIT | 750,831 | 1,725,018 | |||
SEEK, Ltd. | 48,590 | 1,158,031 | |||
Select Harvests, Ltd. | 16,007 | 72,271 | |||
Seven Group Holdings, Ltd. | 24,216 | 380,295 | |||
SG Fleet Group, Ltd. | 15,018 | 27,297 | |||
Shopping Centres Australasia Property Group REIT | 149,905 | 323,696 | |||
Sigma Healthcare, Ltd. | 183,261 | 63,955 | |||
Silver Lake Resources, Ltd. (b) | 111,938 | 144,458 | |||
SmartGroup Corp., Ltd. | 16,016 | 90,244 | |||
SolGold PLC (b) | 80,170 | 31,490 | |||
Sonic Healthcare, Ltd. | 65,213 | 2,210,874 | |||
South32, Ltd. (e) | 10,757 | 31,617 | |||
South32, Ltd. (e) | 656,845 | 1,915,013 | |||
Southern Cross Media Group, Ltd. | 24,760 | 34,923 | |||
St Barbara, Ltd. | 100,779 | 107,343 | |||
Star Entertainment Group, Ltd. (b) | 118,310 | 316,544 | |||
Steadfast Group, Ltd. | 129,613 | 494,735 | |||
Stockland REIT | 345,324 | 1,064,528 | |||
Suncorp Group, Ltd. | 185,807 | 1,495,457 | |||
Super Retail Group, Ltd. | 19,956 | 180,782 | |||
Sydney Airport Stapled Security (b) | 195,012 | 1,230,681 | |||
Tabcorp Holdings, Ltd. | 321,375 | 1,172,952 | |||
Tassal Group, Ltd. | 27,407 | 69,543 | |||
Technology One, Ltd. | 42,590 | 396,662 |
Security Description | Shares | Value | |||
Telix Pharmaceuticals, Ltd. (b) | 22,367 | $ 126,030 | |||
Telstra Corp., Ltd. | 599,742 | 1,822,658 | |||
Temple & Webster Group, Ltd. (b) | 8,580 | 67,122 | |||
Transurban Group Stapled Security | 441,167 | 4,432,772 | |||
Treasury Wine Estates, Ltd. | 109,648 | 986,929 | |||
Tyro Payments, Ltd. (b) | 40,390 | 83,985 | |||
United Malt Grp, Ltd. | 28,650 | 90,819 | |||
Uniti Group, Ltd. (b) | 79,238 | 256,365 | |||
Vicinity Centres REIT | 570,141 | 700,541 | |||
Viva Energy Group, Ltd. (b)(d) | 108,274 | 184,993 | |||
Vulcan Energy Resources, Ltd. (b) | 11,701 | 88,475 | |||
Washington H Soul Pattinson & Co., Ltd. | 31,321 | 674,277 | |||
Waypoint REIT | 92,978 | 191,307 | |||
Webjet, Ltd. (b)(c) | 47,806 | 179,696 | |||
Wesfarmers, Ltd. (b) | 164,019 | 7,071,527 | |||
West African Resources, Ltd. (b) | 174,419 | 167,391 | |||
Western Areas, Ltd. (b) | 34,077 | 84,981 | |||
Westgold Resources, Ltd. | 43,149 | 63,998 | |||
Westpac Banking Corp. | 530,692 | 8,237,677 | |||
Whitehaven Coal, Ltd. (b) | 130,725 | 248,064 | |||
WiseTech Global, Ltd. | 21,318 | 907,946 | |||
Woodside Petroleum, Ltd. | 139,390 | 2,222,463 | |||
Woolworths Group, Ltd. | 183,377 | 5,067,655 | |||
Worley, Ltd. | 42,656 | 329,669 | |||
Zip Co., Ltd. (b)(c) | 54,762 | 172,398 | |||
239,182,345 | |||||
AUSTRIA — 0.3% | |||||
Agrana Beteiligungs AG | 2,874 | 56,215 | |||
ams AG (b) | 39,577 | 720,826 | |||
ANDRITZ AG | 9,803 | 505,895 | |||
AT&S Austria Technologie & Systemtechnik AG | 4,273 | 210,406 | |||
BAWAG Group AG (b)(d) | 10,168 | 626,717 | |||
CA Immobilien Anlagen AG | 8,392 | 314,932 | |||
DO & Co. AG (b) | 1,342 | 113,086 | |||
Erste Group Bank AG | 49,612 | 2,332,915 | |||
EVN AG | 5,757 | 174,146 | |||
FACC AG (b)(c) | 6,220 | 49,867 | |||
IMMOFINANZ AG (b)(c) | 12,435 | 318,740 | |||
Lenzing AG (b)(c) | 1,915 | 265,684 | |||
Mondi PLC (e) | 54,897 | 1,357,727 | |||
Mondi PLC (e) | 15,186 | 375,987 | |||
Oesterreichische Post AG | 5,472 | 235,220 | |||
OMV AG | 21,250 | 1,207,066 | |||
Palfinger AG | 2,748 | 107,501 | |||
Porr AG (b) | 3,398 | 53,094 | |||
Raiffeisen Bank International AG | 21,548 | 634,173 | |||
S IMMO AG | 4,849 | 119,936 |
Security Description | Shares | Value | |||
S&T AG | 8,066 | $ 134,471 | |||
Schoeller-Bleckmann Oilfield Equipment AG (b) | 1,349 | 47,480 | |||
Semperit AG Holding | 1,065 | 35,486 | |||
Telekom Austria AG (b) | 20,116 | 174,314 | |||
UNIQA Insurance Group AG | 23,821 | 218,610 | |||
Verbund AG | 9,825 | 1,105,009 | |||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 5,648 | 159,930 | |||
Voestalpine AG | 16,569 | 602,952 | |||
Wienerberger AG | 16,518 | 607,483 | |||
Zumtobel Group AG | 2,928 | 25,639 | |||
12,891,507 | |||||
BELGIUM — 0.6% | |||||
Ackermans & van Haaren NV | 3,010 | 577,455 | |||
Aedifica SA REIT | 4,945 | 646,135 | |||
Ageas SA/NV | 25,707 | 1,331,608 | |||
AGFA-Gevaert NV (b) | 20,285 | 87,428 | |||
Anheuser-Busch InBev SA/NV (b) | 107,822 | 6,519,448 | |||
Barco NV | 8,634 | 188,124 | |||
Befimmo SA REIT | 6,132 | 235,349 | |||
Bekaert SA | 4,561 | 203,010 | |||
bpost SA (b) | 27,427 | 239,227 | |||
Cie d'Entreprises CFE | 975 | 136,157 | |||
Cofinimmo SA REIT | 4,483 | 716,278 | |||
D'ieteren Group | 3,660 | 714,225 | |||
Econocom Group SA | 27,987 | 116,009 | |||
Elia Group SA | 4,133 | 543,795 | |||
Etablissements Franz Colruyt NV | 7,358 | 311,774 | |||
Euronav NV | 23,225 | 206,009 | |||
Fagron | 7,907 | 133,079 | |||
Galapagos NV (b) | 5,886 | 329,457 | |||
Gimv NV | 4,562 | 276,515 | |||
Groupe Bruxelles Lambert SA | 16,276 | 1,816,850 | |||
Immobel SA | 500 | 41,451 | |||
Intervest Offices & Warehouses NV REIT | 5,766 | 184,910 | |||
Ion Beam Applications | 4,121 | 71,421 | |||
KBC Ancora | 4,469 | 213,653 | |||
KBC Group NV | 34,364 | 2,948,881 | |||
Kinepolis Group NV (b) | 1,756 | 109,431 | |||
Melexis NV | 3,801 | 452,998 | |||
Mithra Pharmaceuticals SA (b)(c) | 8,258 | 187,632 | |||
Montea NV REIT | 1,625 | 244,299 | |||
Ontex Group NV (b)(c) | 20,660 | 164,227 | |||
Orange Belgium SA | 3,420 | 77,396 | |||
Proximus SADP | 19,524 | 380,554 | |||
Recticel SA | 8,030 | 159,988 | |||
Retail Estates NV REIT | 1,506 | 122,281 | |||
Shurgard Self Storage SA | 1,500 | 98,083 | |||
Sofina SA | 2,324 | 1,141,712 |
Security Description | Shares | Value | |||
Solvay SA (c) | 10,822 | $ 1,257,752 | |||
Telenet Group Holding NV | 9,284 | 338,482 | |||
Tessenderlo Group SA (b) | 2,269 | 86,053 | |||
UCB SA | 17,331 | 1,977,779 | |||
Umicore SA | 28,221 | 1,147,322 | |||
Van de Velde NV | 621 | 24,223 | |||
VGP NV | 925 | 269,289 | |||
Warehouses De Pauw CVA REIT | 18,087 | 867,581 | |||
X-Fab Silicon Foundries SE (b)(d) | 6,093 | 63,331 | |||
Xior Student Housing NV REIT | 2,755 | 153,673 | |||
28,112,334 | |||||
BRAZIL — 1.3% | |||||
3R Petroleum Oleo e Gas S.A. (b) | 20,440 | 123,117 | |||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA (b) | 72,400 | 85,138 | |||
AES Brasil Energia SA | 33,800 | 67,175 | |||
Aliansce Sonae Shopping Centers SA | 20,000 | 77,774 | |||
Alpargatas SA Preference Shares | 24,400 | 162,170 | |||
Alupar Investimento SA | 19,900 | 86,102 | |||
Ambev SA | 679,667 | 1,881,592 | |||
Ambipar Participacoes e Empreendimentos S/A | 11,000 | 83,300 | |||
Americanas SA (b) | 71,368 | 404,632 | |||
Anima Holding SA (b) | 73,989 | 111,581 | |||
Arezzo Industria e Comercio SA | 11,000 | 151,610 | |||
Armac Locacao Logistica E Servicos SA | 35,900 | 168,801 | |||
Atacadao SA | 79,800 | 218,483 | |||
Azul SA Preference Shares (b) | 39,000 | 170,564 | |||
B3 SA - Brasil Bolsa Balcao | 881,703 | 1,763,406 | |||
Banco ABC Brasil SA Preference Shares | 16,392 | 46,704 | |||
Banco Bradesco SA Preference Shares | 694,102 | 2,393,842 | |||
Banco Bradesco SA | 225,400 | 655,157 | |||
Banco BTG Pactual SA | 183,208 | 690,730 | |||
Banco do Brasil SA | 124,000 | 642,262 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 21,600 | 37,422 | |||
Banco Inter SA Preference Shares (d) | 1 | 2 | |||
Banco Inter SA | 45,585 | 233,818 | |||
Banco Pan SA Preference Shares | 45,500 | 87,242 | |||
Banco Santander Brasil SA | 66,000 | 355,239 |
Security Description | Shares | Value | |||
BB Seguridade Participacoes SA | 110,400 | $ 411,275 | |||
Blau Farmaceutica SA (b) | 18,200 | 118,937 | |||
Boa Vista Servicos SA | 62,800 | 67,648 | |||
BR Malls Participacoes SA (b) | 145,082 | 216,451 | |||
BR Properties SA | 23,500 | 30,841 | |||
Bradespar SA Preference Shares | 34,336 | 154,050 | |||
Braskem SA Class A, Preference Shares | 30,800 | 318,672 | |||
BRF SA (b) | 102,900 | 416,034 | |||
C&A Modas Ltda (b) | 18,000 | 19,874 | |||
Camil Alimentos SA | 18,200 | 37,184 | |||
CCR SA | 164,600 | 342,498 | |||
Centrais Eletricas Brasileiras SA | 45,400 | 272,318 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 33,200 | 196,756 | |||
Cia Brasileira de Aluminio (b) | 56,800 | 139,400 | |||
Cia Brasileira de Distribuicao | 18,500 | 72,173 | |||
Cia de Locacao das Americas | 49,500 | 208,931 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 46,600 | 336,156 | |||
Cia de Saneamento de Minas Gerais-COPASA | 25,800 | 58,872 | |||
Cia de Saneamento do Parana Preference Shares | 41,300 | 28,695 | |||
Cia de Saneamento do Parana | 20,500 | 70,554 | |||
Cia Energetica de Minas Gerais Preference Shares | 148,780 | 350,181 | |||
Cia Energetica de Sao Paulo Class B, Preference Shares | 31,300 | 120,873 | |||
Cia Energetica do Ceara Class A, Preference Shares | 1,500 | 15,644 | |||
Cia Ferro Ligas da Bahia - FERBASA Preference Shares | 4,400 | 38,565 | |||
Cia Paranaense de Energia Preference Shares | 123,000 | 142,212 | |||
Cia Paranaense de Energia | 8,700 | 49,982 | |||
Cia Siderurgica Nacional SA | 95,400 | 428,015 | |||
Cielo SA | 206,639 | 84,585 | |||
CM Hospitalar SA | 38,500 | 130,430 | |||
Cogna Educacao (b) | 280,063 | 123,690 | |||
Cosan SA | 141,780 | 552,102 | |||
Cruzeiro do Sul Educacional SA | 39,700 | 54,882 | |||
CVC Brasil Operadora e Agencia de Viagens SA (b) | 40,715 | 98,096 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 46,400 | 131,453 |
Security Description | Shares | Value | |||
Dexco SA | 47,080 | $ 126,448 | |||
EcoRodovias Infraestrutura e Logistica SA (b) | 81,929 | 107,670 | |||
EDP - Energias do Brasil SA | 41,700 | 156,768 | |||
Embraer SA (b) | 96,700 | 430,897 | |||
Enauta Participacoes SA | 8,500 | 20,311 | |||
Energisa SA | 35,700 | 284,382 | |||
Eneva SA (b) | 91,500 | 232,446 | |||
Engie Brasil Energia SA | 28,066 | 193,540 | |||
Equatorial Energia SA | 125,100 | 507,812 | |||
Ez Tec Empreendimentos e Participacoes SA | 13,200 | 48,463 | |||
Fleury SA | 24,200 | 78,161 | |||
Gerdau SA Preference Shares | 170,100 | 832,482 | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (b) | 26,857 | 82,113 | |||
GPS Participacoes e Empreendimentos SA (d) | 31,500 | 89,750 | |||
Grendene SA | 42,700 | 66,311 | |||
Grupo De Mona Soma SA (b) | 81,572 | 186,430 | |||
Grupo Mateus SA (b) | 120,500 | 130,452 | |||
Grupo SBF SA (b) | 10,267 | 41,492 | |||
Guararapes Confeccoes SA | 16,300 | 28,825 | |||
Hapvida Participacoes e Investimentos SA (d) | 154,041 | 287,064 | |||
Hidrovias do Brasil SA (b) | 120,200 | 74,451 | |||
Hospital Mater Dei SA (b) | 44,500 | 107,855 | |||
Hypera SA | 52,300 | 265,444 | |||
Iguatemi SA (b) | 38,292 | 124,226 | |||
Infracommerce CXAAS SA (b) | 44,400 | 139,497 | |||
Instituto Hermes Pardini SA | 9,200 | 31,878 | |||
Intelbras SA Industria de Telecomunicacao Eletronica Brasileira | 24,100 | 121,019 | |||
Iochpe Maxion SA | 18,100 | 49,881 | |||
IRB Brasil Resseguros SA (b) | 111,593 | 80,539 | |||
Itau Unibanco Holding SA Preference Shares | 699,203 | 2,629,857 | |||
Itausa SA Preference Shares | 683,303 | 1,095,493 | |||
JHSF Participacoes SA | 32,024 | 32,081 | |||
Klabin SA | 98,528 | 453,901 | |||
Light SA | 40,300 | 85,013 | |||
Localiza Rent a Car SA | 89,666 | 853,195 | |||
Locaweb Servicos de Internet SA (b)(d) | 60,765 | 143,567 | |||
LOG Commercial Properties e Participacoes SA | 7,400 | 33,599 | |||
Lojas Americanas SA Preference Shares | 120,967 | 127,917 | |||
Lojas Americanas SA | 121,300 | 128,704 | |||
Lojas Quero Quero S/A | 30,200 | 60,671 | |||
Lojas Renner SA | 135,949 | 596,516 | |||
M Dias Branco SA | 11,500 | 52,627 | |||
Magazine Luiza SA | 460,961 | 597,511 |
Security Description | Shares | Value | |||
Mahle-Metal Leve SA | 4,100 | $ 22,671 | |||
Marcopolo SA Preference Shares | 86,300 | 47,256 | |||
Marfrig Global Foods SA | 58,600 | 232,191 | |||
Meliuz SA (d) | 95,334 | 55,455 | |||
Metalurgica Gerdau SA Preference Shares | 111,300 | 227,396 | |||
Minerva SA | 36,335 | 69,147 | |||
Movida Participacoes SA | 19,000 | 53,828 | |||
MPM Corporeos SA | 39,700 | 59,301 | |||
MRV Engenharia e Participacoes SA | 49,600 | 106,858 | |||
Multilaser Industrial SA (b) | 93,200 | 139,716 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 121,038 | |||
Natura & Co. Holding SA (b) | 123,237 | 562,642 | |||
Notre Dame Intermedica Participacoes SA | 78,577 | 851,368 | |||
Odontoprev SA | 34,600 | 78,269 | |||
Omega Energia SA (b) | 88,637 | 201,304 | |||
Oncoclinicas do Brasil Servicos Medicos SA (b) | 76,500 | 154,511 | |||
Pet Center Comercio e Participacoes SA | 54,208 | 159,315 | |||
Petro Rio SA (b) | 99,310 | 368,535 | |||
Petroleo Brasileiro SA Preference Shares | 687,100 | 3,509,514 | |||
Petroleo Brasileiro SA | 536,900 | 2,959,215 | |||
Qualicorp Consultoria e Corretora de Seguros SA | 32,700 | 99,215 | |||
Raia Drogasil SA | 161,100 | 702,824 | |||
Randon SA Implementos e Participacoes Preference Shares | 25,700 | 50,154 | |||
Rede D'Or Sao Luiz SA (d) | 64,200 | 516,712 | |||
Rumo SA (b) | 178,471 | 569,057 | |||
Santos Brasil Participacoes SA | 104,381 | 120,497 | |||
Sao Martinho SA | 22,700 | 140,357 | |||
Sendas Distribuidora SA | 111,000 | 258,269 | |||
Sequoia Logistica e Transportes SA (b) | 24,000 | 60,926 | |||
SIMPAR SA | 66,400 | 139,237 | |||
SLC Agricola SA | 13,200 | 106,714 | |||
Smartfit Escola de Ginastica e Danca SA (b) | 44,300 | 127,253 | |||
Sul America SA | 45,059 | 222,383 | |||
Suzano SA (b) | 110,809 | 1,195,822 | |||
Telefonica Brasil SA | 73,185 | 633,175 | |||
TIM SA | 149,700 | 353,421 | |||
TOTVS SA | 72,801 | 374,330 | |||
Transmissora Alianca de Energia Eletrica SA | 28,600 | 186,747 | |||
Tres Tentos Agroindustrial SA (b) | 17,000 | 29,697 | |||
Tupy SA | 11,000 | 39,399 | |||
Ultrapar Participacoes SA | 99,700 | 260,258 |
Security Description | Shares | Value | |||
Unipar Carbocloro SA Class B, Preference Shares | 7,700 | $ 142,720 | |||
Vale SA | 592,418 | 8,291,725 | |||
Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | 61,200 | 131,629 | |||
Via S/A (b) | 171,980 | 162,100 | |||
Vibra Energia SA | 180,800 | 694,636 | |||
Vivara Participacoes SA | 13,600 | 62,116 | |||
WEG SA | 243,240 | 1,440,225 | |||
Wheaton Precious Metals Corp. | 65,118 | 2,798,246 | |||
Yara International ASA | 25,147 | 1,268,999 | |||
YDUQS Participacoes SA | 42,100 | 155,400 | |||
59,666,924 | |||||
BURKINA FASO — 0.0% (a) | |||||
IAMGOLD Corp. (b) | 86,200 | 268,874 | |||
CANADA — 7.0% | |||||
Absolute Software Corp. | 5,500 | 51,641 | |||
Advantage Energy, Ltd. (b)(c) | 43,000 | 252,250 | |||
Aecon Group, Inc. | 8,100 | 108,244 | |||
Ag Growth International, Inc. (c) | 4,900 | 122,893 | |||
Agnico Eagle Mines, Ltd. | 35,221 | 1,873,490 | |||
Air Canada (b)(c) | 24,300 | 406,491 | |||
AirBoss of America Corp. (c) | 4,300 | 157,342 | |||
Alamos Gold, Inc. Class A | 59,677 | 459,690 | |||
Algonquin Power & Utilities Corp. | 97,148 | 1,405,133 | |||
Alimentation Couche-Tard, Inc. | 118,200 | 4,959,506 | |||
Allied Properties Real Estate Investment Trust | 10,000 | 347,940 | |||
AltaGas, Ltd. (c) | 40,500 | 875,632 | |||
Altius Minerals Corp. (c) | 8,500 | 117,156 | |||
Altus Group, Ltd. (c) | 6,800 | 382,058 | |||
Anaergia, Inc. (b) | 3,300 | 52,773 | |||
Andlauer Healthcare Group, Inc. | 2,300 | 98,380 | |||
ARC Resources, Ltd. | 99,585 | 906,644 | |||
Aritzia, Inc. (b) | 13,200 | 547,061 | |||
Artis Real Estate Investment Trust | 7,800 | 73,730 | |||
Atco, Ltd. Class I | 11,700 | 395,511 | |||
Atlas Corp. (c) | 12,100 | 171,578 | |||
ATS Automation Tooling Systems, Inc. (b) | 11,900 | 473,306 | |||
Aurora Cannabis, Inc. (b)(c) | 33,341 | 180,807 | |||
AutoCanada, Inc. (b)(c) | 3,300 | 111,554 | |||
Aya Gold & Silver, Inc. (b) | 10,000 | 75,605 | |||
B2Gold Corp. | 149,900 | 590,984 | |||
Badger Infrastructure Solutions, Ltd. | 4,700 | 118,286 | |||
Ballard Power Systems, Inc. (b) | 34,000 | 427,709 |
Security Description | Shares | Value | |||
Bank of Montreal | 93,616 | $ 10,093,467 | |||
Bank of Nova Scotia | 175,800 | 12,463,199 | |||
Barrick Gold Corp. (e) | 211,817 | 4,032,933 | |||
Barrick Gold Corp. (e) | 45,552 | 866,641 | |||
Baytex Energy Corp. (b) | 105,400 | 326,259 | |||
BCE, Inc. | 19,479 | 1,014,854 | |||
Birchcliff Energy, Ltd. | 43,800 | 224,002 | |||
BlackBerry, Ltd. (b)(c) | 72,700 | 680,294 | |||
Boardwalk Real Estate Investment Trust | 3,100 | 134,563 | |||
Bombardier, Inc. Class B (b) | 349,300 | 464,572 | |||
Boralex, Inc. Class A | 13,500 | 370,645 | |||
Boyd Group Services, Inc. | 3,100 | 489,904 | |||
Brookfield Asset Management Reinsurance Partners, Ltd. Class A (b)(c) | 1,107 | 69,620 | |||
Brookfield Asset Management, Inc. Class A | 204,125 | 12,344,622 | |||
Brookfield Infrastructure Corp. Class A (c) | 5,800 | 396,401 | |||
BSR Real Estate Investment Trust | 3,300 | 60,036 | |||
CAE, Inc. (b) | 45,800 | 1,157,011 | |||
Calibre Mining Corp. (b) | 23,200 | 24,611 | |||
Cameco Corp. | 57,500 | 1,255,472 | |||
Canaccord Genuity Group, Inc. | 20,300 | 242,350 | |||
Canada Goose Holdings, Inc. (b) | 9,200 | 341,445 | |||
Canadian Apartment Properties REIT | 12,200 | 579,117 | |||
Canadian Imperial Bank of Commerce | 65,100 | 7,599,252 | |||
Canadian National Railway Co. (c) | 102,400 | 12,596,217 | |||
Canadian Natural Resources, Ltd. | 171,400 | 7,252,765 | |||
Canadian Pacific Railway, Ltd. | 134,400 | 9,680,332 | |||
Canadian Tire Corp., Ltd. Class A | 8,300 | 1,192,219 | |||
Canadian Utilities, Ltd. Class A | 19,000 | 551,882 | |||
Canadian Western Bank | 13,700 | 393,706 | |||
Canfor Corp. (b) | 11,300 | 286,805 | |||
Canopy Growth Corp. (b)(c) | 31,000 | 270,942 | |||
Capital Power Corp. | 15,700 | 490,458 | |||
Capstone Mining Corp. (b) | 56,300 | 248,707 | |||
Cargojet, Inc. (c) | 1,100 | 145,056 | |||
Cascades, Inc. | 11,800 | 130,504 | |||
CCL Industries, Inc. Class B | 21,900 | 1,176,010 | |||
Celestica, Inc. (b) | 15,400 | 171,904 | |||
Cenovus Energy, Inc. | 189,713 | 2,329,453 | |||
Centerra Gold, Inc. | 38,100 | 294,086 | |||
CGI, Inc. (b) | 31,700 | 2,806,986 | |||
Choice Properties Real Estate Investment Trust | 26,600 | 319,878 |
Security Description | Shares | Value | |||
Chorus Aviation, Inc. (b)(c) | 11,000 | $ 28,912 | |||
CI Financial Corp. | 29,100 | 609,115 | |||
Cineplex, Inc. (b)(c) | 8,600 | 92,662 | |||
Cogeco Communications, Inc. (c) | 2,100 | 167,465 | |||
Cogeco, Inc. | 1,700 | 109,323 | |||
Colliers International Group, Inc. | 4,600 | 686,021 | |||
Columbia Care, Inc. (b) | 58,000 | 165,301 | |||
Cominar Real Estate Investment Trust (b) | 20,200 | 186,944 | |||
Constellation Software, Inc. | 2,900 | 5,388,217 | |||
Converge Technology Solutions Corp. (b)(c) | 26,900 | 231,487 | |||
Corby Spirit and Wine, Ltd. | 1,300 | 17,259 | |||
Corus Entertainment, Inc. Class B (c) | 27,200 | 102,499 | |||
Crescent Point Energy Corp. | 83,600 | 446,740 | |||
Crombie Real Estate Investment Trust | 10,200 | 150,357 | |||
Cronos Group, Inc. (b)(c) | 33,600 | 132,469 | |||
CT Real Estate Investment Trust | 8,000 | 109,694 | |||
Denison Mines Corp. (b)(c) | 103,400 | 142,434 | |||
dentalcorp Holdings, Ltd. (b) | 16,600 | 213,816 | |||
Descartes Systems Group, Inc. (b) | 12,200 | 1,010,461 | |||
Docebo, Inc. (b) | 1,900 | 127,659 | |||
Dollarama, Inc. | 41,900 | 2,100,059 | |||
Dream Industrial Real Estate Investment Trust | 14,100 | 192,219 | |||
Dream Office Real Estate Investment Trust | 3,000 | 58,497 | |||
DREAM Unlimited Corp. Class A | 4,365 | 134,183 | |||
Dundee Precious Metals, Inc. | 35,800 | 221,633 | |||
Dye & Durham, Ltd. (c) | 8,800 | 312,666 | |||
ECN Capital Corp. | 27,300 | 115,411 | |||
Element Fleet Management Corp. | 58,200 | 593,450 | |||
Emera, Inc. | 37,100 | 1,856,836 | |||
Empire Co., Ltd. Class A | 23,000 | 701,754 | |||
Enbridge, Inc. | 293,000 | 11,461,133 | |||
Endeavour Silver Corp. (b)(c) | 40,100 | 169,841 | |||
Enerflex, Ltd. | 10,500 | 63,674 | |||
Enerplus Corp. | 43,000 | 454,119 | |||
Enghouse Systems, Ltd. | 7,000 | 268,385 | |||
Enthusiast Gaming Holdings, Inc. (b) | 23,800 | 70,091 | |||
Equinox Gold Corp. (b)(c) | 36,718 | 248,827 | |||
Equitable Group, Inc. | 4,400 | 240,038 | |||
ERO Copper Corp. (b) | 12,000 | 183,351 | |||
Evertz Technologies, Ltd. | 3,400 | 35,369 | |||
Exchange Income Corp. | 2,400 | 80,067 | |||
Extendicare, Inc. (c) | 10,000 | 57,792 | |||
Fairfax Financial Holdings, Ltd. | 3,800 | 1,871,917 |
Security Description | Shares | Value | |||
Fiera Capital Corp. (c) | 8,400 | $ 69,759 | |||
Finning International, Inc. | 23,200 | 585,533 | |||
First Capital Real Estate Investment Trust | 19,000 | 283,688 | |||
First Majestic Silver Corp. | 30,000 | 334,165 | |||
First National Financial Corp. (c) | 2,400 | 78,964 | |||
FirstService Corp. | 5,700 | 1,121,815 | |||
Fortis, Inc. | 68,181 | 3,294,214 | |||
Fortuna Silver Mines, Inc. (b) | 34,963 | 136,735 | |||
Franco-Nevada Corp. | 27,669 | 3,832,019 | |||
Freehold Royalties, Ltd. (c) | 16,300 | 150,334 | |||
GDI Integrated Facility Services, Inc. (b) | 1,700 | 72,420 | |||
George Weston, Ltd. | 11,027 | 1,280,307 | |||
GFL Environmental, Inc. | 23,600 | 893,629 | |||
Gibson Energy, Inc. | 22,300 | 395,809 | |||
Gildan Activewear, Inc. | 28,700 | 1,218,526 | |||
goeasy, Ltd. | 2,100 | 298,038 | |||
GoGold Resources, Inc. (b) | 65,900 | 158,079 | |||
Granite Real Estate Investment Trust | 4,700 | 392,178 | |||
Great-West Lifeco, Inc. | 40,300 | 1,211,090 | |||
H&R Real Estate Investment Trust | 23,700 | 304,893 | |||
Headwater Exploration, Inc. (b) | 49,000 | 199,778 | |||
HEXO Corp. (b)(c) | 25,300 | 17,626 | |||
HLS Therapeutics, Inc. (c) | 2,600 | 30,875 | |||
Home Capital Group, Inc. (b) | 8,283 | 256,198 | |||
Hudbay Minerals, Inc. | 30,000 | 217,551 | |||
Hut 8 Mining Corp. (b) | 28,200 | 221,689 | |||
Hydro One, Ltd. (d) | 47,600 | 1,240,166 | |||
iA Financial Corp., Inc. | 15,500 | 888,168 | |||
IGM Financial, Inc. | 12,600 | 455,062 | |||
Imperial Oil, Ltd. | 34,700 | 1,253,227 | |||
Innergex Renewable Energy, Inc. | 19,800 | 291,557 | |||
Intact Financial Corp. | 25,500 | 3,319,249 | |||
Interfor Corp. | 8,800 | 282,221 | |||
InterRent Real Estate Investment Trust | 14,312 | 196,129 | |||
Intertape Polymer Group, Inc. | 8,100 | 168,778 | |||
Ivanhoe Mines, Ltd. Class A (b) | 86,200 | 704,258 | |||
Jamieson Wellness, Inc. (d) | 5,900 | 187,488 | |||
K92 Mining, Inc. (b) | 38,400 | 218,577 | |||
Kelt Exploration, Ltd. (b) | 22,000 | 83,949 | |||
Keyera Corp. (c) | 29,800 | 673,074 | |||
Killam Apartment Real Estate Investment Trust | 9,200 | 171,815 | |||
Kinaxis, Inc. (b) | 4,000 | 561,549 | |||
Kinross Gold Corp. | 182,500 | 1,060,484 | |||
Kirkland Lake Gold, Ltd. | 38,640 | 1,621,586 | |||
Knight Therapeutics, Inc. (b) | 11,900 | 49,931 | |||
Labrador Iron Ore Royalty Corp. | 9,300 | 276,316 |
Security Description | Shares | Value | |||
Largo, Inc. (b) | 4,440 | $ 41,196 | |||
Lassonde Industries, Inc. Class A | 400 | 49,825 | |||
Laurentian Bank of Canada | 5,500 | 174,908 | |||
LifeWorks, Inc. | 11,500 | 232,431 | |||
Lightspeed Commerce, Inc. (b) | 14,300 | 578,272 | |||
Linamar Corp. | 7,000 | 415,240 | |||
Lion Electric Co (b)(c) | 6,500 | 64,323 | |||
Lithium Americas Corp. (b)(c) | 23,000 | 670,435 | |||
Loblaw Cos., Ltd. | 24,500 | 2,010,197 | |||
Lundin Gold, Inc. (b) | 18,100 | 149,311 | |||
MAG Silver Corp. (b) | 14,400 | 226,063 | |||
Magna International, Inc. | 41,300 | 3,346,439 | |||
Manulife Financial Corp. | 280,900 | 5,361,595 | |||
Maple Leaf Foods, Inc. | 13,900 | 321,984 | |||
Martinrea International, Inc. | 9,400 | 85,580 | |||
Maverix Metals, Inc. (c) | 11,300 | 49,381 | |||
MEG Energy Corp. (b) | 44,900 | 415,889 | |||
Methanex Corp. | 10,500 | 415,960 | |||
Metro, Inc. | 35,357 | 1,884,363 | |||
Minto Apartment Real Estate Investment Trust (d) | 6,300 | 109,177 | |||
Morguard Corp. | 1,200 | 129,638 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 71,505 | |||
MTY Food Group, Inc. (c) | 4,300 | 215,417 | |||
Mullen Group, Ltd. (c) | 18,900 | 174,015 | |||
NanoXplore, Inc. (b)(c) | 15,200 | 78,578 | |||
National Bank of Canada (c) | 48,800 | 3,725,822 | |||
Neighbourly Pharmacy, Inc. | 2,400 | 75,886 | |||
New Gold, Inc. (b) | 87,400 | 130,773 | |||
New Pacific Metals Corp. (b) | 9,100 | 26,944 | |||
NexGen Energy, Ltd. (b) | 68,300 | 299,554 | |||
NFI Group, Inc. (c) | 8,100 | 129,918 | |||
North West Co., Inc. (c) | 6,600 | 178,905 | |||
Northland Power, Inc. | 32,700 | 982,437 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 12,000 | 131,196 | |||
Novagold Resources, Inc. (b) | 31,400 | 215,523 | |||
Nutrien, Ltd. | 82,518 | 6,211,306 | |||
Nuvei Corp. (b)(d) | 7,600 | 493,370 | |||
NuVista Energy, Ltd. (b) | 41,100 | 226,462 | |||
Onex Corp. | 11,000 | 864,569 | |||
Open Text Corp. | 39,300 | 1,868,006 | |||
Organigram Holdings, Inc. (b) | 32,100 | 56,416 | |||
Orla Mining, Ltd. (b)(c) | 36,500 | 139,568 | |||
Osisko Gold Royalties, Ltd. | 23,632 | 289,612 | |||
Osisko Mining, Inc. (b) | 40,800 | 123,064 | |||
Pan American Silver Corp. | 28,400 | 709,578 | |||
Paramount Resources, Ltd. Class A | 10,000 | 194,672 | |||
Parex Resources, Inc. | 20,900 | 357,558 | |||
Park Lawn Corp. | 6,600 | 216,839 | |||
Parkland Corp. | 20,300 | 558,786 |
Security Description | Shares | Value | |||
Pason Systems, Inc. | 21,600 | $ 197,335 | |||
Pembina Pipeline Corp. | 79,548 | 2,416,385 | |||
Pet Valu Holdings, Ltd. | 7,100 | 202,745 | |||
Peyto Exploration & Development Corp. | 27,200 | 203,491 | |||
Pollard Banknote, Ltd. (c) | 1,300 | 41,013 | |||
Power Corp. of Canada (c) | 80,953 | 2,678,886 | |||
PrairieSky Royalty, Ltd. (c) | 31,594 | 340,915 | |||
Premium Brands Holdings Corp. | 5,700 | 570,564 | |||
Pretium Resources, Inc. (b) | 25,400 | 358,333 | |||
PyroGenesis Canada, Inc. (b)(c) | 24,900 | 65,643 | |||
Quebecor, Inc. Class B | 24,200 | 546,974 | |||
Real Matters, Inc. (b) | 11,000 | 72,280 | |||
Recipe Unlimited Corp. (b) | 1,800 | 25,251 | |||
Restaurant Brands International, Inc. | 41,346 | 2,510,579 | |||
Richelieu Hardware, Ltd. | 7,200 | 248,693 | |||
RioCan Real Estate Investment Trust | 23,800 | 432,231 | |||
Ritchie Bros Auctioneers, Inc. (c) | 16,000 | 980,533 | |||
Rogers Communications, Inc. Class B | 51,300 | 2,446,106 | |||
Rogers Sugar, Inc. (c) | 17,400 | 81,962 | |||
Royal Bank of Canada | 206,200 | 21,915,331 | |||
Russel Metals, Inc. | 10,700 | 284,876 | |||
Sabina Gold & Silver Corp. (b) | 54,400 | 62,447 | |||
Sandstorm Gold, Ltd. (b) | 26,400 | 164,066 | |||
Saputo, Inc. (c) | 35,900 | 809,999 | |||
Savaria Corp. (c) | 7,800 | 118,314 | |||
Seabridge Gold, Inc. (b) | 12,400 | 205,170 | |||
Secure Energy Services, Inc. (c) | 62,000 | 258,180 | |||
Shaw Communications, Inc. Class B | 65,508 | 1,990,937 | |||
Shopify, Inc. Class A (b) | 16,400 | 22,613,083 | |||
Sienna Senior Living, Inc. (c) | 14,400 | 171,343 | |||
Sierra Wireless, Inc. (b) | 7,300 | 128,876 | |||
Silvercorp Metals, Inc. | 23,700 | 88,747 | |||
SilverCrest Metals, Inc. (b)(c) | 17,300 | 136,959 | |||
Slate Grocery REIT Class U | 3,900 | 44,553 | |||
Sleep Country Canada Holdings, Inc. (d) | 5,000 | 148,557 | |||
SmartCentres Real Estate Investment Trust | 12,400 | 316,000 | |||
SNC-Lavalin Group, Inc. | 23,700 | 579,953 | |||
Softchoice Corp. | 3,300 | 55,777 | |||
Solaris Resources, Inc. (b) | 14,800 | 198,482 | |||
Spin Master Corp. (b)(d) | 5,800 | 220,126 | |||
Sprott, Inc. (c) | 3,270 | 147,767 | |||
SSR Mining, Inc. | 32,504 | 576,151 | |||
Stantec, Inc. | 16,100 | 905,852 | |||
Stelco Holdings, Inc. | 4,500 | 146,847 | |||
Stella-Jones, Inc. | 9,600 | 304,078 |
Security Description | Shares | Value | |||
Summit Industrial Income REIT | 15,800 | $ 293,948 | |||
Sun Life Financial, Inc. (c) | 84,700 | 4,721,313 | |||
Suncor Energy, Inc. | 214,764 | 5,381,214 | |||
SunOpta, Inc. (b) | 9,300 | 64,570 | |||
Superior Plus Corp. | 20,700 | 213,039 | |||
Tamarack Valley Energy, Ltd. (b) | 86,000 | 262,122 | |||
TC Energy Corp. (c) | 141,636 | 6,596,561 | |||
Teck Resources, Ltd. Class B (b) | 68,300 | 1,969,813 | |||
TECSYS, Inc. | 1,600 | 66,640 | |||
TELUS Corp. | 64,716 | 1,526,255 | |||
TFI International, Inc. | 11,800 | 1,325,311 | |||
Thomson Reuters Corp. | 25,130 | 3,009,472 | |||
Timbercreek Financial Corp. | 17,500 | 133,139 | |||
TMX Group, Ltd. | 7,600 | 771,642 | |||
Topaz Energy Corp. (c) | 8,700 | 122,943 | |||
Torex Gold Resources, Inc. (b) | 11,600 | 120,762 | |||
Toromont Industries, Ltd. | 12,000 | 1,086,427 | |||
Toronto-Dominion Bank | 263,657 | 20,242,612 | |||
Tourmaline Oil Corp. | 44,700 | 1,445,235 | |||
TransAlta Corp. | 38,700 | 430,460 | |||
TransAlta Renewables, Inc. (c) | 18,000 | 267,189 | |||
Transcontinental, Inc. Class A | 9,200 | 147,925 | |||
Trican Well Service, Ltd. (b) | 30,700 | 67,323 | |||
Tricon Residential, Inc. | 34,200 | 524,175 | |||
Trisura Group, Ltd. (b) | 6,800 | 256,733 | |||
Vermilion Energy, Inc. (b) | 21,500 | 270,633 | |||
Victoria Gold Corp. (b) | 10,400 | 117,326 | |||
Wallbridge Mining Co., Ltd. (b)(c) | 76,500 | 24,225 | |||
Well Health Technologies Corp. (b)(c) | 27,500 | 106,895 | |||
Wesdome Gold Mines, Ltd. (b) | 18,900 | 172,219 | |||
West Fraser Timber Co., Ltd. | 13,863 | 1,324,456 | |||
Westport Fuel Systems, Inc. (b)(c) | 17,400 | 41,463 | |||
Westshore Terminals Investment Corp. (c) | 5,200 | 110,410 | |||
Whitecap Resources, Inc. | 86,300 | 511,726 | |||
Winpak, Ltd. | 4,100 | 120,648 | |||
WSP Global, Inc. (c) | 17,000 | 2,471,369 | |||
Yamana Gold, Inc. (c) | 138,900 | 585,004 | |||
333,076,290 | |||||
CHILE — 0.2% | |||||
AES Andes SA | 1,206,801 | 188,131 | |||
Aguas Andinas SA Class A | 787,060 | 143,186 | |||
Antofagasta PLC | 54,996 | 997,040 | |||
Banco de Chile | 7,052,944 | 550,991 | |||
Banco de Credito e Inversiones SA | 9,823 | 286,965 | |||
Banco Santander Chile | 10,798,372 | 434,089 |
Security Description | Shares | Value | |||
CAP SA | 18,785 | $ 182,999 | |||
Cencosud SA | 249,298 | 416,960 | |||
Cencosud Shopping SA | 148,562 | 176,287 | |||
Cia Cervecerias Unidas SA | 24,209 | 196,911 | |||
Colbun SA | 2,338,950 | 190,246 | |||
Embotelladora Andina SA Class B, Preference Shares | 91,953 | 199,663 | |||
Empresa Nacional de Telecomunicaciones SA | 36,914 | 124,736 | |||
Empresas CMPC SA | 202,191 | 338,883 | |||
Empresas COPEC SA | 63,993 | 494,669 | |||
Enel Americas SA | 3,225,974 | 352,131 | |||
Enel Chile SA | 5,627,525 | 196,831 | |||
Engie Energia Chile SA | 71,134 | 41,912 | |||
Falabella SA | 127,487 | 415,829 | |||
Inversiones Aguas Metropolitanas SA | 105,572 | 47,706 | |||
Itau CorpBanca (b) | 38,993,616 | 75,424 | |||
Lundin Mining Corp. | 89,800 | 702,390 | |||
Parque Arauco SA (b) | 130,868 | 144,369 | |||
Plaza SA | 84,877 | 93,545 | |||
SMU SA | 1,137,230 | 114,791 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 19,840 | 1,012,702 | |||
Vina Concha y Toro SA | 73,303 | 112,708 | |||
8,232,094 | |||||
CHINA — 8.2% | |||||
111, Inc. ADR (b)(c) | 4,800 | 16,800 | |||
360 DigiTech, Inc. ADR | 12,700 | 291,211 | |||
360 Security Technology, Inc. Class A (b) | 81,800 | 163,624 | |||
361 Degrees International, Ltd. (b)(c) | 183,000 | 93,891 | |||
3SBio, Inc. (b)(d) | 135,500 | 112,970 | |||
51job, Inc. ADR (b) | 5,200 | 254,436 | |||
AAC Technologies Holdings, Inc. | 91,000 | 359,504 | |||
Advanced Micro-Fabrication Equipment, Inc. China Class A (b) | 6,506 | 129,526 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 356,267 | |||
Agile Group Holdings, Ltd. (c) | 174,000 | 94,406 | |||
Agora, Inc. ADR (b) | 7,800 | 126,438 | |||
Agricultural Bank of China, Ltd. Class A | 953,100 | 440,650 | |||
Agricultural Bank of China, Ltd. Class H | 3,993,000 | 1,372,605 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 51,300 | 341,083 | |||
Air China, Ltd. Class A (b) | 43,000 | 61,737 | |||
Air China, Ltd. Class H (b) | 300,000 | 209,330 | |||
Airtac International Group | 19,743 | 727,866 | |||
AK Medical Holdings, Ltd. (d) | 48,000 | 40,635 | |||
Akeso, Inc. (b)(d) | 54,000 | 235,496 |
Security Description | Shares | Value | |||
Alibaba Group Holding, Ltd. ADR (b) | 6,900 | $ 819,651 | |||
Alibaba Group Holding, Ltd. (b) | 2,140,900 | 32,650,489 | |||
Alibaba Health Information Technology, Ltd. (b) | 521,500 | 440,810 | |||
A-Living Smart City Services Co., Ltd. (d) | 70,000 | 119,416 | |||
Alphamab Oncology (b)(c)(d) | 45,000 | 78,499 | |||
Aluminum Corp. of China, Ltd. Class A (b) | 84,600 | 81,021 | |||
Aluminum Corp. of China, Ltd. Class H (b) | 636,000 | 351,598 | |||
Angel Yeast Co., Ltd. Class A | 12,900 | 122,447 | |||
Anhui Conch Cement Co., Ltd. Class A | 28,700 | 181,884 | |||
Anhui Conch Cement Co., Ltd. Class H | 170,500 | 851,811 | |||
Anhui Expressway Co., Ltd. Class H | 114,000 | 92,121 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 2,100 | 80,578 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 20,900 | 297,564 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 9,700 | 108,104 | |||
Anhui Yingjia Distillery Co., Ltd. Class A | 9,200 | 100,477 | |||
ANTA Sports Products, Ltd. | 155,000 | 2,324,115 | |||
Ascentage Pharma Group International (b)(c)(d) | 16,900 | 61,129 | |||
Asia Cement China Holdings Corp. | 63,000 | 40,242 | |||
Asiainfo Technologies, Ltd. (d) | 6,400 | 10,442 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 383,076 | |||
Autobio Diagnostics Co., Ltd. Class A | 3,640 | 31,517 | |||
Autohome, Inc. ADR | 12,300 | 362,604 | |||
Avary Holding Shenzhen Co., Ltd. Class A | 11,300 | 75,398 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 59,600 | 170,391 | |||
AviChina Industry & Technology Co., Ltd. Class H | 321,000 | 221,924 | |||
Baidu, Inc. ADR (b) | 39,300 | 5,847,447 | |||
Baidu, Inc. Class A (b) | 7,150 | 132,613 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 131,055 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 147,003 | |||
Bank of China, Ltd. Class A | 249,100 | 119,476 | |||
Bank of China, Ltd. Class H | 11,492,000 | 4,142,031 | |||
Bank of Communications Co., Ltd. Class A | 270,300 | 195,954 |
Security Description | Shares | Value | |||
Bank of Communications Co., Ltd. Class H | 1,401,000 | $ 846,390 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 118,744 | |||
Bank of Jiangsu Co., Ltd. Class A | 156,780 | 143,736 | |||
Bank of Nanjing Co., Ltd. Class A | 46,000 | 64,815 | |||
Bank of Ningbo Co., Ltd. Class A | 45,540 | 274,140 | |||
Bank of Shanghai Co., Ltd. Class A | 102,500 | 114,927 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 184,000 | 207,176 | |||
Baozun, Inc. ADR (b) | 9,900 | 137,610 | |||
BeiGene, Ltd. ADR (b) | 6,600 | 1,788,138 | |||
Beijing Capital International Airport Co., Ltd. Class H (b) | 220,000 | 134,602 | |||
Beijing Chunlizhengda Medical Instruments Co., Ltd. Class H (b)(c) | 4,000 | 7,768 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A | 67,200 | 110,854 | |||
Beijing Easpring Material Technology Co., Ltd. Class A | 7,100 | 96,992 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 200,121 | |||
Beijing Enterprises Water Group, Ltd. | 662,000 | 257,284 | |||
Beijing Jingneng Clean Energy Co., Ltd. Class H | 138,000 | 44,783 | |||
Beijing Kingsoft Office Software, Inc. Class A | 4,000 | 166,692 | |||
Beijing New Building Materials PLC Class A | 10,400 | 58,599 | |||
Beijing Roborock Technology Co., Ltd. Class A | 1,459 | 186,532 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 10,900 | 65,444 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 12,600 | 57,382 | |||
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. | 30,000 | 51,640 | |||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 4,400 | 153,262 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 357,100 | 271,234 | |||
BEST, Inc. ADR (b)(c) | 26,700 | 22,735 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 2,800 | 35,151 | |||
BGI Genomics Co., Ltd. Class A (b) | 2,500 | 34,518 | |||
Bilibili, Inc. ADR (b)(c) | 24,100 | 1,118,240 | |||
Bit Digital, Inc. (b)(c) | 15,200 | 92,416 |
Security Description | Shares | Value | |||
BIT Mining, Ltd. ADR (b)(c) | 13,400 | $ 82,276 | |||
BOC Hong Kong Holdings, Ltd. | 526,000 | 1,723,805 | |||
BOE Technology Group Co., Ltd. Class A | 345,900 | 274,694 | |||
BOE Varitronix, Ltd. | 80,000 | 102,818 | |||
Bosideng International Holdings, Ltd. | 408,000 | 256,953 | |||
Budweiser Brewing Co. APAC, Ltd. (c)(d) | 253,100 | 663,891 | |||
Burning Rock Biotech Ltd. ADR (b) | 5,300 | 50,509 | |||
BYD Co., Ltd. Class A | 14,700 | 619,804 | |||
BYD Co., Ltd. Class H | 112,000 | 3,829,919 | |||
BYD Electronic International Co., Ltd. (c) | 107,500 | 393,664 | |||
By-health Co., Ltd. Class A | 11,400 | 48,332 | |||
C&D International Investment Group, Ltd. | 32,700 | 68,954 | |||
C&S Paper Co., Ltd. Class A | 9,600 | 25,226 | |||
Caitong Securities Co., Ltd. Class A | 23,200 | 40,570 | |||
Canaan, Inc. (b) | 10,800 | 55,620 | |||
Cango, Inc. ADR (c) | 18,100 | 56,834 | |||
CanSino Biologics, Inc. Class A (b) | 697 | 32,833 | |||
CanSino Biologics, Inc. Class H (b)(c)(d) | 9,600 | 221,890 | |||
Central China Management Co., Ltd. | 89,000 | 18,037 | |||
Central China Real Estate, Ltd. | 89,000 | 10,731 | |||
CGN New Energy Holdings Co., Ltd. (c) | 158,000 | 165,371 | |||
CGN Power Co., Ltd. Class H (d) | 1,683,600 | 511,798 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 3,200 | 136,574 | |||
Changjiang Securities Co., Ltd. Class A | 35,800 | 42,448 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 147,750 | |||
Chaowei Power Holdings, Ltd. | 4,000 | 1,047 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 174,639 | |||
Chengxin Lithium Group Co., Ltd. Class A (b) | 11,700 | 106,622 | |||
China Aoyuan Group, Ltd. (c) | 128,000 | 23,149 | |||
China Baoan Group Co., Ltd. Class A | 34,300 | 77,834 | |||
China BlueChemical, Ltd. Class H | 204,000 | 56,781 | |||
China Bohai Bank Co., Ltd. Class H (d) | 381,500 | 146,800 |
Security Description | Shares | Value | |||
China Cinda Asset Management Co., Ltd. Class H | 1,770,592 | $ 322,492 | |||
China CITIC Bank Corp., Ltd. Class H | 1,584,000 | 686,726 | |||
China Coal Energy Co., Ltd. Class H | 281,000 | 162,192 | |||
China Common Rich Renewable Energy Investment, Ltd. (b)(f) | 68,000 | — | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 121,853 | |||
China Conch Venture Holdings, Ltd. | 237,500 | 1,160,647 | |||
China Construction Bank Corp. Class A | 52,100 | 48,011 | |||
China Construction Bank Corp. Class H | 13,911,000 | 9,635,263 | |||
China CSSC Holdings, Ltd. Class A | 32,600 | 127,087 | |||
China Datang Corp. Renewable Power Co., Ltd. Class H (c) | 556,000 | 256,024 | |||
China Dongxiang Group Co., Ltd. (b) | 380,000 | 33,144 | |||
China East Education Holdings, Ltd. (b)(d) | 63,000 | 39,434 | |||
China Eastern Airlines Corp., Ltd. Class A (b) | 60,800 | 49,336 | |||
China Education Group Holdings, Ltd. | 86,000 | 139,651 | |||
China Everbright Bank Co., Ltd. Class A | 384,100 | 200,535 | |||
China Everbright Bank Co., Ltd. Class H | 545,300 | 193,044 | |||
China Everbright Environment Group, Ltd. | 575,518 | 462,109 | |||
China Everbright, Ltd. | 208,000 | 248,651 | |||
China Evergrande Group (c) | 547,000 | 111,557 | |||
China Feihe, Ltd. (d) | 533,000 | 715,106 | |||
China Foods, Ltd. | 362,000 | 141,618 | |||
China Galaxy Securities Co., Ltd. Class A | 27,500 | 48,392 | |||
China Galaxy Securities Co., Ltd. Class H | 586,300 | 336,906 | |||
China Gas Holdings, Ltd. | 433,800 | 901,397 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 74,819 | |||
China Harmony Auto Holding, Ltd. | 85,500 | 54,066 | |||
China Hongqiao Group, Ltd. | 276,500 | 291,881 | |||
China Huarong Asset Management Co., Ltd. Class H (b)(d) | 1,024,000 | 66,986 | |||
China International Capital Corp., Ltd. Class A | 6,300 | 48,575 |
Security Description | Shares | Value | |||
China International Capital Corp., Ltd. Class H (d) | 216,800 | $ 597,873 | |||
China Jinmao Holdings Group, Ltd. | 754,000 | 233,077 | |||
China Jushi Co., Ltd. Class A | 25,717 | 73,604 | |||
China Kepei Education Group, Ltd. | 64,000 | 26,351 | |||
China Lesso Group Holdings, Ltd. | 128,000 | 183,882 | |||
China Life Insurance Co., Ltd. Class A | 15,100 | 71,451 | |||
China Life Insurance Co., Ltd. Class H | 1,075,000 | 1,781,486 | |||
China Literature, Ltd. (b)(c)(d) | 56,000 | 351,962 | |||
China Logistics Property Holdings Co., Ltd. (b)(c)(d) | 141,000 | 77,768 | |||
China Longyuan Power Group Corp., Ltd. Class H | 511,000 | 1,192,899 | |||
China Maple Leaf Educational Systems, Ltd. (b)(c) | 136,000 | 9,420 | |||
China Medical System Holdings, Ltd. | 164,000 | 273,884 | |||
China Meidong Auto Holdings, Ltd. | 70,000 | 360,940 | |||
China Mengniu Dairy Co., Ltd. (b) | 451,000 | 2,556,880 | |||
China Merchants Bank Co., Ltd. Class A | 178,900 | 1,370,365 | |||
China Merchants Bank Co., Ltd. Class H | 564,500 | 4,384,192 | |||
China Merchants Port Holdings Co., Ltd. | 206,151 | 375,479 | |||
China Merchants Securities Co., Ltd. Class A | 71,800 | 199,286 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 82,900 | 173,907 | |||
China Minmetals Rare Earth Co., Ltd. Class A | 14,100 | 86,520 | |||
China Minsheng Banking Corp., Ltd. Class A | 325,200 | 199,445 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 945,600 | 361,439 | |||
China Modern Dairy Holdings, Ltd. (c) | 214,000 | 35,958 | |||
China Molybdenum Co., Ltd. Class A | 95,900 | 84,151 | |||
China Molybdenum Co., Ltd. Class H | 429,000 | 226,157 | |||
China National Building Material Co., Ltd. Class H | 562,000 | 689,137 | |||
China National Chemical Engineering Co., Ltd. Class A | 71,900 | 135,681 | |||
China National Nuclear Power Co., Ltd. Class A | 70,800 | 92,410 |
Security Description | Shares | Value | |||
China New Higher Education Group, Ltd. (d) | 79,000 | $ 33,439 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 23,500 | 169,255 | |||
China Oilfield Services, Ltd. Class H (c) | 258,000 | 226,023 | |||
China Oriental Group Co., Ltd. | 192,000 | 57,874 | |||
China Overseas Grand Oceans Group, Ltd. | 201,000 | 102,095 | |||
China Overseas Land & Investment, Ltd. | 556,500 | 1,317,675 | |||
China Overseas Property Holdings, Ltd. | 280,000 | 297,013 | |||
China Pacific Insurance Group Co., Ltd. Class A | 66,000 | 281,476 | |||
China Pacific Insurance Group Co., Ltd. Class H | 359,800 | 976,075 | |||
China Petroleum & Chemical Corp. Class A | 184,500 | 122,728 | |||
China Petroleum & Chemical Corp. Class H | 3,418,000 | 1,591,440 | |||
China Power International Development, Ltd. | 817,000 | 550,165 | |||
China Railway Group, Ltd. Class A | 110,500 | 100,612 | |||
China Railway Group, Ltd. Class H | 640,000 | 338,212 | |||
China Renaissance Holdings, Ltd. (b)(d) | 18,400 | 34,882 | |||
China Resources Beer Holdings Co., Ltd. | 202,721 | 1,660,241 | |||
China Resources Cement Holdings, Ltd. | 430,000 | 324,859 | |||
China Resources Gas Group, Ltd. | 128,000 | 723,215 | |||
China Resources Land, Ltd. | 461,333 | 1,940,885 | |||
China Resources Medical Holdings Co., Ltd. | 86,000 | 51,183 | |||
China Resources Mixc Lifestyle Services, Ltd. (d) | 71,600 | 333,833 | |||
China Resources Power Holdings Co., Ltd. | 296,055 | 991,116 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | 93,151 | |||
China SCE Group Holdings, Ltd. | 565,000 | 136,969 | |||
China Shenhua Energy Co., Ltd. Class A | 39,600 | 140,240 | |||
China Shenhua Energy Co., Ltd. Class H | 464,000 | 1,087,942 | |||
China South City Holdings, Ltd. | 476,000 | 44,570 | |||
China Southern Airlines Co., Ltd. Class A (b) | 56,500 | 60,507 |
Security Description | Shares | Value | |||
China Southern Airlines Co., Ltd. Class H (b)(c) | 302,000 | $ 180,899 | |||
China State Construction Engineering Corp., Ltd. Class A | 288,700 | 226,999 | |||
China State Construction International Holdings, Ltd. | 320,750 | 398,659 | |||
China Suntien Green Energy Corp., Ltd. Class H | 239,000 | 186,386 | |||
China Taiping Insurance Holdings Co., Ltd. | 258,600 | 354,914 | |||
China Tobacco International HK Co., Ltd. | 23,000 | 46,317 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 15,200 | 524,454 | |||
China Tower Corp., Ltd. Class H (d) | 5,940,000 | 655,234 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 318,000 | 210,877 | |||
China TransInfo Technology Co., Ltd. Class A | 19,700 | 46,314 | |||
China Travel International Investment Hong Kong, Ltd. (b) | 266,000 | 52,543 | |||
China United Network Communications, Ltd. Class A | 240,700 | 148,757 | |||
China Vanke Co., Ltd. Class A | 70,100 | 217,827 | |||
China Vanke Co., Ltd. Class H | 246,600 | 573,775 | |||
China Water Affairs Group, Ltd. | 126,000 | 180,686 | |||
China Yangtze Power Co., Ltd. Class A | 180,300 | 643,620 | |||
China Youran Dairy Group, Ltd. (b)(d) | 104,000 | 55,493 | |||
China Yuchai International, Ltd. | 2,300 | 34,316 | |||
China Yuhua Education Corp., Ltd. (b)(d) | 184,000 | 65,847 | |||
China Zhenhua Group Science & Technology Co., Ltd. Class A | 4,300 | 84,038 | |||
China Zheshang Bank Co., Ltd. Class A | 158,600 | 87,293 | |||
China Zhongwang Holdings, Ltd. (b)(c) | 231,200 | 24,910 | |||
Chinasoft International, Ltd. (b) | 366,000 | 476,965 | |||
Chindata Group Holdings, Ltd. ADR (b) | 15,600 | 102,804 | |||
Chlitina Holding, Ltd. | 6,000 | 49,228 | |||
Chongqing Brewery Co., Ltd. Class A (b) | 7,200 | 171,331 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 53,600 | 128,035 |
Security Description | Shares | Value | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 15,400 | $ 301,749 | |||
Chow Tai Fook Jewellery Group, Ltd. | 289,200 | 520,065 | |||
CIFI Ever Sunshine Services Group, Ltd. | 82,000 | 127,055 | |||
CIFI Holdings Group Co., Ltd. | 587,792 | 353,596 | |||
CIMC Enric Holdings, Ltd. | 78,000 | 113,454 | |||
CITIC Securities Co., Ltd. Class A | 93,900 | 389,979 | |||
CITIC Securities Co., Ltd. Class H | 348,500 | 909,659 | |||
CITIC Telecom International Holdings, Ltd. | 239,000 | 80,624 | |||
CITIC, Ltd. | 811,000 | 800,983 | |||
Cloopen Group Holding, Ltd. ADR (b)(c) | 7,300 | 21,170 | |||
CMGE Technology Group, Ltd. (b)(c) | 118,000 | 46,920 | |||
COFCO Joycome Foods., Ltd. (b)(c) | 220,000 | 83,809 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 20,200 | 1,867,826 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (b) | 120,000 | 352,694 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (b)(c) | 510,900 | 990,830 | |||
COSCO SHIPPING Ports, Ltd. | 308,581 | 267,960 | |||
Country Garden Holdings Co., Ltd. (c) | 1,097,052 | 973,744 | |||
Country Garden Services Holdings Co., Ltd. | 257,000 | 1,539,435 | |||
CRRC Corp., Ltd. Class A | 188,900 | 180,908 | |||
CRRC Corp., Ltd. Class H | 599,000 | 257,385 | |||
CSC Financial Co., Ltd. Class A | 31,500 | 144,892 | |||
CSPC Pharmaceutical Group, Ltd. | 1,303,280 | 1,415,900 | |||
CStone Pharmaceuticals (b)(d) | 54,500 | 57,811 | |||
Dada Nexus, Ltd. ADR (b) | 7,200 | 94,752 | |||
Dali Foods Group Co., Ltd. (d) | 286,500 | 149,933 | |||
Daqo New Energy Corp. ADR (b) | 8,100 | 326,592 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 5,040 | 33,375 | |||
DiDi Global, Inc. ADR (b) | 41,900 | 208,662 | |||
Differ Group Holding Co., Ltd. (b)(c) | 304,000 | 95,532 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 182,232 | |||
Dongfeng Motor Group Co., Ltd. Class H (b) | 434,000 | 360,725 | |||
Dongyue Group, Ltd. | 236,000 | 368,093 |
Security Description | Shares | Value | |||
DouYu International Holdings, Ltd. ADR (b) | 37,800 | $ 99,792 | |||
East Money Information Co., Ltd. Class A | 92,904 | 542,167 | |||
Eastern Communications Co., Ltd. Class B | 135,500 | 63,414 | |||
Ecovacs Robotics Co., Ltd. Class A | 3,400 | 80,709 | |||
Edvantage Group Holdings, Ltd. | 36,000 | 21,703 | |||
EHang Holdings, Ltd. ADR (b)(c) | 2,700 | 40,284 | |||
ENN Energy Holdings, Ltd. | 113,500 | 2,137,142 | |||
ESR Cayman, Ltd. (b)(d) | 292,400 | 988,256 | |||
Eve Energy Co., Ltd. Class A | 13,306 | 247,286 | |||
Everbright Securities Co., Ltd. Class A | 35,500 | 83,348 | |||
Everest Medicines, Ltd. (b)(c)(d) | 30,000 | 133,910 | |||
Excellence Commercial Property & Facilities Management Group, Ltd. (b) | 69,000 | 40,889 | |||
Fangda Carbon New Material Co., Ltd. Class A | 27,600 | 46,962 | |||
Fanhua, Inc. ADR (c) | 4,800 | 34,944 | |||
Far East Horizon, Ltd. | 238,000 | 211,249 | |||
FIH Mobile, Ltd. (b)(c) | 297,000 | 51,809 | |||
FinVolution Group ADR (c) | 18,700 | 92,191 | |||
Fire Rock Holdings, Ltd. | 290,000 | 40,173 | |||
Flat Glass Group Co., Ltd. Class A | 16,900 | 153,983 | |||
Flat Glass Group Co., Ltd. Class H (b)(c) | 51,000 | 259,046 | |||
Focus Media Information Technology Co., Ltd. Class A | 101,100 | 130,210 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 28,962 | 478,719 | |||
Fosun International, Ltd. | 344,000 | 371,079 | |||
Fosun Tourism Group (b)(d) | 50,600 | 68,018 | |||
Founder Securities Co., Ltd. Class A | 44,900 | 55,357 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 81,200 | 152,209 | |||
FriendTimes, Inc. | 8,000 | 1,416 | |||
Fu Jian Anjoy Foods Co., Ltd. Class A | 1,600 | 42,970 | |||
Fu Shou Yuan International Group, Ltd. | 141,000 | 110,864 | |||
Fufeng Group, Ltd. | 138,000 | 47,615 | |||
Futu Holdings, Ltd. ADR (b)(c) | 9,100 | 394,030 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 12,300 | 91,181 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (d) | 88,000 | 454,882 |
Security Description | Shares | Value | |||
Ganfeng Lithium Co., Ltd. Class A | 10,700 | $ 240,365 | |||
Ganfeng Lithium Co., Ltd. Class H (d) | 35,800 | 563,429 | |||
Gaotu Techedu, Inc. ADR (b)(c) | 14,900 | 28,906 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 106,142 | |||
GCL New Energy Holdings, Ltd. (b)(c) | 258,000 | 7,876 | |||
GD Power Development Co., Ltd. Class A | 239,700 | 119,491 | |||
GDS Holdings, Ltd. ADR (b) | 13,500 | 636,660 | |||
Geely Automobile Holdings, Ltd. | 843,000 | 2,303,131 | |||
GEM Co., Ltd. Class A | 32,900 | 53,548 | |||
Gemdale Corp. Class A | 24,500 | 49,970 | |||
Gemdale Properties & Investment Corp., Ltd. | 808,000 | 86,020 | |||
Genertec Universal Medical Group Co., Ltd. (d) | 93,000 | 67,159 | |||
Genetron Holdings, Ltd. ADR (b) | 1,900 | 11,590 | |||
Genscript Biotech Corp. (b) | 158,000 | 699,178 | |||
GF Securities Co., Ltd. Class A | 60,100 | 232,402 | |||
GF Securities Co., Ltd. Class H | 178,200 | 339,655 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 49,506 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 3,528 | 97,562 | |||
Ginlong Technologies Co., Ltd. Class A | 2,000 | 72,825 | |||
Glory Sun Land Group, Ltd. (b) | 413,658 | 5,518 | |||
GoerTek, Inc. Class A | 28,300 | 240,764 | |||
GOME Retail Holdings, Ltd. (b)(c) | 1,427,000 | 120,803 | |||
Great Wall Motor Co., Ltd. Class A | 14,400 | 109,918 | |||
Great Wall Motor Co., Ltd. Class H | 448,000 | 1,540,013 | |||
Greatview Aseptic Packaging Co., Ltd. | 208,000 | 76,036 | |||
Greenland Holdings Corp., Ltd. Class A | 52,185 | 35,616 | |||
Greentown China Holdings, Ltd. (c) | 100,500 | 161,908 | |||
Greentown Service Group Co., Ltd. | 174,000 | 160,692 | |||
Guangdong Haid Group Co., Ltd. Class A | 8,600 | 99,131 | |||
Guangdong Investment, Ltd. | 404,000 | 513,531 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 4,700 | 134,214 | |||
Guanghui Energy Co., Ltd. Class A (b) | 204,300 | 210,113 |
Security Description | Shares | Value | |||
Guangzhou Automobile Group Co., Ltd. Class H | 378,800 | $ 373,635 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 10,100 | 54,319 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 87,751 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 115,590 | |||
Guangzhou R&F Properties Co., Ltd. Class H (c) | 333,200 | 123,941 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 8,307 | 106,335 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 13,430 | 242,135 | |||
Guosen Securities Co., Ltd. Class A | 26,700 | 48,202 | |||
Guotai Junan Securities Co., Ltd. Class A | 54,200 | 152,482 | |||
Guoxuan High-Tech Co., Ltd. Class A (b) | 8,500 | 68,505 | |||
Haichang Ocean Park Holdings, Ltd. (b)(d) | 165,000 | 67,301 | |||
Haidilao International Holding, Ltd. (c)(d) | 173,000 | 390,544 | |||
Haier Smart Home Co., Ltd. Class A | 40,800 | 191,776 | |||
Haier Smart Home Co., Ltd. Class H | 315,000 | 1,331,305 | |||
Hainan Meilan International Airport Co., Ltd. Class H (b) | 25,000 | 77,120 | |||
Haitian International Holdings, Ltd. (b) | 76,000 | 211,049 | |||
Haitong Securities Co., Ltd. Class A | 61,800 | 119,148 | |||
Haitong Securities Co., Ltd. Class H | 354,800 | 314,466 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 11,280 | 231,576 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 107,057 | |||
Hangzhou Silan Microelectronics Co., Ltd. Class A | 9,600 | 81,824 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 113,200 | 234,929 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 158,769 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (d) | 18,000 | 228,570 | |||
Hansoh Pharmaceutical Group Co., Ltd. (d) | 158,000 | 385,054 |
Security Description | Shares | Value | |||
Harbin Electric Co., Ltd. Class H | 36,000 | $ 16,254 | |||
Health & Happiness H&H International Holdings, Ltd. | 22,500 | 34,863 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 12,200 | 71,868 | |||
Hello Group, Inc. ADR | 21,000 | 188,580 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 28,100 | 139,416 | |||
Hengan International Group Co., Ltd. | 83,000 | 427,440 | |||
Hengli Petrochemical Co., Ltd. Class A | 40,400 | 145,932 | |||
HengTen Networks Group, Ltd. (b)(c) | 455,200 | 172,241 | |||
Hengyi Petrochemical Co., Ltd. Class A | 49,790 | 83,152 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | 81,850 | |||
Hongfa Technology Co., Ltd. Class A | 5,100 | 59,862 | |||
Hope Education Group Co., Ltd. (d) | 186,000 | 35,786 | |||
Hopson Development Holdings, Ltd. | 88,440 | 184,451 | |||
Hoshine Silicon Industry Co., Ltd. Class A | 3,500 | 72,636 | |||
Hua Hong Semiconductor, Ltd. (b)(d) | 65,000 | 358,503 | |||
Hua Medicine (b)(d) | 84,000 | 40,835 | |||
Huadong Medicine Co., Ltd. Class A | 11,260 | 71,182 | |||
Huafon Chemical Co., Ltd. Class A | 33,800 | 55,491 | |||
Hualan Biological Engineering, Inc. Class A | 28,860 | 132,249 | |||
Huaneng Power International, Inc. Class A | 89,900 | 136,991 | |||
Huaneng Power International, Inc. Class H | 478,000 | 319,431 | |||
Huangshan Tourism Development Co., Ltd. Class B (b) | 20,400 | 14,606 | |||
Huatai Securities Co., Ltd. Class A | 50,600 | 141,319 | |||
Huatai Securities Co., Ltd. Class H (d) | 228,400 | 380,261 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 78,533 | |||
Huaxia Bank Co., Ltd. Class A | 152,200 | 134,033 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 80,106 | |||
Huazhu Group, Ltd. ADR (b) | 26,500 | 989,510 | |||
Hubei Xingfa Chemicals Group Co., Ltd. Class A | 16,000 | 95,310 |
Security Description | Shares | Value | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 3,400 | $ 75,661 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 11,800 | 41,789 | |||
Hunan Valin Steel Co., Ltd. Class A | 44,000 | 35,357 | |||
Hundsun Technologies, Inc. Class A | 8,008 | 78,266 | |||
Hutchmed China, Ltd. ADR (b) | 11,900 | 417,452 | |||
HUYA, Inc. ADR (b) | 9,200 | 63,848 | |||
Hygeia Healthcare Holdings Co., Ltd. (d) | 45,000 | 281,672 | |||
iClick Interactive Asia Group, Ltd. ADR (b)(c) | 15,000 | 69,150 | |||
iDreamSky Technology Holdings, Ltd. (b)(d) | 134,400 | 107,743 | |||
Iflytek Co., Ltd. Class A | 24,100 | 199,006 | |||
I-Mab ADR (b) | 6,600 | 312,774 | |||
Imeik Technology Development Co., Ltd. Class A | 1,900 | 160,183 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 458,300 | 333,686 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 8,155,000 | 4,602,440 | |||
Industrial Bank Co., Ltd. Class A | 186,800 | 559,309 | |||
Industrial Securities Co., Ltd. Class A | 42,900 | 66,653 | |||
Ingenic Semiconductor Co., Ltd. Class A | 3,500 | 73,753 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (b) | 292,000 | 128,113 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 219,500 | 180,528 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 49,900 | 325,340 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | 152,164 | |||
Innovent Biologics, Inc. (b)(d) | 161,500 | 999,497 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,900 | 44,512 | |||
Inspur International, Ltd. (b) | 14,000 | 8,081 | |||
Intco Medical Technology Co., Ltd. Class A | 7,500 | 68,218 | |||
iQIYI, Inc. ADR (b) | 49,400 | 225,264 | |||
JA Solar Technology Co., Ltd. Class A | 12,000 | 174,932 | |||
Jafron Biomedical Co., Ltd. Class A | 9,500 | 79,627 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 4,100 | 49,749 | |||
JCET Group Co., Ltd. Class A | 16,700 | 81,464 |
Security Description | Shares | Value | |||
JD Health International, Inc. (b)(d) | 44,000 | $ 346,806 | |||
JD.com, Inc. ADR (b) | 116,900 | 8,191,183 | |||
JD.com, Inc. Class A (b) | 17,600 | 618,550 | |||
Jiangsu Eastern Shenghong Co., Ltd. Class A | 23,500 | 71,471 | |||
Jiangsu Expressway Co., Ltd. Class H | 224,000 | 229,565 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 13,468 | 173,246 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 52,824 | 421,243 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 7,700 | 65,871 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 11,900 | 308,267 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 2,100 | 43,327 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 24,900 | 66,410 | |||
Jiangxi Copper Co., Ltd. Class A | 32,700 | 114,827 | |||
Jiangxi Copper Co., Ltd. Class H | 142,000 | 227,308 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 25,800 | 39,193 | |||
Jiayuan International Group, Ltd. (c) | 119,815 | 40,418 | |||
Jinchuan Group International Resources Co., Ltd. | 832,000 | 145,135 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 29,237 | |||
JinkoSolar Holding Co., Ltd. ADR (b)(c) | 5,400 | 248,184 | |||
Jinxin Fertility Group, Ltd. (b)(d) | 162,000 | 180,986 | |||
JiuGui Liquor Co., Ltd. Class A | 2,200 | 73,517 | |||
Jiumaojiu International Holdings, Ltd. (c)(d) | 88,000 | 154,637 | |||
Joinn Laboratories China Co., Ltd. Class A | 2,380 | 43,202 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 34,900 | 80,787 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A | 5,170 | 30,870 | |||
JOYY, Inc. ADR | 8,800 | 399,784 | |||
Juewei Food Co., Ltd. Class A | 4,000 | 42,981 | |||
JW Cayman Therapeutics Co., Ltd. (b)(d) | 8,000 | 13,791 | |||
Kaisa Group Holdings, Ltd. (b) | 333,714 | 33,387 | |||
Kangji Medical Holdings, Ltd. (c) | 38,000 | 38,700 |
Security Description | Shares | Value | |||
Kanzhun, Ltd. ADR (b) | 11,000 | $ 383,680 | |||
KE Holdings, Inc. ADR (b) | 52,800 | 1,062,336 | |||
Kerry Logistics Network, Ltd. | 101,500 | 248,142 | |||
Kingboard Holdings, Ltd. | 88,000 | 428,357 | |||
Kingdee International Software Group Co., Ltd. (b) | 356,000 | 1,095,904 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 16,800 | 33,235 | |||
Kingsoft Cloud Holdings, Ltd. ADR (b)(c) | 10,900 | 171,675 | |||
Kingsoft Corp., Ltd. | 131,800 | 579,012 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,694 | |||
Koolearn Technology Holding, Ltd. (b)(c)(d) | 21,500 | 14,588 | |||
Kuaishou Technology (b)(d) | 65,600 | 606,247 | |||
Kuang-Chi Technologies Co., Ltd. Class A (b) | 14,300 | 53,993 | |||
Kunlun Energy Co., Ltd. | 534,000 | 500,691 | |||
Kweichow Moutai Co., Ltd. Class A | 10,900 | 3,513,890 | |||
KWG Group Holdings, Ltd. (b) | 202,000 | 132,140 | |||
KWG Living Group Holdings, Ltd. | 104,000 | 42,687 | |||
LB Group Co., Ltd. Class A | 11,000 | 49,455 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 108,451 | |||
Lenovo Group, Ltd. | 990,000 | 1,137,770 | |||
Lens Technology Co., Ltd. Class A | 26,800 | 96,848 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 9,700 | 34,519 | |||
LexinFintech Holdings, Ltd. ADR (b) | 11,600 | 44,776 | |||
Li Auto, Inc. ADR (b) | 77,800 | 2,497,380 | |||
Li Ning Co., Ltd. | 320,000 | 3,503,200 | |||
Lifetech Scientific Corp. (b) | 516,000 | 242,238 | |||
Lingyi iTech Guangdong Co. Class A (b) | 50,400 | 58,333 | |||
Logan Group Co., Ltd. | 189,000 | 144,484 | |||
Longfor Group Holdings, Ltd. (d) | 263,000 | 1,238,036 | |||
LONGi Green Energy Technology Co., Ltd. Class A (b) | 44,680 | 605,659 | |||
Lonking Holdings, Ltd. | 174,000 | 48,877 | |||
Luoyang Glass Co., Ltd. Class H (b)(c) | 34,000 | 76,493 | |||
Luxshare Precision Industry Co., Ltd. Class A | 51,868 | 401,303 | |||
Luye Pharma Group, Ltd. (b)(c)(d) | 205,000 | 93,608 | |||
Luzhou Laojiao Co., Ltd. Class A | 12,100 | 483,064 | |||
Mango Excellent Media Co., Ltd. Class A | 9,700 | 87,283 |
Security Description | Shares | Value | |||
Maoyan Entertainment (b)(d) | 41,600 | $ 48,770 | |||
Maxscend Microelectronics Co., Ltd. Class A | 2,500 | 128,478 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (b) | 24,000 | 29,627 | |||
Meitu, Inc. (b)(d) | 176,500 | 35,090 | |||
Meituan Class B (b)(d) | 591,400 | 17,098,054 | |||
Metallurgical Corp. of China, Ltd. Class A | 116,300 | 70,046 | |||
Microport Scientific Corp. | 97,308 | 354,469 | |||
Midea Real Estate Holding, Ltd. (d) | 42,400 | 65,914 | |||
Ming Yang Smart Energy Group, Ltd. Class A | 25,500 | 104,662 | |||
Ming Yuan Cloud Group Holdings, Ltd. (b) | 94,000 | 214,132 | |||
Minth Group, Ltd. | 122,000 | 537,524 | |||
MMG, Ltd. (b) | 284,000 | 91,069 | |||
Mobvista, Inc. (b)(d) | 53,000 | 46,771 | |||
Montage Technology Co., Ltd. Class A | 9,953 | 131,271 | |||
Muyuan Foods Co., Ltd. Class A | 37,823 | 317,380 | |||
Nam Tai Property, Inc. (b) | 2,400 | 24,216 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 33,969 | 224,357 | |||
Nanjing Securities Co., Ltd. Class A | 23,900 | 37,246 | |||
NARI Technology Co., Ltd. Class A | 40,200 | 253,058 | |||
National Silicon Industry Group Co., Ltd. Class A (b) | 25,200 | 102,321 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 218,284 | |||
NetDragon Websoft Holdings, Ltd. | 19,000 | 44,647 | |||
NetEase, Inc. | 291,200 | 5,882,791 | |||
New China Life Insurance Co., Ltd. Class A | 11,300 | 69,090 | |||
New China Life Insurance Co., Ltd. Class H | 129,800 | 347,130 | |||
New Hope Liuhe Co., Ltd. Class A (b) | 42,400 | 101,415 | |||
New Oriental Education & Technology Group, Inc. ADR (b) | 254,300 | 534,030 | |||
Nexteer Automotive Group, Ltd. | 160,000 | 198,658 | |||
Ninestar Corp. Class A | 16,800 | 126,177 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 16,500 | 137,521 | |||
Ningxia Baofeng Energy Group Co., Ltd. Class A | 44,500 | 121,484 | |||
NIO, Inc. ADR (b) | 197,000 | 6,240,960 | |||
Niu Technologies ADR (b) | 3,400 | 54,774 |
Security Description | Shares | Value | |||
Noah Holdings, Ltd. ADR (b) | 4,500 | $ 138,105 | |||
Nongfu Spring Co., Ltd. Class H (d) | 254,800 | 1,681,498 | |||
Ocumension Therapeutics (b)(d) | 19,000 | 42,648 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 66,985 | |||
OneConnect Financial Technology Co., Ltd. (b) | 14,200 | 35,074 | |||
OneSmart International Education Group, Ltd. ADR (b) | 6,800 | 2,721 | |||
Oppein Home Group, Inc. Class A | 6,300 | 146,130 | |||
Orient Securities Co., Ltd. Class A | 32,600 | 75,565 | |||
Ovctek China, Inc. Class A | 4,620 | 41,681 | |||
Peijia Medical, Ltd. (b)(d) | 20,000 | 34,119 | |||
People's Insurance Co. Group of China, Ltd. Class A | 77,000 | 56,911 | |||
People's Insurance Co. Group of China, Ltd. Class H | 1,306,000 | 395,336 | |||
Perfect World Co., Ltd. Class A | 10,650 | 34,015 | |||
PetroChina Co., Ltd. Class A | 124,800 | 96,362 | |||
PetroChina Co., Ltd. Class H | 2,932,000 | 1,304,983 | |||
Pharmaron Beijing Co., Ltd. Class A | 4,800 | 106,635 | |||
Pharmaron Beijing Co., Ltd. Class H (d) | 16,300 | 251,515 | |||
PICC Property & Casualty Co., Ltd. Class H | 971,700 | 793,932 | |||
Pinduoduo, Inc. ADR (b) | 62,400 | 3,637,920 | |||
Ping An Bank Co., Ltd. Class A | 176,700 | 457,933 | |||
Ping An Healthcare & Technology Co., Ltd. (b)(c)(d) | 70,700 | 257,089 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 89,290 | 707,827 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 916,000 | 6,597,155 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 86,300 | 212,118 | |||
Poly Property Group Co., Ltd. | 182,000 | 47,856 | |||
Postal Savings Bank of China Co., Ltd. Class A | 225,400 | 180,772 | |||
Postal Savings Bank of China Co., Ltd. Class H (d) | 1,198,000 | 840,535 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 180,684 | |||
Powerlong Commercial Management Holdings, Ltd. | 16,000 | 29,758 | |||
Powerlong Real Estate Holdings, Ltd. | 175,000 | 91,582 |
Security Description | Shares | Value | |||
Prinx Chengshan Holdings, Ltd. | 1,500 | $ 1,399 | |||
Prosus NV (b) | 139,633 | 11,675,874 | |||
Proya Cosmetics Co., Ltd. Class A | 1,400 | 45,861 | |||
Q Technology Group Co., Ltd. (c) | 47,000 | 60,767 | |||
Qudian, Inc. ADR (b) | 26,300 | 25,487 | |||
Radiance Holdings Group Co., Ltd. (b)(c) | 99,000 | 52,698 | |||
Raytron Technology Co., Ltd. Class A | 5,962 | 73,664 | |||
Redco Properties Group, Ltd. (c)(d) | 108,000 | 36,017 | |||
Redsun Properties Group, Ltd. | 120,000 | 33,708 | |||
ReneSola, Ltd. ADR (b) | 13,300 | 79,268 | |||
RLX Technology, Inc. ADR (b)(c) | 85,200 | 332,280 | |||
Rongsheng Petrochemical Co., Ltd. Class A | 103,050 | 294,287 | |||
Ronshine China Holdings, Ltd. (b)(c) | 54,500 | 20,971 | |||
SAIC Motor Corp., Ltd. Class A | 73,500 | 238,448 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 75,090 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 128,000 | 123,792 | |||
Sany Heavy Industry Co., Ltd. Class A | 58,300 | 209,031 | |||
Satellite Chemical Co., Ltd. Class A | 12,600 | 79,317 | |||
SDIC Capital Co., Ltd. Class A | 34,352 | 44,405 | |||
SDIC Power Holdings Co., Ltd. Class A | 41,600 | 75,035 | |||
Seazen Group, Ltd. (b) | 238,000 | 160,879 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 63,674 | |||
SF Holding Co., Ltd. Class A | 40,500 | 438,943 | |||
SG Micro Corp. Class A | 1,500 | 72,888 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 73,400 | 140,820 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 112,099 | |||
Shandong Gold Mining Co., Ltd. Class A | 16,800 | 49,721 | |||
Shandong Gold Mining Co., Ltd. Class H (c)(d) | 91,000 | 155,707 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 13,650 | 67,187 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 144,888 |
Security Description | Shares | Value | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 82,200 | $ 60,884 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 17,800 | 32,162 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 384,400 | 479,742 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 4,760 | 44,785 | |||
Shanghai Baosight Software Co., Ltd. Class A | 27,821 | 266,133 | |||
Shanghai Baosight Software Co., Ltd. Class B | 52,934 | 255,512 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 68,123 | |||
Shanghai Diesel Engine Co., Ltd. Class B | 32,500 | 19,402 | |||
Shanghai Electric Group Co., Ltd. Class A | 55,900 | 42,722 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 10,900 | 83,888 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 66,000 | 290,792 | |||
Shanghai Haixin Group Co. Class B | 42,000 | 15,036 | |||
Shanghai Highly Group Co., Ltd. Class B | 24,100 | 12,556 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 77,226 | |||
Shanghai Industrial Urban Development Group, Ltd. | 63,600 | 6,200 | |||
Shanghai International Airport Co., Ltd. Class A (b) | 5,200 | 38,180 | |||
Shanghai International Port Group Co., Ltd. Class A | 63,800 | 54,981 | |||
Shanghai Jin Jiang Capital Co., Ltd. Class H | 182,000 | 68,399 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 5,500 | 50,684 | |||
Shanghai Jinqiao Export Processing Zone Development Co., Ltd. Class B | 85,900 | 77,825 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 140,935 | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | 61,882 | |||
Shanghai Mechanical and Electrical Industry Co., Ltd. Class B | 62,000 | 84,568 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 25,600 | 79,992 |
Security Description | Shares | Value | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | $ 191,283 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 264,800 | 355,201 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 10,080 | 254,590 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 110,000 | 117,974 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 42,500 | 68,839 | |||
Shangri-La Asia, Ltd. (b) | 156,000 | 130,262 | |||
Shanxi Coking Coal Energy Group Co., Ltd. Class A | 129,480 | 168,390 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 122,365 | |||
Shanxi Meijin Energy Co., Ltd. Class A (b) | 34,400 | 87,798 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 42,100 | 46,608 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 10,960 | 544,256 | |||
Sheng Ye Capital, Ltd. | 92,500 | 91,951 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 117,397 | |||
Shennan Circuits Co., Ltd. Class A | 4,760 | 91,187 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 224,600 | 180,837 | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 5,000 | 88,850 | |||
Shenzhen Energy Group Co., Ltd. Class A | 52,200 | 66,491 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 2,627 | 44,521 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 30,750 | 331,724 | |||
Shenzhen International Holdings, Ltd. | 163,282 | 169,643 | |||
Shenzhen Investment, Ltd. | 724,301 | 156,077 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 4,100 | 63,534 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 10,000 | 598,832 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 50,300 | 55,686 | |||
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A (b) | 7,200 | 30,933 | |||
Shenzhen SC New Energy Technology Corp. Class A | 2,200 | 39,544 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 5,900 | 23,492 |
Security Description | Shares | Value | |||
Shenzhen Transsion Holdings Co., Ltd. Class A | 5,516 | $ 136,099 | |||
Shenzhou International Group Holdings, Ltd. | 119,500 | 2,297,635 | |||
Shimao Group Holdings, Ltd. (c) | 220,500 | 144,241 | |||
Shimao Services Holdings, Ltd. (c)(d) | 71,000 | 49,359 | |||
Shoucheng Holdings, Ltd. | 176,000 | 34,991 | |||
Shougang Fushan Resources Group, Ltd. | 244,000 | 82,624 | |||
Shui On Land, Ltd. | 328,000 | 44,175 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 150,769 | |||
Sichuan Expressway Co., Ltd. Class H | 20,000 | 5,336 | |||
Sichuan Road & Bridge Co., Ltd. Class A | 39,400 | 74,599 | |||
Sichuan Swellfun Co., Ltd. Class A | 3,400 | 64,155 | |||
Sieyuan Electric Co., Ltd. Class A | 11,100 | 85,898 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. (c) | 463,000 | 87,893 | |||
Silergy Corp. | 11,000 | 1,997,867 | |||
Sinolink Securities Co., Ltd. Class A | 19,600 | 34,922 | |||
Sinoma Science & Technology Co., Ltd. Class A | 11,600 | 62,058 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 69,099 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 69,382 | |||
Sinopec Kantons Holdings, Ltd. | 120,000 | 47,099 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 87,347 | |||
Sinopharm Group Co., Ltd. Class H | 206,400 | 449,001 | |||
Sinotruk Hong Kong, Ltd. | 87,000 | 133,910 | |||
SITC International Holdings Co., Ltd. | 200,000 | 723,420 | |||
Skshu Paint Co., Ltd. Class A | 2,520 | 55,143 | |||
Smoore International Holdings, Ltd. (c)(d) | 260,000 | 1,325,629 | |||
SOHO China, Ltd. (b) | 353,000 | 77,878 | |||
Sohu.com, Ltd. ADR (b) | 8,000 | 130,240 | |||
Songcheng Performance Development Co., Ltd. Class A | 32,040 | 72,151 | |||
SOS, Ltd. (b)(c) | 21,500 | 17,677 | |||
StarPower Semiconductor, Ltd. Class A | 1,900 | 113,838 | |||
Sun Art Retail Group, Ltd. | 251,500 | 100,970 | |||
Sun King Technology Group, Ltd. | 146,000 | 82,398 | |||
Sunac China Holdings, Ltd. | 411,000 | 621,010 |
Security Description | Shares | Value | |||
Sunac Services Holdings, Ltd. (d) | 193,000 | $ 196,805 | |||
Sungrow Power Supply Co., Ltd. Class A | 13,900 | 318,699 | |||
Suning.com Co., Ltd. Class A (b) | 50,500 | 32,719 | |||
Sunny Optical Technology Group Co., Ltd. | 101,600 | 3,213,647 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 125,305 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 11,100 | 47,304 | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 800 | 80,805 | |||
Suzhou TA&A Ultra Clean Technology Co., Ltd. Class A | 4,800 | 61,141 | |||
TAL Education Group ADR (b) | 69,600 | 273,528 | |||
TBEA Co., Ltd. Class A | 113,000 | 376,190 | |||
TCL Electronics Holdings, Ltd. | 73,000 | 37,922 | |||
TCL Technology Group Corp Class A | 139,900 | 135,741 | |||
Tencent Holdings, Ltd. | 833,200 | 48,818,768 | |||
Tencent Music Entertainment Group ADR (b) | 104,600 | 716,510 | |||
Thunder Software Technology Co., Ltd. Class A | 6,400 | 139,311 | |||
TI Fluid Systems PLC (d) | 21,178 | 73,146 | |||
Tianfeng Securities Co., Ltd. Class A | 115,900 | 73,815 | |||
Tiangong International Co., Ltd. | 104,000 | 63,630 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 29,600 | 194,337 | |||
Tianjin ZhongXin Pharmaceutical Group Corp., Ltd. Class S | 67,900 | 78,085 | |||
Tianli Education International Holdings, Ltd. | 105,000 | 25,724 | |||
Tianma Microelectronics Co., Ltd. Class A | 16,900 | 34,602 | |||
Tianneng Power International, Ltd. (c) | 78,000 | 82,539 | |||
Times Neighborhood Holdings, Ltd. | 42,000 | 15,569 | |||
Tingyi Cayman Islands Holding Corp. | 262,000 | 538,363 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 54,818 | |||
Tongcheng Travel Holdings, Ltd. (b) | 119,200 | 220,778 | |||
Tongdao Liepin Group (b) | 19,400 | 47,130 | |||
Tongkun Group Co., Ltd. Class A | 12,700 | 42,300 |
Security Description | Shares | Value | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | $ 189,842 | |||
Tongwei Co., Ltd. Class A | 37,800 | 267,255 | |||
Topchoice Medical Corp. Class A (b) | 2,000 | 62,588 | |||
Topsports International Holdings, Ltd. (d) | 188,000 | 190,259 | |||
Towngas China Co., Ltd. (b) | 96,803 | 84,184 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 92,349 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 180,065 | |||
Trip.com Group, Ltd. ADR (b) | 72,600 | 1,787,412 | |||
Tsingtao Brewery Co., Ltd. Class A | 4,500 | 70,058 | |||
Tsingtao Brewery Co., Ltd. Class H | 82,000 | 767,800 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 6,300 | 222,911 | |||
Uni-President China Holdings, Ltd. | 138,000 | 133,817 | |||
Unisplendour Corp., Ltd. Class A | 12,880 | 46,282 | |||
Up Fintech Holding, Ltd. ADR (b)(c) | 21,800 | 107,038 | |||
Uxin, Ltd. ADR (b)(c) | 71,600 | 113,128 | |||
Venus MedTech Hangzhou, Inc. Class H (b)(c)(d) | 26,500 | 100,612 | |||
Vesync Co., Ltd. (c) | 57,000 | 69,237 | |||
Vipshop Holdings, Ltd. ADR (b) | 61,700 | 518,280 | |||
Viva Biotech Holdings (d) | 81,500 | 49,237 | |||
Vnet Group, Inc. ADR (b) | 14,400 | 130,032 | |||
VSTECS Holdings, Ltd. | 136,000 | 127,517 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 193,548 | |||
Wanhua Chemical Group Co., Ltd. Class A | 25,400 | 403,425 | |||
Want Want China Holdings, Ltd. | 656,000 | 602,460 | |||
Weibo Corp. ADR (b)(c) | 8,710 | 269,836 | |||
Weichai Power Co., Ltd. Class A | 79,100 | 222,533 | |||
Weichai Power Co., Ltd. Class H | 296,000 | 579,372 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 135,507 | |||
Weimob, Inc. (b)(d) | 245,000 | 247,945 | |||
Wens Foodstuffs Group Co., Ltd. Class A (b) | 34,560 | 104,674 | |||
West China Cement, Ltd. (b) | 262,000 | 46,712 | |||
Western Securities Co., Ltd. Class A | 30,800 | 39,087 | |||
Westone Information Industry, Inc. Class A | 11,900 | 104,683 | |||
Wharf Holdings, Ltd. | 247,000 | 758,777 |
Security Description | Shares | Value | |||
Will Semiconductor Co., Ltd. Shanghai Class A | 8,100 | $ 395,851 | |||
Wilmar International, Ltd. | 269,100 | 826,372 | |||
Wingtech Technology Co., Ltd. Class A | 8,000 | 162,666 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 163,569 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 33,320 | 126,855 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 11,500 | 48,864 | |||
Wuliangye Yibin Co., Ltd. Class A | 32,500 | 1,137,977 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 13,640 | 35,564 | |||
WuXi AppTec Co., Ltd. Class A | 21,000 | 391,596 | |||
WuXi AppTec Co., Ltd. Class H (d) | 48,003 | 831,215 | |||
Wuxi Biologics Cayman, Inc. (b)(d) | 521,500 | 6,190,735 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 23,680 | 276,941 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 2,000 | 52,517 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 105,877 | |||
XD, Inc. (b)(c) | 22,000 | 111,463 | |||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (b)(d) | 40,500 | 31,636 | |||
Xiamen C & D, Inc. Class A | 72,000 | 102,695 | |||
Xiamen Faratronic Co., Ltd. Class A | 1,900 | 69,438 | |||
Xiaomi Corp. Class B (b)(d) | 2,066,000 | 5,008,453 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 22,900 | 59,311 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 115,200 | 224,894 | |||
Xinyi Solar Holdings, Ltd. | 705,811 | 1,196,827 | |||
XPeng, Inc. ADR (b) | 55,600 | 2,798,348 | |||
Xtep International Holdings, Ltd. | 168,474 | 280,923 | |||
Yadea Group Holdings, Ltd. (d) | 146,000 | 284,648 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 370,300 | 368,061 | |||
Yankuang Energy Group Co., Ltd. Class H | 234,000 | 465,221 | |||
Yanlord Land Group, Ltd. | 128,800 | 106,048 |
Security Description | Shares | Value | |||
Yantai Eddie Precision Machinery Co., Ltd. Class A | 13,300 | $ 66,761 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | 73,596 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 27,700 | 102,497 | |||
Yatsen Holding, Ltd. ADR (b) | 11,900 | 25,585 | |||
Yeahka, Ltd. (b)(c) | 28,000 | 92,659 | |||
Yealink Network Technology Corp., Ltd. Class A | 8,400 | 107,592 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 6,916 | 59,937 | |||
Yihai International Holding, Ltd. (b)(c) | 58,000 | 268,191 | |||
Yihai Kerry Arawana Holdings Co., Ltd. Class A | 10,000 | 98,961 | |||
Yixin Group, Ltd. (b)(d) | 141,000 | 22,064 | |||
Yonghui Superstores Co., Ltd. Class A | 51,900 | 33,054 | |||
YongXing Special Materials Technology Co., Ltd. Class A | 3,400 | 79,142 | |||
Yonyou Network Technology Co., Ltd. Class A | 20,930 | 118,094 | |||
Youdao, Inc. ADR (b) | 10,100 | 126,048 | |||
YTO Express Group Co., Ltd. Class A | 44,600 | 116,987 | |||
Yuexiu Property Co., Ltd. | 305,800 | 269,467 | |||
Yuexiu Transport Infrastructure, Ltd. | 208,000 | 123,258 | |||
Yum China Holdings, Inc. | 60,100 | 2,995,384 | |||
Yunda Holding Co., Ltd. Class A | 18,850 | 60,649 | |||
Yunnan Aluminium Co., Ltd. Class A (b) | 41,400 | 72,721 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 9,200 | 151,403 | |||
Yunnan Energy New Material Co., Ltd. Class A | 8,000 | 315,016 | |||
Yuzhou Group Holdings Co., Ltd. (c) | 326,648 | 26,815 | |||
Zai Lab, Ltd. ADR (b) | 11,395 | 716,176 | |||
Zensun Enterprises, Ltd. | 120,000 | 59,413 | |||
Zepp Health Corp. ADR (b) | 5,700 | 28,785 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 5,600 | 384,969 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 161,000 | 137,534 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (b) | 45,800 | 60,428 | |||
Zhejiang Chint Electrics Co., Ltd. Class A (b) | 13,200 | 111,864 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 18,400 | 67,940 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 8,260 | 104,253 |
Security Description | Shares | Value | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | $ 153,329 | |||
Zhejiang HangKe Technology, Inc. Co. Class A | 5,639 | 95,398 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 27,000 | 91,967 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 7,300 | 126,633 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 20,600 | 225,144 | |||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 11,900 | 105,282 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 21,100 | 41,908 | |||
Zhejiang NHU Co., Ltd. Class A | 14,040 | 68,709 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A (b) | 34,000 | 135,272 | |||
Zhejiang Supor Co., Ltd. Class A (b) | 3,800 | 37,193 | |||
Zhejiang Weiming Environment Protection Co., Ltd. Class A | 18,000 | 103,402 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | 111,734 | |||
Zhejiang Yongtai Technology Co., Ltd. Class A (b) | 12,100 | 97,442 | |||
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H (c) | 27,200 | 28,608 | |||
Zhenro Properties Group, Ltd. | 342,000 | 162,746 | |||
Zheshang Securities Co., Ltd. Class A | 21,700 | 44,976 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (b)(c)(d) | 60,300 | 209,603 | |||
Zhongliang Holdings Group Co., Ltd. | 192,500 | 90,123 | |||
Zhongsheng Group Holdings, Ltd. | 86,500 | 674,576 | |||
Zhongtai Securities Co., Ltd. Class A | 72,500 | 113,669 | |||
Zhou Hei Ya International Holdings Co., Ltd. (b)(c)(d) | 102,000 | 76,929 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 75,000 | 434,341 | |||
Zhuzhou Kibing Group Co., Ltd. Class A | 19,700 | 52,975 | |||
Zijin Mining Group Co., Ltd. Class A | 135,100 | 206,080 | |||
Zijin Mining Group Co., Ltd. Class H | 780,000 | 928,440 |
Security Description | Shares | Value | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A (b) | 87,400 | $ 98,546 | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class H | 198,800 | 125,201 | |||
ZTE Corp. Class A | 25,000 | 131,702 | |||
ZTE Corp. Class H | 90,800 | 248,654 | |||
ZTO Express Cayman, Inc. ADR | 62,100 | 1,752,462 | |||
393,470,118 | |||||
COLOMBIA — 0.0% (a) | |||||
Bancolombia SA ADR | 500 | 15,795 | |||
Bancolombia SA | 36,061 | 307,449 | |||
Bancolombia SA Preference Shares | 45,715 | 359,430 | |||
Canacol Energy, Ltd. | 16,900 | 42,947 | |||
Cementos Argos SA | 60,790 | 91,260 | |||
Corp. Financiera Colombiana SA (b) | 9,211 | 64,726 | |||
Ecopetrol SA ADR (c) | 700 | 9,023 | |||
Ecopetrol SA | 545,795 | 360,734 | |||
Grupo Argos SA | 49,231 | 163,902 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 182,720 | |||
Interconexion Electrica SA ESP | 58,240 | 320,534 | |||
Millicom International Cellular SA SDR (b) | 13,384 | 380,358 | |||
2,298,878 | |||||
CYPRUS — 0.0% (a) | |||||
Atalaya Mining PLC | 10,407 | 58,004 | |||
CZECH REPUBLIC — 0.0% (a) | |||||
CEZ A/S | 23,879 | 903,717 | |||
Komercni banka A/S | 11,765 | 503,401 | |||
Moneta Money Bank A/S (d) | 69,836 | 299,613 | |||
Philip Morris CR A/S | 128 | 94,308 | |||
1,801,039 | |||||
DENMARK — 1.6% | |||||
ALK-Abello A/S (b) | 950 | 498,223 | |||
Alm Brand A/S | 122,302 | 238,237 | |||
Ambu A/S Class B | 24,174 | 639,441 | |||
AP Moller - Maersk A/S Class A | 524 | 1,744,998 | |||
AP Moller - Maersk A/S Class B | 835 | 2,993,884 | |||
Atlantic Sapphire ASA (b)(c) | 7,460 | 35,742 | |||
Bavarian Nordic A/S (b) | 9,501 | 390,485 | |||
Better Collective A/S (b) | 3,740 | 81,378 | |||
Carlsberg AS Class B | 14,372 | 2,482,042 | |||
cBrain A/S | 1,152 | 49,671 | |||
Cementir Holding NV | 5,474 | 52,166 | |||
Chemometec A/S | 2,260 | 287,845 | |||
Chr. Hansen Holding A/S | 15,388 | 1,212,641 |
Security Description | Shares | Value | |||
Coloplast A/S Class B | 17,141 | $ 3,016,596 | |||
D/S Norden A/S | 5,060 | 128,739 | |||
Danske Bank A/S | 99,598 | 1,720,056 | |||
Demant A/S (b) | 15,236 | 780,640 | |||
Dfds A/S (b) | 6,404 | 341,729 | |||
Drilling Co. of 1972 A/S (b) | 3,800 | 148,857 | |||
DSV A/S | 29,435 | 6,874,655 | |||
FLSmidth & Co. A/S | 6,895 | 257,551 | |||
Genmab A/S (b) | 9,477 | 3,810,941 | |||
GN Store Nord A/S | 17,943 | 1,128,390 | |||
H Lundbeck A/S | 11,647 | 300,691 | |||
ISS A/S (b) | 22,771 | 435,209 | |||
Jyske Bank A/S (b) | 8,043 | 414,432 | |||
Matas A/S | 12,409 | 236,217 | |||
Netcompany Group A/S (d) | 5,701 | 614,098 | |||
Nilfisk Holding A/S (b) | 3,415 | 112,263 | |||
NKT A/S (b) | 5,931 | 286,201 | |||
NNIT A/S (b)(d) | 5,944 | 104,334 | |||
Novo Nordisk A/S Class B | 242,972 | 27,305,442 | |||
Novozymes A/S Class B | 29,423 | 2,416,733 | |||
NTG Nordic Transport Group A/S Class A (b) | 870 | 71,034 | |||
Orsted A/S (d) | 27,295 | 3,485,614 | |||
Pandora A/S | 14,471 | 1,804,159 | |||
Per Aarsleff Holding A/S | 2,547 | 118,972 | |||
Ringkjoebing Landbobank A/S | 4,482 | 601,689 | |||
ROCKWOOL International A/S Class B | 1,235 | 540,056 | |||
Royal Unibrew A/S | 6,920 | 780,004 | |||
Scandinavian Tobacco Group A/S Class A (d) | 10,671 | 224,017 | |||
Schouw & Co. A/S | 1,823 | 158,601 | |||
SimCorp A/S | 5,781 | 631,820 | |||
Solar A/S Class B | 753 | 91,531 | |||
Spar Nord Bank A/S | 14,608 | 186,725 | |||
Sydbank A/S | 9,123 | 288,465 | |||
Topdanmark A/S | 7,847 | 440,327 | |||
Trifork Holding AG (b) | 1,282 | 59,491 | |||
Tryg A/S | 51,952 | 1,282,863 | |||
Vestas Wind Systems A/S | 145,712 | 4,455,854 | |||
Zealand Pharma A/S (b) | 6,002 | 133,159 | |||
76,494,908 | |||||
EGYPT — 0.0% (a) | |||||
Centamin PLC | 201,929 | 242,925 | |||
Commercial International Bank Egypt SAE (b) | 183,728 | 619,717 | |||
Eastern Co SAE | 112,565 | 76,811 | |||
ElSewedy Electric Co. | 69,110 | 43,243 | |||
Energean PLC (b) | 22,295 | 258,188 | |||
1,240,884 | |||||
FAEROE ISLANDS — 0.0% (a) | |||||
Bakkafrost P/F | 8,463 | 560,086 |
Security Description | Shares | Value | |||
FINLAND — 0.8% | |||||
Admicom Oyj | 920 | $ 88,406 | |||
Aktia Bank Oyj | 16,282 | 227,375 | |||
Anora Group Oyj | 4,874 | 60,194 | |||
BasWare Oyj (b) | 3,905 | 134,333 | |||
Cargotec Oyj Class B | 5,573 | 277,841 | |||
Caverion Oyj | 14,031 | 101,959 | |||
Citycon Oyj (b)(c) | 6,474 | 51,536 | |||
Elisa Oyj | 20,840 | 1,282,603 | |||
Finnair Oyj (b)(c) | 99,297 | 67,210 | |||
Fortum Oyj | 63,842 | 1,959,504 | |||
F-Secure Oyj | 14,547 | 82,135 | |||
Harvia Oyj | 1,795 | 119,823 | |||
Huhtamaki Oyj | 13,994 | 618,894 | |||
Kamux Corp. | 4,099 | 53,466 | |||
Kemira Oyj | 15,042 | 228,020 | |||
Kesko Oyj Class B | 39,691 | 1,324,308 | |||
Kojamo Oyj | 17,592 | 424,919 | |||
Kone Oyj Class B | 49,042 | 3,515,775 | |||
Konecranes Oyj | 8,165 | 326,469 | |||
Marimekko Oyj (b) | 836 | 80,524 | |||
Metsa Board Oyj Class B | 25,610 | 250,755 | |||
Metso Outotec Oyj | 89,708 | 953,645 | |||
Musti Group Oyj (b) | 7,349 | 258,741 | |||
Neles Oyj | 21,711 | 338,003 | |||
Neste Oyj | 61,043 | 3,009,968 | |||
Nokia Oyj (b)(e) | 765,587 | 4,852,866 | |||
Nokia Oyj (b)(e) | 12,368 | 78,271 | |||
Nokian Renkaat Oyj | 20,812 | 788,124 | |||
Nordea Bank Abp (e) | 463,093 | 5,651,936 | |||
Nordea Bank Abp (e) | 4,394 | 53,896 | |||
Oriola Oyj Class B | 11,775 | 26,848 | |||
Orion Oyj Class B | 16,964 | 704,524 | |||
Outokumpu Oyj (b) | 68,881 | 430,823 | |||
Puuilo Oyj (b) | 6,116 | 65,030 | |||
QT Group Oyj (b) | 2,926 | 444,547 | |||
Remedy Entertainment Oyj | 975 | 44,018 | |||
Revenio Group Oyj | 3,977 | 251,233 | |||
Rovio Entertainment Oyj (d) | 4,628 | 34,630 | |||
Sampo Oyj Class A | 71,962 | 3,605,657 | |||
Sanoma Oyj | 9,523 | 147,499 | |||
Spinnova Oyj (b) | 2,218 | 33,875 | |||
Stora Enso Oyj Class R | 84,393 | 1,548,983 | |||
Talenom Oyj | 3,511 | 46,715 | |||
TietoEVRY Oyj | 12,811 | 400,347 | |||
Tokmanni Group Corp. | 6,629 | 148,131 | |||
UPM-Kymmene Oyj | 77,012 | 2,930,361 | |||
Uponor Oyj | 8,507 | 202,577 | |||
Valmet Oyj | 21,112 | 905,603 | |||
Wartsila OYJ Abp | 72,752 | 1,022,587 | |||
YIT Oyj (c) | 22,823 | 111,967 | |||
40,367,454 | |||||
FRANCE — 5.9% | |||||
AB Science SA (b) | 2,718 | 37,091 | |||
ABC arbitrage | 11,541 | 93,708 |
Security Description | Shares | Value | |||
Accor SA (b) | 25,040 | $ 810,127 | |||
Adevinta ASA (b) | 36,411 | 484,335 | |||
Aeroports de Paris (b) | 4,477 | 576,838 | |||
Air France-KLM (b) | 50,144 | 220,739 | |||
Air Liquide SA | 68,532 | 11,948,929 | |||
Airbus SE (b) | 85,278 | 10,896,461 | |||
Akka Technologies (b) | 2,518 | 138,306 | |||
AKWEL | 1,074 | 26,564 | |||
Albioma SA | 3,457 | 134,765 | |||
ALD SA (d) | 13,620 | 200,423 | |||
Alstom SA | 45,901 | 1,629,640 | |||
Altarea SCA REIT | 443 | 84,433 | |||
Alten SA | 4,297 | 774,518 | |||
Amundi SA (d) | 8,224 | 678,512 | |||
Aramis Group SAS (b)(d) | 2,795 | 44,689 | |||
Arkema SA | 9,292 | 1,308,706 | |||
Atos SE | 13,346 | 567,471 | |||
Aubay | 681 | 48,480 | |||
AXA SA | 279,991 | 8,337,453 | |||
Believe SA (b) | 2,588 | 49,732 | |||
Beneteau SA (b) | 8,515 | 137,890 | |||
BioMerieux | 5,993 | 851,223 | |||
BNP Paribas SA | 162,714 | 11,244,779 | |||
Boiron SA | 454 | 18,457 | |||
Bollore SA | 131,034 | 733,138 | |||
Bonduelle SCA | 1,324 | 31,393 | |||
Bouygues SA | 34,758 | 1,244,699 | |||
Bureau Veritas SA | 44,131 | 1,464,421 | |||
Capgemini SE | 23,195 | 5,684,318 | |||
Carmila SA REIT | 9,871 | 155,583 | |||
Carrefour SA | 91,210 | 1,670,475 | |||
Casino Guichard Perrachon SA (b) | 4,904 | 129,104 | |||
Cellectis SA (b) | 6,927 | 58,608 | |||
CGG SA (b) | 58,359 | 42,235 | |||
Chargeurs SA | 5,066 | 150,133 | |||
Cie de Saint-Gobain | 72,570 | 5,105,920 | |||
Cie des Alpes (b) | 1,015 | 15,929 | |||
Cie Generale des Etablissements Michelin SCA | 24,417 | 4,002,614 | |||
Cie Plastic Omnium SA | 7,171 | 186,420 | |||
CNP Assurances | 27,834 | 688,449 | |||
Coface SA (b) | 17,138 | 244,201 | |||
Covivio REIT | 7,022 | 576,547 | |||
Credit Agricole SA | 178,914 | 2,553,435 | |||
Danone SA | 94,499 | 5,866,473 | |||
Dassault Aviation SA | 3,899 | 421,224 | |||
Dassault Systemes SE | 96,170 | 5,720,857 | |||
Derichebourg SA (b) | 21,744 | 250,982 | |||
Edenred | 35,529 | 1,639,173 | |||
Eiffage SA | 12,050 | 1,239,597 | |||
Electricite de France SA | 82,883 | 973,649 | |||
Elior Group SA (b)(d) | 27,606 | 199,820 | |||
Elis SA (b) | 32,174 | 556,873 | |||
Engie SA | 264,213 | 3,910,225 |
Security Description | Shares | Value | |||
Eramet SA (b) | 1,844 | $ 150,879 | |||
Esker SA | 715 | 293,935 | |||
EssilorLuxottica SA | 41,537 | 8,844,443 | |||
Eurazeo SE | 5,311 | 463,846 | |||
Europcar Mobility Group (b)(d) | 406,135 | 233,792 | |||
Eutelsat Communications SA | 31,606 | 385,841 | |||
Faurecia SE (e) | 15,629 | 743,457 | |||
Faurecia SE (e) | 2,032 | 94,927 | |||
Fnac Darty SA | 3,113 | 203,556 | |||
Gaztransport Et Technigaz SA | 3,105 | 290,425 | |||
Gecina SA REIT | 7,116 | 994,545 | |||
Getlink SE | 61,954 | 1,025,811 | |||
Hermes International | 4,581 | 8,001,810 | |||
ICADE REIT | 3,914 | 280,858 | |||
ID Logistics Group (b) | 344 | 143,765 | |||
Imerys SA | 3,902 | 162,141 | |||
Interparfums SA | 2,800 | 234,036 | |||
Ipsen SA | 5,750 | 526,381 | |||
IPSOS | 5,617 | 263,491 | |||
JCDecaux SA (b) | 11,798 | 295,167 | |||
Kaufman & Broad SA | 1,893 | 79,543 | |||
Kering SA | 10,851 | 8,722,972 | |||
Klepierre SA REIT (b) | 32,449 | 769,386 | |||
Korian SA | 10,342 | 327,424 | |||
La Francaise des Jeux SAEM (d) | 12,891 | 570,846 | |||
Lagardere SA (b) | 5,606 | 155,426 | |||
Legrand SA | 38,453 | 4,499,688 | |||
LISI | 1,713 | 55,226 | |||
LNA Sante SA | 455 | 26,027 | |||
L'Oreal SA | 36,302 | 17,212,790 | |||
LVMH Moet Hennessy Louis Vuitton SE | 40,160 | 33,202,047 | |||
Maisons du Monde SA (d) | 4,452 | 103,079 | |||
Manitou BF SA | 1,060 | 33,210 | |||
McPhy Energy SA (b) | 2,265 | 55,739 | |||
Mercialys SA REIT | 13,227 | 128,908 | |||
Mersen SA | 3,522 | 147,793 | |||
Metropole Television SA | 2,287 | 44,629 | |||
Neoen SA (b)(d) | 5,049 | 219,104 | |||
Nexans SA | 3,423 | 334,183 | |||
Nexity SA | 5,241 | 246,389 | |||
Orange SA | 289,341 | 3,097,239 | |||
Orpea SA | 7,480 | 749,401 | |||
Pernod Ricard SA | 30,306 | 7,289,131 | |||
PEUGEOT INVEST | 451 | 63,597 | |||
Pharmagest Interactive | 412 | 44,041 | |||
Publicis Groupe SA | 32,981 | 2,220,354 | |||
Quadient SA | 3,126 | 68,041 | |||
Remy Cointreau SA | 3,144 | 765,126 | |||
Renault SA (b) | 27,806 | 965,863 | |||
Rexel SA (b) | 32,973 | 668,569 | |||
Rubis SCA | 16,146 | 482,166 | |||
Safran SA | 49,443 | 6,053,352 |
Security Description | Shares | Value | |||
Sanofi | 164,489 | $ 16,569,496 | |||
Sartorius Stedim Biotech | 4,061 | 2,227,804 | |||
SCOR SE | 21,592 | 673,773 | |||
SEB SA | 3,735 | 581,475 | |||
SES-imagotag SA (b) | 637 | 54,475 | |||
SMCP SA (b)(d) | 4,538 | 37,853 | |||
Societe BIC SA | 4,123 | 221,868 | |||
Societe Generale SA | 116,848 | 4,013,626 | |||
Sodexo SA | 13,476 | 1,180,937 | |||
SOITEC (b) | 3,157 | 772,598 | |||
Solutions 30 SE (b) | 8,587 | 69,284 | |||
Sopra Steria Group SACA | 2,111 | 378,099 | |||
SPIE SA | 21,501 | 555,525 | |||
Suez SA | 53,454 | 1,204,208 | |||
Technicolor SA (b) | 24,714 | 79,593 | |||
Technip Energies NV (b) | 19,962 | 291,024 | |||
Teleperformance | 8,479 | 3,779,788 | |||
Television Francaise 1 | 4,354 | 43,201 | |||
Thales SA | 16,281 | 1,384,903 | |||
TotalEnergies SE | 362,862 | 18,416,416 | |||
Trigano SA | 1,440 | 280,024 | |||
Ubisoft Entertainment SA (b) | 14,845 | 727,096 | |||
Unibail-Rodamco-Westfield CDI (b)(e) | 34,100 | 118,260 | |||
Unibail-Rodamco-Westfield REIT (b)(e) | 16,220 | 1,136,604 | |||
Valeo | 32,776 | 990,713 | |||
Vallourec SA (b) | 18,541 | 185,546 | |||
Valneva SE (b) | 9,438 | 262,956 | |||
Veolia Environnement SA | 94,821 | 3,478,609 | |||
Verallia SASU (d) | 11,025 | 388,165 | |||
Vicat SA | 3,900 | 159,663 | |||
Vilmorin & Cie SA | 622 | 37,913 | |||
Vinci SA | 77,809 | 8,221,083 | |||
Virbac SA | 654 | 315,713 | |||
Vivendi SE | 115,840 | 1,566,308 | |||
Voltalia SA (b) | 2,962 | 66,222 | |||
Wendel SE | 3,842 | 460,505 | |||
Worldline SA (b)(d) | 33,965 | 1,893,011 | |||
282,719,496 | |||||
GEORGIA — 0.0% (a) | |||||
Bank of Georgia Group PLC | 5,714 | 129,092 | |||
TBC Bank Group PLC | 4,451 | 99,473 | |||
228,565 | |||||
GERMANY — 5.1% | |||||
1&1 AG | 6,659 | 181,894 | |||
Aareal Bank AG | 7,346 | 240,257 | |||
About You Holding SE (b) | 5,000 | 116,336 | |||
Adesso SE | 303 | 72,015 | |||
Adidas AG | 27,472 | 7,910,259 | |||
ADLER Group SA (d) | 8,987 | 111,398 | |||
ADVA Optical Networking SE (b) | 10,788 | 172,735 | |||
AIXTRON SE | 17,031 | 346,100 | |||
Allianz SE | 59,489 | 14,047,704 |
Security Description | Shares | Value | |||
Alstria Office REIT-AG | 23,891 | $ 530,607 | |||
Amadeus Fire AG | 685 | 141,775 | |||
Aroundtown SA | 137,953 | 834,602 | |||
Atoss Software AG | 537 | 132,517 | |||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,824 | 117,588 | |||
Aurubis AG | 4,053 | 405,875 | |||
BASF SE | 132,525 | 9,310,703 | |||
Basler AG | 379 | 68,443 | |||
Bayer AG | 141,752 | 7,576,416 | |||
Bayerische Motoren Werke AG | 47,532 | 4,783,183 | |||
Bayerische Motoren Werke AG Preference Shares | 8,324 | 693,862 | |||
BayWa AG | 2,500 | 109,598 | |||
Bechtle AG | 12,795 | 915,807 | |||
Beiersdorf AG | 15,058 | 1,547,663 | |||
Bertrandt AG (b) | 1,559 | 101,055 | |||
Bilfinger SE (b) | 5,632 | 191,501 | |||
Borussia Dortmund GmbH & Co. KGaA (b) | 7,994 | 39,454 | |||
Brenntag SE | 22,547 | 2,040,466 | |||
CANCOM SE | 4,936 | 332,415 | |||
Carl Zeiss Meditec AG | 5,807 | 1,220,697 | |||
CECONOMY AG (b) | 17,753 | 76,515 | |||
Cewe Stiftung & Co. KGaA | 785 | 114,623 | |||
Commerzbank AG (b) | 138,343 | 1,052,338 | |||
CompuGroup Medical SE & Co. KgaA | 3,440 | 278,336 | |||
Continental AG (b) | 16,345 | 1,730,685 | |||
Corestate Capital Holding SA (b)(c) | 2,251 | 28,875 | |||
Covestro AG (d) | 28,716 | 1,769,946 | |||
CropEnergies AG | 4,161 | 58,013 | |||
CTS Eventim AG & Co. KGaA (b) | 8,311 | 608,284 | |||
Daimler AG | 123,492 | 9,492,006 | |||
Daimler Truck Holding AG (b) | 59,090 | 2,169,795 | |||
Datagroup SE (b) | 430 | 47,433 | |||
Dermapharm Holding SE | 3,546 | 360,103 | |||
Deutsche Bank AG (b) | 298,224 | 3,736,647 | |||
Deutsche Beteiligungs AG | 2,337 | 105,907 | |||
Deutsche Boerse AG | 27,306 | 4,567,805 | |||
Deutsche EuroShop AG | 5,377 | 89,520 | |||
Deutsche Lufthansa AG (b) | 83,739 | 588,509 | |||
Deutsche Pfandbriefbank AG (d) | 19,403 | 233,228 | |||
Deutsche Post AG | 143,025 | 9,196,117 | |||
Deutsche Telekom AG | 480,915 | 8,914,412 | |||
Deutz AG (b) | 12,501 | 93,400 | |||
DIC Asset AG | 5,992 | 104,733 | |||
Draegerwerk AG & Co. KGaA | 314 | 19,318 | |||
Draegerwerk AG & Co. KGaA Preference Shares | 947 | 59,500 | |||
Duerr AG | 7,444 | 339,628 | |||
E.ON SE | 322,737 | 4,474,664 |
Security Description | Shares | Value | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 2,138 | $ 228,788 | |||
Einhell Germany AG Preference Shares | 242 | 60,820 | |||
Elmos Semiconductor SE | 932 | 62,002 | |||
ElringKlinger AG (b) | 2,938 | 37,120 | |||
Encavis AG | 12,193 | 215,753 | |||
Energiekontor AG | 858 | 69,276 | |||
Evonik Industries AG | 34,081 | 1,103,409 | |||
Evotec SE (b) | 18,118 | 875,661 | |||
Fielmann AG | 3,402 | 228,837 | |||
Flatex DEGIRO AG (b) | 9,844 | 226,579 | |||
Fraport AG Frankfurt Airport Services Worldwide (b) | 5,337 | 359,177 | |||
Freenet AG | 21,418 | 566,777 | |||
Fresenius Medical Care AG & Co. KGaA | 29,591 | 1,922,811 | |||
Fresenius SE & Co. KGaA | 60,432 | 2,432,803 | |||
FUCHS PETROLUB SE Preference Shares | 10,028 | 455,241 | |||
GEA Group AG | 22,136 | 1,210,572 | |||
Gerresheimer AG | 4,531 | 436,430 | |||
GFT Technologies SE | 2,000 | 104,964 | |||
Grand City Properties SA | 14,407 | 342,090 | |||
GRENKE AG | 4,025 | 140,292 | |||
Hamborner REIT AG | 13,775 | 156,931 | |||
Hamburger Hafen und Logistik AG | 2,251 | 52,630 | |||
Hannover Rueck SE | 9,118 | 1,733,176 | |||
HeidelbergCement AG | 22,284 | 1,508,318 | |||
Heidelberger Druckmaschinen AG (b) | 30,000 | 90,237 | |||
HelloFresh SE (b) | 23,832 | 1,830,452 | |||
Henkel AG & Co. KGaA Preference Shares | 25,817 | 2,088,605 | |||
Henkel AG & Co. KGaA | 14,994 | 1,171,416 | |||
Hensoldt AG | 7,515 | 106,997 | |||
HOCHTIEF AG | 2,491 | 201,126 | |||
Home24 SE (b) | 2,725 | 35,947 | |||
Hornbach Baumarkt AG | 819 | 44,380 | |||
Hornbach Holding AG & Co. KGaA | 1,214 | 182,924 | |||
HUGO BOSS AG | 8,634 | 525,294 | |||
Hypoport SE (b) | 457 | 265,567 | |||
Indus Holding AG | 1,771 | 65,958 | |||
Infineon Technologies AG | 188,429 | 8,734,110 | |||
Instone Real Estate Group SE (d) | 7,035 | 133,123 | |||
Jenoptik AG | 7,113 | 300,422 | |||
JOST Werke AG (d) | 3,047 | 171,520 | |||
Jungheinrich AG Preference Shares | 6,146 | 313,677 | |||
K+S AG (b) | 27,697 | 478,282 | |||
KION Group AG | 10,412 | 1,142,374 | |||
Kloeckner & Co. SE (b) | 12,637 | 154,055 | |||
Knorr-Bremse AG | 10,467 | 1,034,377 | |||
Koenig & Bauer AG (b) | 1,881 | 66,953 |
Security Description | Shares | Value | |||
Krones AG | 2,176 | $ 237,309 | |||
KWS SAA t SE & Co. KGaA | 1,667 | 138,387 | |||
LANXESS AG | 13,168 | 816,118 | |||
LEG Immobilien SE | 10,510 | 1,466,507 | |||
LPKF Laser & Electronics AG | 2,502 | 55,597 | |||
MBB SE | 230 | 36,042 | |||
Medios AG (b) | 1,048 | 46,301 | |||
Merck KGaA | 18,549 | 4,788,319 | |||
METRO AG | 18,554 | 194,538 | |||
MLP SE | 12,808 | 124,824 | |||
Montana Aerospace AG (b)(d) | 2,262 | 84,035 | |||
MorphoSys AG (b) | 3,637 | 137,935 | |||
MTU Aero Engines AG | 7,961 | 1,624,153 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 20,215 | 5,988,502 | |||
Nagarro SE (b) | 1,607 | 369,151 | |||
Nemetschek SE | 8,333 | 1,068,925 | |||
New Work SE | 256 | 63,319 | |||
Nordex SE (b) | 15,250 | 241,231 | |||
Norma Group SE | 3,466 | 133,539 | |||
Northern Data AG (b) | 970 | 84,937 | |||
OHB SE | 540 | 22,107 | |||
PATRIZIA AG | 4,758 | 110,921 | |||
Pfeiffer Vacuum Technology AG | 515 | 126,502 | |||
PNE AG | 3,945 | 37,909 | |||
Porsche Automobil Holding SE Preference Shares | 22,094 | 2,096,454 | |||
ProSiebenSat.1 Media SE | 29,028 | 462,479 | |||
Puma SE | 15,671 | 1,915,764 | |||
PVA TePla AG (b) | 2,642 | 125,888 | |||
Rational AG | 716 | 733,137 | |||
Rheinmetall AG | 6,001 | 566,829 | |||
RWE AG | 92,692 | 3,765,221 | |||
SAF-Holland SE (b) | 7,955 | 111,271 | |||
Salzgitter AG (b) | 5,203 | 185,907 | |||
SAP SE | 150,670 | 21,400,601 | |||
Sartorius AG Preference Shares | 4,275 | 2,893,582 | |||
Schaeffler AG Preference Shares | 16,805 | 139,317 | |||
Scout24 SE (d) | 12,081 | 843,819 | |||
Secunet Security Networks AG | 245 | 115,207 | |||
SGL Carbon SE (b) | 6,303 | 55,120 | |||
Siemens AG | 110,380 | 19,165,021 | |||
Siemens Energy AG (b) | 60,240 | 1,540,675 | |||
Siemens Healthineers AG (d) | 40,689 | 3,045,591 | |||
Siltronic AG | 2,468 | 394,609 | |||
Sirius Real Estate, Ltd. | 129,886 | 248,757 | |||
Sixt SE (b) | 2,056 | 363,806 | |||
Sixt SE Preference Shares | 2,921 | 288,329 | |||
SMA Solar Technology AG | 2,210 | 93,944 | |||
Software AG | 6,632 | 264,570 | |||
Softwareone Holding AG (b) | 12,183 | 264,211 |
Security Description | Shares | Value | |||
Stabilus SA | 3,524 | $ 258,684 | |||
Steico SE | 1,042 | 133,190 | |||
STO SE & Co. KGaA Preference Shares | 608 | 152,803 | |||
STRATEC SE | 869 | 136,178 | |||
Stroeer SE & Co. KGaA | 4,200 | 330,993 | |||
Suedzucker AG | 10,311 | 155,365 | |||
Symrise AG | 18,504 | 2,741,870 | |||
Synlab AG (b) | 5,999 | 161,001 | |||
TAG Immobilien AG | 20,229 | 566,139 | |||
Takkt AG | 5,349 | 93,433 | |||
TeamViewer AG (b)(d) | 23,210 | 311,982 | |||
Telefonica Deutschland Holding AG | 150,217 | 416,988 | |||
Thyssenkrupp AG (b) | 55,874 | 615,320 | |||
TUI AG (b)(c) | 171,190 | 536,543 | |||
Uniper SE | 26,583 | 1,263,622 | |||
United Internet AG | 15,885 | 631,171 | |||
Varta AG (c) | 2,625 | 341,800 | |||
VERBIO Vereinigte BioEnergie AG | 7,261 | 497,910 | |||
Vitesco Technologies Group AG Class A (b) | 2,749 | 135,050 | |||
Volkswagen AG | 4,929 | 1,448,399 | |||
Volkswagen AG Preference Shares | 26,778 | 5,404,609 | |||
Vonovia SE | 106,451 | 5,871,218 | |||
Vossloh AG | 1,786 | 91,701 | |||
Wacker Chemie AG | 2,112 | 316,072 | |||
Wacker Neuson SE | 5,915 | 169,778 | |||
Westwing Group AG (b) | 1,239 | 31,195 | |||
Wuestenrot & Wuerttembergische AG | 2,120 | 42,576 | |||
Zalando SE (b)(d) | 32,427 | 2,623,357 | |||
Zeal Network SE | 1,460 | 66,080 | |||
242,893,762 | |||||
GHANA — 0.0% (a) | |||||
Tullow Oil PLC (b) | 111,829 | 70,356 | |||
GREECE — 0.1% | |||||
Aegean Airlines SA (b) | 8,153 | 44,550 | |||
Alpha Services & Holdings SA (b) | 322,157 | 394,566 | |||
Athens Water Supply & Sewage Co. SA (b) | 4,435 | 39,390 | |||
Eurobank Ergasias Services & Holdings SA Class A (b) | 375,312 | 380,454 | |||
FF Group (b)(f) | 122 | — | |||
GEK Terna Holding Real Estate Construction SA (b) | 9,885 | 106,904 | |||
Hellenic Petroleum Holdings SA (b) | 7,184 | 50,815 | |||
Hellenic Telecommunications Organization SA | 33,011 | 610,214 | |||
Holding Co. ADMIE IPTO SA | 31,100 | 85,411 | |||
JUMBO SA | 15,734 | 225,448 | |||
LAMDA Development SA (b) | 12,062 | 94,715 |
Security Description | Shares | Value | |||
Motor Oil Hellas Corinth Refineries SA | 8,808 | $ 137,726 | |||
Mytilineos SA | 14,458 | 248,762 | |||
National Bank of Greece SA (b) | 79,333 | 264,518 | |||
OPAP SA | 29,925 | 424,363 | |||
Piraeus Financial Holdings SA (b) | 81,346 | 119,334 | |||
Public Power Corp. SA (b) | 28,800 | 307,863 | |||
Sarantis SA | 3,274 | 33,136 | |||
Terna Energy SA | 8,992 | 138,865 | |||
3,707,034 | |||||
GUERNSEY — 0.0% (a) | |||||
BMO Commercial Property Trust REIT | 140,782 | 200,216 | |||
HONG KONG — 1.5% | |||||
AIA Group, Ltd. | 1,749,800 | 17,640,968 | |||
Alibaba Pictures Group, Ltd. (b)(c) | 1,680,000 | 152,996 | |||
Apollo Future Mobility Group, Ltd. (b)(c) | 1,040,000 | 60,028 | |||
ASM Pacific Technology, Ltd. | 44,500 | 480,885 | |||
Bank of East Asia, Ltd. | 217,340 | 312,226 | |||
Beijing Energy International Holding Co., Ltd. (b) | 158,000 | 5,978 | |||
Cafe de Coral Holdings, Ltd. | 40,000 | 71,316 | |||
Champion REIT | 300,000 | 153,534 | |||
China High Speed Transmission Equipment Group Co., Ltd. (b)(c) | 107,000 | 77,131 | |||
China Huishan Dairy Holdings Co., Ltd. (b)(f) | 66,000 | — | |||
China Youzan, Ltd. (b)(c) | 1,724,000 | 119,410 | |||
Chinese Estates Holdings, Ltd. (b) | 55,000 | 20,317 | |||
Chow Sang Sang Holdings International, Ltd. | 60,000 | 83,886 | |||
Citychamp Watch & Jewellery Group, Ltd. (b) | 286,000 | 56,127 | |||
CK Asset Holdings, Ltd. | 289,681 | 1,826,228 | |||
CK Infrastructure Holdings, Ltd. | 96,000 | 611,367 | |||
CK Life Sciences Int'l Holdings, Inc. | 310,000 | 29,424 | |||
CLP Holdings, Ltd. | 235,500 | 2,378,773 | |||
CMBC Capital Holdings, Ltd. (c) | 47,999 | 29,737 | |||
C-Mer Eye Care Holdings, Ltd. | 40,000 | 35,350 | |||
Comba Telecom Systems Holdings, Ltd. (b)(c) | 280,000 | 64,646 | |||
Concord New Energy Group, Ltd. | 620,000 | 65,210 | |||
Cowell e Holdings, Inc. (b) | 46,000 | 77,529 | |||
CP Pokphand Co., Ltd. | 354,000 | 51,763 | |||
Crystal International Group, Ltd. (d) | 65,500 | 22,012 |
Security Description | Shares | Value | |||
Dah Sing Banking Group, Ltd. | 38,000 | $ 32,462 | |||
Dah Sing Financial Holdings, Ltd. | 23,200 | 70,228 | |||
Digital China Holdings, Ltd. (c) | 68,000 | 43,174 | |||
EC Healthcare | 54,000 | 77,160 | |||
Far East Consortium International, Ltd. | 109,605 | 39,926 | |||
Fortune Real Estate Investment Trust | 216,000 | 221,921 | |||
Glory Sun Financial Group, Ltd. (b) | 4,116,000 | 105,589 | |||
Grand Pharmaceutical Group, Ltd. Class A (c) | 130,000 | 107,884 | |||
Guotai Junan International Holdings, Ltd. | 261,000 | 36,156 | |||
Haitong International Securities Group, Ltd. | 379,000 | 81,670 | |||
Hang Lung Group, Ltd. | 131,000 | 279,935 | |||
Hang Lung Properties, Ltd. | 287,000 | 590,470 | |||
Hang Seng Bank, Ltd. | 110,600 | 2,024,373 | |||
Henderson Land Development Co., Ltd. | 211,466 | 900,513 | |||
Hi Sun Technology China, Ltd. (b)(c) | 207,000 | 27,348 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 383,164 | 375,974 | |||
HKBN, Ltd. | 114,000 | 139,936 | |||
HKT Trust & HKT, Ltd. Stapled Security | 564,000 | 758,144 | |||
Hong Kong & China Gas Co., Ltd. | 1,602,101 | 2,494,710 | |||
Hong Kong Exchanges & Clearing, Ltd. | 174,261 | 10,178,990 | |||
Hong Kong Technology Venture Co., Ltd. (c) | 127,000 | 138,463 | |||
Hongkong & Shanghai Hotels Ltd (b) | 37,473 | 32,925 | |||
Hongkong Land Holdings, Ltd. | 172,500 | 897,000 | |||
Huabao International Holdings, Ltd. (c) | 113,000 | 208,714 | |||
Hutchison Port Holdings Trust Stapled Security | 883,800 | 198,855 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 346,000 | 55,475 | |||
Hysan Development Co., Ltd. | 82,000 | 253,479 | |||
IVD Medical Holding, Ltd. | 218,000 | 90,038 | |||
Jardine Matheson Holdings, Ltd. | 31,200 | 1,716,312 | |||
Johnson Electric Holdings, Ltd. | 52,500 | 111,245 | |||
K Wah International Holdings, Ltd. | 225,000 | 86,868 | |||
Kerry Properties, Ltd. | 75,500 | 196,587 |
Security Description | Shares | Value | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | $ 193,892 | |||
Lifestyle International Holdings, Ltd. (b) | 41,000 | 22,561 | |||
Link REIT | 302,590 | 2,664,444 | |||
LK Technology Holdings, Ltd. (c) | 75,000 | 154,112 | |||
Luk Fook Holdings International, Ltd. | 51,000 | 137,373 | |||
Man Wah Holdings, Ltd. | 257,600 | 399,139 | |||
Melco International Development, Ltd. (b) | 78,000 | 95,145 | |||
Melco Resorts & Entertainment, Ltd. ADR (b) | 29,630 | 301,633 | |||
MTR Corp., Ltd. | 234,881 | 1,260,825 | |||
New World Development Co., Ltd. | 228,581 | 904,496 | |||
Nine Dragons Paper Holdings, Ltd. (b) | 242,000 | 259,808 | |||
Nissin Foods Co., Ltd. (c) | 76,000 | 58,197 | |||
NWS Holdings, Ltd. | 225,968 | 211,873 | |||
Pacific Basin Shipping, Ltd. | 790,000 | 289,804 | |||
Pacific Textiles Holdings, Ltd. | 85,000 | 40,122 | |||
PAX Global Technology, Ltd. | 81,000 | 57,350 | |||
PCCW, Ltd. | 557,471 | 282,443 | |||
Perfect Medical Health Management, Ltd. | 80,000 | 58,079 | |||
Pou Sheng International Holdings, Ltd. (b) | 219,000 | 32,023 | |||
Power Assets Holdings, Ltd. | 202,000 | 1,259,213 | |||
Prosperity REIT | 191,000 | 75,456 | |||
Realord Group Holdings, Ltd. (b)(c) | 46,000 | 57,409 | |||
Sa Sa International Holdings, Ltd. (b)(c) | 124,000 | 26,561 | |||
Shun Tak Holdings, Ltd. (b) | 122,000 | 33,644 | |||
Sino Biopharmaceutical, Ltd. | 1,464,000 | 1,025,286 | |||
Sino Land Co., Ltd. | 503,184 | 626,697 | |||
Skyworth Group, Ltd. (b) | 160,000 | 112,053 | |||
SmarTone Telecommunications Holdings, Ltd. | 38,500 | 20,494 | |||
SSY Group, Ltd. (c) | 204,000 | 105,188 | |||
Stella International Holdings, Ltd. | 45,500 | 55,034 | |||
Sun Hung Kai & Co., Ltd. | 57,000 | 30,414 | |||
Sun Hung Kai Properties, Ltd. | 188,500 | 2,287,252 | |||
SUNeVision Holdings, Ltd. | 101,000 | 95,607 | |||
Sunlight Real Estate Investment Trust | 122,000 | 67,914 | |||
Swire Pacific, Ltd. Class A | 72,000 | 409,579 | |||
Swire Properties, Ltd. | 188,200 | 471,689 | |||
Techtronic Industries Co., Ltd. | 199,000 | 3,961,469 | |||
Texhong Textile Group, Ltd. | 30,500 | 40,295 |
Security Description | Shares | Value | |||
Truly International Holdings, Ltd. | 248,000 | $ 101,474 | |||
United Laboratories International Holdings, Ltd. | 166,000 | 92,834 | |||
Value Partners Group, Ltd. | 187,000 | 93,305 | |||
Vinda International Holdings, Ltd. | 47,000 | 114,541 | |||
Vitasoy International Holdings, Ltd. (b)(c) | 98,000 | 197,853 | |||
Viva China Holdings, Ltd. | 528,000 | 104,296 | |||
VTech Holdings, Ltd. | 23,700 | 185,586 | |||
WH Group, Ltd. (d) | 1,240,702 | 778,194 | |||
Wharf Real Estate Investment Co., Ltd. (c) | 247,000 | 1,254,595 | |||
Xinyi Glass Holdings, Ltd. | 275,000 | 687,826 | |||
Yue Yuen Industrial Holdings, Ltd. (b) | 105,500 | 176,458 | |||
Yuexiu Real Estate Investment Trust | 420,000 | 174,006 | |||
Zhuguang Holdings Group Co., Ltd. (c) | 174,000 | 36,156 | |||
69,181,062 | |||||
HUNGARY — 0.1% | |||||
Magyar Telekom Telecommunications PLC | 65,543 | 83,218 | |||
MOL Hungarian Oil & Gas PLC | 59,117 | 459,659 | |||
OTP Bank Nyrt (b) | 32,320 | 1,655,397 | |||
Richter Gedeon Nyrt | 20,169 | 542,966 | |||
2,741,240 | |||||
INDIA — 3.7% | |||||
3M India, Ltd. (b) | 304 | 103,714 | |||
Aarti Drugs, Ltd. (b) | 792 | 5,806 | |||
Aarti Industries, Ltd. | 30,791 | 416,121 | |||
Aavas Financiers, Ltd. (b) | 5,091 | 179,165 | |||
ACC, Ltd. | 11,017 | 328,388 | |||
Adani Enterprises, Ltd. | 41,112 | 945,427 | |||
Adani Green Energy, Ltd. (b) | 56,339 | 1,008,197 | |||
Adani Ports & Special Economic Zone, Ltd. | 68,953 | 677,419 | |||
Adani Power, Ltd. (b) | 82,554 | 110,723 | |||
Adani Total Gas, Ltd. | 39,744 | 920,571 | |||
Adani Transmission, Ltd. (b) | 39,744 | 930,756 | |||
Aditya Birla Capital, Ltd. (b) | 106,473 | 177,465 | |||
Aditya Birla Fashion & Retail, Ltd. (b) | 76,383 | 279,748 | |||
Aegis Logistics, Ltd. | 15,946 | 47,461 | |||
Affle India, Ltd. (b) | 5,330 | 80,840 | |||
AIA Engineering, Ltd. | 5,614 | 141,412 | |||
Ajanta Pharma, Ltd. | 5,671 | 170,548 | |||
Alembic Pharmaceuticals, Ltd. | 7,522 | 81,144 | |||
Alkyl Amines Chemicals | 1,560 | 74,452 | |||
Allcargo Logistics, Ltd. | 10,620 | 55,718 | |||
Alok Industries, Ltd. (b) | 102,260 | 35,423 | |||
Amara Raja Batteries, Ltd. | 11,750 | 100,712 |
Security Description | Shares | Value | |||
Amber Enterprises India, Ltd. (b) | 3,821 | $ 170,459 | |||
Ambuja Cements, Ltd. | 97,798 | 496,649 | |||
APL Apollo Tubes, Ltd. (b) | 21,488 | 289,009 | |||
Apollo Hospitals Enterprise, Ltd. | 14,502 | 978,055 | |||
Apollo Tyres, Ltd. | 31,067 | 91,589 | |||
Asahi India Glass, Ltd. | 8,757 | 56,811 | |||
Ashok Leyland, Ltd. | 189,516 | 312,182 | |||
Asian Paints, Ltd. | 55,502 | 2,525,847 | |||
Astral, Ltd. | 13,028 | 399,906 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 53,683 | |||
Atul, Ltd. | 2,138 | 259,978 | |||
AU Small Finance Bank, Ltd. (b)(d) | 13,987 | 195,028 | |||
Aurobindo Pharma, Ltd. | 46,396 | 458,339 | |||
Avanti Feeds, Ltd. | 6,665 | 50,636 | |||
Avenue Supermarts, Ltd. (b)(d) | 22,986 | 1,444,501 | |||
Axis Bank, Ltd. (b) | 328,201 | 2,995,881 | |||
Bajaj Auto, Ltd. | 9,942 | 434,570 | |||
Bajaj Electricals, Ltd. (b) | 14,427 | 249,246 | |||
Bajaj Finance, Ltd. | 39,292 | 3,688,030 | |||
Bajaj Finserv, Ltd. | 5,486 | 1,210,784 | |||
Balaji Amines, Ltd. | 1,401 | 64,264 | |||
Balkrishna Industries, Ltd. | 12,535 | 391,788 | |||
Balrampur Chini Mills, Ltd. | 31,845 | 157,435 | |||
Bandhan Bank, Ltd. (d) | 95,573 | 324,895 | |||
BASF India, Ltd. | 5,048 | 205,837 | |||
Bata India, Ltd. | 10,694 | 269,257 | |||
Bayer CropScience, Ltd. | 1,511 | 100,926 | |||
BEML, Ltd. | 2,700 | 59,680 | |||
Berger Paints India, Ltd. | 33,671 | 349,571 | |||
Bharat Electronics, Ltd. | 176,105 | 497,382 | |||
Bharat Forge, Ltd. | 37,864 | 355,461 | |||
Bharat Heavy Electricals, Ltd. (b) | 104,240 | 82,665 | |||
Bharat Petroleum Corp., Ltd. | 128,161 | 664,549 | |||
Bharti Airtel, Ltd. (b) | 357,299 | 3,286,728 | |||
Biocon, Ltd. (b) | 50,440 | 247,431 | |||
Birla Corp., Ltd. | 3,296 | 63,035 | |||
Birlasoft, Ltd. | 16,592 | 121,579 | |||
Blue Dart Express, Ltd. | 2,241 | 190,620 | |||
Blue Star, Ltd. | 6,804 | 92,615 | |||
Brigade Enterprises, Ltd. | 14,178 | 93,515 | |||
Brightcom Group, Ltd. | 49,974 | 120,438 | |||
Britannia Industries, Ltd. | 15,107 | 732,836 | |||
Brookfield India Real Estate Trust REIT (d) | 15,270 | 60,995 | |||
BSE, Ltd. | 3,189 | 82,304 | |||
Can Fin Homes, Ltd. | 8,634 | 64,225 | |||
Canara Bank (b) | 39,938 | 107,426 | |||
Carborundum Universal, Ltd. | 16,876 | 222,858 | |||
Castrol India, Ltd. | 94,135 | 155,508 | |||
CCL Products India, Ltd. | 10,542 | 60,875 | |||
Ceat, Ltd. | 2,422 | 39,595 |
Security Description | Shares | Value | |||
Central Depository Services India, Ltd. | 6,262 | $ 126,342 | |||
Century Plyboards India, Ltd. | 8,003 | 64,370 | |||
Century Textiles & Industries, Ltd. | 6,458 | 79,713 | |||
CESC, Ltd. | 147,320 | 173,409 | |||
CG Power & Industrial Solutions, Ltd. (b) | 65,451 | 171,297 | |||
Chambal Fertilizers and Chemicals, Ltd. | 19,934 | 105,870 | |||
Cholamandalam Financial Holdings, Ltd. | 22,915 | 201,034 | |||
Cholamandalam Investment & Finance Co., Ltd. | 59,111 | 413,817 | |||
Cipla, Ltd. | 68,615 | 871,445 | |||
City Union Bank, Ltd. | 78,446 | 142,095 | |||
Clean Science & Technology, Ltd. (b) | 2,912 | 97,674 | |||
Coal India, Ltd. | 228,420 | 448,785 | |||
Coforge, Ltd. | 4,514 | 357,689 | |||
Colgate-Palmolive India, Ltd. | 16,901 | 336,789 | |||
Computer Age Management Services, Ltd. | 2,662 | 95,474 | |||
Container Corp. Of India, Ltd. | 42,000 | 347,224 | |||
Coromandel International, Ltd. | 13,016 | 132,383 | |||
CreditAccess Grameen, Ltd. (b) | 5,585 | 44,918 | |||
CRISIL, Ltd. | 2,098 | 81,409 | |||
Crompton Greaves Consumer Electricals, Ltd. | 83,106 | 489,062 | |||
Cummins India, Ltd. | 17,973 | 227,710 | |||
Cyient, Ltd. | 18,747 | 257,994 | |||
Dabur India, Ltd. | 82,693 | 645,263 | |||
Dalmia Bharat, Ltd. | 10,785 | 268,103 | |||
Deepak Nitrite, Ltd. | 9,858 | 330,237 | |||
Devyani International, Ltd. (b) | 34,765 | 77,190 | |||
Dhani Services, Ltd. (b) | 21,764 | 48,484 | |||
Divi's Laboratories, Ltd. | 19,125 | 1,203,603 | |||
Dixon Technologies India, Ltd. | 4,648 | 344,497 | |||
DLF, Ltd. | 88,211 | 463,331 | |||
Dr Lal PathLabs, Ltd. (d) | 4,040 | 207,732 | |||
Dr Reddy's Laboratories, Ltd. | 16,548 | 1,092,357 | |||
eClerx Services, Ltd. | 2,262 | 79,483 | |||
Edelweiss Financial Services, Ltd. | 58,647 | 56,804 | |||
Eicher Motors, Ltd. | 19,983 | 696,758 | |||
EID Parry India, Ltd. | 2,695 | 16,363 | |||
Emami, Ltd. | 26,541 | 185,305 | |||
Embassy Office Parks REIT | 58,471 | 267,146 | |||
Endurance Technologies, Ltd. (d) | 7,581 | 172,734 | |||
EPL ,Ltd. | 15,437 | 43,039 | |||
Escorts, Ltd. | 9,714 | 249,424 | |||
Exide Industries, Ltd. | 63,026 | 142,737 | |||
FDC, Ltd. (b) | 15,213 | 62,255 |
Security Description | Shares | Value | |||
Federal Bank, Ltd. | 213,984 | $ 238,925 | |||
Fine Organic Industries, Ltd. | 1,104 | 55,157 | |||
Finolex Cables, Ltd. | 8,417 | 59,797 | |||
Finolex Industries, Ltd. | 49,960 | 139,122 | |||
Firstsource Solutions, Ltd. | 34,036 | 83,836 | |||
Fortis Healthcare, Ltd. (b) | 65,478 | 261,874 | |||
GAIL India, Ltd. | 202,523 | 351,998 | |||
GAIL India, Ltd. GDR | 1,422 | 15,571 | |||
Galaxy Surfactants, Ltd. | 4,286 | 181,185 | |||
Garware Technical Fibres, Ltd. | 1,337 | 57,213 | |||
Gillette India, Ltd. | 1,677 | 118,693 | |||
GlaxoSmithKline Pharmaceuticals, Ltd. | 4,500 | 106,341 | |||
Glenmark Pharmaceuticals, Ltd. | 20,328 | 144,539 | |||
GMM Pfaudler, Ltd. | 804 | 52,585 | |||
GMR Infrastructure, Ltd. (b) | 229,459 | 141,221 | |||
Godrej Consumer Products, Ltd. (b) | 54,164 | 705,579 | |||
Godrej Industries, Ltd. (b) | 10,074 | 85,147 | |||
Godrej Properties, Ltd. (b) | 17,243 | 434,185 | |||
Granules India, Ltd. | 19,628 | 88,772 | |||
Graphite India, Ltd. | 7,019 | 48,057 | |||
Grasim Industries, Ltd. | 38,052 | 830,421 | |||
Great Eastern Shipping Co., Ltd. | 12,319 | 49,418 | |||
Grindwell Norton, Ltd. | 5,900 | 152,152 | |||
Gujarat Fluorochemicals, Ltd. (b) | 3,012 | 97,849 | |||
Gujarat Gas, Ltd. | 23,682 | 202,252 | |||
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. | 11,197 | 66,374 | |||
Gujarat Pipavav Port, Ltd. | 38,312 | 51,436 | |||
Gujarat State Petronet, Ltd. | 30,640 | 121,656 | |||
Happiest Minds Technologies, Ltd. | 7,184 | 125,307 | |||
Havells India, Ltd. | 33,992 | 638,816 | |||
HCL Technologies, Ltd. | 157,022 | 2,786,385 | |||
HDFC Asset Management Co., Ltd. (d) | 8,332 | 274,174 | |||
HDFC Life Insurance Co., Ltd. (d) | 131,178 | 1,146,242 | |||
HeidelbergCement India, Ltd. | 37,912 | 115,441 | |||
Hero MotoCorp, Ltd. | 18,857 | 624,570 | |||
HFCL, Ltd. | 79,838 | 84,633 | |||
Hindalco Industries, Ltd. | 226,625 | 1,449,796 | |||
Hindustan Petroleum Corp., Ltd. | 91,978 | 361,735 | |||
Hindustan Unilever, Ltd. | 118,961 | 3,777,001 | |||
Housing Development Finance Corp., Ltd. | 248,283 | 8,638,810 | |||
ICICI Bank, Ltd. ADR | 61,022 | 1,207,625 | |||
ICICI Bank, Ltd. | 619,848 | 6,171,743 | |||
ICICI Lombard General Insurance Co., Ltd. (d) | 32,427 | 611,259 |
Security Description | Shares | Value | |||
ICICI Prudential Life Insurance Co., Ltd. (b)(d) | 51,754 | $ 390,440 | |||
ICICI Securities, Ltd. (d) | 9,852 | 104,934 | |||
IDFC First Bank, Ltd. (b) | 439,553 | 285,898 | |||
IDFC, Ltd. (b) | 302,285 | 256,189 | |||
IIFL Finance, Ltd. | 39,096 | 146,947 | |||
IIFL Wealth Management, Ltd. | 4,034 | 77,041 | |||
India Cements, Ltd. | 20,093 | 51,965 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 76,325 | |||
Indiabulls Real Estate, Ltd. (b) | 26,024 | 55,209 | |||
IndiaMart InterMesh, Ltd. (d) | 1,265 | 110,212 | |||
Indian Energy Exchange, Ltd. (d) | 52,728 | 179,317 | |||
Indian Hotels Co., Ltd. | 91,526 | 222,549 | |||
Indian Oil Corp., Ltd. | 245,729 | 368,582 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 34,240 | 383,115 | |||
Indraprastha Gas, Ltd. | 45,210 | 286,091 | |||
Indus Towers, Ltd. | 97,059 | 324,202 | |||
Info Edge India, Ltd. | 11,114 | 833,778 | |||
Infosys, Ltd. ADR | 70,069 | 1,773,446 | |||
Infosys, Ltd. | 422,821 | 10,737,518 | |||
Inox Leisure, Ltd. (b) | 20,361 | 96,785 | |||
Intellect Design Arena, Ltd. (b) | 9,675 | 96,606 | |||
InterGlobe Aviation, Ltd. (b)(d) | 13,783 | 374,086 | |||
Ipca Laboratories, Ltd. | 8,371 | 244,005 | |||
IRB Infrastructure Developers, Ltd. (b) | 17,724 | 54,219 | |||
ITC, Ltd. | 425,885 | 1,249,256 | |||
JB Chemicals & Pharmaceuticals, Ltd. | 4,324 | 103,523 | |||
Jindal Stainless Hisar, Ltd. (b) | 13,598 | 63,860 | |||
Jindal Stainless, Ltd. (b) | 25,431 | 67,806 | |||
Jindal Steel & Power, Ltd. (b) | 58,977 | 299,306 | |||
JK Cement, Ltd. | 4,955 | 226,558 | |||
JK Lakshmi Cement, Ltd. | 7,195 | 55,969 | |||
JM Financial, Ltd. | 51,311 | 51,355 | |||
JSW Steel, Ltd. | 121,795 | 1,074,739 | |||
Jubilant Foodworks, Ltd. | 10,967 | 529,808 | |||
Jubilant Ingrevia, Ltd. | 9,180 | 70,848 | |||
Jubilant Pharmova, Ltd. | 6,773 | 53,447 | |||
Just Dial, Ltd. (b) | 718 | 7,892 | |||
Kajaria Ceramics, Ltd. | 12,979 | 225,225 | |||
Kansai Nerolac Paints, Ltd. | 18,000 | 143,156 | |||
Karur Vysya Bank, Ltd. | 19,609 | 12,016 | |||
Kaveri Seed Co., Ltd. | 10,556 | 81,085 | |||
KEC International, Ltd. | 26,603 | 171,459 | |||
KEI Industries, Ltd. | 9,323 | 146,494 | |||
KNR Constructions, Ltd. | 18,235 | 73,555 | |||
Kotak Mahindra Bank, Ltd. | 80,257 | 1,939,172 | |||
KPIT Technologies, Ltd. | 20,116 | 165,871 |
Security Description | Shares | Value | |||
KPR Mill, Ltd. | 11,790 | $ 106,154 | |||
L&T Finance Holdings, Ltd. (b) | 80,402 | 84,041 | |||
L&T Technology Services, Ltd. (d) | 6,585 | 495,981 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 167,512 | |||
Larsen & Toubro Infotech, Ltd. (d) | 7,572 | 746,854 | |||
Larsen & Toubro, Ltd. GDR | 2,055 | 52,300 | |||
Larsen & Toubro, Ltd. | 97,511 | 2,486,978 | |||
Laurus Labs, Ltd. (d) | 46,391 | 336,314 | |||
LIC Housing Finance, Ltd. | 36,258 | 180,301 | |||
Linde India, Ltd. | 2,553 | 85,426 | |||
Lupin, Ltd. | 29,213 | 373,633 | |||
LUX Industries, Ltd. | 1,083 | 53,744 | |||
Mahanagar Gas, Ltd. | 7,097 | 82,388 | |||
Mahindra & Mahindra Financial Services, Ltd. | 73,974 | 148,225 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 37,478 | |||
Mahindra & Mahindra, Ltd. | 118,116 | 1,330,194 | |||
Mahindra CIE Automotive, Ltd. (b) | 16,385 | 51,622 | |||
Manappuram Finance, Ltd. | 62,089 | 137,482 | |||
Marico, Ltd. | 74,623 | 514,632 | |||
Maruti Suzuki India, Ltd. | 19,191 | 1,917,263 | |||
Mastek, Ltd. | 1,831 | 74,400 | |||
Max Financial Services, Ltd. (b) | 29,653 | 391,068 | |||
Max Healthcare Institute, Ltd. (b) | 35,140 | 209,368 | |||
Metropolis Healthcare, Ltd. (d) | 2,766 | 128,035 | |||
Minda Industries, Ltd. | 8,141 | 134,142 | |||
Mindspace Business Parks REIT (d) | 37,000 | 162,911 | |||
Mindtree, Ltd. | 9,323 | 599,496 | |||
Motherson Sumi Systems, Ltd. | 173,998 | 522,680 | |||
Motilal Oswal Financial Services, Ltd. | 5,294 | 65,210 | |||
Mphasis, Ltd. | 12,445 | 568,663 | |||
MRF, Ltd. | 274 | 270,323 | |||
Multi Commodity Exchange of India, Ltd. | 5,986 | 127,458 | |||
Muthoot Finance, Ltd. | 16,519 | 332,366 | |||
Narayana Hrudayalaya, Ltd. (b) | 8,685 | 74,716 | |||
Natco Pharma, Ltd. | 13,136 | 159,862 | |||
National Aluminium Co., Ltd. | 208,978 | 283,939 | |||
Navin Fluorine International, Ltd. | 4,638 | 261,332 | |||
NBCC India, Ltd. | 75,439 | 46,683 | |||
NCC, Ltd. | 48,477 | 45,878 | |||
NESCO, Ltd. | 5,149 | 40,372 | |||
Nestle India, Ltd. | 4,793 | 1,270,580 | |||
NIIT, Ltd. | 10,587 | 64,275 |
Security Description | Shares | Value | |||
Nippon Life India Asset Management, Ltd. (d) | 14,668 | $ 69,427 | |||
NTPC, Ltd. | 700,828 | 1,172,829 | |||
Nuvoco Vistas Corp., Ltd. (b) | 27,030 | 181,574 | |||
Oberoi Realty, Ltd. (b) | 18,337 | 212,587 | |||
Oil & Natural Gas Corp., Ltd. | 362,532 | 694,479 | |||
Oil India, Ltd. | 33,154 | 88,710 | |||
Oracle Financial Services Software, Ltd. | 2,609 | 139,028 | |||
Orient Electric, Ltd. | 13,712 | 69,311 | |||
Page Industries, Ltd. | 766 | 416,528 | |||
Persistent Systems, Ltd. | 8,644 | 570,294 | |||
Petronet LNG, Ltd. | 108,066 | 314,593 | |||
Phoenix Mills, Ltd. | 13,628 | 180,645 | |||
PI Industries, Ltd. | 11,488 | 468,912 | |||
Pidilite Industries, Ltd. | 22,036 | 730,070 | |||
Piramal Enterprises, Ltd. | 14,722 | 523,618 | |||
PNB Housing Finance, Ltd. (b)(d) | 4,383 | 29,207 | |||
Polycab India, Ltd. | 5,376 | 178,379 | |||
Poonawalla Fincorp, Ltd. (b) | 22,032 | 64,982 | |||
Power Grid Corp. of India, Ltd. | 452,283 | 1,243,638 | |||
Praj Industries, Ltd. | 15,877 | 71,540 | |||
Prestige Estates Projects, Ltd. | 13,088 | 83,587 | |||
Procter & Gamble Health, Ltd. | 760 | 54,579 | |||
PVR, Ltd. (b) | 4,230 | 73,879 | |||
Quess Corp., Ltd. (d) | 7,670 | 88,359 | |||
Radico Khaitan, Ltd. | 7,995 | 132,951 | |||
Rain Industries, Ltd. | 24,232 | 78,170 | |||
Rajesh Exports, Ltd. | 10,314 | 102,320 | |||
Rallis India, Ltd. | 37,687 | 138,914 | |||
Ramco Cements Ltd | 18,699 | 252,580 | |||
Ratnamani Metals & Tubes, Ltd. | 1,958 | 51,217 | |||
RBL Bank, Ltd. (b)(d) | 36,130 | 61,800 | |||
REC, Ltd. | 149,512 | 269,113 | |||
Redington India, Ltd. | 90,456 | 176,262 | |||
Relaxo Footwears, Ltd. | 11,196 | 197,817 | |||
Reliance Industries, Ltd. GDR (d) | 13,202 | 844,268 | |||
Reliance Industries, Ltd. | 386,270 | 12,305,607 | |||
Reliance Power, Ltd. (b) | 342,941 | 62,742 | |||
Route Mobile, Ltd. | 2,470 | 59,258 | |||
Sanofi India, Ltd. | 1,186 | 125,838 | |||
Saregama India, Ltd. | 972 | 68,566 | |||
SBI Cards & Payment Services, Ltd. (b) | 31,331 | 391,197 | |||
SBI Life Insurance Co., Ltd. (d) | 61,891 | 995,776 | |||
Schaeffler India, Ltd. | 936 | 110,609 | |||
Sheela Foam, Ltd. (b) | 2,006 | 87,127 | |||
Shree Cement, Ltd. | 1,635 | 593,584 | |||
Shriram City Union Finance, Ltd. | 2,825 | 66,998 |
Security Description | Shares | Value | |||
Shriram Transport Finance Co., Ltd. | 27,135 | $ 444,246 | |||
Siemens, Ltd. | 10,262 | 325,983 | |||
SKF India, Ltd. | 2,698 | 135,790 | |||
Sobha, Ltd. | 12,486 | 150,407 | |||
Solar Industries India, Ltd. | 3,000 | 97,728 | |||
Sonata Software, Ltd. | 7,624 | 89,824 | |||
Spandana Sphoorty Financial, Ltd. (b) | 5,000 | 30,988 | |||
SpiceJet, Ltd. (b) | 6,570 | 6,023 | |||
SRF, Ltd. | 21,341 | 694,786 | |||
State Bank of India | 246,970 | 1,529,782 | |||
State Bank of India GDR | 1,020 | 62,934 | |||
Sterlite Technologies, Ltd. | 18,980 | 73,471 | |||
Strides Pharma Science, Ltd. | 5,713 | 34,358 | |||
Sumitomo Chemical India, Ltd. | 12,208 | 63,400 | |||
Sun Pharma Advanced Research Co., Ltd. (b) | 8,505 | 32,825 | |||
Sun Pharmaceutical Industries, Ltd. | 121,386 | 1,380,981 | |||
Sun TV Network, Ltd. | 9,639 | 64,847 | |||
Sundaram Finance, Ltd. | 8,732 | 268,706 | |||
Sundram Fasteners, Ltd. | 23,040 | 282,918 | |||
Sunteck Realty, Ltd. | 14,806 | 97,886 | |||
Suprajit Engineering, Ltd. | 9,970 | 57,679 | |||
Supreme Industries, Ltd. | 9,151 | 274,380 | |||
Suven Pharmaceuticals, Ltd. | 10,286 | 68,252 | |||
Symphony, Ltd. | 3,877 | 52,148 | |||
Syngene International, Ltd. (b)(d) | 15,667 | 130,650 | |||
Tanla Platforms, Ltd. | 9,605 | 243,337 | |||
Tata Chemicals, Ltd. | 23,860 | 287,017 | |||
Tata Communications, Ltd. | 13,824 | 272,340 | |||
Tata Consultancy Services, Ltd. | 133,775 | 6,727,563 | |||
Tata Consumer Products, Ltd. | 86,217 | 862,278 | |||
Tata Elxsi, Ltd. | 4,713 | 372,041 | |||
Tata Motors, Ltd. ADR (b)(c) | 7,545 | 242,119 | |||
Tata Motors, Ltd. (b) | 195,609 | 1,269,401 | |||
Tata Power Co., Ltd. | 197,864 | 588,117 | |||
Tata Steel, Ltd. | 103,068 | 1,541,050 | |||
Tata Steel, Ltd. GDR | 1,300 | 19,240 | |||
Tata Teleservices Maharashtra, Ltd. (b) | 66,994 | 185,970 | |||
TCI Express, Ltd. | 1,941 | 57,790 | |||
TeamLease Services, Ltd. (b) | 1,645 | 92,153 | |||
Tech Mahindra, Ltd. | 91,063 | 2,193,468 | |||
Thermax, Ltd. | 9,721 | 233,676 | |||
Timken India, Ltd. | 6,375 | 170,503 | |||
Titan Co., Ltd. | 51,370 | 1,743,116 | |||
Torrent Pharmaceuticals, Ltd. | 6,693 | 295,184 | |||
Torrent Power, Ltd. | 20,143 | 149,997 | |||
Trent, Ltd. | 26,123 | 374,262 | |||
Trident, Ltd. | 139,708 | 100,267 | |||
TTK Prestige, Ltd. | 4,980 | 66,102 |
Security Description | Shares | Value | |||
Tube Investments of India, Ltd. | 12,637 | $ 298,315 | |||
TV18 Broadcast, Ltd. (b) | 322,994 | 194,877 | |||
TVS Motor Co., Ltd. | 27,382 | 230,959 | |||
UltraTech Cement, Ltd. | 14,557 | 1,486,540 | |||
United Spirits, Ltd. (b) | 37,682 | 455,338 | |||
UPL, Ltd. | 71,558 | 719,184 | |||
UTI Asset Management Co., Ltd. | 5,427 | 76,887 | |||
Vaibhav Global, Ltd. | 5,835 | 46,175 | |||
Vardhman Textiles, Ltd. | 3,162 | 98,617 | |||
Varun Beverages, Ltd. | 24,745 | 295,699 | |||
Vedanta, Ltd. | 170,770 | 783,833 | |||
Vedanta, Ltd. ADR (b) | 1,433 | 26,310 | |||
V-Guard Industries, Ltd. | 20,544 | 61,257 | |||
Vinati Organics, Ltd. | 4,690 | 125,434 | |||
VIP Industries, Ltd. (b) | 8,149 | 59,055 | |||
V-Mart Retail, Ltd. (b) | 2,562 | 128,735 | |||
Vodafone Idea, Ltd. (b) | 1,242,122 | 256,493 | |||
Voltas, Ltd. | 33,050 | 542,040 | |||
Welspun India, Ltd. | 35,592 | 69,666 | |||
Westlife Development, Ltd. (b) | 7,859 | 59,453 | |||
Whirlpool of India, Ltd. | 4,000 | 94,800 | |||
Wipro, Ltd. ADR | 19,054 | 185,967 | |||
Wipro, Ltd. | 178,420 | 1,716,979 | |||
Wockhardt, Ltd. (b) | 5,297 | 29,419 | |||
Yes Bank, Ltd. (b) | 2,045,987 | 377,074 | |||
Zee Entertainment Enterprises, Ltd. | 115,040 | 496,462 | |||
Zensar Technologies, Ltd. | 13,013 | 91,301 | |||
Zomato, Ltd. (b) | 240,000 | 443,610 | |||
175,818,995 | |||||
INDONESIA — 0.4% | |||||
Ace Hardware Indonesia Tbk PT | 1,445,300 | 129,801 | |||
Adaro Energy Tbk PT | 1,979,100 | 312,435 | |||
AKR Corporindo Tbk PT | 605,200 | 174,522 | |||
Aneka Tambang Tbk | 2,322,500 | 366,646 | |||
Astra Agro Lestari Tbk PT | 154,200 | 102,782 | |||
Astra International Tbk PT | 2,806,600 | 1,122,443 | |||
Bank Aladin Syariah Tbk PT (b) | 1,000,000 | 160,674 | |||
Bank BTPN Syariah Tbk PT | 170,800 | 42,902 | |||
Bank Central Asia Tbk PT | 8,004,200 | 4,099,678 | |||
Bank Mandiri Persero Tbk PT | 2,693,400 | 1,327,566 | |||
Bank Negara Indonesia Persero Tbk PT | 1,007,600 | 477,200 | |||
Bank Rakyat Indonesia Persero Tbk PT | 9,851,817 | 2,840,973 | |||
Bank Tabungan Negara Persero Tbk PT (b) | 370,200 | 44,936 | |||
Barito Pacific Tbk PT | 3,888,500 | 233,269 | |||
Berkah Beton Sadaya Tbk PT (b) | 657,400 | 270,986 |
Security Description | Shares | Value | |||
BFI Finance Indonesia Tbk PT | 2,268,000 | $ 186,978 | |||
Bukit Asam Tbk PT | 469,600 | 89,291 | |||
Bumi Serpong Damai Tbk PT (b) | 1,332,000 | 94,392 | |||
Charoen Pokphand Indonesia Tbk PT | 1,064,700 | 444,481 | |||
Ciputra Development Tbk PT | 929,100 | 63,233 | |||
Digital Mediatama Maxima Tbk PT (b) | 388,500 | 74,143 | |||
First Pacific Co., Ltd. | 386,000 | 142,096 | |||
First Resources, Ltd. | 108,800 | 121,862 | |||
Golden Agri-Resources, Ltd. | 774,500 | 140,750 | |||
Gudang Garam Tbk PT | 69,400 | 149,001 | |||
Indah Kiat Pulp & Paper Tbk PT | 403,700 | 221,642 | |||
Indo Tambangraya Megah Tbk PT | 115,300 | 165,032 | |||
Indocement Tunggal Prakarsa Tbk PT | 240,300 | 204,008 | |||
Indofood CBP Sukses Makmur Tbk PT | 263,800 | 161,029 | |||
Indofood Sukses Makmur Tbk PT | 633,500 | 281,136 | |||
Indosat Tbk PT | 196,000 | 85,262 | |||
Industri Jamu Dan Farmasi Sido Muncul Tbk PT | 2,079,505 | 126,207 | |||
Japfa Comfeed Indonesia Tbk PT | 1,478,400 | 178,414 | |||
Jasa Marga Persero Tbk PT (b) | 150,175 | 40,988 | |||
Kalbe Farma Tbk PT | 3,043,600 | 344,881 | |||
Lippo Karawaci Tbk PT (b) | 12,717,700 | 125,816 | |||
Media Nusantara Citra Tbk PT | 419,700 | 26,503 | |||
Merdeka Copper Gold Tbk PT (b) | 1,881,200 | 513,444 | |||
Metro Healthcare Indonesia Tbk PT (b) | 1,679,200 | 60,676 | |||
Mitra Adiperkasa Tbk PT (b) | 2,793,900 | 139,180 | |||
Nickel Mines, Ltd. (c) | 109,119 | 113,449 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 70,327 | |||
Pacific Strategic Financial Tbk PT (b) | 1,897,100 | 148,414 | |||
Pakuwon Jati Tbk PT (b) | 1,357,000 | 44,178 | |||
Perusahaan Gas Negara Tbk PT (b) | 2,224,000 | 214,559 | |||
Sarana Menara Nusantara Tbk PT | 4,135,200 | 326,406 | |||
Semen Indonesia Persero Tbk PT | 425,300 | 216,343 | |||
Smartfren Telecom Tbk PT (b) | 6,214,000 | 37,931 | |||
Summarecon Agung Tbk PT (b) | 988,789 | 57,929 | |||
Surya Citra Media Tbk PT (b) | 2,556,000 | 58,464 |
Security Description | Shares | Value | |||
Telkom Indonesia Persero Tbk PT | 7,146,700 | $ 2,025,797 | |||
Tower Bersama Infrastructure Tbk PT | 1,144,200 | 236,828 | |||
Transcoal Pacific Tbk PT (b) | 285,500 | 201,317 | |||
Unilever Indonesia Tbk PT | 1,394,000 | 401,988 | |||
United Tractors Tbk PT | 219,300 | 340,817 | |||
Waskita Karya Persero Tbk PT (b) | 1,659,900 | 73,954 | |||
Wijaya Karya Persero Tbk PT (b) | 1,310,600 | 101,611 | |||
XL Axiata Tbk PT | 464,200 | 103,246 | |||
20,660,816 | |||||
IRELAND — 0.4% | |||||
AerCap Holdings NV (b) | 19,523 | 1,277,195 | |||
AIB Group PLC (b) | 95,701 | 232,899 | |||
Bank of Ireland Group PLC (b) | 134,075 | 760,216 | |||
C&C Group PLC (b) | 56,746 | 178,468 | |||
Cairn Homes PLC (b) | 98,009 | 125,945 | |||
COSMO Pharmaceuticals NV (b)(c) | 890 | 64,077 | |||
CRH PLC | 110,354 | 5,838,006 | |||
Dalata Hotel Group PLC (b) | 26,175 | 110,730 | |||
Flutter Entertainment PLC (b)(e) | 13,399 | 2,117,990 | |||
Flutter Entertainment PLC (b)(e) | 10,312 | 1,642,530 | |||
Glanbia PLC | 24,251 | 339,212 | |||
Glenveagh Properties PLC (b)(d) | 87,042 | 121,948 | |||
Greencore Group PLC (b) | 60,591 | 106,277 | |||
Hibernia REIT PLC | 81,189 | 120,027 | |||
Irish Residential Properties REIT PLC | 52,453 | 99,973 | |||
Kerry Group PLC Class A | 21,814 | 2,809,379 | |||
Keywords Studios PLC | 11,452 | 456,338 | |||
Kingspan Group PLC | 22,035 | 2,631,111 | |||
Origin Enterprises PLC | 14,761 | 55,394 | |||
Smurfit Kappa Group PLC | 33,731 | 1,858,104 | |||
Uniphar PLC (b) | 25,669 | 145,954 | |||
21,091,773 | |||||
ISRAEL — 0.6% | |||||
Africa Israel Properties, Ltd. | 2,220 | 146,895 | |||
Airport City, Ltd. (b) | 13,375 | 299,481 | |||
Alony Hetz Properties & Investments, Ltd. | 22,632 | 421,241 | |||
Altshuler Shaham Provident Funds & Pension, Ltd. | 6,613 | 35,695 | |||
Amot Investments, Ltd. | 39,500 | 320,833 | |||
Arad Investment & Industrial Development, Ltd. | 1,074 | 159,043 | |||
Ashtrom Group, Ltd. | 6,844 | 185,591 | |||
AudioCodes, Ltd. | 6,116 | 213,600 |
Security Description | Shares | Value | |||
Azorim-Investment Development & Construction Co., Ltd. (b) | 27,782 | $ 166,117 | |||
Azrieli Group, Ltd. | 5,491 | 523,977 | |||
Bank Hapoalim BM | 165,408 | 1,705,949 | |||
Bank Leumi Le-Israel BM | 205,388 | 2,207,373 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. (b) | 278,833 | 460,392 | |||
Big Shopping Centers, Ltd. | 1,641 | 267,841 | |||
Blue Square Real Estate, Ltd. | 992 | 89,562 | |||
Camtek, Ltd. (b) | 5,820 | 268,336 | |||
Cellcom Israel, Ltd. (b) | 30,780 | 172,868 | |||
Check Point Software Technologies, Ltd. (b) | 15,210 | 1,772,878 | |||
Clal Insurance Enterprises Holdings, Ltd. (b) | 14,033 | 359,797 | |||
Cognyte Software, Ltd. (b) | 11,500 | 180,205 | |||
Compugen, Ltd. (b)(c) | 9,600 | 41,280 | |||
Danel Adir Yeoshua, Ltd. | 546 | 123,501 | |||
Delek Automotive Systems, Ltd. | 5,899 | 83,394 | |||
Delek Group, Ltd. (b) | 1,146 | 93,929 | |||
Delta Galil Industries, Ltd. | 1,156 | 79,483 | |||
Elbit Systems, Ltd. | 3,431 | 594,175 | |||
Elco, Ltd. | 2,531 | 186,223 | |||
Electra Consumer Products 1970, Ltd. | 1,135 | 65,641 | |||
Electra Real Estate, Ltd. | 7,672 | 152,829 | |||
Electra, Ltd. | 418 | 289,823 | |||
Energix-Renewable Energies, Ltd. | 29,187 | 124,254 | |||
Enlight Renewable Energy, Ltd. (b) | 123,244 | 303,081 | |||
Equital, Ltd. (b) | 2,112 | 80,818 | |||
Fattal Holdings 1998, Ltd. (b) | 657 | 66,325 | |||
FIBI Holdings, Ltd. | 1,612 | 73,649 | |||
First International Bank Of Israel, Ltd. | 6,350 | 264,209 | |||
Formula Systems 1985, Ltd. | 1,091 | 133,133 | |||
Fox Wizel, Ltd. | 805 | 144,814 | |||
Gav-Yam Lands Corp., Ltd. | 15,988 | 197,256 | |||
Gazit-Globe, Ltd. | 12,106 | 95,645 | |||
Gilat Satellite Networks, Ltd. | 8,589 | 61,870 | |||
Harel Insurance Investments & Financial Services, Ltd. | 14,865 | 168,786 | |||
Hilan, Ltd. | 1,722 | 115,357 | |||
ICL Group, Ltd. | 93,586 | 902,363 | |||
Isracard, Ltd. | 49,413 | 243,700 | |||
Israel Canada T.R, Ltd. | 13,300 | 85,678 | |||
Israel Corp., Ltd. (b) | 754 | 325,835 | |||
Israel Discount Bank, Ltd. Class A | 171,411 | 1,153,241 | |||
Isras Investment Co., Ltd. | 573 | 151,535 | |||
Ituran Location & Control, Ltd. | 2,300 | 61,341 | |||
Kornit Digital, Ltd. (b) | 6,400 | 974,400 |
Security Description | Shares | Value | |||
Magic Software Enterprises, Ltd. | 2,818 | $ 59,757 | |||
Matrix IT, Ltd. | 4,080 | 123,813 | |||
Maytronics, Ltd. | 9,751 | 240,611 | |||
Mega Or Holdings, Ltd. | 2,173 | 99,699 | |||
Mehadrin, Ltd. (b) | 0 | 14 | |||
Melisron, Ltd. (b) | 3,929 | 366,087 | |||
Menora Mivtachim Holdings, Ltd. | 2,913 | 68,903 | |||
Migdal Insurance & Financial Holding, Ltd. | 42,449 | 69,980 | |||
Mivne Real Estate KD, Ltd. | 80,506 | 346,090 | |||
Mizrahi Tefahot Bank, Ltd. | 18,647 | 718,944 | |||
Nano Dimension, Ltd. ADR (b) | 41,300 | 156,940 | |||
Nano-X Imaging, Ltd. (b) | 4,000 | 58,160 | |||
Naphtha Israel Petroleum Corp., Ltd. (b) | 12,597 | 90,580 | |||
NEOGAMES SA (b) | 1,900 | 52,782 | |||
Nice, Ltd. (b) | 8,851 | 2,706,431 | |||
Nova Ltd. (b) | 4,483 | 646,293 | |||
Oil Refineries, Ltd. (b) | 162,289 | 46,616 | |||
One Software Technologies, Ltd. | 3,910 | 77,763 | |||
OPC Energy, Ltd. (b) | 14,607 | 163,791 | |||
Partner Communications Co., Ltd. (b) | 17,416 | 141,851 | |||
Paz Oil Co., Ltd. (b) | 926 | 115,051 | |||
Perion Network, Ltd. (b) | 7,513 | 183,939 | |||
Phoenix Holdings, Ltd. | 19,642 | 253,887 | |||
Plus500, Ltd. | 17,814 | 328,264 | |||
Property & Building Corp., Ltd. (b) | 682 | 97,707 | |||
Radware, Ltd. (b) | 6,900 | 287,316 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 110,938 | |||
REIT 1, Ltd. | 26,757 | 191,023 | |||
Sapiens International Corp. NV | 3,605 | 125,441 | |||
Shapir Engineering and Industry, Ltd. | 29,728 | 262,857 | |||
Shikun & Binui, Ltd. (b) | 26,981 | 172,771 | |||
Shufersal, Ltd. | 32,042 | 266,639 | |||
Strauss Group, Ltd. | 10,127 | 315,615 | |||
Summit Real Estate Holdings, Ltd. (b) | 5,965 | 125,571 | |||
Taboola.com, Ltd. (b) | 7,700 | 59,906 | |||
Tadiran Group, Ltd. | 1,085 | 151,643 | |||
Taptica International, Ltd. (b) | 12,248 | 91,905 | |||
Teva Pharmaceutical Industries, Ltd. ADR (b) | 140,853 | 1,128,233 | |||
Teva Pharmaceutical Industries, Ltd. (b) | 19,463 | 168,528 | |||
Tower Semiconductor, Ltd. (b) | 16,255 | 644,998 | |||
Wix.com, Ltd. (b) | 8,200 | 1,293,878 |
Security Description | Shares | Value | |||
YH Dimri Construction & Development, Ltd. | 968 | $ 94,020 | |||
ZIM Integrated Shipping Services, Ltd. | 6,800 | 400,248 | |||
30,500,725 | |||||
ITALY — 1.4% | |||||
A2A SpA | 231,550 | 452,908 | |||
ACEA SpA | 4,921 | 104,984 | |||
AMCO - Asset Management Co. SpA (c)(f) | 403 | — | |||
Amplifon SpA | 17,966 | 969,448 | |||
Anima Holding SpA (d) | 29,819 | 152,257 | |||
Arnoldo Mondadori Editore SpA (b) | 41,346 | 95,918 | |||
Ascopiave SpA | 16,517 | 65,177 | |||
Assicurazioni Generali SpA (c) | 157,620 | 3,339,342 | |||
Atlantia SpA (b) | 69,608 | 1,381,706 | |||
Autogrill SpA (b) | 35,578 | 252,709 | |||
Azimut Holding SpA | 15,778 | 442,827 | |||
Banca Generali SpA | 8,653 | 381,307 | |||
Banca IFIS SpA | 5,425 | 105,310 | |||
Banca Mediolanum SpA | 27,638 | 272,812 | |||
Banca Monte dei Paschi di Siena SpA (b)(c) | 25,614 | 25,982 | |||
Banca Popolare di Sondrio SCPA | 56,342 | 236,939 | |||
Banco BPM SpA | 196,760 | 590,714 | |||
BFF Bank SpA (d) | 19,085 | 153,878 | |||
Biesse SpA (b)(c) | 4,132 | 114,747 | |||
BPER Banca (c) | 145,833 | 302,329 | |||
Brembo SpA | 21,681 | 308,935 | |||
Brunello Cucinelli SpA (b) | 5,684 | 392,355 | |||
Buzzi Unicem SpA | 13,897 | 299,875 | |||
Carel Industries SpA (d) | 5,036 | 152,337 | |||
Cerved Group SpA (b) | 21,273 | 248,690 | |||
CIR SpA-Compagnie Industriali (b) | 81,273 | 43,439 | |||
Credito Emiliano SpA | 7,794 | 51,585 | |||
Cromwell European Real Estate Investment Trust | 48,960 | 140,864 | |||
Danieli & C Officine Meccaniche SpA (b) | 3,347 | 65,467 | |||
Davide Campari-Milano NV | 76,473 | 1,117,936 | |||
De' Longhi SpA | 9,994 | 358,230 | |||
DiaSorin SpA | 3,557 | 677,339 | |||
Digital Value SpA (b) | 503 | 65,209 | |||
doValue SpA (b)(d) | 6,479 | 61,817 | |||
El.En. SpA | 10,888 | 192,909 | |||
Enav SpA (b)(d) | 44,871 | 200,537 | |||
Enel SpA | 1,173,543 | 9,403,259 | |||
Eni SpA | 364,171 | 5,060,732 | |||
ERG SpA | 9,874 | 319,345 | |||
Esprinet SpA | 3,797 | 55,702 | |||
Falck Renewables SpA | 16,956 | 166,985 | |||
Ferrari NV | 18,188 | 4,705,471 |
Security Description | Shares | Value | |||
Fila SpA | 4,681 | $ 51,742 | |||
Fincantieri SpA (b)(c) | 59,925 | 41,127 | |||
FinecoBank Banca Fineco SpA | 88,270 | 1,549,375 | |||
Gruppo MutuiOnline SpA | 3,985 | 200,756 | |||
GVS SpA (d) | 12,903 | 154,803 | |||
Hera SpA | 119,366 | 496,955 | |||
Illimity Bank SpA (b) | 8,543 | 127,948 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT (b) | 13,675 | 60,028 | |||
Infrastrutture Wireless Italiane SpA (d) | 48,491 | 588,937 | |||
Interpump Group SpA | 9,980 | 731,459 | |||
Intesa Sanpaolo SpA | 2,383,044 | 6,162,533 | |||
Iren SpA | 93,854 | 283,263 | |||
Italgas SpA | 71,229 | 490,222 | |||
Italmobiliare SpA | 2,891 | 106,848 | |||
Juventus Football Club SpA (b)(c) | 93,321 | 36,613 | |||
La Doria SpA | 7,554 | 141,398 | |||
Leonardo SpA (b) | 59,603 | 427,017 | |||
Maire Tecnimont SpA | 17,380 | 82,220 | |||
MARR SpA | 3,554 | 76,386 | |||
Mediobanca Banca di Credito Finanziario SpA | 86,219 | 991,268 | |||
MFE-MediaForEurope NV Class A (b)(c) | 40,137 | 40,874 | |||
MFE-MediaForEurope NV Class B (c) | 40,137 | 56,827 | |||
Moncler SpA | 29,617 | 2,156,222 | |||
Nexi SpA (b)(d) | 68,591 | 1,091,243 | |||
OVS SpA (b)(d) | 29,909 | 87,072 | |||
Piaggio & C SpA | 24,484 | 80,021 | |||
Pirelli & C SpA (d) | 44,955 | 312,258 | |||
Poste Italiane SpA (d) | 72,604 | 952,803 | |||
Prysmian SpA | 36,755 | 1,383,924 | |||
RAI Way SpA (d) | 11,872 | 70,474 | |||
Recordati Industria Chimica e Farmaceutica SpA | 14,595 | 937,755 | |||
Reply SpA | 2,949 | 599,289 | |||
Saipem SpA (b)(c) | 65,470 | 137,365 | |||
Salcef SpA | 3,946 | 110,839 | |||
Salvatore Ferragamo SpA (b) | 6,814 | 174,582 | |||
Sanlorenzo SpA/Ameglia | 2,587 | 111,499 | |||
Saras SpA (b)(c) | 44,370 | 27,792 | |||
Sesa SpA | 1,926 | 379,789 | |||
Snam SpA | 290,959 | 1,753,656 | |||
Societa Cattolica Di Assicurazione SPA (b) | 23,138 | 152,350 | |||
SOL SpA | 4,973 | 119,609 | |||
Tamburi Investment Partners SpA | 17,060 | 192,648 | |||
Technogym SpA (d) | 13,852 | 133,187 | |||
Telecom Italia SpA | 1,439,374 | 710,723 | |||
Terna - Rete Elettrica Nazionale (c) | 203,154 | 1,643,524 |
Security Description | Shares | Value | |||
Tinexta SpA | 5,449 | $ 236,462 | |||
Tod's SpA (b) | 3,016 | 169,020 | |||
UniCredit SpA | 307,531 | 4,736,664 | |||
Unipol Gruppo SpA | 56,938 | 309,440 | |||
Webuild SpA | 51,213 | 121,138 | |||
Wiit SpA | 1,415 | 57,672 | |||
Zignago Vetro SpA | 3,618 | 70,767 | |||
65,448,698 | |||||
JAPAN — 14.3% | |||||
77 Bank, Ltd. | 4,900 | 56,806 | |||
ABC-Mart, Inc. | 3,800 | 162,685 | |||
Activia Properties, Inc. REIT | 90 | 325,127 | |||
Adastria Co., Ltd. | 2,800 | 39,293 | |||
ADEKA Corp. | 13,800 | 307,625 | |||
Advan Group Co., Ltd. | 7,300 | 61,554 | |||
Advance Residence Investment Corp. REIT | 180 | 593,982 | |||
Advantest Corp. | 28,500 | 2,697,668 | |||
Aeon Co., Ltd. | 95,800 | 2,253,677 | |||
Aeon Delight Co., Ltd. | 2,000 | 58,530 | |||
AEON Financial Service Co., Ltd. | 15,600 | 168,253 | |||
Aeon Mall Co., Ltd. | 11,800 | 168,154 | |||
AEON REIT Investment Corp. | 211 | 295,186 | |||
AGC, Inc. | 27,900 | 1,330,129 | |||
Ai Holdings Corp. | 4,100 | 68,502 | |||
Aica Kogyo Co., Ltd. | 5,900 | 170,357 | |||
Aichi Corp. | 11,000 | 77,278 | |||
Aida Engineering, Ltd. | 8,700 | 80,763 | |||
Aiful Corp. | 30,500 | 94,290 | |||
Ain Holdings, Inc. (c) | 3,000 | 149,277 | |||
Air Water, Inc. | 28,200 | 434,920 | |||
Airtrip Corp. | 1,800 | 47,988 | |||
Aisin Corp. | 20,400 | 781,243 | |||
Ajinomoto Co., Inc. | 66,000 | 2,004,272 | |||
Alfresa Holdings Corp. | 29,100 | 387,394 | |||
Alpen Co., Ltd. (c) | 6,500 | 120,568 | |||
Alps Alpine Co., Ltd. | 32,000 | 301,507 | |||
Altech Corp. | 1,300 | 21,461 | |||
Amada Co., Ltd. | 47,100 | 465,867 | |||
Amano Corp. | 9,900 | 227,565 | |||
ANA Holdings, Inc. (b) | 23,000 | 480,253 | |||
AnGes, Inc. (b)(c) | 16,700 | 55,688 | |||
Anicom Holdings, Inc. | 7,200 | 51,833 | |||
Anritsu Corp. (c) | 20,000 | 308,627 | |||
Aozora Bank, Ltd. (c) | 15,400 | 336,739 | |||
Arata Corp. | 1,900 | 72,680 | |||
Arcland Sakamoto Co., Ltd. | 7,200 | 102,478 | |||
Arcland Service Holdings Co., Ltd. (c) | 4,100 | 80,608 | |||
Arcs Co., Ltd. | 3,700 | 68,535 | |||
Argo Graphics, Inc. | 2,900 | 81,217 | |||
Ariake Japan Co., Ltd. | 2,000 | 108,376 | |||
ARTERIA Networks Corp. | 5,200 | 69,767 | |||
As One Corp. | 6,000 | 401,719 |
Security Description | Shares | Value | |||
Asahi Group Holdings, Ltd. | 65,200 | $ 2,533,149 | |||
Asahi Holdings, Inc. | 9,300 | 165,559 | |||
Asahi Intecc Co., Ltd. | 29,700 | 637,304 | |||
Asahi Kasei Corp. | 177,700 | 1,668,132 | |||
Asics Corp. | 20,800 | 460,597 | |||
ASKUL Corp. | 4,800 | 63,942 | |||
Astellas Pharma, Inc. | 268,600 | 4,362,957 | |||
Atom Corp. (c) | 21,200 | 141,757 | |||
Autobacs Seven Co., Ltd. | 6,500 | 79,193 | |||
Avex, Inc. | 6,600 | 82,647 | |||
Awa Bank, Ltd. | 2,900 | 54,698 | |||
Axial Retailing, Inc. | 2,100 | 61,456 | |||
Azbil Corp. | 17,400 | 791,768 | |||
Bandai Namco Holdings, Inc. | 28,800 | 2,249,379 | |||
Bank of Kyoto, Ltd. | 7,800 | 361,026 | |||
BASE, Inc. (b) | 8,000 | 42,794 | |||
BayCurrent Consulting, Inc. | 1,900 | 734,228 | |||
Belc Co., Ltd. | 1,500 | 73,336 | |||
Bell System24 Holdings, Inc. | 3,500 | 38,023 | |||
Belluna Co., Ltd. | 8,800 | 54,181 | |||
Benefit One, Inc. | 11,000 | 471,408 | |||
Benesse Holdings, Inc. | 11,900 | 233,443 | |||
BeNext-Yumeshin Group Co. | 10,803 | 158,825 | |||
Bengo4.com, Inc. (b)(c) | 1,400 | 74,039 | |||
Bic Camera, Inc. (c) | 9,400 | 78,609 | |||
BML, Inc. | 3,000 | 93,135 | |||
Bridgestone Corp. | 81,300 | 3,494,018 | |||
Broadleaf Co., Ltd. (c) | 12,400 | 46,949 | |||
Brother Industries, Ltd. | 32,300 | 620,167 | |||
Bunka Shutter Co., Ltd. | 10,500 | 97,929 | |||
Calbee, Inc. | 14,300 | 331,438 | |||
Canon Marketing Japan, Inc. | 4,800 | 95,496 | |||
Canon, Inc. (c) | 144,300 | 3,509,915 | |||
Capcom Co., Ltd. | 27,500 | 646,694 | |||
Casio Computer Co., Ltd. | 24,400 | 313,383 | |||
Cawachi, Ltd. | 5,300 | 101,347 | |||
Cellebrite DI, Ltd. (b)(c) | 5,100 | 40,902 | |||
Central Glass Co., Ltd. | 3,300 | 61,097 | |||
Central Japan Railway Co. | 20,600 | 2,745,057 | |||
Change, Inc. (b)(c) | 2,400 | 39,578 | |||
Chiba Bank, Ltd. | 82,100 | 469,835 | |||
Chiyoda Corp. (b) | 14,600 | 44,629 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 54,917 | |||
Chubu Electric Power Co., Inc. | 93,000 | 978,820 | |||
Chudenko Corp. | 3,000 | 55,386 | |||
Chugai Pharmaceutical Co., Ltd. | 95,700 | 3,103,986 | |||
Chugoku Bank, Ltd. | 17,200 | 134,577 | |||
Chugoku Electric Power Co., Inc. | 35,700 | 288,626 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 69,298 | |||
CI Takiron Corp. | 12,200 | 59,647 | |||
Citizen Watch Co., Ltd. | 36,600 | 158,281 | |||
CKD Corp. | 5,700 | 115,678 |
Security Description | Shares | Value | |||
Coca-Cola Bottlers Japan Holdings, Inc. | 14,200 | $ 162,772 | |||
COLOPL, Inc. | 4,900 | 27,956 | |||
Colowide Co., Ltd. (c) | 11,900 | 168,339 | |||
Comforia Residential REIT, Inc. | 118 | 349,937 | |||
COMSYS Holdings Corp. | 16,700 | 371,401 | |||
Comture Corp. | 1,700 | 53,293 | |||
Concordia Financial Group, Ltd. | 152,500 | 553,558 | |||
CONEXIO Corp. | 5,500 | 70,496 | |||
Cosmo Energy Holdings Co., Ltd. | 6,300 | 122,986 | |||
Cosmos Pharmaceutical Corp. (c) | 2,700 | 396,952 | |||
CRE Logistics REIT, Inc. (b) | 137 | 269,110 | |||
Create Restaurants Holdings, Inc. | 9,100 | 57,055 | |||
Create SD Holdings Co., Ltd. | 2,400 | 66,380 | |||
Credit Saison Co., Ltd. | 17,000 | 178,481 | |||
Curves Holdings Co., Ltd. | 4,300 | 29,649 | |||
CyberAgent, Inc. | 62,200 | 1,033,831 | |||
CYBERDYNE, Inc. (b)(c) | 11,000 | 33,815 | |||
Cybozu, Inc. (c) | 7,400 | 117,662 | |||
Dai Nippon Printing Co., Ltd. | 30,400 | 763,729 | |||
Daibiru Corp. (b) | 5,000 | 96,131 | |||
Daicel Corp. | 31,500 | 217,468 | |||
Dai-Dan Co., Ltd. | 1,100 | 21,951 | |||
Daido Steel Co., Ltd. | 4,200 | 152,091 | |||
Daifuku Co., Ltd. | 14,700 | 1,199,948 | |||
Daihen Corp. | 2,300 | 95,371 | |||
Daiho Corp. (c) | 2,700 | 93,200 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 103,165 | |||
Dai-ichi Life Holdings, Inc. | 143,400 | 2,895,894 | |||
Daiichi Sankyo Co., Ltd. | 252,800 | 6,421,258 | |||
Daiichikosho Co., Ltd. | 4,700 | 142,035 | |||
Daiken Corp. | 4,000 | 75,411 | |||
Daiki Aluminium Industry Co., Ltd. | 3,800 | 52,699 | |||
Daikin Industries, Ltd. | 35,900 | 8,133,655 | |||
Daikokutenbussan Co., Ltd. | 2,200 | 98,389 | |||
Daio Paper Corp. | 9,400 | 155,912 | |||
Daiseki Co., Ltd. | 6,360 | 282,225 | |||
Daishi Hokuetsu Financial Group, Inc. | 3,500 | 77,200 | |||
Daito Trust Construction Co., Ltd. | 9,400 | 1,075,055 | |||
Daiwa House Industry Co., Ltd. | 81,100 | 2,329,719 | |||
Daiwa House REIT Investment Corp. | 301 | 910,933 | |||
Daiwa Industries, Ltd. (c) | 6,600 | 72,502 | |||
Daiwa Office Investment Corp. REIT | 49 | 297,859 | |||
Daiwa Securities Group, Inc. | 208,400 | 1,173,975 | |||
Daiwa Securities Living Investments Corp. REIT | 300 | 308,714 |
Security Description | Shares | Value | |||
Daiwabo Holdings Co., Ltd. | 11,900 | $ 190,144 | |||
DCM Holdings Co., Ltd. | 20,900 | 193,292 | |||
Demae-Can Co., Ltd. (b) | 2,700 | 21,571 | |||
DeNA Co., Ltd. | 10,300 | 158,407 | |||
Denka Co., Ltd. | 13,800 | 450,593 | |||
Denso Corp. | 62,500 | 5,171,834 | |||
Dentsu Group, Inc. | 31,200 | 1,110,851 | |||
Descente, Ltd. (b) | 4,200 | 154,461 | |||
Dexerials Corp. | 9,400 | 339,169 | |||
DIC Corp. | 10,400 | 261,547 | |||
Digital Arts, Inc. | 1,100 | 80,622 | |||
Digital Garage, Inc. | 4,800 | 204,038 | |||
Dip Corp. | 4,500 | 152,989 | |||
Direct Marketing MiX, Inc. (c) | 6,600 | 95,428 | |||
Disco Corp. | 4,300 | 1,312,535 | |||
DMG Mori Co., Ltd. | 18,900 | 324,478 | |||
Doshisha Co., Ltd. | 4,900 | 66,635 | |||
Doutor Nichires Holdings Co., Ltd. (c) | 3,100 | 43,126 | |||
Dowa Holdings Co., Ltd. | 7,200 | 302,306 | |||
DTS Corp. | 3,400 | 74,522 | |||
Duskin Co., Ltd. | 3,800 | 92,694 | |||
DyDo Group Holdings, Inc. | 1,000 | 41,162 | |||
Earth Corp. | 3,300 | 175,668 | |||
East Japan Railway Co. | 43,600 | 2,677,980 | |||
Ebara Corp. | 13,800 | 765,768 | |||
EDION Corp. | 7,600 | 70,816 | |||
eGuarantee, Inc. | 5,300 | 106,502 | |||
Eiken Chemical Co., Ltd. | 3,800 | 63,688 | |||
Eisai Co., Ltd. | 34,100 | 1,933,977 | |||
Eizo Corp. | 1,600 | 56,064 | |||
Elan Corp. (c) | 4,000 | 38,557 | |||
Elecom Co., Ltd. | 10,000 | 131,388 | |||
Electric Power Development Co., Ltd. | 20,200 | 267,860 | |||
EM Systems Co., Ltd. (c) | 15,200 | 99,657 | |||
ENEOS HoldingS, Inc. | 442,800 | 1,654,612 | |||
en-japan, Inc. | 3,700 | 104,424 | |||
eRex Co., Ltd. (c) | 3,000 | 53,172 | |||
ES-Con Japan, Ltd. (c) | 8,700 | 59,156 | |||
ESPEC Corp. | 4,100 | 79,469 | |||
euglena Co., Ltd. (b)(c) | 22,900 | 141,192 | |||
Exedy Corp. | 3,100 | 44,822 | |||
EXEO Group, Inc. | 12,400 | 261,019 | |||
Ezaki Glico Co., Ltd. | 9,400 | 298,763 | |||
Fancl Corp. | 13,900 | 414,025 | |||
FANUC Corp. | 27,700 | 5,864,496 | |||
Fast Retailing Co., Ltd. | 8,400 | 4,764,048 | |||
FCC Co., Ltd. | 3,600 | 46,800 | |||
Ferrotec Holdings Corp. | 7,100 | 261,113 | |||
Financial Products Group Co., Ltd. (c) | 7,200 | 42,767 | |||
Food & Life Cos., Ltd. | 14,900 | 562,850 | |||
FP Corp. | 5,600 | 190,630 | |||
Freee KK (b) | 4,500 | 248,535 |
Security Description | Shares | Value | |||
Frontier Real Estate Investment Corp. REIT (c) | 67 | $ 289,167 | |||
Fuji Co., Ltd. | 4,000 | 67,839 | |||
Fuji Corp. | 9,900 | 221,977 | |||
Fuji Electric Co., Ltd. | 17,600 | 959,819 | |||
Fuji Kyuko Co., Ltd. | 2,700 | 95,662 | |||
Fuji Media Holdings, Inc. | 5,100 | 49,071 | |||
Fuji Oil Holdings, Inc. | 9,500 | 191,394 | |||
Fuji Seal International, Inc. | 3,900 | 71,731 | |||
Fuji Soft, Inc. | 2,700 | 130,129 | |||
Fujicco Co., Ltd. | 4,500 | 73,505 | |||
FUJIFILM Holdings Corp. | 52,000 | 3,850,046 | |||
Fujikura, Ltd. (b) | 39,500 | 193,804 | |||
Fujimi, Inc. | 2,900 | 195,172 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 96,366 | |||
Fujio Food Group, Inc. (b)(c) | 4,800 | 55,021 | |||
Fujitec Co., Ltd. | 7,900 | 172,880 | |||
Fujitsu General, Ltd. | 8,700 | 206,328 | |||
Fujitsu, Ltd. | 28,400 | 4,865,894 | |||
Fujiya Co., Ltd. (c) | 3,600 | 70,840 | |||
Fukui Computer Holdings, Inc. | 3,000 | 89,879 | |||
Fukuoka Financial Group, Inc. (c) | 23,600 | 403,939 | |||
Fukuoka REIT Corp. | 76 | 110,085 | |||
Fukushima Galilei Co., Ltd. | 2,400 | 99,414 | |||
Fukuyama Transporting Co., Ltd. | 3,000 | 102,253 | |||
FULLCAST Holdings Co., Ltd. | 3,600 | 76,968 | |||
Funai Soken Holdings, Inc. | 5,300 | 120,401 | |||
Furukawa Co., Ltd. | 5,200 | 57,349 | |||
Furukawa Electric Co., Ltd. | 7,800 | 157,280 | |||
Fuso Chemical Co., Ltd. | 3,100 | 130,698 | |||
Future Corp. | 8,700 | 132,440 | |||
Fuyo General Lease Co., Ltd. | 2,900 | 200,712 | |||
G-7 Holdings, Inc. | 8,400 | 123,131 | |||
Gakken Holdings Co., Ltd. | 2,400 | 21,800 | |||
Genky DrugStores Co., Ltd. | 3,300 | 175,954 | |||
Geo Holdings Corp. | 5,700 | 61,329 | |||
giftee, Inc. (b) | 2,100 | 35,688 | |||
Giken, Ltd. | 2,200 | 77,470 | |||
Global One Real Estate Investment Corp. REIT | 139 | 145,331 | |||
GLOBERIDE, Inc. | 2,100 | 57,627 | |||
Glory, Ltd. | 9,800 | 186,290 | |||
GLP J-Reit | 616 | 1,063,978 | |||
GMO GlobalSign Holdings KK (c) | 500 | 18,171 | |||
GMO internet, Inc. | 11,300 | 266,419 | |||
GMO Payment Gateway, Inc. | 5,900 | 735,226 | |||
GNI Group, Ltd. (b) | 3,600 | 46,299 | |||
Goldcrest Co., Ltd. | 3,600 | 50,614 | |||
Goldwin, Inc. | 2,900 | 167,722 | |||
Gree, Inc. (c) | 15,200 | 111,801 | |||
GS Yuasa Corp. | 7,600 | 168,823 |
Security Description | Shares | Value | |||
GungHo Online Entertainment, Inc. (b) | 5,900 | $ 132,597 | |||
Gunma Bank, Ltd. | 44,800 | 136,942 | |||
Gunze, Ltd. | 1,500 | 52,625 | |||
H.U. Group Holdings, Inc. | 5,900 | 149,607 | |||
H2O Retailing Corp. | 7,900 | 55,569 | |||
Hachijuni Bank, Ltd. | 42,000 | 143,337 | |||
Hakuhodo DY Holdings, Inc. | 32,900 | 547,405 | |||
Hamakyorex Co., Ltd. | 2,200 | 55,480 | |||
Hamamatsu Photonics KK | 20,200 | 1,287,552 | |||
Hankyu Hanshin Holdings, Inc. | 31,500 | 893,122 | |||
Hankyu Hanshin REIT, Inc. | 94 | 129,301 | |||
Hanwa Co., Ltd. | 3,500 | 99,084 | |||
Harmonic Drive Systems, Inc. (c) | 8,900 | 375,615 | |||
Haseko Corp. | 38,800 | 480,472 | |||
Hazama Ando Corp. | 19,400 | 145,725 | |||
HEALIOS KK (b) | 3,200 | 35,653 | |||
Heiwa Corp. | 5,300 | 87,171 | |||
Heiwa Real Estate Co., Ltd. | 4,500 | 151,231 | |||
Heiwa Real Estate REIT, Inc. | 115 | 156,090 | |||
Heiwado Co., Ltd. | 3,000 | 50,306 | |||
Hennge KK (b)(c) | 1,200 | 20,195 | |||
Hiday Hidaka Corp. | 3,500 | 52,642 | |||
Hikari Tsushin, Inc. | 2,900 | 445,999 | |||
Hino Motors, Ltd. | 41,500 | 341,644 | |||
Hioki EE Corp. | 2,100 | 160,115 | |||
Hirata Corp. | 1,100 | 61,039 | |||
Hirogin Holdings, Inc. | 54,100 | 323,693 | |||
Hirose Electric Co., Ltd. | 4,600 | 772,559 | |||
HIS Co., Ltd. (b)(c) | 3,700 | 60,084 | |||
Hisamitsu Pharmaceutical Co., Inc. | 6,200 | 214,016 | |||
Hitachi Construction Machinery Co., Ltd. | 15,400 | 444,662 | |||
Hitachi Metals, Ltd. (b) | 35,000 | 647,692 | |||
Hitachi Transport System, Ltd. | 4,800 | 225,088 | |||
Hitachi Zosen Corp. | 16,500 | 114,342 | |||
Hitachi, Ltd. | 139,700 | 7,557,909 | |||
Hogy Medical Co., Ltd. | 2,100 | 59,450 | |||
Hokkaido Electric Power Co., Inc. | 31,100 | 138,546 | |||
Hokkoku Financial Holdings, Inc. | 1,900 | 42,074 | |||
Hokuetsu Corp. | 13,800 | 86,164 | |||
Hokuhoku Financial Group, Inc. | 15,100 | 119,851 | |||
Hokuriku Electric Power Co. | 19,300 | 98,046 | |||
Hokuto Corp. | 6,300 | 104,385 | |||
Honda Motor Co., Ltd. | 235,200 | 6,597,160 | |||
Horiba, Ltd. | 4,100 | 240,684 | |||
Hoshino Resorts REIT, Inc. | 28 | 158,777 | |||
Hoshizaki Corp. | 7,800 | 585,906 | |||
Hosiden Corp. | 7,100 | 71,089 | |||
Hosokawa Micron Corp. | 5,200 | 153,984 |
Security Description | Shares | Value | |||
House Foods Group, Inc. | 8,700 | $ 219,172 | |||
Hoya Corp. | 53,300 | 7,919,439 | |||
Hulic Co., Ltd. | 63,200 | 599,317 | |||
Hulic Reit, Inc. | 195 | 293,122 | |||
Hyakugo Bank, Ltd. | 22,900 | 68,409 | |||
Ibiden Co., Ltd. | 15,200 | 902,853 | |||
IBJ Leasing Co., Ltd. | 2,800 | 77,565 | |||
Ichibanya Co., Ltd. | 4,100 | 165,381 | |||
Ichigo Office REIT Investment Corp. | 122 | 87,828 | |||
Ichigo, Inc. | 57,100 | 138,839 | |||
Idec Corp. | 3,800 | 91,968 | |||
Idemitsu Kosan Co., Ltd. | 31,977 | 815,566 | |||
IDOM, Inc. | 21,200 | 133,104 | |||
IHI Corp. | 19,800 | 398,218 | |||
Iida Group Holdings Co., Ltd. | 20,300 | 471,736 | |||
Iino Kaiun Kaisha, Ltd. | 10,500 | 49,785 | |||
Inaba Denki Sangyo Co., Ltd. | 5,300 | 124,359 | |||
Inabata & Co., Ltd. | 5,700 | 83,009 | |||
Inageya Co., Ltd. (c) | 2,600 | 31,293 | |||
Industrial & Infrastructure Fund Investment Corp. REIT | 281 | 541,966 | |||
Infocom Corp. | 2,800 | 53,055 | |||
Infomart Corp. | 36,200 | 294,240 | |||
Information Services International-Dentsu, Ltd. | 2,000 | 67,301 | |||
INFRONEER Holdings, Inc. (c) | 27,480 | 250,089 | |||
Inpex Corp. | 147,700 | 1,285,184 | |||
Insource Co., Ltd. | 3,200 | 78,281 | |||
Internet Initiative Japan, Inc. | 7,400 | 305,241 | |||
Invincible Investment Corp. REIT | 880 | 278,164 | |||
IR Japan Holdings, Ltd. | 1,100 | 65,625 | |||
Iriso Electronics Co., Ltd. | 4,100 | 154,344 | |||
Isetan Mitsukoshi Holdings, Ltd. | 44,800 | 330,685 | |||
Isuzu Motors, Ltd. | 84,100 | 1,045,088 | |||
Ito En, Ltd. | 7,800 | 409,118 | |||
Itochu Advance Logistics Investment Corp. REIT (b) | 64 | 101,762 | |||
ITOCHU Corp. | 171,500 | 5,239,347 | |||
Itochu Enex Co., Ltd. | 5,600 | 48,484 | |||
Itochu Techno-Solutions Corp. | 14,100 | 453,042 | |||
Itoham Yonekyu Holdings, Inc. | 15,500 | 88,568 | |||
Iwatani Corp. | 6,000 | 302,201 | |||
Iyo Bank, Ltd. | 28,400 | 142,055 | |||
Izumi Co., Ltd. | 3,200 | 89,618 | |||
J Front Retailing Co., Ltd. | 33,300 | 302,767 | |||
JAC Recruitment Co., Ltd. | 3,700 | 66,960 | |||
Jaccs Co., Ltd. | 3,300 | 84,882 | |||
JAFCO Group Co., Ltd. | 3,600 | 206,956 | |||
Japan Airlines Co., Ltd. (b) | 20,800 | 396,655 |
Security Description | Shares | Value | |||
Japan Airport Terminal Co., Ltd. (b) | 9,500 | $ 395,988 | |||
Japan Aviation Electronics Industry, Ltd. | 5,700 | 98,552 | |||
Japan Elevator Service Holdings Co., Ltd. | 8,300 | 154,821 | |||
Japan Excellent, Inc. REIT | 140 | 162,060 | |||
Japan Exchange Group, Inc. | 75,800 | 1,657,456 | |||
Japan Hotel REIT Investment Corp. | 691 | 337,234 | |||
Japan Lifeline Co., Ltd. | 4,500 | 42,829 | |||
Japan Logistics Fund, Inc. REIT | 127 | 393,170 | |||
Japan Material Co., Ltd. | 14,200 | 233,553 | |||
Japan Metropolitan Fund Invest REIT | 957 | 823,574 | |||
Japan Petroleum Exploration Co., Ltd. | 4,700 | 102,281 | |||
Japan Post Bank Co., Ltd. | 66,400 | 608,328 | |||
Japan Post Holdings Co., Ltd. | 353,400 | 2,752,196 | |||
Japan Post Insurance Co., Ltd. | 32,500 | 522,122 | |||
Japan Prime Realty Investment Corp. REIT | 118 | 408,858 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 71,556 | |||
Japan Real Estate Investment Corp. REIT | 172 | 975,346 | |||
Japan Securities Finance Co., Ltd. | 9,400 | 78,364 | |||
Japan Steel Works, Ltd. | 8,100 | 271,512 | |||
Japan Tobacco, Inc. (c) | 173,100 | 3,491,162 | |||
Japan Wool Textile Co., Ltd. | 5,100 | 40,524 | |||
JCR Pharmaceuticals Co., Ltd. | 8,000 | 154,505 | |||
JCU Corp. | 3,500 | 166,254 | |||
Jeol, Ltd. | 5,400 | 430,950 | |||
JFE Holdings, Inc. | 73,200 | 932,521 | |||
JGC Holdings Corp. | 31,800 | 265,380 | |||
JIG-SAW, Inc. (b)(c) | 600 | 33,086 | |||
JINS Holdings, Inc. (c) | 1,200 | 73,049 | |||
JM Holdings Co., Ltd. (c) | 4,100 | 58,640 | |||
JMDC, Inc. (b) | 3,100 | 230,976 | |||
J-Oil Mills, Inc. | 3,600 | 52,208 | |||
Joshin Denki Co., Ltd. | 3,500 | 65,043 | |||
Joyful Honda Co., Ltd. (c) | 6,400 | 81,865 | |||
JSR Corp. | 29,700 | 1,128,370 | |||
JTEKT Corp. | 29,700 | 259,203 | |||
JTOWER, Inc. (b) | 900 | 75,420 | |||
Juroku Financial Group, Inc. | 3,000 | 56,480 | |||
Justsystems Corp. | 4,000 | 186,879 | |||
Kadokawa Corp. | 21,100 | 549,144 | |||
Kaga Electronics Co., Ltd. | 2,000 | 56,793 | |||
Kagome Co., Ltd. | 10,900 | 283,208 | |||
Kajima Corp. | 61,900 | 710,086 | |||
Kakaku.com, Inc. (c) | 18,400 | 490,539 |
Security Description | Shares | Value | |||
Kaken Pharmaceutical Co., Ltd. | 3,100 | $ 113,334 | |||
Kameda Seika Co., Ltd. | 1,600 | 59,398 | |||
Kamigumi Co., Ltd. | 17,100 | 323,423 | |||
Kanamoto Co., Ltd. | 3,000 | 62,785 | |||
Kandenko Co., Ltd. | 8,400 | 62,514 | |||
Kaneka Corp. | 6,900 | 226,195 | |||
Kanematsu Corp. | 15,600 | 173,537 | |||
Kanematsu Electronics, Ltd. | 1,000 | 34,475 | |||
Kansai Electric Power Co., Inc. | 101,600 | 947,578 | |||
Kansai Paint Co., Ltd. | 25,400 | 551,431 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 89,534 | |||
Kao Corp. | 68,500 | 3,580,405 | |||
Kappa Create Co., Ltd. (b)(c) | 7,600 | 88,503 | |||
Katakura Industries Co., Ltd. (b) | 5,600 | 119,873 | |||
Katitas Co., Ltd. | 7,000 | 268,985 | |||
Kato Sangyo Co., Ltd. | 2,100 | 61,092 | |||
Kawasaki Heavy Industries, Ltd. | 21,500 | 387,973 | |||
Kawasaki Kisen Kaisha, Ltd. (b) | 6,700 | 402,623 | |||
KDDI Corp. | 232,700 | 6,793,777 | |||
KeePer Technical Laboratory Co., Ltd. (c) | 4,900 | 94,634 | |||
Keihan Holdings Co., Ltd. | 13,300 | 305,604 | |||
Keihanshin Building Co., Ltd. | 6,200 | 84,099 | |||
Keikyu Corp. | 31,100 | 310,581 | |||
Keio Corp. | 14,400 | 633,998 | |||
Keisei Electric Railway Co., Ltd. | 17,900 | 483,427 | |||
Keiyo Bank, Ltd. | 11,200 | 45,323 | |||
Keiyo Co., Ltd. | 15,400 | 113,272 | |||
Kenedix Office Investment Corp. REIT | 62 | 382,806 | |||
Kenedix Residential Next Investment Corp. REIT | 153 | 295,358 | |||
Kenedix Retail REIT Corp. | 97 | 238,383 | |||
Kewpie Corp. | 18,800 | 404,880 | |||
Key Coffee, Inc. | 3,000 | 52,677 | |||
Keyence Corp. | 28,100 | 17,637,688 | |||
KFC Holdings Japan, Ltd. | 1,700 | 42,738 | |||
KH Neochem Co., Ltd. | 3,300 | 91,129 | |||
Kikkoman Corp. | 21,000 | 1,763,449 | |||
Kinden Corp. | 14,500 | 217,585 | |||
Kintetsu Group Holdings Co., Ltd. (b) | 23,400 | 653,302 | |||
Kintetsu World Express, Inc. | 3,700 | 96,071 | |||
Kirin Holdings Co., Ltd. | 116,300 | 1,865,365 | |||
Kisoji Co., Ltd. (c) | 6,300 | 120,195 | |||
Kissei Pharmaceutical Co., Ltd. | 3,200 | 62,636 | |||
Ki-Star Real Estate Co., Ltd. | 1,200 | 93,057 | |||
Kitanotatsujin Corp. | 7,500 | 21,818 | |||
Kitz Corp. | 7,300 | 45,136 | |||
Kiyo Bank, Ltd. | 5,000 | 61,265 |
Security Description | Shares | Value | |||
Koa Corp. (c) | 3,000 | $ 42,022 | |||
Kobayashi Pharmaceutical Co., Ltd. | 7,300 | 573,071 | |||
Kobe Bussan Co., Ltd. | 18,500 | 715,709 | |||
Kobe Steel, Ltd. | 63,800 | 319,679 | |||
Koei Tecmo Holdings Co., Ltd. (c) | 8,060 | 316,717 | |||
Kohnan Shoji Co., Ltd. | 3,300 | 97,004 | |||
Koito Manufacturing Co., Ltd. | 14,400 | 761,547 | |||
Kokuyo Co., Ltd. | 11,600 | 172,658 | |||
Komatsu, Ltd. | 127,200 | 2,975,235 | |||
KOMEDA Holdings Co., Ltd. | 4,200 | 74,769 | |||
Komeri Co., Ltd. | 5,500 | 122,127 | |||
Konami Holdings Corp. | 12,800 | 613,573 | |||
Konica Minolta, Inc. | 71,100 | 323,533 | |||
Konishi Co., Ltd. | 5,200 | 78,211 | |||
Konoike Transport Co., Ltd. | 4,700 | 50,284 | |||
Kose Corp. | 4,700 | 532,630 | |||
Koshidaka Holdings Co., Ltd. | 4,300 | 22,890 | |||
Kotobuki Spirits Co., Ltd. | 2,100 | 100,482 | |||
K's Holdings Corp. | 21,600 | 209,707 | |||
Kubota Corp. | 146,300 | 3,244,124 | |||
Kumagai Gumi Co., Ltd. | 3,200 | 79,781 | |||
Kumiai Chemical Industry Co., Ltd. | 7,900 | 54,265 | |||
Kura Sushi, Inc. (c) | 2,200 | 69,350 | |||
Kuraray Co., Ltd. (c) | 39,900 | 346,143 | |||
Kureha Corp. | 1,900 | 135,626 | |||
Kurita Water Industries, Ltd. | 13,700 | 649,577 | |||
Kusuri no Aoki Holdings Co., Ltd. | 3,000 | 189,918 | |||
KYB Corp. | 1,600 | 44,809 | |||
Kyocera Corp. | 46,600 | 2,908,377 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 76,961 | |||
KYORIN Holdings, Inc. | 6,100 | 97,786 | |||
Kyoritsu Maintenance Co., Ltd. | 3,100 | 108,623 | |||
Kyowa Kirin Co., Ltd. | 40,200 | 1,094,412 | |||
Kyudenko Corp. | 4,900 | 151,057 | |||
Kyushu Electric Power Co., Inc. | 55,400 | 412,295 | |||
Kyushu Financial Group, Inc. | 69,300 | 251,551 | |||
Kyushu Railway Co. | 18,000 | 373,896 | |||
LaSalle Logiport REIT (b) | 258 | 453,917 | |||
Lasertec Corp. | 10,900 | 3,340,376 | |||
Lawson, Inc. | 8,000 | 378,620 | |||
Leopalace21 Corp. (b)(c) | 27,000 | 43,142 | |||
Life Corp. | 1,600 | 47,310 | |||
Lifenet Insurance Co. (b) | 3,600 | 28,636 | |||
Lintec Corp. | 6,100 | 139,581 | |||
Lion Corp. | 31,900 | 425,777 | |||
LITALICO, Inc. | 2,400 | 84,200 | |||
Lixil Corp. | 38,400 | 1,022,066 | |||
M&A Capital Partners Co., Ltd. (b) | 1,300 | 59,494 | |||
M3, Inc. | 62,900 | 3,164,254 |
Security Description | Shares | Value | |||
Mabuchi Motor Co., Ltd. (c) | 8,100 | $ 267,292 | |||
Macnica Fuji Electronics Holdings, Inc. | 5,800 | 138,610 | |||
Maeda Kosen Co., Ltd. (c) | 1,800 | 61,352 | |||
Makino Milling Machine Co., Ltd. | 3,400 | 121,349 | |||
Makita Corp. | 32,300 | 1,369,640 | |||
Mandom Corp. | 3,500 | 43,038 | |||
Mani, Inc. | 12,800 | 177,291 | |||
Marubeni Corp. | 224,500 | 2,182,517 | |||
Maruha Nichiro Corp. | 6,800 | 142,017 | |||
Marui Group Co., Ltd. | 27,500 | 517,021 | |||
Maruichi Steel Tube, Ltd. | 10,400 | 230,027 | |||
Maruwa Co., Ltd. | 1,000 | 141,548 | |||
Maruwa Unyu Kikan Co., Ltd. | 5,400 | 68,277 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 72,250 | |||
Matsui Securities Co., Ltd. | 13,000 | 89,297 | |||
MatsukiyoCocokara & Co. | 18,640 | 689,561 | |||
Matsuya Co., Ltd. (b)(c) | 8,800 | 63,275 | |||
Matsuyafoods Holdings Co., Ltd. | 2,200 | 69,159 | |||
Max Co., Ltd. | 4,200 | 70,027 | |||
Maxell , Ltd. | 4,900 | 58,210 | |||
Mazda Motor Corp. | 79,000 | 607,138 | |||
McDonald's Holdings Co. Japan, Ltd. | 11,700 | 517,155 | |||
MCJ Co., Ltd. | 5,700 | 53,607 | |||
Mebuki Financial Group, Inc. | 136,100 | 280,107 | |||
Media Do Co., Ltd. | 800 | 28,483 | |||
Medical Data Vision Co., Ltd. (c) | 10,000 | 108,202 | |||
Medipal Holdings Corp. | 28,500 | 533,346 | |||
Medley, Inc. (b)(c) | 4,300 | 88,573 | |||
MedPeer, Inc. (b) | 1,400 | 43,585 | |||
Megachips Corp. | 1,800 | 80,500 | |||
Megmilk Snow Brand Co., Ltd. | 6,600 | 114,055 | |||
Meidensha Corp. | 4,000 | 95,176 | |||
MEIJI Holdings Co., Ltd. | 17,400 | 1,036,551 | |||
Meiko Electronics Co., Ltd. | 3,800 | 157,075 | |||
Meitec Corp. | 4,600 | 270,435 | |||
Menicon Co., Ltd. | 11,500 | 339,542 | |||
Mercari, Inc. (b) | 14,900 | 758,230 | |||
METAWATER Co., Ltd. | 4,200 | 73,784 | |||
Micronics Japan Co., Ltd. | 8,600 | 138,460 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 81,370 | |||
Milbon Co., Ltd. | 3,900 | 193,044 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 98,954 | |||
MINEBEA MITSUMI, Inc. | 51,800 | 1,468,690 | |||
Mirai Corp. REIT | 175 | 75,149 | |||
Mirait Holdings Corp. | 11,300 | 186,150 | |||
Miroku Jyoho Service Co., Ltd. | 2,500 | 29,981 | |||
MISUMI Group, Inc. | 41,000 | 1,680,518 |
Security Description | Shares | Value | |||
Mitani Sekisan Co., Ltd. (c) | 3,400 | $ 226,165 | |||
Mitsubishi Chemical Holdings Corp. | 184,700 | 1,366,544 | |||
Mitsubishi Corp. | 180,700 | 5,730,680 | |||
Mitsubishi Electric Corp. | 259,900 | 3,291,773 | |||
Mitsubishi Estate Co., Ltd. | 173,000 | 2,395,454 | |||
Mitsubishi Estate Logistics REIT Investment Corp. (b) | 65 | 295,775 | |||
Mitsubishi Gas Chemical Co., Inc. | 27,500 | 465,199 | |||
Mitsubishi HC Capital, Inc. | 93,330 | 461,159 | |||
Mitsubishi Heavy Industries, Ltd. | 44,300 | 1,022,914 | |||
Mitsubishi Logistics Corp. | 6,900 | 172,867 | |||
Mitsubishi Materials Corp. | 18,000 | 308,714 | |||
Mitsubishi Motors Corp. (b) | 83,100 | 231,645 | |||
Mitsubishi Pencil Co., Ltd. | 5,800 | 60,994 | |||
Mitsubishi Shokuhin Co., Ltd. | 1,300 | 31,226 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,763,700 | 9,570,893 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 78,635 | |||
Mitsui & Co., Ltd. | 225,100 | 5,323,780 | |||
Mitsui Chemicals, Inc. | 25,200 | 676,202 | |||
Mitsui Fudosan Co., Ltd. | 132,300 | 2,617,737 | |||
Mitsui Fudosan Logistics Park, Inc. REIT | 70 | 392,080 | |||
Mitsui High-Tec, Inc. | 3,200 | 313,178 | |||
Mitsui Mining & Smelting Co., Ltd. | 9,500 | 258,630 | |||
Mitsui OSK Lines, Ltd. | 15,300 | 1,134,662 | |||
Mitsui-Soko Holdings Co., Ltd. | 2,000 | 43,177 | |||
Mitsuuroko Group Holdings Co., Ltd. | 3,800 | 40,127 | |||
Miura Co., Ltd. | 12,500 | 429,855 | |||
Mixi, Inc. | 3,900 | 68,243 | |||
Mizuho Financial Group, Inc. | 348,020 | 4,421,460 | |||
Mizuno Corp. | 3,400 | 66,255 | |||
Mochida Pharmaceutical Co., Ltd. | 3,500 | 105,770 | |||
Modec, Inc. | 2,400 | 28,699 | |||
Monex Group, Inc. | 16,800 | 102,269 | |||
Money Forward, Inc. (b) | 6,100 | 366,567 | |||
Monogatari Corp (c) | 1,400 | 82,063 | |||
MonotaRO Co., Ltd. | 34,700 | 624,663 | |||
Mori Hills REIT Investment Corp. | 215 | 291,446 | |||
Mori Trust Hotel REIT, Inc. | 98 | 105,698 | |||
Mori Trust Sogo Reit, Inc. | 181 | 227,596 | |||
Morinaga & Co., Ltd. | 7,300 | 238,357 | |||
Morinaga Milk Industry Co., Ltd. | 5,400 | 256,038 | |||
Morita Holdings Corp. | 4,400 | 49,978 | |||
MOS Food Services, Inc. | 3,100 | 82,914 | |||
MS&AD Insurance Group Holdings, Inc. | 64,200 | 1,978,601 |
Security Description | Shares | Value | |||
Murata Manufacturing Co., Ltd. | 82,900 | $ 6,592,118 | |||
Musashi Seimitsu Industry Co., Ltd. | 4,900 | 81,486 | |||
Musashino Bank, Ltd. | 2,300 | 35,932 | |||
Nabtesco Corp. (c) | 16,200 | 479,015 | |||
Nachi-Fujikoshi Corp. | 1,200 | 42,933 | |||
Nagaileben Co., Ltd. | 3,300 | 64,880 | |||
Nagase & Co., Ltd. | 11,700 | 189,285 | |||
Nagawa Co., Ltd. (c) | 1,000 | 98,997 | |||
Nagoya Railroad Co., Ltd. (b) | 27,700 | 420,954 | |||
Nakanishi, Inc. | 7,600 | 139,784 | |||
Nankai Electric Railway Co., Ltd. | 14,200 | 268,204 | |||
Nanto Bank, Ltd. | 3,100 | 52,252 | |||
NEC Corp. | 34,700 | 1,600,078 | |||
NEC Networks & System Integration Corp. | 9,300 | 145,773 | |||
NET One Systems Co., Ltd. | 11,800 | 317,659 | |||
Nexon Co., Ltd. | 71,200 | 1,375,093 | |||
Nextage Co., Ltd. | 6,800 | 140,364 | |||
NGK Insulators, Ltd. | 36,100 | 609,426 | |||
NGK Spark Plug Co., Ltd. | 23,900 | 415,715 | |||
NH Foods, Ltd. | 12,100 | 435,014 | |||
NHK Spring Co., Ltd. | 28,100 | 238,651 | |||
Nichias Corp. | 6,300 | 151,762 | |||
Nichicon Corp. | 5,100 | 55,936 | |||
Nichiden Corp. | 3,800 | 77,581 | |||
Nichiha Corp. | 2,600 | 68,977 | |||
Nichi-iko Pharmaceutical Co., Ltd. (b)(c) | 6,000 | 36,733 | |||
Nichirei Corp. | 15,500 | 358,443 | |||
Nidec Corp. | 64,500 | 7,572,750 | |||
Nifco, Inc. | 11,600 | 363,649 | |||
Nihon Chouzai Co., Ltd. | 4,000 | 47,762 | |||
Nihon Kohden Corp. | 12,000 | 328,774 | |||
Nihon M&A Center Holdings, Inc. | 43,700 | 1,070,537 | |||
Nihon Parkerizing Co., Ltd. | 12,300 | 120,164 | |||
Nihon Unisys, Ltd. | 10,700 | 300,126 | |||
Nikkiso Co., Ltd. (c) | 4,200 | 29,324 | |||
Nikkon Holdings Co., Ltd. | 7,200 | 135,428 | |||
Nikon Corp. | 45,200 | 486,718 | |||
Nintendo Co., Ltd. | 16,100 | 7,500,890 | |||
Nippn Corp. | 3,900 | 56,084 | |||
Nippo Corp. (b) | 1,600 | 55,438 | |||
Nippon Accommodations Fund, Inc. REIT | 71 | 408,779 | |||
Nippon Building Fund, Inc. REIT | 216 | 1,256,741 | |||
Nippon Carbon Co., Ltd. (c) | 1,200 | 43,454 | |||
Nippon Ceramic Co., Ltd. | 2,800 | 68,471 | |||
Nippon Densetsu Kogyo Co., Ltd. | 3,100 | 44,741 | |||
Nippon Electric Glass Co., Ltd. | 12,700 | 325,234 | |||
Nippon Express Co., Ltd. | 10,600 | 627,320 |
Security Description | Shares | Value | |||
Nippon Gas Co., Ltd. | 15,400 | $ 203,943 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 100,352 | |||
Nippon Kayaku Co., Ltd. | 19,200 | 197,410 | |||
Nippon Koei Co., Ltd. | 2,400 | 66,484 | |||
Nippon Light Metal Holdings Co., Ltd. | 14,500 | 217,081 | |||
Nippon Paint Holdings Co., Ltd. | 98,900 | 1,076,988 | |||
Nippon Paper Industries Co., Ltd. | 10,500 | 99,023 | |||
Nippon Parking Development Co., Ltd. | 44,800 | 53,688 | |||
Nippon Prologis REIT, Inc. (b) | 316 | 1,116,860 | |||
NIPPON REIT Investment Corp. | 52 | 185,142 | |||
Nippon Road Co., Ltd. | 1,200 | 85,867 | |||
Nippon Sanso Holdings Corp. | 20,800 | 453,913 | |||
Nippon Seiki Co., Ltd. | 4,600 | 46,377 | |||
Nippon Sheet Glass Co., Ltd. (b) | 10,400 | 46,331 | |||
Nippon Shinyaku Co., Ltd. | 6,700 | 466,041 | |||
Nippon Shokubai Co., Ltd. | 3,200 | 147,836 | |||
Nippon Signal Co., Ltd. | 6,300 | 50,059 | |||
Nippon Soda Co., Ltd. | 2,900 | 83,357 | |||
Nippon Steel Corp. | 123,600 | 2,016,262 | |||
Nippon Steel Trading Corp. | 1,600 | 69,749 | |||
Nippon Suisan Kaisha, Ltd. | 35,600 | 167,868 | |||
Nippon Telegraph & Telephone Corp. | 185,700 | 5,079,719 | |||
Nippon Television Holdings, Inc. | 5,700 | 57,814 | |||
Nippon Yusen KK | 23,300 | 1,772,463 | |||
Nipro Corp. | 16,000 | 151,309 | |||
Nishimatsu Construction Co., Ltd. | 6,200 | 196,249 | |||
Nishimatsuya Chain Co., Ltd. (c) | 9,000 | 107,933 | |||
Nishi-Nippon Financial Holdings, Inc. | 11,300 | 73,008 | |||
Nishi-Nippon Railroad Co., Ltd. | 7,200 | 163,126 | |||
Nishio Rent All Co., Ltd. | 2,900 | 72,327 | |||
Nissan Chemical Corp. | 17,100 | 991,950 | |||
Nissan Motor Co., Ltd. (b) | 334,900 | 1,616,408 | |||
Nissan Shatai Co., Ltd. | 6,700 | 41,019 | |||
Nissei ASB Machine Co., Ltd. | 1,400 | 38,539 | |||
Nissha Co., Ltd. (c) | 4,100 | 59,459 | |||
Nisshin Oillio Group, Ltd. | 2,200 | 55,384 | |||
Nisshin Seifun Group, Inc. | 30,200 | 434,819 | |||
Nisshinbo Holdings, Inc. | 27,200 | 206,678 | |||
Nissin Electric Co., Ltd. | 5,200 | 71,167 | |||
Nissin Foods Holdings Co., Ltd. | 8,800 | 641,153 | |||
Nitori Holdings Co., Ltd. | 11,600 | 1,735,140 | |||
Nitta Corp. | 1,700 | 43,506 | |||
Nitto Boseki Co., Ltd. (c) | 2,300 | 58,821 | |||
Nitto Denko Corp. | 20,300 | 1,567,166 |
Security Description | Shares | Value | |||
Nitto Kogyo Corp. | 3,700 | $ 51,088 | |||
Nittoku Co., Ltd. | 2,600 | 89,974 | |||
Noevir Holdings Co., Ltd. (c) | 1,400 | 65,529 | |||
NOF Corp. | 9,700 | 489,401 | |||
Nohmi Bosai, Ltd. | 1,800 | 35,186 | |||
Nojima Corp. | 5,400 | 112,919 | |||
NOK Corp. | 14,600 | 158,736 | |||
Nomura Co., Ltd. | 11,200 | 92,689 | |||
Nomura Holdings, Inc. | 443,200 | 1,930,906 | |||
Nomura Real Estate Holdings, Inc. | 17,000 | 390,769 | |||
Nomura Real Estate Master Fund, Inc. REIT (b) | 614 | 862,709 | |||
Nomura Research Institute, Ltd. | 49,400 | 2,117,051 | |||
Noritake Co., Ltd. | 3,300 | 143,858 | |||
Noritsu Koki Co., Ltd. | 2,100 | 49,475 | |||
Noritz Corp. | 6,800 | 99,087 | |||
North Pacific Bank, Ltd. | 27,700 | 60,136 | |||
NS Solutions Corp. | 3,800 | 116,981 | |||
NSD Co., Ltd. | 9,100 | 165,160 | |||
NSK, Ltd. | 55,700 | 356,968 | |||
NTN Corp. (b) | 36,100 | 75,238 | |||
NTT Data Corp. | 90,800 | 1,944,447 | |||
NTT UD REIT Investment Corp. | 181 | 243,943 | |||
Obara Group, Inc. | 1,300 | 39,060 | |||
Obayashi Corp. | 95,300 | 736,546 | |||
OBIC Business Consultants Co., Ltd. | 3,900 | 164,257 | |||
Obic Co., Ltd. | 10,100 | 1,894,490 | |||
Odakyu Electric Railway Co., Ltd. | 44,700 | 829,136 | |||
Ogaki Kyoritsu Bank, Ltd. | 3,000 | 50,358 | |||
Ohsho Food Service Corp. | 1,200 | 63,671 | |||
Oiles Corp. | 4,900 | 71,869 | |||
Oisix ra daichi, Inc. (b) | 2,400 | 64,504 | |||
Oji Holdings Corp. | 111,100 | 537,386 | |||
Okamoto Industries, Inc. | 1,900 | 69,710 | |||
Okamura Corp. | 6,100 | 68,122 | |||
Okasan Securities Group, Inc. | 15,600 | 51,614 | |||
Oki Electric Industry Co., Ltd. | 10,000 | 78,503 | |||
Okinawa Cellular Telephone Co. | 1,500 | 66,562 | |||
Okinawa Electric Power Co., Inc. | 4,935 | 62,354 | |||
Okinawa Financial Group, Inc. | 2,300 | 44,141 | |||
OKUMA Corp. | 2,300 | 102,262 | |||
Okumura Corp. | 4,600 | 128,826 | |||
Olympus Corp. | 158,000 | 3,635,283 | |||
Omron Corp. | 26,500 | 2,637,228 | |||
One REIT, Inc. | 31 | 81,299 | |||
Ono Pharmaceutical Co., Ltd. | 53,400 | 1,324,392 | |||
Open House Co., Ltd. | 11,200 | 585,506 | |||
Optex Group Co., Ltd. (c) | 4,700 | 67,058 |
Security Description | Shares | Value | |||
Optim Corp. (b) | 1,800 | $ 20,617 | |||
Optorun Co., Ltd. | 2,400 | 49,519 | |||
Oracle Corp. Japan | 5,300 | 402,258 | |||
Organo Corp. | 1,500 | 112,674 | |||
Orient Corp. | 55,000 | 59,702 | |||
Oriental Land Co., Ltd. | 28,900 | 4,867,487 | |||
ORIX Corp. | 173,800 | 3,543,012 | |||
Orix JREIT, Inc. | 370 | 577,708 | |||
Osaka Gas Co., Ltd. | 51,200 | 845,219 | |||
Osaka Organic Chemical Industry, Ltd. | 1,600 | 46,129 | |||
Osaka Soda Co., Ltd. | 2,700 | 71,278 | |||
OSG Corp. | 9,200 | 142,688 | |||
Otsuka Corp. | 16,400 | 781,868 | |||
Otsuka Holdings Co., Ltd. | 56,300 | 2,038,250 | |||
Outsourcing, Inc. (c) | 22,100 | 297,469 | |||
Pacific Industrial Co., Ltd. | 3,700 | 39,039 | |||
Pack Corp. (c) | 2,300 | 53,887 | |||
PAL GROUP Holdings Co., Ltd. | 4,400 | 65,567 | |||
PALTAC Corp. | 2,900 | 119,244 | |||
Pan Pacific International Holdings Corp. | 56,200 | 774,516 | |||
Panasonic Corp. | 314,400 | 3,453,745 | |||
Paramount Bed Holdings Co., Ltd. | 3,600 | 60,993 | |||
Park24 Co., Ltd. (b) | 12,800 | 175,180 | |||
Pasona Group, Inc. | 4,800 | 137,554 | |||
Penta-Ocean Construction Co., Ltd. | 45,600 | 257,392 | |||
PeptiDream, Inc. (b) | 12,400 | 274,048 | |||
Persol Holdings Co., Ltd. | 25,600 | 742,512 | |||
Pharma Foods International Co., Ltd. (c) | 2,400 | 44,080 | |||
Pigeon Corp. (c) | 17,400 | 332,119 | |||
Pilot Corp. | 3,800 | 145,196 | |||
Piolax, Inc. | 2,400 | 36,639 | |||
PKSHA Technology, Inc. (b) | 1,700 | 37,084 | |||
Plaid, Inc. (b)(c) | 1,800 | 33,372 | |||
Plenus Co., Ltd. | 4,100 | 71,814 | |||
Plus Alpha Consulting Co., Ltd. | 1,600 | 44,184 | |||
Pola Orbis Holdings, Inc. (c) | 14,500 | 241,383 | |||
Premier Anti-Aging Co., Ltd. (b) | 400 | 32,131 | |||
Pressance Corp. | 1,700 | 30,928 | |||
Prestige International, Inc. | 8,800 | 51,048 | |||
Prima Meat Packers, Ltd. | 3,400 | 73,341 | |||
Proto Corp. | 3,000 | 35,769 | |||
Qol Holdings Co., Ltd. | 8,700 | 105,770 | |||
Raito Kogyo Co., Ltd. | 9,300 | 159,987 | |||
Raiznext Corp. | 6,900 | 70,046 | |||
Raksul, Inc. (b)(c) | 3,200 | 157,839 | |||
Rakus Co., Ltd. | 9,600 | 258,434 | |||
Rakuten Group, Inc. | 125,300 | 1,255,666 | |||
Recruit Holdings Co., Ltd. | 195,800 | 11,854,610 | |||
Relia, Inc. | 5,700 | 48,261 |
Security Description | Shares | Value | |||
Relo Group, Inc. | 20,900 | $ 377,327 | |||
Renesas Electronics Corp. (b) | 184,100 | 2,274,971 | |||
Rengo Co., Ltd. | 21,800 | 164,700 | |||
RENOVA, Inc. (b) | 4,800 | 86,784 | |||
Resona Holdings, Inc. | 289,402 | 1,124,384 | |||
Resorttrust, Inc. | 15,100 | 246,389 | |||
Restar Holdings Corp. | 4,300 | 75,279 | |||
Retail Partners Co., Ltd. | 8,600 | 102,389 | |||
Ricoh Co., Ltd. | 91,800 | 853,787 | |||
Ricoh Leasing Co., Ltd. | 1,200 | 40,224 | |||
Riken Keiki Co., Ltd. (c) | 3,700 | 188,607 | |||
Riken Vitamin Co., Ltd. | 4,400 | 65,109 | |||
Ringer Hut Co., Ltd. (b)(c) | 4,000 | 77,218 | |||
Rinnai Corp. | 5,100 | 459,711 | |||
Riso Kagaku Corp. | 1,800 | 33,544 | |||
Riso Kyoiku Co., Ltd. | 12,100 | 41,295 | |||
Rohm Co., Ltd. | 12,600 | 1,145,604 | |||
Rohto Pharmaceutical Co., Ltd. | 16,200 | 488,863 | |||
Roland Corp. | 1,500 | 51,192 | |||
Rorze Corp. | 1,500 | 161,652 | |||
Round One Corp. | 4,900 | 58,040 | |||
Royal Holdings Co., Ltd. (b)(c) | 2,800 | 46,150 | |||
RS Technologies Co., Ltd. (c) | 800 | 47,310 | |||
Ryohin Keikaku Co., Ltd. | 35,000 | 533,108 | |||
Ryosan Co., Ltd. | 2,800 | 55,268 | |||
Ryoyo Electro Corp. (c) | 4,900 | 102,038 | |||
S Foods, Inc. | 1,500 | 45,330 | |||
Saibu Gas Holdings Co., Ltd. | 2,400 | 44,288 | |||
Saizeriya Co., Ltd. | 2,700 | 70,457 | |||
Sakai Moving Service Co., Ltd. | 1,200 | 45,122 | |||
Sakata INX Corp. (c) | 6,900 | 59,560 | |||
Sakata Seed Corp. | 2,600 | 74,170 | |||
SAMTY Co., Ltd. | 4,100 | 78,222 | |||
Samty Residential Investment Corp. REIT (b) | 80 | 89,479 | |||
San-A Co., Ltd. | 1,500 | 54,448 | |||
San-Ai Oil Co., Ltd. | 7,300 | 84,629 | |||
SanBio Co., Ltd. (b)(c) | 2,600 | 22,736 | |||
Sangetsu Corp. | 5,700 | 80,336 | |||
San-In Godo Bank, Ltd. | 12,800 | 72,028 | |||
Sanken Electric Co., Ltd. | 3,300 | 180,826 | |||
Sanki Engineering Co., Ltd. | 7,100 | 88,723 | |||
Sankyo Co., Ltd. | 8,800 | 227,804 | |||
Sankyu, Inc. | 7,600 | 314,810 | |||
Sanrio Co., Ltd. | 6,700 | 145,398 | |||
Sansan, Inc. (b) | 11,600 | 252,540 | |||
Santen Pharmaceutical Co., Ltd. | 50,100 | 612,138 | |||
Sanwa Holdings Corp. | 26,700 | 284,494 | |||
Sanyo Chemical Industries, Ltd. | 1,300 | 60,284 | |||
Sanyo Denki Co., Ltd. | 1,500 | 78,546 | |||
Sapporo Holdings, Ltd. | 6,900 | 130,804 |
Security Description | Shares | Value | |||
Sato Holdings Corp. | 2,600 | $ 49,695 | |||
Sawai Group Holdings Co., Ltd. | 7,900 | 301,511 | |||
SBI Holdings, Inc. | 33,800 | 920,177 | |||
SBS Holdings, Inc. | 4,500 | 127,589 | |||
SCREEN Holdings Co., Ltd. (c) | 5,200 | 558,586 | |||
SCSK Corp. | 21,400 | 425,380 | |||
Secom Co., Ltd. | 30,000 | 2,080,500 | |||
Sega Sammy Holdings, Inc. | 27,800 | 436,235 | |||
Seibu Holdings, Inc. (b) | 27,700 | 258,827 | |||
Seikagaku Corp. | 12,800 | 104,596 | |||
Seiko Epson Corp. | 39,500 | 710,386 | |||
Seiko Holdings Corp. | 2,900 | 56,486 | |||
Seino Holdings Co., Ltd. | 21,700 | 219,535 | |||
Seiren Co., Ltd. | 6,100 | 133,331 | |||
Sekisui Chemical Co., Ltd. | 52,800 | 881,261 | |||
Sekisui House REIT, Inc. | 558 | 415,272 | |||
Sekisui House, Ltd. | 91,000 | 1,951,101 | |||
Sekisui Jushi Corp. | 3,600 | 65,369 | |||
Senko Group Holdings Co., Ltd. | 21,600 | 173,880 | |||
Seria Co., Ltd. | 4,900 | 141,909 | |||
Seven & i Holdings Co., Ltd. | 108,700 | 4,772,587 | |||
Seven Bank, Ltd. | 72,000 | 148,808 | |||
SG Holdings Co., Ltd. | 46,900 | 1,096,797 | |||
Sharp Corp. | 29,300 | 336,115 | |||
Shibaura Machine Co., Ltd. | 1,700 | 55,508 | |||
Shibuya Corp. (c) | 1,200 | 31,158 | |||
SHIFT, Inc. (b) | 1,600 | 331,518 | |||
Shiga Bank, Ltd. | 4,200 | 75,462 | |||
Shikoku Chemicals Corp. | 6,600 | 80,870 | |||
Shikoku Electric Power Co., Inc. | 16,700 | 117,468 | |||
Shima Seiki Manufacturing, Ltd. | 2,400 | 41,162 | |||
Shimadzu Corp. | 34,200 | 1,441,891 | |||
Shimamura Co., Ltd. | 3,600 | 301,993 | |||
Shimano, Inc. | 10,600 | 2,822,248 | |||
Shimizu Corp. | 75,600 | 468,089 | |||
Shin-Etsu Chemical Co., Ltd. | 51,100 | 8,839,495 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 97,093 | |||
Shinko Electric Industries Co., Ltd. | 9,300 | 443,376 | |||
Shinmaywa Industries, Ltd. | 5,600 | 42,551 | |||
Shinsei Bank, Ltd. | 18,300 | 297,650 | |||
Shionogi & Co., Ltd. | 37,900 | 2,674,113 | |||
Ship Healthcare Holdings, Inc. | 9,200 | 214,111 | |||
Shiseido Co., Ltd. | 57,700 | 3,213,823 | |||
Shizuoka Bank, Ltd. (c) | 61,600 | 439,713 | |||
Shizuoka Gas Co., Ltd. | 8,100 | 69,285 | |||
SHO-BOND Holdings Co., Ltd. | 7,500 | 336,720 | |||
Shochiku Co., Ltd. (b) | 900 | 93,865 | |||
Shoei Co., Ltd. | 3,200 | 125,883 | |||
Shoei Foods Corp. | 2,300 | 76,697 |
Security Description | Shares | Value | |||
Showa Denko KK | 25,000 | $ 524,293 | |||
Showa Sangyo Co., Ltd. | 2,400 | 55,417 | |||
Siix Corp. (c) | 3,200 | 39,349 | |||
Sinko Industries, Ltd. | 3,500 | 61,122 | |||
SKY Perfect JSAT Holdings, Inc. | 14,300 | 52,156 | |||
Skylark Holdings Co., Ltd. (c) | 34,600 | 454,002 | |||
SMC Corp. | 8,300 | 5,592,436 | |||
SMS Co., Ltd. | 10,300 | 405,184 | |||
Snow Peak, Inc. (c) | 3,200 | 88,368 | |||
Sodick Co., Ltd. | 9,700 | 68,988 | |||
Softbank Corp. | 414,400 | 5,234,204 | |||
SoftBank Group Corp. | 191,600 | 9,041,330 | |||
Sohgo Security Services Co., Ltd. | 10,700 | 424,636 | |||
Sojitz Corp. | 35,820 | 537,510 | |||
Solasto Corp. | 6,300 | 67,565 | |||
Sompo Holdings, Inc. | 45,600 | 1,924,106 | |||
Sony Group Corp. | 182,000 | 22,877,426 | |||
Sosei Group Corp. (b) | 13,900 | 229,826 | |||
SOSiLA Logistics REIT, Inc. (b) | 112 | 171,178 | |||
Sotetsu Holdings, Inc. (b) | 8,500 | 155,451 | |||
S-Pool, Inc. | 7,200 | 76,092 | |||
Square Enix Holdings Co., Ltd. | 11,700 | 599,453 | |||
SRE Holdings Corp. (b) | 800 | 50,436 | |||
Stanley Electric Co., Ltd. | 18,900 | 472,521 | |||
Star Asia Investment Corp. REIT | 164 | 90,150 | |||
Star Micronics Co., Ltd. | 4,800 | 64,567 | |||
Starts Corp., Inc. | 2,800 | 61,055 | |||
Starts Proceed Investment Corp. REIT | 62 | 128,086 | |||
Strike Co., Ltd. | 1,300 | 57,800 | |||
Subaru Corp. | 87,700 | 1,566,575 | |||
Sugi Holdings Co., Ltd. | 4,200 | 254,214 | |||
SUMCO Corp. (c) | 50,600 | 1,032,169 | |||
Sumitomo Bakelite Co., Ltd. | 4,800 | 243,012 | |||
Sumitomo Chemical Co., Ltd. | 221,700 | 1,043,475 | |||
Sumitomo Corp. | 164,800 | 2,433,610 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 24,100 | 277,300 | |||
Sumitomo Densetsu Co., Ltd. | 1,800 | 32,622 | |||
Sumitomo Electric Industries, Ltd. | 110,600 | 1,440,187 | |||
Sumitomo Forestry Co., Ltd. | 19,400 | 375,011 | |||
Sumitomo Heavy Industries, Ltd. | 16,000 | 387,512 | |||
Sumitomo Metal Mining Co., Ltd. | 37,100 | 1,401,459 | |||
Sumitomo Mitsui Construction Co., Ltd. | 14,000 | 52,034 | |||
Sumitomo Mitsui Financial Group, Inc. | 188,400 | 6,450,968 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 49,200 | 1,641,923 |
Security Description | Shares | Value | |||
Sumitomo Osaka Cement Co., Ltd. | 4,800 | $ 147,349 | |||
Sumitomo Realty & Development Co., Ltd. | 45,500 | 1,336,690 | |||
Sumitomo Rubber Industries, Ltd. | 21,500 | 218,818 | |||
Sumitomo Warehouse Co., Ltd. | 5,100 | 86,008 | |||
Sun Corp. | 1,600 | 35,972 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 50,518 | |||
Sundrug Co., Ltd. | 8,900 | 232,248 | |||
Suntory Beverage & Food, Ltd. | 19,500 | 704,442 | |||
Suruga Bank, Ltd. | 13,500 | 59,555 | |||
Suzuken Co., Ltd. | 8,200 | 236,412 | |||
Suzuki Motor Corp. | 53,100 | 2,042,290 | |||
Sysmex Corp. | 23,900 | 3,227,346 | |||
Systena Corp. | 29,200 | 109,036 | |||
T Hasegawa Co., Ltd. | 4,000 | 93,926 | |||
T&D Holdings, Inc. | 77,600 | 991,943 | |||
Tadano, Ltd. | 8,800 | 84,672 | |||
Taihei Dengyo Kaisha, Ltd. | 3,100 | 77,261 | |||
Taiheiyo Cement Corp. | 17,900 | 353,321 | |||
Taikisha, Ltd. | 3,300 | 89,697 | |||
Taisei Corp. | 26,300 | 798,215 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,700 | 261,847 | |||
Taiyo Holdings Co., Ltd. | 5,000 | 151,101 | |||
Taiyo Yuden Co., Ltd. | 16,400 | 942,799 | |||
Takamatsu Construction Group Co., Ltd. | 1,300 | 22,251 | |||
Takara Bio, Inc. | 5,600 | 128,578 | |||
Takara Holdings, Inc. | 17,700 | 187,675 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 85,698 | |||
Takara Standard Co., Ltd. | 3,300 | 40,492 | |||
Takasago International Corp. | 2,900 | 72,780 | |||
Takasago Thermal Engineering Co., Ltd. | 4,000 | 65,859 | |||
Takashimaya Co., Ltd. | 20,500 | 190,482 | |||
Takeda Pharmaceutical Co., Ltd. | 228,338 | 6,220,280 | |||
Takeuchi Manufacturing Co., Ltd. | 3,500 | 82,945 | |||
Takuma Co., Ltd. | 6,200 | 76,723 | |||
Tamron Co., Ltd. | 2,900 | 71,899 | |||
Tamura Corp. (c) | 13,300 | 77,267 | |||
TBS Holdings, Inc. | 5,200 | 75,366 | |||
TDK Corp. | 56,100 | 2,187,391 | |||
TechMatrix Corp. | 3,200 | 52,965 | |||
TechnoPro Holdings, Inc. | 15,000 | 454,605 | |||
Teijin, Ltd. | 22,100 | 271,560 | |||
Teikoku Sen-I Co., Ltd. (c) | 4,100 | 82,637 | |||
Tenma Corp. | 3,800 | 87,117 | |||
Terumo Corp. | 93,200 | 3,933,411 | |||
T-Gaia Corp. | 1,700 | 24,447 |
Security Description | Shares | Value | |||
THK Co., Ltd. | 18,400 | $ 443,083 | |||
TIS, Inc. | 31,700 | 942,838 | |||
TKC Corp. | 3,000 | 90,009 | |||
Toagosei Co., Ltd. | 9,600 | 96,371 | |||
Tobu Railway Co., Ltd. | 26,700 | 607,941 | |||
TOC Co., Ltd. | 8,700 | 50,165 | |||
Tocalo Co., Ltd. | 8,100 | 103,751 | |||
Toda Corp. | 27,100 | 171,324 | |||
Toei Co., Ltd. | 800 | 121,853 | |||
Toho Bank, Ltd. | 30,200 | 55,598 | |||
Toho Co., Ltd. | 15,900 | 680,018 | |||
Toho Gas Co., Ltd. | 11,300 | 287,419 | |||
Toho Holdings Co., Ltd. | 11,800 | 179,836 | |||
Tohoku Electric Power Co., Inc. | 60,700 | 430,126 | |||
Tokai Carbon Co., Ltd. (c) | 26,200 | 274,843 | |||
Tokai Corp. | 2,300 | 39,447 | |||
TOKAI Holdings Corp. | 8,800 | 66,408 | |||
Tokai Rika Co., Ltd. | 4,700 | 63,181 | |||
Tokai Tokyo Financial Holdings, Inc. | 20,900 | 71,690 | |||
Token Corp. | 1,100 | 90,270 | |||
Tokio Marine Holdings, Inc. | 90,600 | 5,029,006 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 71,556 | |||
Tokuyama Corp. | 7,000 | 111,120 | |||
Tokyo Century Corp. | 5,200 | 251,973 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 209,000 | 539,039 | |||
Tokyo Electron, Ltd. | 21,500 | 12,374,799 | |||
Tokyo Gas Co., Ltd. | 54,300 | 972,312 | |||
Tokyo Ohka Kogyo Co., Ltd. | 4,300 | 253,919 | |||
Tokyo Seimitsu Co., Ltd. | 5,200 | 230,298 | |||
Tokyo Steel Manufacturing Co., Ltd. | 15,900 | 190,129 | |||
Tokyo Tatemono Co., Ltd. | 26,000 | 379,315 | |||
Tokyotokeiba Co., Ltd. (c) | 1,600 | 59,259 | |||
Tokyu Construction Co., Ltd. | 9,200 | 53,208 | |||
Tokyu Corp. | 71,500 | 948,739 | |||
Tokyu Fudosan Holdings Corp. | 83,800 | 467,921 | |||
Tokyu REIT, Inc. | 95 | 163,345 | |||
TOMONY Holdings, Inc. | 28,300 | 77,905 | |||
Tomy Co., Ltd. | 8,100 | 77,304 | |||
Topcon Corp. | 14,800 | 213,219 | |||
TOPPAN, INC. | 36,000 | 674,013 | |||
Topre Corp. | 2,800 | 28,959 | |||
Toray Industries, Inc. | 200,100 | 1,184,735 | |||
Toridoll Holdings Corp. (c) | 4,700 | 101,465 | |||
Tosei Corp. | 5,700 | 49,993 | |||
Toshiba Corp. | 59,900 | 2,460,397 | |||
Toshiba TEC Corp. | 4,700 | 192,032 | |||
Tosoh Corp. | 37,100 | 549,630 | |||
Totetsu Kogyo Co., Ltd. | 2,900 | 63,135 | |||
TOTO, Ltd. | 20,400 | 937,137 | |||
Towa Pharmaceutical Co., Ltd. | 2,800 | 69,638 |
Security Description | Shares | Value | |||
Toyo Construction Co., Ltd. | 16,800 | $ 84,762 | |||
Toyo Gosei Co., Ltd. | 500 | 67,865 | |||
Toyo Ink SC Holdings Co., Ltd. | 4,100 | 68,538 | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | 197,923 | |||
Toyo Suisan Kaisha, Ltd. | 12,100 | 512,244 | |||
Toyo Tanso Co., Ltd. | 1,800 | 50,020 | |||
Toyo Tire Corp. | 13,400 | 208,759 | |||
Toyobo Co., Ltd. | 7,200 | 78,531 | |||
Toyoda Gosei Co., Ltd. | 12,600 | 273,763 | |||
Toyota Boshoku Corp. | 8,800 | 172,401 | |||
Toyota Industries Corp. | 21,300 | 1,699,857 | |||
Toyota Motor Corp. | 1,530,140 | 27,977,159 | |||
Toyota Tsusho Corp. | 30,300 | 1,394,555 | |||
Trancom Co., Ltd. | 1,300 | 101,151 | |||
Transcosmos, Inc. | 2,100 | 59,815 | |||
TRE Holdings Corp. | 5,800 | 89,200 | |||
Trend Micro, Inc. | 19,900 | 1,104,259 | |||
Tri Chemical Laboratories, Inc. | 3,600 | 113,951 | |||
Trusco Nakayama Corp. | 4,700 | 111,465 | |||
TS Tech Co., Ltd. | 11,600 | 142,438 | |||
Tsubaki Nakashima Co., Ltd. | 4,800 | 61,232 | |||
Tsubakimoto Chain Co. | 2,700 | 74,091 | |||
Tsugami Corp. (c) | 4,400 | 67,134 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 51,208 | |||
Tsumura & Co. | 7,900 | 224,675 | |||
Tsuruha Holdings, Inc. | 5,600 | 536,876 | |||
TV Asahi Holdings Corp. | 1,900 | 23,644 | |||
UACJ Corp. (b) | 3,400 | 78,508 | |||
Ube Industries, Ltd. | 19,000 | 329,660 | |||
Uchida Yoko Co., Ltd. | 2,700 | 123,564 | |||
Ulvac, Inc. | 7,900 | 493,943 | |||
Unicharm Corp. | 57,700 | 2,504,818 | |||
Union Tool Co. | 2,400 | 82,949 | |||
United Arrows, Ltd. | 2,300 | 36,571 | |||
United Super Markets Holdings, Inc. | 5,500 | 50,484 | |||
United Urban Investment Corp. REIT | 426 | 500,154 | |||
Universal Entertainment Corp. (b) | 2,100 | 44,515 | |||
Usen-Next Holdings Co., Ltd. | 5,600 | 146,133 | |||
Ushio, Inc. | 13,700 | 227,233 | |||
USS Co., Ltd. | 31,000 | 483,487 | |||
UT Group Co., Ltd. | 3,200 | 120,186 | |||
Uzabase, Inc. (b)(c) | 2,500 | 31,914 | |||
Valor Holdings Co., Ltd. | 4,500 | 83,861 | |||
ValueCommerce Co., Ltd. | 1,500 | 58,226 | |||
Vector, Inc. | 3,200 | 32,707 | |||
Vision, Inc. (b)(c) | 2,300 | 23,169 | |||
Visional, Inc. (b)(c) | 1,700 | 143,346 | |||
VT Holdings Co., Ltd. | 20,000 | 81,108 | |||
Wacoal Holdings Corp. | 7,800 | 144,614 | |||
Wacom Co., Ltd. | 24,300 | 193,294 | |||
Wakita & Co., Ltd. | 7,000 | 65,407 |
Security Description | Shares | Value | |||
WDB Holdings Co., Ltd. | 2,600 | $ 69,880 | |||
WealthNavi, Inc. (b) | 2,800 | 49,676 | |||
Weathernews, Inc. | 700 | 58,478 | |||
Welcia Holdings Co., Ltd. | 14,200 | 442,690 | |||
West Holdings Corp. | 3,110 | 154,751 | |||
West Japan Railway Co. | 32,500 | 1,357,518 | |||
Xebio Holdings Co., Ltd. | 7,300 | 58,448 | |||
Yakult Honsha Co., Ltd. | 17,900 | 932,656 | |||
YAMABIKO Corp. (c) | 6,300 | 68,167 | |||
Yamada Holdings Co., Ltd. | 83,200 | 283,944 | |||
Yamaguchi Financial Group, Inc. | 23,900 | 139,679 | |||
Yamaha Corp. | 19,300 | 950,293 | |||
Yamaha Motor Co., Ltd. (c) | 43,000 | 1,030,238 | |||
YA-MAN, Ltd. (c) | 3,100 | 25,897 | |||
Yamato Holdings Co., Ltd. | 44,800 | 1,051,577 | |||
Yamato Kogyo Co., Ltd. | 7,700 | 249,077 | |||
Yamazaki Baking Co., Ltd. (c) | 13,900 | 184,440 | |||
Yamazen Corp. | 8,300 | 77,555 | |||
Yaoko Co., Ltd. | 2,600 | 157,822 | |||
Yaskawa Electric Corp. | 34,600 | 1,694,620 | |||
Yellow Hat, Ltd. | 4,700 | 67,466 | |||
Yodogawa Steel Works, Ltd. | 1,700 | 37,571 | |||
Yokogawa Bridge Holdings Corp. | 3,400 | 64,838 | |||
Yokogawa Electric Corp. | 31,300 | 563,729 | |||
Yokohama Reito Co., Ltd. | 11,000 | 79,762 | |||
Yokohama Rubber Co., Ltd. | 17,100 | 273,677 | |||
Yokowo Co., Ltd. | 1,700 | 43,698 | |||
Yonex Co., Ltd. | 14,000 | 106,865 | |||
Yoshinoya Holdings Co., Ltd. | 7,000 | 141,088 | |||
Yuasa Trading Co., Ltd. | 3,200 | 82,782 | |||
Z Holdings Corp. | 392,800 | 2,276,538 | |||
Zenkoku Hosho Co., Ltd. | 9,100 | 395,910 | |||
Zenrin Co., Ltd. | 3,600 | 31,043 | |||
Zensho Holdings Co., Ltd. | 14,800 | 347,525 | |||
Zeon Corp. | 15,600 | 179,768 | |||
ZERIA Pharmaceutical Co., Ltd. (c) | 2,600 | 44,389 | |||
Zojirushi Corp. (c) | 5,000 | 62,611 | |||
ZOZO, Inc. | 17,100 | 533,099 | |||
Zuken, Inc. | 1,600 | 51,409 | |||
682,266,718 | |||||
JERSEY — 0.0% (a) | |||||
JTC PLC (d) | 17,708 | 219,699 | |||
Sanne Group PLC (b) | 28,034 | 345,913 | |||
565,612 | |||||
JORDAN — 0.0% (a) | |||||
Hikma Pharmaceuticals PLC | 25,372 | 762,562 | |||
KENYA — 0.0% (a) | |||||
Vivo Energy PLC (d) | 59,856 | 106,853 | |||
KUWAIT — 0.2% | |||||
Agility Public Warehousing Co. KSC | 190,000 | 594,045 |
Security Description | Shares | Value | |||
Boubyan Bank KSCP (b) | 175,000 | $ 457,403 | |||
Boubyan Petrochemicals Co. KSCP | 46,160 | 130,119 | |||
Gulf Bank KSCP | 163,000 | 150,462 | |||
Humansoft Holding Co. KSC | 9,000 | 96,000 | |||
Kuwait Finance House KSCP | 630,401 | 1,735,297 | |||
Mabanee Co. KPSC | 62,540 | 164,083 | |||
Mobile Telecommunications Co. KSCP | 331,000 | 651,596 | |||
National Bank of Kuwait SAKP | 929,879 | 3,067,293 | |||
National Industries Group Holding SAK (b) | 200,000 | 187,262 | |||
Qurain Petrochemical Industries Co. | 69,572 | 79,873 | |||
7,313,433 | |||||
LIECHTENSTEIN — 0.0% (a) | |||||
Implantica AG SDR (b) | 2,687 | 19,290 | |||
Liechtensteinische Landesbank AG | 1,120 | 64,657 | |||
83,947 | |||||
LUXEMBOURG — 0.1% | |||||
APERAM SA | 7,578 | 410,547 | |||
ArcelorMittal SA | 101,109 | 3,236,144 | |||
B&S Group Sarl (d) | 3,050 | 24,626 | |||
Eurofins Scientific SE | 19,533 | 2,416,766 | |||
Global Fashion Group SA (b) | 11,973 | 60,535 | |||
Reinet Investments SCA | 17,664 | 316,569 | |||
SES SA | 59,192 | 469,307 | |||
6,934,494 | |||||
MACAU — 0.1% | |||||
Galaxy Entertainment Group, Ltd. (b) | 315,000 | 1,632,313 | |||
MECOM Power and Construction, Ltd. (c) | 168,000 | 77,575 | |||
MGM China Holdings, Ltd. (b)(c) | 141,200 | 85,666 | |||
Sands China, Ltd. (b) | 351,200 | 818,054 | |||
SJM Holdings, Ltd. (b) | 287,000 | 193,265 | |||
Wynn Macau, Ltd. (b) | 225,600 | 184,327 | |||
2,991,200 | |||||
MALAYSIA — 0.4% | |||||
AirAsia Group Bhd (b) | 140,400 | 26,624 | |||
Alliance Bank Malaysia Bhd | 140,600 | 96,523 | |||
AMMB Holdings Bhd (b) | 222,900 | 169,609 | |||
Axiata Group Bhd | 464,211 | 463,542 | |||
Axis Real Estate Investment Trust | 123,660 | 57,585 | |||
Bank Islam Malaysia Bhd | 59,500 | 42,847 | |||
Berjaya Sports Toto Bhd | 115,544 | 52,696 | |||
Bermaz Auto Bhd | 173,300 | 65,726 | |||
British American Tobacco Malaysia Bhd | 23,500 | 78,860 | |||
Bursa Malaysia Bhd | 132,900 | 208,952 |
Security Description | Shares | Value | |||
Carlsberg Brewery Malaysia Bhd Class B | 17,500 | $ 84,349 | |||
CIMB Group Holdings Bhd | 841,271 | 1,100,559 | |||
CTOS Digital Bhd | 342,900 | 148,980 | |||
D&O Green Technologies Bhd | 50,200 | 71,095 | |||
Dialog Group Bhd | 573,500 | 360,675 | |||
DiGi.Com Bhd | 429,800 | 449,815 | |||
DRB-Hicom Bhd | 194,800 | 66,866 | |||
Fraser & Neave Holdings Bhd | 28,600 | 169,843 | |||
Frencken Group, Ltd. | 40,300 | 58,889 | |||
Frontken Corp. Bhd | 92,850 | 89,150 | |||
Gamuda Bhd (b) | 187,959 | 130,840 | |||
Genting Bhd | 342,300 | 383,711 | |||
Genting Malaysia Bhd (b) | 363,100 | 251,015 | |||
Genting Plantations Bhd | 24,900 | 40,046 | |||
Greatech Technology Bhd (b) | 38,300 | 61,872 | |||
HAP Seng Consolidated Bhd | 67,500 | 124,760 | |||
Hartalega Holdings Bhd | 224,200 | 308,369 | |||
Heineken Malaysia Bhd | 18,500 | 92,544 | |||
Hong Leong Bank Bhd | 92,132 | 411,785 | |||
Hong Leong Financial Group Bhd | 46,600 | 193,962 | |||
Hong Seng Consolidated Bhd (b) | 295,000 | 190,482 | |||
IGB Real Estate Investment Trust | 237,700 | 94,144 | |||
IHH Healthcare Bhd | 234,400 | 412,985 | |||
IJM Corp. Bhd | 331,300 | 120,878 | |||
Inari Amertron Bhd | 485,100 | 465,771 | |||
IOI Corp. Bhd | 323,900 | 290,002 | |||
IOI Properties Group Bhd | 371,500 | 98,092 | |||
Kossan Rubber Industries Bhd | 156,300 | 72,035 | |||
KPJ Healthcare Bhd | 237,200 | 63,200 | |||
Kuala Lumpur Kepong Bhd | 52,869 | 276,401 | |||
Magnum Bhd (b) | 110,393 | 50,347 | |||
Malakoff Corp. Bhd | 123,000 | 21,258 | |||
Malayan Banking Bhd | 638,543 | 1,272,181 | |||
Malaysia Airports Holdings Bhd (b) | 119,624 | 171,712 | |||
Malaysian Pacific Industries Bhd | 23,900 | 283,174 | |||
Maxis Bhd | 398,000 | 463,346 | |||
Mega First Corp. BHD | 55,600 | 46,711 | |||
Mi Technovation Bhd | 17,800 | 14,442 | |||
MISC Bhd | 163,800 | 277,194 | |||
My EG Services Bhd | 1,041,890 | 267,600 | |||
Nestle Malaysia Bhd | 15,100 | 486,419 | |||
Pentamaster Corp. Bhd | 53,300 | 71,007 | |||
Petronas Chemicals Group Bhd | 335,400 | 718,139 | |||
Petronas Dagangan Bhd | 50,900 | 251,690 | |||
Petronas Gas Bhd | 126,100 | 544,839 | |||
PPB Group Bhd | 104,780 | 430,086 |
Security Description | Shares | Value | |||
Press Metal Aluminium Holdings Bhd | 395,100 | $ 548,170 | |||
Public Bank Bhd | 2,047,500 | 2,044,551 | |||
QL Resources Bhd | 133,950 | 146,940 | |||
RHB Bank Bhd | 272,163 | 350,820 | |||
Sapura Energy Bhd (b) | 266,700 | 3,201 | |||
Scientex Bhd | 74,400 | 85,544 | |||
Serba Dinamik Holdings Bhd | 144,900 | 6,087 | |||
Sime Darby Bhd | 350,035 | 194,931 | |||
Sime Darby Plantation Bhd | 229,843 | 207,444 | |||
Sime Darby Property Bhd | 142,535 | 20,357 | |||
SKP Resources Bhd | 339,125 | 141,641 | |||
SP Setia Bhd Group (b) | 134,214 | 41,559 | |||
Sunway Bhd | 241,400 | 99,666 | |||
Sunway Real Estate Investment Trust | 264,700 | 89,589 | |||
Supermax Corp. Bhd | 400,272 | 141,239 | |||
Syarikat Takaful Malaysia Keluarga Bhd | 36,789 | 32,674 | |||
Telekom Malaysia Bhd | 138,403 | 182,721 | |||
Tenaga Nasional Bhd | 350,900 | 786,703 | |||
TIME dotCom Bhd | 123,300 | 136,145 | |||
Top Glove Corp. Bhd | 694,500 | 431,770 | |||
United Plantations Bhd | 18,700 | 62,303 | |||
UWC Bhd | 40,400 | 60,222 | |||
ViTrox Corp. Bhd | 35,300 | 168,789 | |||
VS Industry Bhd | 444,000 | 146,011 | |||
Westports Holdings Bhd | 139,500 | 135,616 | |||
Yinson Holdings Bhd | 70,700 | 101,824 | |||
YTL Corp. Bhd | 471,800 | 65,685 | |||
19,748,426 | |||||
MALTA — 0.0% (a) | |||||
Kambi Group PLC (b) | 4,950 | 141,165 | |||
Kindred Group PLC | 30,159 | 358,756 | |||
Media & Games Invest SE (b) | 11,300 | 55,257 | |||
555,178 | |||||
MEXICO — 0.6% | |||||
Alfa SAB de CV Class A | 517,600 | 379,885 | |||
Alsea SAB de CV (b) | 104,100 | 193,042 | |||
America Movil SAB de CV Series L | 4,782,500 | 5,068,772 | |||
Arca Continental SAB de CV | 60,900 | 388,403 | |||
Axtel SAB de CV Series CPO (b) | 176,300 | 33,339 | |||
Banco del Bajio SA (d) | 139,700 | 251,207 | |||
Becle SAB de CV | 112,900 | 283,340 | |||
Bolsa Mexicana de Valores SAB de CV | 72,200 | 137,309 | |||
Cemex SAB de CV Series CPO (b) | 2,210,664 | 1,511,224 | |||
Coca-Cola Femsa SAB de CV | 73,840 | 403,026 | |||
Concentradora Fibra Danhos SA de CV REIT | 88,800 | 100,234 |
Security Description | Shares | Value | |||
Controladora Vuela Cia de Aviacion SAB de CV Class A (b) | 174,300 | $ 312,914 | |||
Corp. Inmobiliaria Vesta SAB de CV | 142,000 | 286,082 | |||
Fibra Uno Administracion SA de CV REIT | 527,200 | 557,469 | |||
Fomento Economico Mexicano SAB de CV | 277,300 | 2,158,780 | |||
GCC SAB de CV | 23,900 | 185,045 | |||
Genomma Lab Internacional SAB de CV Class B (c) | 135,200 | 141,906 | |||
Gentera SAB de CV (b) | 169,400 | 109,098 | |||
Gruma SAB de CV Class B | 29,710 | 381,113 | |||
Grupo Aeroportuario del Centro Norte SAB de CV | 54,054 | 363,204 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B (b) | 57,300 | 790,020 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 33,065 | 683,047 | |||
Grupo Bimbo SAB de CV Class A | 247,600 | 761,855 | |||
Grupo Carso SAB de CV Series A1 | 72,300 | 233,840 | |||
Grupo Comercial Chedraui SA de CV | 58,995 | 122,285 | |||
Grupo Financiero Banorte SAB de CV Series O | 368,800 | 2,397,155 | |||
Grupo Financiero Inbursa SAB de CV Series O (b) | 399,200 | 478,299 | |||
Grupo Herdez SAB de CV (c) | 50,857 | 100,596 | |||
Grupo Mexico SAB de CV Class B | 446,700 | 1,948,978 | |||
Grupo Rotoplas SAB de CV (b) | 38,055 | 52,271 | |||
Grupo Televisa SAB Series CPO | 373,300 | 703,187 | |||
Grupo Traxion SAB de CV (b)(c)(d) | 93,900 | 164,216 | |||
Industrias Penoles SAB de CV | 26,420 | 304,104 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 264,700 | 401,092 | |||
La Comer SAB de CV (c) | 115,600 | 207,927 | |||
Macquarie Mexico Real Estate Management SA de CV REIT (d) | 141,200 | 180,976 | |||
Megacable Holdings SAB de CV | 45,900 | 156,461 | |||
Nemak SAB de CV (b)(d) | 445,786 | 132,440 | |||
Orbia Advance Corp. SAB de CV | 151,257 | 386,328 | |||
PLA Administradora Industrial S de RL de CV REIT | 130,200 | 182,401 | |||
Prologis Property Mexico SA de CV REIT | 65,714 | 182,484 |
Security Description | Shares | Value | |||
Promotora y Operadora de Infraestructura SAB de CV | 43,590 | $ 340,796 | |||
Qualitas Controladora SAB de CV (c) | 31,100 | 157,878 | |||
Regional SAB de CV | 39,500 | 204,941 | |||
Telesites SAB de CV (c) | 193,400 | 198,078 | |||
Wal-Mart de Mexico SAB de CV | 740,500 | 2,753,220 | |||
27,470,267 | |||||
MONGOLIA — 0.0% (a) | |||||
Turquoise Hill Resources, Ltd. (b) | 17,270 | 284,381 | |||
NETHERLANDS — 3.1% | |||||
Aalberts NV | 13,744 | 910,585 | |||
ABN AMRO Bank NV (d) | 58,332 | 856,785 | |||
Accell Group NV (b) | 2,918 | 159,281 | |||
Adyen NV (b)(d) | 2,864 | 7,528,417 | |||
Aegon NV | 258,544 | 1,291,613 | |||
Akzo Nobel NV | 27,117 | 2,975,813 | |||
Alfen Beheer B.V. (b)(c)(d) | 2,546 | 255,511 | |||
AMG Advanced Metallurgical Group NV (c) | 5,803 | 185,965 | |||
Arcadis NV | 10,600 | 510,380 | |||
Argenx SE (b) | 6,490 | 2,327,048 | |||
ASM International NV | 6,775 | 2,994,750 | |||
ASML Holding NV | 59,792 | 48,052,382 | |||
ASR Nederland NV | 19,379 | 892,531 | |||
Basic-Fit NV (b)(d) | 7,846 | 374,744 | |||
BE Semiconductor Industries NV | 9,370 | 799,380 | |||
Boskalis Westminster | 11,780 | 343,211 | |||
Brunel International NV | 2,457 | 31,406 | |||
CM.com NV (b)(c) | 1,086 | 34,333 | |||
Corbion NV | 8,791 | 414,281 | |||
Eurocommercial Properties NV | 7,396 | 160,527 | |||
Euronext NV (d) | 12,952 | 1,344,022 | |||
EXOR NV | 15,755 | 1,414,693 | |||
Fastned B.V. (b)(c) | 521 | 29,091 | |||
Flow Traders (d) | 4,195 | 153,612 | |||
ForFarmers NV | 3,364 | 15,436 | |||
Fugro NV (b)(c) | 12,716 | 99,561 | |||
Heineken Holding NV | 16,438 | 1,516,960 | |||
Heineken NV | 37,496 | 4,215,434 | |||
IMCD NV | 8,081 | 1,789,237 | |||
ING Groep NV | 564,750 | 7,862,223 | |||
Intertrust NV (b)(d) | 14,461 | 322,323 | |||
JDE Peet's NV (c) | 15,371 | 473,705 | |||
Koninklijke Ahold Delhaize NV | 151,273 | 5,184,052 | |||
Koninklijke BAM Groep NV (b) | 33,584 | 102,736 | |||
Koninklijke DSM NV | 25,284 | 5,693,086 | |||
Koninklijke KPN NV | 486,381 | 1,509,997 | |||
Koninklijke Philips NV | 132,709 | 4,944,784 | |||
Koninklijke Vopak NV | 10,468 | 366,650 |
Security Description | Shares | Value | |||
Meltwater Holding NV (b) | 16,118 | $ 46,426 | |||
NN Group NV | 39,086 | 2,116,197 | |||
NSI NV REIT | 2,346 | 93,375 | |||
OCI NV (b) | 12,124 | 317,386 | |||
Pharming Group NV (b)(c) | 79,859 | 70,382 | |||
PostNL NV | 58,901 | 256,341 | |||
Randstad NV | 17,297 | 1,180,995 | |||
Royal Dutch Shell PLC Class A | 593,278 | 13,032,225 | |||
Royal Dutch Shell PLC Class B | 532,634 | 11,704,418 | |||
SBM Offshore NV | 22,826 | 339,916 | |||
Shop Apotheke Europe NV (b)(d) | 1,829 | 235,657 | |||
SIF Holding NV | 5,076 | 70,655 | |||
Signify NV (d) | 17,979 | 833,776 | |||
Sligro Food Group NV (b) | 2,866 | 69,421 | |||
TKH Group NV | 6,139 | 387,460 | |||
TomTom NV (b)(c) | 6,283 | 65,091 | |||
Universal Music Group NV | 104,920 | 2,956,626 | |||
Van Lanschot Kempen NV ADR | 3,795 | 94,945 | |||
Vastned Retail NV REIT | 2,401 | 65,530 | |||
Wereldhave NV REIT (c) | 3,096 | 45,066 | |||
Wolters Kluwer NV | 38,698 | 4,559,162 | |||
146,677,595 | |||||
NEW ZEALAND — 0.2% | |||||
a2 Milk Co., Ltd. (b) | 108,379 | 440,016 | |||
Air New Zealand, Ltd. (b) | 110,572 | 114,312 | |||
Argosy Property, Ltd. | 151,973 | 166,477 | |||
Auckland International Airport, Ltd. (b) | 174,140 | 918,032 | |||
Chorus, Ltd. | 60,804 | 298,483 | |||
Contact Energy, Ltd. | 110,958 | 615,336 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 78,733 | 1,765,914 | |||
Fletcher Building, Ltd. | 112,682 | 565,493 | |||
Genesis Energy, Ltd. | 88,311 | 172,922 | |||
Goodman Property Trust REIT | 173,155 | 305,861 | |||
Infratil, Ltd. | 103,724 | 568,117 | |||
Kiwi Property Group, Ltd. | 261,389 | 213,857 | |||
Mercury NZ, Ltd. | 100,727 | 422,052 | |||
Meridian Energy, Ltd. | 182,775 | 606,914 | |||
Oceania Healthcare, Ltd. (c) | 179,750 | 164,908 | |||
Precinct Properties New Zealand, Ltd. | 202,767 | 231,837 | |||
Pushpay Holdings, Ltd. (b) | 141,424 | 127,810 | |||
Ryman Healthcare, Ltd. | 60,789 | 509,835 | |||
SKYCITY Entertainment Group, Ltd. | 116,799 | 249,495 | |||
Spark New Zealand, Ltd. | 262,108 | 811,124 | |||
Summerset Group Holdings, Ltd. | 33,320 | 312,076 | |||
Synlait Milk, Ltd. (b)(c) | 31,924 | 75,625 | |||
Xero, Ltd. (b) | 19,339 | 1,988,706 |
Security Description | Shares | Value | |||
Z Energy, Ltd. | 93,478 | $ 227,199 | |||
11,872,401 | |||||
NIGERIA — 0.0% (a) | |||||
Airtel Africa PLC (d) | 191,753 | 347,245 | |||
NORWAY — 0.6% | |||||
Aker ASA Class A | 4,585 | 428,952 | |||
Aker BP ASA | 17,277 | 532,125 | |||
Aker Carbon Capture ASA (b) | 31,389 | 98,279 | |||
Aker Horizons Holding A/S (b)(c) | 15,027 | 56,311 | |||
Aker Solutions ASA (b) | 30,324 | 80,398 | |||
Atea ASA (b) | 13,837 | 257,336 | |||
Austevoll Seafood ASA | 20,148 | 243,102 | |||
Bonheur ASA | 2,172 | 87,439 | |||
Borregaard ASA | 15,205 | 382,785 | |||
BW Offshore, Ltd. | 10,003 | 30,174 | |||
Crayon Group Holding ASA (b)(d) | 7,062 | 146,553 | |||
DNB Bank ASA | 135,030 | 3,093,120 | |||
DNO ASA | 50,331 | 59,673 | |||
Elkem ASA (b)(d) | 56,997 | 192,741 | |||
Elopak ASA (b) | 13,431 | 40,811 | |||
Entra ASA (d) | 19,912 | 447,768 | |||
Equinor ASA | 140,860 | 3,768,172 | |||
Europris ASA (d) | 25,386 | 202,954 | |||
Fjordkraft Holding ASA (d) | 25,293 | 136,700 | |||
FLEX LNG, Ltd. (b) | 7,577 | 169,269 | |||
Frontline, Ltd. (b) | 14,558 | 103,676 | |||
Gjensidige Forsikring ASA | 31,912 | 774,431 | |||
Golden Ocean Group, Ltd. | 16,039 | 144,688 | |||
Grieg Seafood ASA (b) | 5,761 | 54,289 | |||
Hexagon Composites ASA (b) | 10,297 | 38,230 | |||
Hexagon Purus ASA (b) | 1,169 | 2,863 | |||
Kahoot! ASA (b)(c) | 53,536 | 282,909 | |||
Kongsberg Gruppen ASA | 12,902 | 418,445 | |||
Leroy Seafood Group ASA | 48,893 | 382,348 | |||
LINK Mobility Group Holding ASA (b) | 20,121 | 43,974 | |||
Mowi ASA | 65,719 | 1,555,351 | |||
MPC Container Ships A/S (b) | 36,522 | 101,677 | |||
NEL ASA (b)(c) | 193,673 | 334,052 | |||
Nordic Semiconductor ASA (b) | 27,233 | 919,059 | |||
Norsk Hydro ASA | 200,745 | 1,582,594 | |||
Norway Royal Salmon ASA | 1,213 | 22,476 | |||
Norwegian Air Shuttle ASA (b) | 82,626 | 100,726 | |||
Nykode Therapeutics A/S (b) | 15,838 | 144,940 | |||
Orkla ASA | 114,845 | 1,150,755 | |||
Pexip Holding ASA (b) | 7,600 | 35,336 | |||
Protector Forsikring ASA | 9,425 | 115,858 | |||
Quantafuel ASA (b)(c) | 14,531 | 53,225 | |||
Salmar ASA | 9,618 | 663,137 | |||
Sbanken ASA (d) | 11,565 | 122,885 | |||
Schibsted ASA Class A | 11,760 | 453,554 |
Security Description | Shares | Value | |||
Schibsted ASA Class B | 14,047 | $ 473,102 | |||
Selvaag Bolig ASA | 6,732 | 38,934 | |||
SpareBank 1 Nord Norge | 20,807 | 265,683 | |||
SpareBank 1 Oestlandet | 5,849 | 96,574 | |||
SpareBank 1 SMN | 20,154 | 340,536 | |||
SpareBank 1 SR-Bank ASA | 24,540 | 370,676 | |||
Stolt-Nielsen, Ltd. | 2,737 | 42,273 | |||
Storebrand ASA | 73,126 | 734,055 | |||
Telenor ASA | 104,278 | 1,638,970 | |||
TGS ASA | 25,936 | 248,763 | |||
Tomra Systems ASA | 17,976 | 1,286,286 | |||
Veidekke ASA | 21,229 | 318,737 | |||
Volue ASA (b) | 5,069 | 33,570 | |||
Wallenius Wilhelmsen ASA (b) | 67,834 | 389,236 | |||
XXL ASA (b)(c)(d) | 14,987 | 23,844 | |||
26,357,379 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR (b) | 29,700 | 217,404 | |||
Credicorp, Ltd. | 9,900 | 1,208,493 | |||
Hochschild Mining PLC | 31,281 | 55,121 | |||
Intercorp Financial Services, Inc. (c) | 5,900 | 155,642 | |||
Southern Copper Corp. | 12,700 | 783,717 | |||
2,420,377 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 274,520 | 293,134 | |||
AC Energy Corp. | 475,500 | 102,574 | |||
Alliance Global Group, Inc. | 450,900 | 104,341 | |||
Ayala Corp. | 38,170 | 622,038 | |||
Ayala Land, Inc. | 1,138,900 | 819,682 | |||
Bank of the Philippine Islands | 280,727 | 507,310 | |||
BDO Unibank, Inc. | 264,903 | 627,029 | |||
Bloomberry Resorts Corp. (b) | 323,200 | 39,931 | |||
Cebu Air, Inc. (b) | 4,500 | 3,720 | |||
Century Pacific Food, Inc. | 38,000 | 21,797 | |||
Cosco Capital, Inc. | 131,800 | 13,440 | |||
DMCI Holdings, Inc. | 200,500 | 30,315 | |||
Filinvest Land, Inc. | 726,000 | 15,661 | |||
Globe Telecom, Inc. | 3,345 | 217,916 | |||
GT Capital Holdings, Inc. | 10,147 | 107,455 | |||
International Container Terminal Services, Inc. | 126,160 | 494,818 | |||
JG Summit Holdings, Inc. | 414,050 | 430,351 | |||
Jollibee Foods Corp. | 43,490 | 184,561 | |||
Manila Electric Co. | 46,840 | 271,161 | |||
Manila Water Co., Inc. | 83,400 | 40,479 | |||
Megaworld Corp. | 1,365,000 | 84,321 | |||
Metro Pacific Investments Corp. | 1,265,000 | 96,750 | |||
Metropolitan Bank & Trust Co. | 261,986 | 286,172 | |||
PLDT, Inc. | 11,065 | 393,191 | |||
Puregold Price Club, Inc. | 253,980 | 195,743 |
Security Description | Shares | Value | |||
Robinsons Land Corp. | 212,444 | $ 79,991 | |||
Robinsons Retail Holdings, Inc. | 77,600 | 99,525 | |||
Security Bank Corp. | 36,670 | 85,576 | |||
SM Investments Corp. | 35,195 | 650,858 | |||
SM Prime Holdings, Inc. | 1,345,100 | 894,227 | |||
Universal Robina Corp. | 136,620 | 342,940 | |||
Vista Land & Lifescapes, Inc. | 108,000 | 7,476 | |||
8,164,483 | |||||
POLAND — 0.2% | |||||
Alior Bank SA (b) | 13,668 | 185,500 | |||
Allegro.eu SA (b)(d) | 56,940 | 549,000 | |||
Asseco Poland SA | 9,859 | 211,470 | |||
Bank Handlowy w Warszawie SA | 5,365 | 78,537 | |||
Bank Millennium SA (b) | 87,519 | 177,952 | |||
Bank Polska Kasa Opieki SA | 27,924 | 845,258 | |||
Budimex SA | 1,698 | 95,635 | |||
CCC SA (b) | 4,227 | 110,646 | |||
CD Projekt SA (c) | 10,175 | 486,988 | |||
Celon Pharma SA | 1,053 | 8,661 | |||
Ciech SA | 2,728 | 28,428 | |||
Cyfrowy Polsat SA | 37,773 | 325,397 | |||
Dino Polska SA (b)(d) | 7,073 | 644,579 | |||
Enea SA (b) | 20,497 | 43,278 | |||
Eurocash SA | 12,734 | 34,249 | |||
Grupa Azoty SA (b) | 4,618 | 38,728 | |||
Grupa Lotos SA (b) | 13,337 | 201,855 | |||
InPost SA (b) | 29,302 | 353,149 | |||
Jastrzebska Spolka Weglowa SA (b) | 9,529 | 82,443 | |||
KGHM Polska Miedz SA | 23,461 | 811,449 | |||
KRUK SA | 3,415 | 277,071 | |||
LiveChat Software SA | 2,013 | 58,336 | |||
LPP SA | 160 | 682,811 | |||
mBank SA (b) | 2,140 | 230,014 | |||
Neuca SA | 233 | 48,561 | |||
Orange Polska SA (b) | 94,679 | 198,501 | |||
PGE Polska Grupa Energetyczna SA (b) | 121,403 | 242,842 | |||
PlayWay SA | 89 | 9,230 | |||
Polski Koncern Naftowy ORLEN SA | 43,199 | 796,798 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 242,842 | 379,591 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (b) | 126,897 | 1,414,619 | |||
Powszechny Zaklad Ubezpieczen SA | 85,657 | 751,284 | |||
Santander Bank Polska SA | 5,161 | 446,261 | |||
Tauron Polska Energia SA (b) | 151,723 | 99,909 | |||
TEN Square Games SA | 433 | 37,494 | |||
Warsaw Stock Exchange | 6,425 | 66,029 |
Security Description | Shares | Value | |||
X-Trade Brokers Dom Maklerski SA (d) | 6,081 | $ 25,317 | |||
11,077,870 | |||||
PORTUGAL — 0.1% | |||||
Altri SGPS SA | 8,438 | 53,832 | |||
Banco Comercial Portugues SA Class R (b)(c) | 1,431,520 | 229,374 | |||
Corticeira Amorim SGPS SA | 4,689 | 60,149 | |||
CTT-Correios de Portugal SA | 13,428 | 69,556 | |||
EDP - Energias de Portugal SA | 392,202 | 2,155,130 | |||
Galp Energia SGPS SA | 66,617 | 645,448 | |||
Jeronimo Martins SGPS SA | 41,065 | 938,652 | |||
Navigator Co. SA | 27,308 | 104,033 | |||
NOS SGPS SA | 43,721 | 169,544 | |||
REN - Redes Energeticas Nacionais SGPS SA | 53,201 | 153,973 | |||
Semapa-Sociedade de Investimento e Gestao | 5,579 | 74,230 | |||
Sonae SGPS SA | 99,350 | 113,320 | |||
4,767,241 | |||||
QATAR — 0.2% | |||||
Aamal Co. | 543,233 | 161,732 | |||
Al Meera Consumer Goods Co. QSC | 25,614 | 137,884 | |||
Barwa Real Estate Co. | 230,600 | 193,803 | |||
Commercial Bank PQSC | 254,403 | 471,564 | |||
Doha Bank QPSC | 321,420 | 282,489 | |||
Gulf International Services QSC (b) | 149,047 | 70,246 | |||
Industries Qatar QSC | 215,487 | 916,752 | |||
Masraf Al Rayan QSC | 563,749 | 718,428 | |||
Mesaieed Petrochemical Holding Co. | 504,113 | 289,370 | |||
Ooredoo QSC | 134,267 | 258,872 | |||
Qatar Aluminium Manufacturing Co. | 379,745 | 187,839 | |||
Qatar Electricity & Water Co. QSC | 64,414 | 293,675 | |||
Qatar Fuel QSC | 55,946 | 280,882 | |||
Qatar Gas Transport Co., Ltd. | 386,091 | 349,931 | |||
Qatar Insurance Co. SAQ (b) | 269,557 | 203,593 | |||
Qatar International Islamic Bank QSC | 85,174 | 215,450 | |||
Qatar Islamic Bank SAQ | 172,961 | 870,743 | |||
Qatar National Bank QPSC | 615,676 | 3,414,034 | |||
Qatar National Cement Co. QSC | 104,845 | 146,858 | |||
Qatar Navigation QSC | 108,821 | 228,282 | |||
United Development Co. QSC | 199,242 | 84,272 | |||
Vodafone Qatar QSC | 240,260 | 110,001 | |||
9,886,700 | |||||
ROMANIA — 0.0% (a) | |||||
NEPI Rockcastle PLC | 63,684 | 422,964 |
Security Description | Shares | Value | |||
RUSSIA — 0.9% | |||||
Alrosa PJSC (b) | 330,200 | $ 539,326 | |||
Coca-Cola HBC AG (b) | 30,858 | 1,067,878 | |||
Evraz PLC | 73,600 | 599,720 | |||
Gazprom PJSC ADR (e) | 107,460 | 992,930 | |||
Gazprom PJSC ADR (e) | 56,669 | 520,788 | |||
Gazprom PJSC | 1,345,180 | 6,151,444 | |||
Inter Rao Use PJSC (b) | 5,356,000 | 305,662 | |||
LUKOIL PJSC ADR | 9,837 | 880,411 | |||
LUKOIL PJSC | 47,888 | 4,187,297 | |||
Magnit PJSC GDR | 53,009 | 795,135 | |||
Mail.Ru Group, Ltd. GDR (b) | 17,475 | 202,535 | |||
MMC Norilsk Nickel PJSC | 9,043 | 2,750,049 | |||
Mobile TeleSystems PJSC ADR | 53,100 | 422,145 | |||
Mobile TeleSystems PJSC | 31,200 | 124,062 | |||
Moscow Exchange MICEX (b) | 191,435 | 390,776 | |||
Novatek PJSC GDR | 12,992 | 3,042,726 | |||
Novolipetskiy Steel PJSC (b) | 181,690 | 526,954 | |||
Ozon Holdings PLC ADR (b) | 6,439 | 190,659 | |||
Petropavlovsk PLC (b)(c) | 278,657 | 72,277 | |||
PhosAgro PJSC GDR | 21,111 | 455,575 | |||
Polymetal International PLC | 42,911 | 762,254 | |||
Polyus PJSC (b) | 4,492 | 780,315 | |||
Polyus PJSC GDR | 1,062 | 93,722 | |||
Rosneft Oil Co. PJSC | 169,478 | 1,351,305 | |||
Rostelecom PJSC | 100,000 | 116,270 | |||
Sberbank of Russia PJSC ADR | 34,661 | 556,309 | |||
Sberbank of Russia PJSC | 1,389,410 | 5,429,361 | |||
Severstal PAO | 25,396 | 543,700 | |||
Sistema PJSC FC GDR | 40,100 | 248,620 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 410,909 | |||
Surgutneftegas PJSC | 888,900 | 470,663 | |||
Tatneft PJSC ADR | 3,048 | 118,872 | |||
Tatneft PJSC | 187,335 | 1,247,797 | |||
TCS Group Holding PLC GDR | 16,178 | 1,364,129 | |||
VTB Bank PJSC | 437,390,000 | 281,242 | |||
X5 Retail Group NV GDR | 17,591 | 465,634 | |||
Yandex NV Class A (b) | 43,030 | 2,603,315 | |||
41,062,766 | |||||
SAUDI ARABIA — 0.8% | |||||
Abdullah Al Othaim Markets Co. | 1,991 | 57,380 | |||
Advanced Petrochemical Co. | 8,106 | 151,998 | |||
Al Hammadi Co. for Development & Investment | 20,250 | 217,365 | |||
Al Rajhi Bank | 160,514 | 6,062,456 | |||
Al Rajhi Co. for Co-operative Insurance (b) | 4,209 | 87,108 | |||
Aldrees Petroleum & Transport Services Co. | 6,835 | 121,611 | |||
Alinma Bank | 135,098 | 862,175 |
Security Description | Shares | Value | |||
Almarai Co. JSC | 32,758 | $ 425,355 | |||
Alujain Holding | 7,396 | 106,378 | |||
Arab National Bank | 86,792 | 528,464 | |||
Arabian Cement Co. | 9,227 | 92,899 | |||
Arriyadh Development Co. | 18,294 | 123,766 | |||
Aseer Trading Tourism & Manufacturing Co. (b) | 26,480 | 134,431 | |||
Bank AlBilad (b) | 53,198 | 656,757 | |||
Bank Al-Jazira | 22,911 | 117,777 | |||
Banque Saudi Fransi | 80,478 | 1,012,834 | |||
Bupa Arabia for Cooperative Insurance Co. | 9,718 | 340,120 | |||
City Cement Co. | 6,348 | 38,111 | |||
Co. for Cooperative Insurance | 5,049 | 104,224 | |||
Dallah Healthcare Co. | 7,407 | 148,164 | |||
Dar Al Arkan Real Estate Development Co. (b) | 39,088 | 104,737 | |||
Delivery Hero SE (b)(d) | 23,606 | 2,630,784 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 6,029 | 259,184 | |||
Dur Hospitality Co. (b) | 12,960 | 107,356 | |||
Eastern Province Cement Co. | 9,470 | 110,858 | |||
Emaar Economic City (b) | 34,732 | 110,457 | |||
Etihad Etisalat Co. | 32,700 | 271,310 | |||
Fawaz Abdulaziz Al Hokair & Co. (b) | 11,570 | 47,952 | |||
Herfy Food Services Co. | 2,033 | 33,789 | |||
Jarir Marketing Co. | 8,648 | 453,315 | |||
Leejam Sports Co. JSC | 3,769 | 109,424 | |||
Maharah Human Resources Co. | 2,209 | 44,717 | |||
Middle East Healthcare Co. (b) | 11,802 | 99,492 | |||
Mobile Telecommunications Co. (b) | 51,843 | 166,256 | |||
Mouwasat Medical Services Co. | 4,245 | 196,511 | |||
Najran Cement Co. | 15,550 | 74,801 | |||
National Agriculture Development Co (b) | 20,791 | 168,071 | |||
National Gas & Industrialization Co. | 2,926 | 42,241 | |||
National Industrialization Co. (b) | 71,502 | 380,135 | |||
National Medical Care Co. | 5,781 | 96,391 | |||
National Petrochemical Co. | 15,724 | 167,526 | |||
Northern Region Cement Co. | 17,439 | 62,335 | |||
Qassim Cement Co. | 1,837 | 37,039 | |||
Rabigh Refining & Petrochemical Co. (b) | 13,507 | 74,471 | |||
Riyad Bank | 157,995 | 1,140,439 | |||
SABIC Agri-Nutrients Co. | 25,578 | 1,203,142 | |||
Sahara International Petrochemical Co. | 47,084 | 526,723 |
Security Description | Shares | Value | |||
Saudi Airlines Catering Co. (b) | 4,009 | $ 83,183 | |||
Saudi Arabian Mining Co. (b) | 57,836 | 1,209,281 | |||
Saudi Arabian Oil Co. (d) | 278,435 | 2,655,011 | |||
Saudi Basic Industries Corp. | 117,929 | 3,643,662 | |||
Saudi British Bank | 94,385 | 829,615 | |||
Saudi Cement Co. | 5,941 | 86,716 | |||
Saudi Ceramic Co. | 2,497 | 36,646 | |||
Saudi Chemical Co. Holding | 16,716 | 150,936 | |||
Saudi Co. For Hardware CJSC | 5,311 | 69,033 | |||
Saudi Electricity Co. | 89,964 | 574,616 | |||
Saudi Industrial Investment Group | 16,632 | 137,995 | |||
Saudi Kayan Petrochemical Co. (b) | 124,148 | 562,806 | |||
Saudi National Bank | 287,512 | 4,931,753 | |||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 106,456 | |||
Saudi Public Transport Co. (b) | 5,953 | 31,934 | |||
Saudi Real Estate Co. (b) | 15,161 | 81,975 | |||
Saudi Research & Marketing Group (b) | 4,483 | 234,276 | |||
Saudi Telecom Co. | 78,619 | 2,353,712 | |||
Saudia Dairy & Foodstuff Co. | 534 | 23,468 | |||
Savola Group | 34,285 | 291,766 | |||
Seera Group Holding (b) | 14,011 | 64,412 | |||
Southern Province Cement Co. | 6,007 | 112,159 | |||
United Electronics Co. | 5,677 | 204,737 | |||
United International Transportation Co. | 1,592 | 19,739 | |||
Yamama Cement Co. (b) | 14,880 | 103,047 | |||
Yanbu Cement Co. | 10,069 | 97,085 | |||
Yanbu National Petrochemical Co. | 35,336 | 646,597 | |||
39,451,445 | |||||
SINGAPORE — 0.8% | |||||
AEM Holdings, Ltd. | 34,300 | 133,826 | |||
AIMS APAC REIT | 112,100 | 120,569 | |||
ARA LOGOS Logistics Trust REIT | 238,456 | 159,189 | |||
Ascendas India Trust | 200,300 | 210,975 | |||
Ascendas Real Estate Investment Trust | 485,074 | 1,061,431 | |||
Ascott Residence Trust | 302,517 | 231,126 | |||
BOC Aviation, Ltd. (d) | 29,300 | 214,593 | |||
BW LPG, Ltd. (d) | 11,460 | 65,044 | |||
CapitaLand China Trust REIT | 189,400 | 167,182 | |||
CapitaLand Integrated Commercial Trust REIT | 702,329 | 1,062,754 | |||
Capitaland Investment, Ltd. (b) | 381,400 | 964,710 | |||
CDL Hospitality Trusts Stapled Security | 95,800 | 83,141 |
Security Description | Shares | Value | |||
China Aviation Oil Singapore Corp., Ltd. | 29,800 | $ 20,778 | |||
City Developments, Ltd. | 59,600 | 301,061 | |||
ComfortDelGro Corp., Ltd. | 297,600 | 309,046 | |||
COSCO Shipping International Singapore Co., Ltd. (b) | 128,400 | 24,287 | |||
DBS Group Holdings, Ltd. | 261,868 | 6,343,959 | |||
ESR-REIT | 438,108 | 155,986 | |||
Far East Hospitality Trust Stapled Security | 140,900 | 61,663 | |||
Frasers Centrepoint Trust REIT | 148,092 | 253,750 | |||
Frasers Hospitality Trust Stapled Security | 135,000 | 46,564 | |||
Frasers Logistics & Commercial Trust REIT | 372,239 | 419,689 | |||
Genting Singapore, Ltd. (b) | 877,500 | 504,441 | |||
Haw Par Corp., Ltd. | 18,800 | 158,276 | |||
iFAST Corp., Ltd. | 23,300 | 145,177 | |||
IGG, Inc. | 92,000 | 81,777 | |||
Japfa, Ltd. | 47,400 | 21,271 | |||
Kenon Holdings, Ltd. | 5,301 | 269,104 | |||
Keppel Corp., Ltd. | 205,000 | 778,548 | |||
Keppel DC REIT | 180,800 | 331,251 | |||
Keppel Infrastructure Trust | 573,500 | 231,842 | |||
Keppel Pacific Oak US REIT | 154,800 | 123,840 | |||
Keppel REIT | 255,700 | 214,324 | |||
Lendlease Global Commercial REIT | 183,200 | 121,621 | |||
Manulife US Real Estate Investment Trust | 204,200 | 136,814 | |||
Mapletree Commercial Trust REIT | 314,868 | 467,111 | |||
Mapletree Industrial Trust REIT | 269,235 | 541,206 | |||
Mapletree Logistics Trust REIT | 450,847 | 635,396 | |||
Mapletree North Asia Commercial Trust REIT | 285,500 | 235,067 | |||
Nanofilm Technologies International, Ltd. | 42,200 | 119,574 | |||
NetLink NBN Trust | 426,700 | 316,508 | |||
Olam International, Ltd. | 125,925 | 163,460 | |||
OUE Commercial Real Estate Investment Trust | 402,200 | 131,267 | |||
OUE, Ltd. (c) | 121,100 | 122,164 | |||
Oversea-Chinese Banking Corp., Ltd. | 489,411 | 4,138,475 | |||
Parkway Life Real Estate Investment Trust | 51,200 | 194,827 | |||
Prime US REIT | 70,800 | 59,118 | |||
Raffles Medical Group, Ltd. (b) | 112,476 | 114,299 | |||
Riverstone Holdings, Ltd. | 100,800 | 52,338 | |||
Sasseur Real Estate Investment Trust | 189,800 | 118,964 | |||
SATS, Ltd. (b)(c) | 103,400 | 298,354 |
Security Description | Shares | Value | |||
Sembcorp Industries, Ltd. | 158,800 | $ 235,582 | |||
Sembcorp Marine, Ltd. (b) | 1,906,700 | 115,973 | |||
Sheng Siong Group, Ltd. | 81,600 | 88,370 | |||
SIA Engineering Co., Ltd. (b) | 37,900 | 61,285 | |||
Silverlake Axis, Ltd. | 298,000 | 60,787 | |||
Singapore Airlines, Ltd. (b)(c) | 189,200 | 700,299 | |||
Singapore Exchange, Ltd. | 113,200 | 780,892 | |||
Singapore Post, Ltd. | 169,600 | 81,771 | |||
Singapore Press Holdings, Ltd. (c) | 228,200 | 394,397 | |||
Singapore Technologies Engineering, Ltd. | 225,700 | 629,479 | |||
Singapore Telecommunications, Ltd. | 1,193,600 | 2,054,039 | |||
SPH REIT | 110,900 | 82,261 | |||
Starhill Global REIT | 189,133 | 91,890 | |||
StarHub, Ltd. | 126,800 | 127,915 | |||
STMicroelectronics NV | 98,790 | 4,872,358 | |||
Suntec Real Estate Investment Trust | 303,100 | 339,488 | |||
United Overseas Bank, Ltd. | 170,593 | 3,403,888 | |||
UOL Group, Ltd. | 69,933 | 367,782 | |||
Venture Corp., Ltd. | 40,000 | 543,263 | |||
38,269,456 | |||||
SOUTH AFRICA — 1.0% | |||||
Absa Group, Ltd. | 100,361 | 959,278 | |||
AECI, Ltd. | 9,970 | 69,965 | |||
African Rainbow Minerals, Ltd. | 12,579 | 182,238 | |||
Anglo American Platinum, Ltd. | 8,003 | 911,003 | |||
Anglo American PLC | 186,934 | 7,636,294 | |||
Aspen Pharmacare Holdings, Ltd. | 50,851 | 715,100 | |||
Astral Foods, Ltd. | 3,513 | 38,003 | |||
AVI, Ltd. | 41,899 | 194,006 | |||
Barloworld, Ltd. | 19,472 | 183,459 | |||
Bid Corp., Ltd. | 45,919 | 939,182 | |||
Bidvest Group, Ltd. | 39,038 | 463,393 | |||
Capitec Bank Holdings, Ltd. | 11,122 | 1,421,470 | |||
Clicks Group, Ltd. | 33,599 | 664,254 | |||
Coronation Fund Managers, Ltd. | 44,887 | 147,767 | |||
DataTec, Ltd. | 45,382 | 109,474 | |||
Dis-Chem Pharmacies, Ltd. (d) | 31,283 | 69,426 | |||
Discovery, Ltd. (b) | 62,988 | 566,616 | |||
Distell Group Holdings, Ltd. (b) | 25,476 | 269,445 | |||
DRDGOLD, Ltd. | 44,155 | 36,519 | |||
Equites Property Fund, Ltd. REIT | 83,433 | 120,183 | |||
Exxaro Resources, Ltd. | 35,745 | 342,377 | |||
FirstRand, Ltd. | 693,628 | 2,642,392 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 90,435 | |||
Foschini Group, Ltd. (b) | 39,788 | 308,881 |
Security Description | Shares | Value | |||
Gold Fields, Ltd. | 116,348 | $ 1,269,476 | |||
Growthpoint Properties, Ltd. REIT | 449,654 | 433,031 | |||
Harmony Gold Mining Co., Ltd. | 65,321 | 272,580 | |||
Hyprop Investments, Ltd. REIT | 40,038 | 93,447 | |||
Impala Platinum Holdings, Ltd. | 107,618 | 1,517,171 | |||
Imperial Logistics, Ltd. | 47,957 | 192,279 | |||
Investec Property Fund, Ltd. REIT | 58,715 | 45,618 | |||
Investec, Ltd. | 34,578 | 189,681 | |||
JSE, Ltd. | 20,858 | 146,372 | |||
KAP Industrial Holdings, Ltd. | 705,488 | 193,169 | |||
Kumba Iron Ore, Ltd. | 7,387 | 212,950 | |||
Liberty Holdings, Ltd. (b) | 15,761 | 93,361 | |||
Life Healthcare Group Holdings, Ltd. | 159,853 | 240,681 | |||
Massmart Holdings, Ltd. (b) | 12,565 | 47,772 | |||
Momentum Metropolitan Holdings | 111,619 | 132,530 | |||
Motus Holdings, Ltd. | 19,611 | 135,274 | |||
Mr. Price Group, Ltd. | 36,746 | 459,325 | |||
MTN Group, Ltd. (b) | 226,674 | 2,424,531 | |||
MultiChoice Group, Ltd. | 50,745 | 387,996 | |||
Naspers, Ltd. Class N | 29,443 | 4,560,344 | |||
Nedbank Group, Ltd. | 68,280 | 748,770 | |||
Netcare, Ltd. (b) | 112,609 | 112,045 | |||
Ninety One, Ltd. | 32,085 | 113,604 | |||
Northam Platinum Holdings, Ltd. (b) | 47,573 | 624,470 | |||
Oceana Group, Ltd. | 11,307 | 39,348 | |||
Old Mutual, Ltd. (e) | 301,539 | 247,504 | |||
Old Mutual, Ltd. (e) | 315,585 | 260,527 | |||
Pepkor Holdings, Ltd. (b)(d) | 200,000 | 274,311 | |||
Pick n Pay Stores, Ltd. | 40,806 | 134,154 | |||
PSG Group, Ltd. (b) | 17,508 | 97,896 | |||
Rand Merchant Investment Holdings, Ltd. | 112,841 | 319,363 | |||
Redefine Properties, Ltd. REIT | 1,014,002 | 279,549 | |||
Remgro, Ltd. | 69,362 | 569,977 | |||
Resilient REIT, Ltd. | 34,728 | 130,012 | |||
Reunert, Ltd. | 15,137 | 50,267 | |||
Royal Bafokeng Platinum, Ltd. (c) | 20,752 | 203,255 | |||
Sanlam, Ltd. | 273,000 | 1,015,368 | |||
Santam, Ltd. | 4,350 | 73,318 | |||
Sappi, Ltd. (b) | 75,741 | 216,688 | |||
Sasol, Ltd. (b) | 74,078 | 1,202,143 | |||
Scatec ASA (d) | 15,835 | 274,293 | |||
Shoprite Holdings, Ltd. | 68,459 | 895,972 | |||
Sibanye Stillwater, Ltd. | 381,790 | 1,174,554 | |||
SPAR Group, Ltd. | 29,191 | 305,664 | |||
Standard Bank Group, Ltd. | 183,942 | 1,613,642 |
Security Description | Shares | Value | |||
Steinhoff International Holdings NV (b)(c) | 418,971 | $ 131,782 | |||
Super Group, Ltd. | 99,955 | 212,999 | |||
Telkom SA SOC, Ltd. (b) | 39,144 | 132,638 | |||
Thungela Resources, Ltd. (b)(c) | 15,835 | 81,952 | |||
Thungela Resources, Ltd. (b)(c) | 37,800 | 200,226 | |||
Tiger Brands, Ltd. | 25,782 | 292,390 | |||
Transaction Capital, Ltd. | 95,406 | 269,181 | |||
Truworths International, Ltd. | 45,425 | 148,713 | |||
Vodacom Group, Ltd. | 86,903 | 733,013 | |||
Vukile Property Fund, Ltd. REIT | 94,716 | 73,411 | |||
Wilson Bayly Holmes-Ovcon, Ltd. | 5,617 | 39,868 | |||
Woolworths Holdings, Ltd. | 133,407 | 433,489 | |||
45,855,104 | |||||
SOUTH KOREA — 3.6% | |||||
ABLBio, Inc. (b) | 2,537 | 47,165 | |||
Ace Technologies Corp. (b) | 3,286 | 41,740 | |||
AfreecaTV Co., Ltd. (b) | 1,389 | 236,846 | |||
Ahnlab, Inc. (b) | 2,297 | 191,103 | |||
Alteogen, Inc. (b) | 4,543 | 289,300 | |||
Amicogen, Inc. (b) | 3,467 | 92,599 | |||
Amorepacific Corp. | 5,016 | 704,666 | |||
AMOREPACIFIC Group | 3,321 | 123,900 | |||
Ananti, Inc. (b) | 6,092 | 54,066 | |||
Anterogen Co., Ltd. (b) | 721 | 38,999 | |||
AptaBio Therapeutics, Inc. (b) | 1,886 | 59,019 | |||
Asiana Airlines, Inc. (b) | 10,835 | 182,292 | |||
BGF retail Co., Ltd. | 795 | 97,306 | |||
BH Co., Ltd. (b) | 3,403 | 66,414 | |||
Binex Co., Ltd. (b) | 5,433 | 69,469 | |||
Bioneer Corp. (b) | 5,103 | 208,627 | |||
BNC Korea Co., Ltd. (b) | 5,211 | 122,522 | |||
BNK Financial Group, Inc. | 39,600 | 279,823 | |||
Boryung Pharmaceutical Co., Ltd. (b) | 3,324 | 40,825 | |||
Bukwang Pharmaceutical Co., Ltd. (b) | 3,983 | 43,222 | |||
Cafe24 Corp. (b) | 1,515 | 34,920 | |||
Cellid Co., Ltd. (b) | 765 | 31,597 | |||
Cellivery Therapeutics, Inc. (b) | 1,476 | 54,260 | |||
Celltrion Healthcare Co., Ltd. | 12,783 | 862,416 | |||
Celltrion Pharm, Inc. (b) | 2,793 | 292,281 | |||
Celltrion, Inc. | 14,476 | 2,411,145 | |||
Chabiotech Co., Ltd. (b) | 3,560 | 59,745 | |||
Cheil Worldwide, Inc. | 9,959 | 191,431 | |||
Chong Kun Dang Pharmaceutical Corp. (b) | 668 | 62,375 | |||
Chunbo Co., Ltd. | 931 | 273,015 | |||
CJ CGV Co., Ltd. (b) | 2,246 | 47,329 | |||
CJ CheilJedang Corp. | 1,143 | 372,587 | |||
CJ Corp. (b) | 1,847 | 129,581 |
Security Description | Shares | Value | |||
CJ ENM Co., Ltd. | 1,582 | $ 184,716 | |||
CJ Logistics Corp. (b) | 1,096 | 116,169 | |||
CMG Pharmaceutical Co., Ltd. (b) | 11,128 | 35,900 | |||
Com2uSCorp (b) | 2,104 | 280,002 | |||
Cosmax, Inc. (b) | 752 | 55,289 | |||
CosmoAM&T Co., Ltd. (b) | 2,483 | 96,396 | |||
Coway Co., Ltd. | 7,643 | 478,351 | |||
Creative & Innovative System (b) | 5,577 | 67,557 | |||
CS Wind Corp. | 3,456 | 191,007 | |||
Daeduck Electronics Co., Ltd. | 8,563 | 179,364 | |||
Daejoo Electronic Materials Co., Ltd. (b) | 1,149 | 103,035 | |||
Daesang Corp. (b) | 4,987 | 97,747 | |||
Daewoo Engineering & Construction Co., Ltd. (b) | 24,328 | 118,084 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b) | 3,568 | 69,184 | |||
Daewoong Co., Ltd. (b) | 2,154 | 56,262 | |||
Daewoong Pharmaceutical Co., Ltd. (b) | 429 | 53,411 | |||
Daishin Securities Co., Ltd. | 3,580 | 56,166 | |||
Daou Technology, Inc. (b) | 6,450 | 123,710 | |||
Dawonsys Co., Ltd. (b) | 2,898 | 71,551 | |||
DB HiTek Co., Ltd. | 5,088 | 311,165 | |||
DB Insurance Co., Ltd. | 6,640 | 301,628 | |||
Dentium Co., Ltd. (b) | 795 | 46,680 | |||
Devsisters Co., Ltd. (b) | 551 | 48,761 | |||
DGB Financial Group, Inc. (b) | 20,410 | 161,048 | |||
Digital Power Communications Co., Ltd. (b) | 3,795 | 46,929 | |||
DIO Corp. (b) | 4,286 | 134,664 | |||
DL E&C Co., Ltd. (b) | 1,869 | 187,097 | |||
DL Holdings Co., Ltd. | 1,200 | 61,476 | |||
Dong-A Socio Holdings Co., Ltd. | 363 | 35,117 | |||
Dong-A ST Co., Ltd. (b) | 542 | 32,645 | |||
Dongjin Semichem Co., Ltd. (b) | 5,592 | 239,909 | |||
DongKook Pharmaceutical Co., Ltd. (b) | 4,240 | 77,756 | |||
Dongkuk Steel Mill Co., Ltd. (b) | 14,784 | 197,742 | |||
Dongsuh Cos., Inc. | 2,706 | 70,567 | |||
Dongwha Enterprise Co., Ltd. (b) | 681 | 56,600 | |||
Doosan Bobcat, Inc. (b) | 7,232 | 247,911 | |||
Doosan Co., Ltd. (b) | 801 | 79,510 | |||
Doosan Fuel Cell Co., Ltd. (b) | 5,162 | 208,434 | |||
Doosan Heavy Industries & Construction Co., Ltd. (b) | 44,487 | 763,436 | |||
DoubleUGames Co., Ltd. (b) | 843 | 41,060 | |||
Douzone Bizon Co., Ltd. (b) | 2,524 | 154,996 |
Security Description | Shares | Value | |||
Duk San Neolux Co., Ltd. (b) | 1,243 | $ 58,869 | |||
Echo Marketing, Inc. | 1,570 | 22,056 | |||
Ecopro BM Co., Ltd. | 1,581 | 666,048 | |||
Ecopro Co., Ltd. | 2,963 | 292,873 | |||
Ecopro HN Co., Ltd. | 2,376 | 154,303 | |||
E-MART, Inc. (b) | 3,457 | 439,123 | |||
Enzychem Lifesciences Corp. (b) | 1,168 | 53,942 | |||
Eo Technics Co., Ltd. (b) | 1,483 | 149,080 | |||
Eoflow Co., Ltd. (b) | 899 | 37,057 | |||
ESR Kendall Square REIT Co., Ltd. | 8,686 | 46,252 | |||
Eubiologics Co., Ltd. (b) | 3,002 | 88,513 | |||
Eugene Technology Co., Ltd. | 1,603 | 69,716 | |||
F&F Co., Ltd. (b) | 497 | 395,092 | |||
Fila Holdings Corp. | 7,424 | 223,891 | |||
Fine Semitech Corp. | 3,085 | 65,787 | |||
Foosung Co., Ltd. (b) | 13,563 | 263,559 | |||
GC Cell Corp. (b) | 1,225 | 104,801 | |||
GemVax & Kael Co., Ltd. (b) | 3,211 | 47,270 | |||
Geneonelifescience, Inc. (b) | 7,801 | 106,310 | |||
Genexine, Inc. (b) | 2,807 | 137,664 | |||
Giantstep, Inc. (b) | 1,022 | 60,181 | |||
GOLFZON Co., Ltd. (b) | 508 | 74,699 | |||
Grand Korea Leisure Co., Ltd. (b) | 3,328 | 36,814 | |||
Green Cross Corp. | 671 | 123,052 | |||
Green Cross Holdings Corp. | 5,248 | 119,860 | |||
GS Engineering & Construction Corp. | 8,654 | 288,285 | |||
GS Holdings Corp. | 5,913 | 194,489 | |||
GS Retail Co., Ltd. | 6,723 | 171,928 | |||
HAESUNG DS Co., Ltd. (b) | 2,588 | 106,350 | |||
Hana Financial Group, Inc. | 42,776 | 1,513,128 | |||
Hana Materials, Inc. | 2,047 | 108,140 | |||
Hana Tour Service, Inc. (b) | 978 | 61,374 | |||
Hanall Biopharma Co., Ltd. (b) | 2,599 | 46,022 | |||
Handsome Co., Ltd. (b) | 1,555 | 46,568 | |||
Hanil Cement Co., Ltd. | 5,238 | 92,533 | |||
Hanjin Transportation Co., Ltd. (b) | 992 | 25,118 | |||
Hankook & Co. Co., Ltd (b) | 2,676 | 35,342 | |||
Hankook Tire & Technology Co., Ltd. | 10,292 | 343,716 | |||
Hanmi Pharm Co., Ltd. | 993 | 230,551 | |||
Hanmi Semiconductor Co., Ltd. (b) | 2,660 | 84,695 | |||
Hanon Systems | 25,518 | 288,721 | |||
Hansae Co., Ltd. | 2,164 | 39,958 | |||
Hansol Chemical Co., Ltd. | 1,234 | 317,129 | |||
Hanssem Co., Ltd. | 2,499 | 194,665 | |||
Hanwha Aerospace Co., Ltd. | 4,757 | 192,081 | |||
Hanwha Corp. | 6,452 | 170,425 | |||
Hanwha Investment & Securities Co., Ltd. (b) | 13,008 | 69,923 |
Security Description | Shares | Value | |||
Hanwha Life Insurance Co., Ltd. | 31,079 | $ 76,733 | |||
Hanwha Solutions Corp. (b) | 17,426 | 520,398 | |||
Hanwha Systems Co., Ltd. | 11,501 | 154,798 | |||
HDC Holdings Co., Ltd. (b) | 4,125 | 36,262 | |||
HDC Hyundai Development Co-Engineering & Construction Class E (b) | 6,351 | 122,345 | |||
Helixmith Co., Ltd. (b) | 3,526 | 67,331 | |||
Hite Jinro Co., Ltd. | 2,855 | 72,411 | |||
HLB Life Science Co., Ltd. (b) | 9,320 | 97,610 | |||
HLB, Inc. (b) | 15,532 | 454,691 | |||
HMM Co., Ltd. (b) | 38,021 | 860,370 | |||
Hotel Shilla Co., Ltd. | 5,093 | 334,178 | |||
Huchems Fine Chemical Corp. (b) | 1,984 | 38,637 | |||
Hugel, Inc. (b) | 1,296 | 167,349 | |||
Huons Co., Ltd. | 1,600 | 64,202 | |||
HYBE Co., Ltd. (b) | 2,482 | 728,680 | |||
Hyosung Advanced Materials Corp. (b) | 308 | 154,421 | |||
Hyosung Chemical Corp. (b) | 809 | 206,546 | |||
Hyosung Corp. | 858 | 68,351 | |||
Hyosung Heavy Industries Corp. (b) | 563 | 27,611 | |||
Hyosung TNC Corp. | 279 | 122,279 | |||
Hyundai Autoever Corp. | 571 | 66,286 | |||
Hyundai Bioscience Co., Ltd. (b) | 4,204 | 89,296 | |||
Hyundai Construction Equipment Co., Ltd. (b) | 1,360 | 46,392 | |||
Hyundai Department Store Co., Ltd. (b) | 1,309 | 82,697 | |||
Hyundai Doosan Infracore Co., Ltd. (b) | 22,092 | 131,576 | |||
Hyundai Electric & Energy System Co., Ltd. (b) | 2,175 | 36,410 | |||
Hyundai Elevator Co., Ltd. | 2,938 | 101,826 | |||
Hyundai Engineering & Construction Co., Ltd. | 10,763 | 402,452 | |||
Hyundai Glovis Co., Ltd. | 2,946 | 416,343 | |||
Hyundai Greenfood Co., Ltd. (b) | 5,265 | 37,957 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 6,839 | 308,942 | |||
Hyundai Home Shopping Network Corp. (b) | 629 | 33,547 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,551 | 145,780 | |||
Hyundai Mipo Dockyard Co., Ltd. (b) | 2,892 | 170,297 | |||
Hyundai Mobis Co., Ltd. | 9,574 | 2,049,702 | |||
Hyundai Motor Co. | 19,769 | 3,475,685 | |||
Hyundai Motor Co. Preference Shares (e) | 4,736 | 402,386 | |||
Hyundai Motor Co. Preference Shares (e) | 3,339 | 276,670 |
Security Description | Shares | Value | |||
Hyundai Rotem Co., Ltd. (b) | 11,024 | $ 192,891 | |||
Hyundai Steel Co. | 11,444 | 394,704 | |||
Hyundai Wia Corp. | 2,354 | 158,220 | |||
Iljin Materials Co., Ltd. | 3,327 | 377,830 | |||
Ilyang Pharmaceutical Co., Ltd. (b) | 1,234 | 29,118 | |||
Industrial Bank of Korea (b) | 47,306 | 409,886 | |||
Innocean Worldwide, Inc. | 814 | 37,935 | |||
Innox Advanced Materials Co., Ltd. | 3,006 | 116,700 | |||
iNtRON Biotechnology, Inc. (b) | 5,323 | 94,258 | |||
IS Dongseo Co., Ltd. (b) | 3,285 | 122,281 | |||
ITM Semiconductor Co., Ltd. | 206 | 7,382 | |||
JB Financial Group Co., Ltd. (b) | 11,582 | 81,354 | |||
Jeju Air Co., Ltd. (b) | 2,324 | 34,408 | |||
Jin Air Co., Ltd. (b) | 2,445 | 34,348 | |||
JR Global Reit | 31,263 | 140,174 | |||
Jusung Engineering Co., Ltd. (b) | 4,388 | 77,517 | |||
JW Pharmaceutical Corp. (b) | 1,532 | 29,383 | |||
JYP Entertainment Corp. (b) | 4,449 | 189,749 | |||
Kakao Corp. (b) | 44,916 | 4,250,726 | |||
Kakao Games Corp. (b) | 4,028 | 308,347 | |||
KakaoBank Corp. (b) | 12,811 | 635,835 | |||
Kangwon Land, Inc. (b) | 13,891 | 281,034 | |||
KB Financial Group, Inc. | 56,996 | 2,637,039 | |||
KCC Corp. | 576 | 152,631 | |||
KCC Glass Corp. | 1,162 | 58,552 | |||
KEPCO Engineering & Construction Co., Inc. (b) | 1,622 | 115,979 | |||
KEPCO Plant Service & Engineering Co., Ltd. (b) | 2,035 | 65,993 | |||
KG Dongbu Steel Co., Ltd. | 4,738 | 42,248 | |||
Kia Corp. | 38,018 | 2,628,879 | |||
KIWOOM Securities Co., Ltd. | 2,328 | 209,545 | |||
KMW Co., Ltd. (b) | 2,663 | 92,183 | |||
Koh Young Technology, Inc. | 7,925 | 158,000 | |||
Kolmar BNH Co., Ltd. (b) | 790 | 20,635 | |||
Kolmar Korea Co., Ltd. (b) | 1,275 | 43,170 | |||
Kolon Industries, Inc. (b) | 2,530 | 150,895 | |||
KoMiCo, Ltd. (b) | 1,382 | 78,008 | |||
Komipharm International Co., Ltd. (b) | 4,676 | 33,789 | |||
KONA I Co., Ltd. (b) | 1,321 | 35,949 | |||
Korea Aerospace Industries, Ltd. | 11,996 | 327,462 | |||
Korea Electric Power Corp. (b) | 40,357 | 750,275 | |||
Korea Electric Terminal Co., Ltd. | 599 | 38,447 | |||
Korea Investment Holdings Co., Ltd. | 5,577 | 378,603 | |||
Korea Line Corp. (b) | 17,625 | 39,142 | |||
Korea Petrochemical Ind Co., Ltd. (b) | 507 | 78,049 |
Security Description | Shares | Value | |||
Korea Real Estate Investment & Trust Co., Ltd. (b) | 40,468 | $ 88,681 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (b) | 5,025 | 399,886 | |||
Korea United Pharm, Inc. (b) | 955 | 38,039 | |||
Korea Zinc Co., Ltd. | 1,381 | 593,641 | |||
Korean Air Lines Co., Ltd. (b) | 25,543 | 630,652 | |||
Korean Reinsurance Co. (b) | 8,166 | 63,542 | |||
Krafton, Inc. (b)(c) | 3,178 | 1,229,762 | |||
KT&G Corp. | 16,240 | 1,079,251 | |||
Kuk-il Paper Manufacturing Co., Ltd. (b) | 9,131 | 31,224 | |||
Kumho Petrochemical Co., Ltd. | 2,524 | 352,458 | |||
Kumho Tire Co., Inc. (b) | 10,539 | 40,871 | |||
Kyung Dong Navien Co., Ltd. | 1,463 | 67,566 | |||
L&C Bio Co., Ltd. | 1,326 | 40,826 | |||
L&F Co., Ltd. (b) | 3,860 | 722,157 | |||
LB Semicon, Inc. (b)(c) | 6,795 | 76,310 | |||
LEENO Industrial, Inc. | 1,191 | 198,675 | |||
LegoChem Biosciences, Inc. (b) | 2,417 | 113,454 | |||
LG Chem, Ltd. | 6,621 | 3,425,375 | |||
LG Chem, Ltd. Preference Shares | 1,042 | 251,570 | |||
LG Corp. | 12,483 | 849,527 | |||
LG Display Co., Ltd. (b) | 31,356 | 648,881 | |||
LG Electronics, Inc. (b) | 15,235 | 1,768,606 | |||
LG Hausys, Ltd. | 1,772 | 91,674 | |||
LG Household & Health Care, Ltd. | 1,344 | 1,240,268 | |||
LG Household & Health Care, Ltd. Preference Shares | 295 | 152,866 | |||
LG Innotek Co., Ltd. | 1,961 | 600,466 | |||
LG Uplus Corp. | 38,245 | 437,545 | |||
LIG Nex1 Co., Ltd. | 1,266 | 73,058 | |||
Lock&Lock Co., Ltd. (b) | 10,907 | 106,432 | |||
Lotte Chemical Corp. | 2,447 | 446,687 | |||
Lotte Chilsung Beverage Co., Ltd. (b) | 412 | 46,269 | |||
LOTTE Fine Chemical Co., Ltd. (b) | 2,494 | 157,350 | |||
LOTTE Himart Co., Ltd. (b) | 1,139 | 24,097 | |||
LOTTE Reit Co., Ltd. | 12,988 | 60,638 | |||
Lotte Rental Co., Ltd. (b) | 2,023 | 64,838 | |||
Lotte Shopping Co., Ltd. | 1,360 | 99,762 | |||
Lotte Tour Development Co., Ltd. (b) | 3,330 | 49,162 | |||
LS Corp. | 1,645 | 74,864 | |||
LS Electric Co., Ltd. (b) | 1,393 | 65,388 | |||
LX Holdings Corp. (b) | 5,008 | 42,128 | |||
Lx International Corp. (b) | 14,247 | 317,000 | |||
LX Semicon Co., Ltd. (b) | 1,643 | 231,229 | |||
Mando Corp. (b) | 5,035 | 268,533 | |||
Mcnex Co., Ltd. | 1,909 | 92,339 | |||
MedPacto, Inc. (b) | 1,173 | 57,824 | |||
Medy-Tox, Inc. (b) | 568 | 68,757 |
Security Description | Shares | Value | |||
MegaStudyEdu Co., Ltd. (b) | 453 | $ 31,400 | |||
Meritz Financial Group, Inc. | 4,627 | 171,262 | |||
Meritz Fire & Marine Insurance Co., Ltd. | 8,340 | 235,379 | |||
Meritz Securities Co., Ltd. | 69,541 | 301,271 | |||
Mezzion Pharma Co., Ltd. (b) | 963 | 175,872 | |||
Mirae Asset Securities Co., Ltd. | 47,797 | 347,797 | |||
Myoung Shin Industrial Co., Ltd. (b) | 1,283 | 32,486 | |||
Naturecell Co., Ltd. (b) | 12,479 | 186,857 | |||
NAVER Corp. | 17,776 | 5,659,908 | |||
NCSoft Corp. | 2,376 | 1,285,189 | |||
Neowiz (b) | 42 | 1,275 | |||
NEPES Corp. (b) | 1,564 | 50,456 | |||
Netmarble Corp. (d) | 2,678 | 281,598 | |||
Next Science Co., Ltd. (b) | 5,369 | 98,460 | |||
NH Investment & Securities Co., Ltd. | 20,508 | 215,647 | |||
NHN Corp. (b) | 3,708 | 140,366 | |||
NHN KCP Corp. (b) | 2,299 | 58,696 | |||
NICE Holdings Co., Ltd. (b) | 2,514 | 33,837 | |||
NICE Information Service Co., Ltd. (b) | 10,100 | 152,934 | |||
NKMax Co., Ltd. (b) | 9,231 | 174,331 | |||
NongShim Co., Ltd. | 521 | 139,591 | |||
OCI Co., Ltd. (b) | 2,871 | 251,175 | |||
OliX Pharmaceuticals, Inc. (b) | 2,275 | 78,465 | |||
Orion Corp/Republic of Korea | 3,799 | 330,765 | |||
Orion Holdings Corp. | 5,222 | 70,066 | |||
Oscotec, Inc. (b) | 4,726 | 145,507 | |||
Osstem Implant Co., Ltd. (b) | 1,153 | 138,409 | |||
Ottogi Corp. | 114 | 43,730 | |||
Pan Ocean Co., Ltd. | 32,127 | 146,210 | |||
Paradise Co., Ltd. (b) | 4,113 | 51,726 | |||
Park Systems Corp. (b) | 526 | 67,700 | |||
Partron Co., Ltd. | 11,769 | 131,674 | |||
Pearl Abyss Corp. (b) | 4,018 | 467,457 | |||
People & Technology, Inc. | 2,453 | 90,382 | |||
PharmaResearch Co., Ltd. (b) | 654 | 45,113 | |||
Pharmicell Co., Ltd. (b) | 11,563 | 126,938 | |||
PI Advanced Materials Co., Ltd. (b) | 1,584 | 73,420 | |||
Poongsan Corp. (b) | 1,946 | 50,993 | |||
POSCO | 10,693 | 2,469,172 | |||
POSCO Chemtech Co., Ltd. | 4,279 | 518,339 | |||
Posco ICT Co., Ltd. (b) | 6,124 | 33,795 | |||
Posco International Corp. | 6,646 | 125,512 | |||
PSK, Inc. (b) | 1,165 | 51,745 | |||
RFHIC Corp. (b) | 1,320 | 39,586 | |||
S&S Tech Corp. (b) | 1,616 | 50,026 | |||
S&T Motiv Co., Ltd. | 938 | 37,125 | |||
S-1 Corp. | 3,092 | 192,218 | |||
Sam Chun Dang Pharm Co., Ltd. (b) | 2,749 | 100,247 |
Security Description | Shares | Value | |||
SAM KANG M&T Co., Ltd. (b) | 5,577 | $ 100,398 | |||
Samsung Biologics Co., Ltd. (b)(d) | 2,353 | 1,787,389 | |||
Samsung C&T Corp. | 11,703 | 1,171,531 | |||
Samsung Electro-Mechanics Co., Ltd. | 8,083 | 1,342,917 | |||
Samsung Electronics Co., Ltd. Preference Shares | 118,733 | 7,111,495 | |||
Samsung Electronics Co., Ltd. | 689,094 | 45,388,905 | |||
Samsung Engineering Co., Ltd. (b) | 21,503 | 414,232 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 4,203 | 714,201 | |||
Samsung Heavy Industries Co., Ltd. (b) | 124,672 | 594,650 | |||
Samsung Life Insurance Co., Ltd. | 10,586 | 570,820 | |||
Samsung SDI Co., Ltd. (b) | 7,938 | 4,373,830 | |||
Samsung SDS Co., Ltd. | 4,967 | 653,910 | |||
Samsung Securities Co., Ltd. | 9,821 | 370,947 | |||
Samwha Capacitor Co., Ltd. (b) | 848 | 42,944 | |||
Samyang Holdings Corp. (b) | 808 | 66,747 | |||
Sang-A Frontec Co., Ltd. (b) | 993 | 43,688 | |||
Sangsangin Co., Ltd. | 7,698 | 53,748 | |||
SD Biosensor, Inc. (b) | 4,873 | 229,149 | |||
Seah Besteel Corp. (b) | 1,754 | 29,362 | |||
Sebang Global Battery Co., Ltd. (b) | 1,623 | 103,626 | |||
Seegene, Inc. | 4,421 | 226,861 | |||
Seojin System Co., Ltd. (b) | 2,971 | 107,968 | |||
Seoul Semiconductor Co., Ltd. (b) | 9,084 | 117,681 | |||
Seoul Viosys Co., Ltd. (b) | 73 | 814 | |||
SFA Engineering Corp. (b) | 1,624 | 49,249 | |||
SFA Semicon Co., Ltd. (b) | 9,437 | 61,048 | |||
Shin Poong Pharmaceutical Co., Ltd. | 3,888 | 104,498 | |||
Shinhan Financial Group Co., Ltd. | 63,358 | 1,961,367 | |||
Shinsegae International, Inc. | 226 | 27,662 | |||
Shinsegae, Inc. | 1,065 | 227,558 | |||
SillaJen, Inc. (b) | 6,523 | 33,198 | |||
SIMMTECH Co., Ltd. (b) | 2,199 | 84,445 | |||
SK Biopharmaceuticals Co., Ltd. (b) | 4,369 | 357,238 | |||
SK Bioscience Co., Ltd. (b) | 3,094 | 585,615 | |||
SK Chemicals Co., Ltd. | 1,293 | 162,067 | |||
SK Discovery Co., Ltd. (b) | 2,244 | 87,589 | |||
SK Hynix, Inc. (b) | 78,781 | 8,681,650 | |||
SK IE Technology Co., Ltd. (b)(d) | 2,272 | 321,090 | |||
SK Innovation Co., Ltd. (b) | 7,338 | 1,472,230 | |||
SK Networks Co., Ltd. (b) | 13,470 | 56,883 | |||
SK Square Co., Ltd. (b) | 9,431 | 526,787 | |||
SK Telecom Co., Ltd. | 14,589 | 710,581 |
Security Description | Shares | Value | |||
SK, Inc. | 6,095 | $ 1,286,936 | |||
SKC Co., Ltd. | 3,596 | 527,867 | |||
SL Corp. (b) | 1,756 | 46,088 | |||
SM Entertainment Co., Ltd. (b) | 2,553 | 159,354 | |||
S-Oil Corp. | 6,218 | 448,271 | |||
SOLUM Co., Ltd. (b) | 3,572 | 67,459 | |||
Solus Advanced Materials Co, Ltd. (b) | 1,317 | 98,934 | |||
Soulbrain Co., Ltd. | 458 | 107,300 | |||
Soulbrain Holdings Co., Ltd. (b) | 567 | 16,503 | |||
ST Pharm Co., Ltd. (b) | 2,098 | 245,671 | |||
Suheung Co., Ltd. (b) | 2,578 | 95,855 | |||
Taihan Electric Wire Co., Ltd. (b) | 36,396 | 54,498 | |||
TES Co., Ltd. | 1,592 | 39,842 | |||
Tesna, Inc. (b) | 1,124 | 47,229 | |||
Tokai Carbon Korea Co., Ltd. (b) | 499 | 62,336 | |||
TY Holdings Co., Ltd. (b) | 1,741 | 41,301 | |||
Unid Co., Ltd. | 1,167 | 98,661 | |||
UniTest, Inc. (b) | 4,511 | 112,514 | |||
Value Added Technology Co., Ltd. (b) | 3,331 | 99,054 | |||
Vaxcell-Bio Therapeutics Co., Ltd. (b) | 1,108 | 40,452 | |||
Vidente Co., Ltd. (b) | 5,018 | 102,154 | |||
Webzen, Inc. (b) | 4,173 | 101,451 | |||
Wemade Co., Ltd. (b) | 2,666 | 398,975 | |||
WONIK IPS Co., Ltd. (b) | 5,486 | 195,212 | |||
Wonik QnC Corp. (b) | 1,915 | 46,073 | |||
Woori Financial Group, Inc. | 75,472 | 806,304 | |||
Woori Technology Investment Co., Ltd. (b) | 6,621 | 50,907 | |||
Wysiwyg Studios Co., Ltd. (b) | 3,169 | 106,100 | |||
YG Entertainment, Inc. (b) | 2,609 | 122,247 | |||
Youngone Corp. (b) | 2,057 | 75,531 | |||
Yuanta Securities Korea Co., Ltd. (b) | 18,956 | 64,104 | |||
Yuhan Corp. | 8,052 | 420,634 | |||
Yungjin Pharmaceutical Co., Ltd. (b) | 22,295 | 99,214 | |||
Zinus, Inc. (b) | 865 | 56,102 | |||
171,750,506 | |||||
SPAIN — 1.4% | |||||
Acciona SA | 3,526 | 674,042 | |||
Acerinox SA | 21,573 | 279,306 | |||
ACS Actividades de Construccion y Servicios SA | 35,388 | 948,533 | |||
Aena SME SA (b)(d) | 10,828 | 1,709,128 | |||
Almirall SA (c) | 10,864 | 139,606 | |||
Amadeus IT Group SA (b) | 65,002 | 4,408,604 | |||
AmRest Holdings SE (b) | 7,136 | 49,079 | |||
Applus Services SA | 23,743 | 218,299 |
Security Description | Shares | Value | |||
Atresmedia Corp. de Medios de Comunicacion SA | 10,812 | $ 41,017 | |||
Audax Renovables SA (c) | 41,904 | 60,043 | |||
Banco Bilbao Vizcaya Argentaria SA | 962,096 | 5,744,000 | |||
Banco de Sabadell SA (b) | 805,455 | 542,067 | |||
Banco Santander SA | 2,502,045 | 8,366,678 | |||
Bankinter SA | 97,272 | 498,775 | |||
Befesa SA (d) | 5,772 | 442,408 | |||
CaixaBank SA | 639,680 | 1,756,050 | |||
Cellnex Telecom SA (d) | 73,514 | 4,278,653 | |||
Cia de Distribucion Integral Logista Holdings SA | 9,577 | 190,919 | |||
CIE Automotive SA | 7,659 | 238,301 | |||
Construcciones y Auxiliar de Ferrocarriles SA (b) | 3,468 | 144,343 | |||
ContourGlobal PLC (d) | 21,412 | 55,509 | |||
Corp. Financiera Alba SA | 3,061 | 179,270 | |||
Distribuidora Internacional de Alimentacion SA (b)(c) | 3,493,966 | 63,176 | |||
Ebro Foods SA | 11,588 | 222,442 | |||
EDP Renovaveis SA | 41,681 | 1,038,052 | |||
eDreams ODIGEO SA (b) | 11,015 | 121,505 | |||
Enagas SA | 35,516 | 823,931 | |||
Ence Energia y Celulosa SA (b) | 35,434 | 91,229 | |||
Endesa SA (c) | 45,830 | 1,052,781 | |||
Faes Farma SA | 45,172 | 178,663 | |||
Ferrovial SA | 69,728 | 2,185,361 | |||
Fluidra SA | 12,702 | 508,454 | |||
Gestamp Automocion SA (b)(d) | 33,976 | 171,937 | |||
Global Dominion Access SA (d) | 10,388 | 55,345 | |||
Grenergy Renovables SA (b)(c) | 1,485 | 48,974 | |||
Grifols SA (c) | 43,040 | 825,948 | |||
Grupo Catalana Occidente SA | 6,786 | 231,511 | |||
Iberdrola SA | 826,695 | 9,786,621 | |||
Indra Sistemas SA (b) | 17,608 | 190,627 | |||
Industria de Diseno Textil SA | 157,393 | 5,106,507 | |||
Inmobiliaria Colonial Socimi SA REIT | 40,764 | 382,444 | |||
Laboratorios Farmaceuticos Rovi SA | 2,832 | 237,677 | |||
Lar Espana Real Estate Socimi SA REIT (b) | 11,653 | 67,849 | |||
Linea Directa Aseguradora SA Cia de Seguros y Reaseguros (c) | 79,229 | 144,925 | |||
Mapfre SA | 156,224 | 320,761 | |||
Mediaset Espana Comunicacion SA (b) | 30,205 | 141,175 | |||
Melia Hotels International SA (b) | 16,110 | 109,958 | |||
Merlin Properties Socimi SA REIT | 50,830 | 553,183 |
Security Description | Shares | Value | |||
Metrovacesa SA (d) | 5,449 | $ 44,120 | |||
Miquel y Costas & Miquel SA | 5,388 | 80,267 | |||
Naturgy Energy Group SA | 42,917 | 1,397,293 | |||
Neinor Homes SA (b)(d) | 7,187 | 86,144 | |||
Pharma Mar SA (c) | 1,711 | 110,947 | |||
Prosegur Cash SA (b)(c)(d) | 40,918 | 29,129 | |||
Prosegur Cia de Seguridad SA (b) | 36,398 | 95,615 | |||
Red Electrica Corp. SA (c) | 62,457 | 1,351,271 | |||
Repsol SA | 207,800 | 2,466,132 | |||
Sacyr SA (c) | 54,583 | 141,896 | |||
Siemens Gamesa Renewable Energy SA (b) | 33,590 | 804,843 | |||
Solaria Energia y Medio Ambiente SA (b)(c) | 9,631 | 187,505 | |||
Soltec Power Holdings SA (b) | 9,892 | 69,632 | |||
Talgo SA (b)(c)(d) | 12,764 | 78,818 | |||
Tecnicas Reunidas SA (b)(c) | 8,804 | 69,583 | |||
Telefonica SA (c) | 776,822 | 3,402,864 | |||
Unicaja Banco SA (d) | 219,193 | 216,612 | |||
Viscofan SA | 5,253 | 339,904 | |||
Zardoya Otis SA | 32,248 | 260,741 | |||
66,858,982 | |||||
SWEDEN — 2.6% | |||||
AAK AB | 26,942 | 581,164 | |||
AcadeMedia AB (d) | 15,147 | 92,851 | |||
AddTech AB Class B | 37,502 | 894,695 | |||
AFRY AB | 12,503 | 352,145 | |||
Alfa Laval AB | 45,392 | 1,826,940 | |||
Alimak Group AB (d) | 6,075 | 76,761 | |||
Ambea AB (d) | 8,959 | 59,965 | |||
Arjo AB Class B | 28,862 | 353,210 | |||
Assa Abloy AB Class B | 144,619 | 4,411,799 | |||
Atlas Copco AB Class A | 96,892 | 6,697,152 | |||
Atlas Copco AB Class B | 55,638 | 3,270,492 | |||
Atrium Ljungberg AB Class B | 5,710 | 125,945 | |||
Attendo AB (b)(d) | 18,258 | 77,639 | |||
Avanza Bank Holding AB | 16,757 | 614,841 | |||
Axfood AB | 14,018 | 403,175 | |||
Bactiguard Holding AB (b)(c) | 1,927 | 35,118 | |||
Beijer Alma AB | 5,761 | 174,665 | |||
Beijer Ref AB | 33,495 | 732,137 | |||
Betsson AB Class B (b) | 15,247 | 92,033 | |||
BHG Group AB (b) | 12,213 | 128,755 | |||
BICO Group AB (b) | 4,130 | 126,721 | |||
Bilia AB Class A | 10,517 | 186,089 | |||
BillerudKorsnas AB | 28,079 | 529,397 | |||
BioArctic AB (b)(d) | 4,185 | 55,098 | |||
BioGaia AB Class B | 2,088 | 119,461 | |||
Biotage AB | 10,569 | 305,845 | |||
Boliden AB (b) | 39,028 | 1,508,728 | |||
Bonava AB Class B | 9,858 | 85,200 | |||
Boozt AB (b)(c)(d) | 10,974 | 222,780 | |||
Bravida Holding AB (d) | 30,013 | 420,998 | |||
Bufab AB | 6,983 | 344,760 | |||
Bure Equity AB | 7,517 | 363,818 |
Security Description | Shares | Value | |||
Calliditas Therapeutics AB Class B (b)(c) | 2,965 | $ 36,940 | |||
Camurus AB (b) | 6,510 | 108,430 | |||
Castellum AB (c) | 42,803 | 1,152,589 | |||
Catena AB | 4,150 | 258,520 | |||
Cellavision AB | 1,868 | 67,096 | |||
Cibus Nordic Real Estate AB | 6,949 | 223,194 | |||
Cint Group AB (b) | 14,527 | 231,611 | |||
Clas Ohlson AB Class B (c) | 7,371 | 111,780 | |||
Cloetta AB Class B | 28,896 | 83,619 | |||
Collector AB (b) | 28,130 | 118,003 | |||
Coor Service Management Holding AB (d) | 11,491 | 104,898 | |||
Corem Property Group AB Class B | 78,261 | 282,225 | |||
Creades AB Class A | 6,464 | 105,058 | |||
Desenio Group AB (b) | 6,848 | 18,349 | |||
Dios Fastigheter AB | 11,038 | 144,835 | |||
Dometic Group AB (d) | 43,127 | 566,605 | |||
Duni AB (b) | 3,551 | 45,810 | |||
Dustin Group AB (d) | 12,433 | 145,699 | |||
Electrolux AB Class B (b)(c) | 30,488 | 739,146 | |||
Electrolux Professional AB Class B (b) | 28,212 | 195,530 | |||
Elekta AB Class B | 54,757 | 692,790 | |||
Embracer Group AB (b) | 80,719 | 860,429 | |||
Epiroc AB Class A | 94,428 | 2,390,463 | |||
Epiroc AB Class B | 56,129 | 1,188,437 | |||
EQT AB | 42,377 | 2,307,511 | |||
Essity AB Class B | 86,911 | 2,835,646 | |||
Evolution AB (d) | 24,830 | 3,527,377 | |||
Fabege AB | 35,771 | 598,761 | |||
Fagerhult AB | 9,751 | 65,589 | |||
Fastighets AB Balder Class B (b) | 15,400 | 1,108,669 | |||
Fingerprint Cards AB Class B (b)(c) | 36,935 | 84,364 | |||
Fortnox AB | 6,513 | 420,827 | |||
GARO AB | 3,472 | 82,832 | |||
Getinge AB Class B | 32,677 | 1,425,988 | |||
Granges AB | 14,369 | 168,387 | |||
H & M Hennes & Mauritz AB Class B (c) | 105,379 | 2,072,697 | |||
Hansa Biopharma AB (b) | 5,880 | 57,671 | |||
Hemnet Group AB (b) | 5,800 | 107,174 | |||
Hexagon AB Class B | 284,259 | 4,510,104 | |||
Hexatronic Group AB | 4,848 | 269,873 | |||
Hexpol AB | 34,881 | 467,322 | |||
HMS Networks AB | 3,251 | 200,363 | |||
Holmen AB Class B | 13,933 | 668,961 | |||
Hufvudstaden AB Class A | 15,218 | 227,248 | |||
Humble Group AB (b)(c) | 18,881 | 58,392 | |||
Husqvarna AB Class B | 60,374 | 965,907 | |||
Industrivarden AB Class A | 18,054 | 575,089 | |||
Industrivarden AB Class C | 21,587 | 677,377 | |||
Indutrade AB | 39,978 | 1,223,999 | |||
Instalco AB | 5,625 | 269,885 |
Security Description | Shares | Value | |||
Intrum AB | 8,451 | $ 217,859 | |||
Investment AB Latour Class B | 21,362 | 869,925 | |||
Investment AB Oresund | 3,443 | 55,445 | |||
Investor AB Class A | 71,856 | 1,893,652 | |||
Investor AB Class B | 262,883 | 6,612,834 | |||
INVISIO Communications AB | 5,061 | 91,562 | |||
Inwido AB | 6,586 | 136,174 | |||
JM AB | 7,555 | 340,957 | |||
Karo Pharma AB (b) | 17,994 | 119,247 | |||
K-fast Holding AB (b) | 7,303 | 70,176 | |||
Kinnevik AB Class B (b) | 34,802 | 1,240,615 | |||
KNOW IT AB | 2,507 | 103,975 | |||
L E Lundbergforetagen AB Class B | 10,273 | 576,405 | |||
LeoVegas AB (d) | 19,551 | 75,666 | |||
Lifco AB Class B | 33,635 | 1,005,649 | |||
Lime Technologies AB | 1,258 | 47,825 | |||
Lindab International AB | 10,659 | 378,381 | |||
Loomis AB | 10,161 | 270,134 | |||
Lundin Energy AB | 28,793 | 1,031,973 | |||
Mekonomen AB (b) | 8,779 | 152,331 | |||
MIPS AB | 4,306 | 564,536 | |||
Modern Times Group MTG AB Class B (b) | 12,619 | 128,785 | |||
Munters Group AB (d) | 17,152 | 132,516 | |||
Mycronic AB (c) | 9,931 | 231,442 | |||
NCC AB Class B | 10,244 | 189,745 | |||
New Wave Group AB Class B | 4,848 | 89,851 | |||
Nibe Industrier AB Class B | 203,641 | 3,075,808 | |||
Nobia AB | 16,815 | 101,219 | |||
Nobina AB (d) | 12,721 | 150,339 | |||
Nolato AB Class B | 27,502 | 327,757 | |||
Nordic Entertainment Group AB Class B (b) | 11,079 | 574,150 | |||
Nordnet AB publ | 15,326 | 293,863 | |||
Nyfosa AB | 23,693 | 408,236 | |||
OX2 AB (b) | 11,036 | 72,161 | |||
Pandox AB (b) | 11,680 | 188,349 | |||
Paradox Interactive AB (c) | 5,166 | 101,850 | |||
Peab AB Class B | 24,834 | 313,242 | |||
Platzer Fastigheter Holding AB Class B | 7,570 | 113,376 | |||
PowerCell Sweden AB (b) | 5,924 | 121,112 | |||
Ratos AB Class B | 39,105 | 250,295 | |||
Re:NewCell AB (b)(c) | 2,448 | 59,376 | |||
Resurs Holding AB (d) | 16,411 | 68,915 | |||
Rvrc Holding AB | 5,335 | 61,695 | |||
Saab AB Class B | 9,951 | 253,121 | |||
Sagax AB Class B | 23,238 | 782,826 | |||
Samhallsbyggnadsbolaget i Norden AB | 131,430 | 964,184 | |||
Samhallsbyggnadsbolaget i Norden AB Class D | 18,356 | 65,161 | |||
Sandvik AB | 162,893 | 4,544,671 | |||
SAS AB (b)(c) | 458,640 | 64,613 |
Security Description | Shares | Value | |||
Scandic Hotels Group AB (b)(c)(d) | 19,316 | $ 77,850 | |||
Sdiptech AB Class B (b) | 3,138 | 163,419 | |||
Sectra AB Class B (b) | 20,742 | 458,650 | |||
Securitas AB Class B | 42,327 | 582,742 | |||
Sedana Medical AB (b) | 8,147 | 88,229 | |||
Sinch AB (b)(d) | 71,597 | 910,200 | |||
Skandinaviska Enskilda Banken AB Class A | 232,008 | 3,224,949 | |||
Skanska AB Class B | 49,086 | 1,269,730 | |||
SKF AB Class B | 54,820 | 1,298,772 | |||
SkiStar AB | 6,323 | 118,724 | |||
SSAB AB Class A (b) | 51,377 | 297,576 | |||
SSAB AB Class B (b) | 77,575 | 390,795 | |||
Stillfront Group AB (b) | 41,689 | 222,400 | |||
Storytel AB (b)(c) | 6,381 | 116,360 | |||
Surgical Science Sweden AB (b) | 4,000 | 124,367 | |||
Svenska Cellulosa AB SCA Class B | 86,403 | 1,534,075 | |||
Svenska Handelsbanken AB Class A | 210,456 | 2,274,748 | |||
Svolder AB Class B | 2,613 | 105,919 | |||
Sweco AB Class B | 26,323 | 494,836 | |||
Swedbank AB Class A | 129,513 | 2,604,894 | |||
SwedenCare AB | 8,196 | 139,318 | |||
Swedish Match AB | 227,975 | 1,813,456 | |||
Tele2 AB Class B | 72,265 | 1,030,436 | |||
Telefonaktiebolaget LM Ericsson Class B | 421,144 | 4,641,778 | |||
Telia Co. AB | 379,104 | 1,482,483 | |||
Thule Group AB (d) | 15,087 | 913,167 | |||
Tobii AB (b)(c) | 20,023 | 81,208 | |||
Tobii Dynavox AB (b)(c) | 20,023 | 71,234 | |||
Trelleborg AB Class B | 35,000 | 919,277 | |||
Troax Group AB | 7,112 | 364,090 | |||
Vestum AB | 18,000 | 102,924 | |||
Vimian Group AB (b) | 17,212 | 150,850 | |||
Vitec Software Group AB Class B | 3,886 | 239,070 | |||
Vitrolife AB | 8,775 | 542,753 | |||
VNV Global AB (b) | 11,000 | 127,206 | |||
Volati AB | 2,680 | 67,046 | |||
Volvo AB Class A | 27,068 | 635,603 | |||
Volvo AB Class B | 206,277 | 4,776,529 | |||
Wallenstam AB Class B | 21,709 | 402,824 | |||
Wihlborgs Fastigheter AB | 18,303 | 415,231 | |||
Xvivo Perfusion AB (b) | 4,152 | 127,717 | |||
125,107,860 | |||||
SWITZERLAND — 5.9% | |||||
ABB, Ltd. | 236,996 | 9,077,715 | |||
Adecco Group AG | 23,133 | 1,183,118 | |||
Alcon, Inc. | 72,101 | 6,389,107 | |||
Allreal Holding AG | 1,842 | 408,367 | |||
ALSO Holding AG (b) | 874 | 287,768 | |||
APG SGA SA (b) | 139 | 30,358 |
Security Description | Shares | Value | |||
Arbonia AG | 6,222 | $ 140,672 | |||
Aryzta AG (b) | 127,469 | 159,625 | |||
Ascom Holding AG (b) | 3,750 | 48,400 | |||
Autoneum Holding AG (b) | 289 | 53,826 | |||
Bachem Holding AG Class B | 1,069 | 840,042 | |||
Baloise Holding AG | 6,954 | 1,137,948 | |||
Banque Cantonale Vaudoise | 3,866 | 300,404 | |||
Barry Callebaut AG | 515 | 1,252,527 | |||
Basilea Pharmaceutica AG (b)(c) | 1,356 | 60,898 | |||
Belimo Holding AG | 1,504 | 957,384 | |||
Bell Food Group AG | 199 | 63,774 | |||
BKW AG | 2,711 | 352,878 | |||
Bobst Group SA (b) | 1,422 | 129,379 | |||
Bossard Holding AG Class A | 975 | 351,520 | |||
Bucher Industries AG | 961 | 475,675 | |||
Burckhardt Compression Holding AG | 438 | 207,427 | |||
Burkhalter Holding AG | 433 | 29,939 | |||
Bystronic AG | 173 | 243,413 | |||
Cembra Money Bank AG | 4,329 | 315,713 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 156 | 2,162,410 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 16 | 2,145,860 | |||
Cie Financiere Richemont SA | 75,318 | 11,320,639 | |||
Clariant AG (b) | 34,059 | 710,224 | |||
Coltene Holding AG (b) | 945 | 116,576 | |||
Comet Holding AG | 901 | 332,751 | |||
Credit Suisse Group AG | 382,471 | 3,724,176 | |||
Daetwyler Holding AG Bearer Shares | 1,529 | 674,596 | |||
DKSH Holding AG | 4,592 | 379,496 | |||
dormakaba Holding AG | 543 | 359,656 | |||
Dufry AG (b) | 10,481 | 519,362 | |||
EFG International AG (b) | 8,065 | 61,518 | |||
Emmi AG | 283 | 334,202 | |||
EMS-Chemie Holding AG | 993 | 1,112,718 | |||
Flughafen Zurich AG (b) | 2,631 | 473,849 | |||
Forbo Holding AG | 145 | 297,591 | |||
Galenica AG (d) | 7,623 | 573,513 | |||
Geberit AG | 5,176 | 4,233,282 | |||
Georg Fischer AG | 577 | 877,073 | |||
Givaudan SA | 1,332 | 7,005,371 | |||
Gurit Holding AG | 85 | 145,157 | |||
Helvetia Holding AG | 5,881 | 693,211 | |||
Holcim, Ltd. (b)(e) | 67,219 | 3,431,220 | |||
Holcim, Ltd. (e) | 8,321 | 423,453 | |||
Huber + Suhner AG | 1,945 | 185,716 | |||
Idorsia, Ltd. (b)(c) | 13,857 | 283,482 | |||
Implenia AG (b) | 1,966 | 44,794 | |||
Inficon Holding AG | 220 | 323,064 | |||
Interroll Holding AG | 92 | 414,487 | |||
Intershop Holding AG | 132 | 88,662 | |||
IWG PLC (b) | 103,432 | 407,672 | |||
Julius Baer Group, Ltd. | 32,444 | 2,178,482 |
Security Description | Shares | Value | |||
Kardex Holding AG | 794 | $ 261,428 | |||
Komax Holding AG (b) | 565 | 156,884 | |||
Kuehne + Nagel International AG | 7,795 | 2,518,628 | |||
Landis+Gyr Group AG (b) | 2,783 | 188,608 | |||
LEM Holding SA | 58 | 161,686 | |||
Leonteq AG | 942 | 71,646 | |||
Logitech International SA | 25,152 | 2,122,247 | |||
Lonza Group AG | 10,745 | 8,981,388 | |||
Medacta Group SA (b)(d) | 1,306 | 203,536 | |||
Medartis Holding AG (b)(d) | 425 | 60,731 | |||
Mediclinic International PLC (b) | 78,189 | 339,314 | |||
Medmix AG (b)(d) | 7,663 | 379,807 | |||
Metall Zug AG Class B | 20 | 45,218 | |||
Meyer Burger Technology AG (b)(c) | 290,547 | 129,784 | |||
Mobilezone Holding AG | 8,564 | 128,016 | |||
Mobimo Holding AG (b) | 878 | 294,385 | |||
Molecular Partners AG (b)(c) | 1,967 | 38,470 | |||
Nestle SA | 406,150 | 56,807,064 | |||
Novartis AG | 316,132 | 27,853,896 | |||
OC Oerlikon Corp. AG | 26,781 | 275,261 | |||
Orior AG | 1,109 | 109,421 | |||
Partners Group Holding AG | 3,275 | 5,436,468 | |||
Peach Property Group AG | 938 | 65,268 | |||
PSP Swiss Property AG | 6,618 | 825,843 | |||
Relief Therapeutics Holding, Inc. (b)(c) | 245,800 | 16,780 | |||
Rieter Holding AG (b) | 687 | 133,457 | |||
Roche Holding AG Bearer Shares | 4,617 | 2,071,481 | |||
Roche Holding AG | 101,371 | 42,177,189 | |||
Schindler Holding AG (e) | 6,149 | 1,656,785 | |||
Schindler Holding AG (e) | 2,812 | 754,270 | |||
Schweiter Technologies AG Bearer Shares | 124 | 183,996 | |||
Sensirion Holding AG (b)(d) | 1,199 | 175,544 | |||
SFS Group AG | 2,234 | 309,423 | |||
SGS SA | 855 | 2,859,227 | |||
Siegfried Holding AG (b) | 571 | 557,432 | |||
SIG Combibloc Group AG (b) | 46,265 | 1,292,769 | |||
Sika AG | 20,457 | 8,536,192 | |||
Sonova Holding AG | 7,898 | 3,101,470 | |||
St Galler Kantonalbank AG | 385 | 183,806 | |||
Stadler Rail AG (c) | 6,418 | 281,331 | |||
Straumann Holding AG | 1,493 | 3,173,946 | |||
Sulzer AG | 2,419 | 238,542 | |||
Swatch Group AG (e) | 4,175 | 1,278,412 | |||
Swatch Group AG (e) | 8,168 | 479,152 | |||
Swiss Life Holding AG | 4,615 | 2,831,350 | |||
Swiss Prime Site AG | 11,365 | 1,118,227 | |||
Swiss Steel Holding AG (b) | 113,731 | 42,876 | |||
Swisscom AG | 3,766 | 2,126,964 | |||
Swissquote Group Holding SA | 1,366 | 300,590 | |||
Tecan Group AG | 1,806 | 1,101,062 |
Security Description | Shares | Value | |||
Temenos AG | 9,930 | $ 1,373,733 | |||
TX Group AG (b) | 274 | 47,032 | |||
u-blox Holding AG (b) | 976 | 75,464 | |||
UBS Group AG | 507,504 | 9,145,822 | |||
Valiant Holding AG | 2,027 | 203,112 | |||
Valora Holding AG (b) | 403 | 68,910 | |||
VAT Group AG (d) | 4,010 | 1,999,829 | |||
Vetropack Holding AG | 2,150 | 135,916 | |||
Vifor Pharma AG | 7,352 | 1,309,183 | |||
Vontobel Holding AG | 3,766 | 330,246 | |||
VZ Holding AG | 3,916 | 420,331 | |||
V-ZUG Holding AG (b) | 233 | 31,454 | |||
Ypsomed Holding AG | 343 | 70,170 | |||
Zehnder Group AG | 1,784 | 182,287 | |||
Zur Rose Group AG (b)(c) | 1,188 | 307,056 | |||
Zurich Insurance Group AG | 21,710 | 9,540,344 | |||
280,210,299 | |||||
TAIWAN — 4.6% | |||||
AcBel Polytech, Inc. | 136,000 | 179,911 | |||
Accton Technology Corp. | 70,000 | 657,823 | |||
Acer, Inc. | 400,000 | 440,236 | |||
Actron Technology Corp. (b) | 7,000 | 61,734 | |||
ADATA Technology Co., Ltd. | 43,000 | 143,452 | |||
Adimmune Corp. | 32,000 | 51,643 | |||
Advanced Ceramic X Corp. | 8,000 | 101,637 | |||
Advanced Energy Solution Holding Co., Ltd. | 4,000 | 263,852 | |||
Advanced Wireless Semiconductor Co. | 14,000 | 71,855 | |||
Advantech Co., Ltd. | 57,514 | 824,242 | |||
Alchip Technologies, Ltd. | 10,000 | 368,670 | |||
Amazing Microelectronic Corp. | 10,000 | 88,553 | |||
AmTRAN Technology Co., Ltd. | 177,473 | 112,897 | |||
Andes Technology Corp. | 4,000 | 77,493 | |||
AP Memory Technology Corp. | 11,000 | 198,395 | |||
Apex International Co., Ltd. | 15,000 | 70,752 | |||
Arcadyan Technology Corp. | 25,487 | 117,454 | |||
Ardentec Corp. | 43,000 | 86,258 | |||
ASE Technology Holding Co., Ltd. | 473,325 | 1,821,994 | |||
Asia Cement Corp. | 290,000 | 464,344 | |||
Asia Optical Co., Inc. (b) | 27,000 | 91,636 | |||
Asia Pacific Telecom Co., Ltd. (b) | 276,000 | 82,001 | |||
Asia Polymer Corp. | 43,860 | 58,101 | |||
Asia Vital Components Co., Ltd. | 29,000 | 92,449 | |||
ASMedia Technology, Inc. | 4,000 | 263,129 | |||
ASPEED Technology, Inc. | 3,000 | 386,562 | |||
ASROCK, Inc. | 6,000 | 61,047 | |||
Asustek Computer, Inc. | 102,000 | 1,386,200 | |||
AU Optronics Corp. | 1,180,000 | 976,687 | |||
AURAS Technology Co., Ltd. | 7,000 | 51,108 |
Security Description | Shares | Value | |||
Aurora Corp. | 4,000 | $ 12,983 | |||
BES Engineering Corp. | 141,000 | 46,173 | |||
Bizlink Holding, Inc. | 14,000 | 132,071 | |||
Brighton-Best International Taiwan, Inc. | 68,000 | 94,748 | |||
Capital Securities Corp. | 222,000 | 136,007 | |||
Career Technology MFG. Co., Ltd. | 61,200 | 58,508 | |||
Catcher Technology Co., Ltd. | 95,000 | 537,373 | |||
Cathay Financial Holding Co., Ltd. | 1,140,523 | 2,576,452 | |||
Cathay Real Estate Development Co., Ltd. | 63,000 | 43,834 | |||
Center Laboratories, Inc. | 31,891 | 69,737 | |||
Century Iron & Steel Industrial Co., Ltd. | 13,000 | 51,921 | |||
Chailease Holding Co., Ltd. | 188,532 | 1,795,575 | |||
Chang Hwa Commercial Bank, Ltd. | 646,915 | 397,497 | |||
Chang Wah Electromaterials, Inc. | 39,000 | 54,834 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 234,178 | |||
Charoen Pokphand Enterprise | 17,000 | 49,525 | |||
Cheng Loong Corp. | 121,000 | 154,382 | |||
Cheng Shin Rubber Industry Co., Ltd. | 227,000 | 296,190 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 84,341 | |||
Chicony Electronics Co., Ltd. | 70,491 | 209,687 | |||
Chicony Power Technology Co., Ltd. | 16,000 | 45,166 | |||
Chilisin Electronics Corp. | 24,000 | 83,273 | |||
China Airlines, Ltd. (b) | 434,000 | 432,165 | |||
China Bills Finance Corp. | 81,000 | 50,356 | |||
China Development Financial Holding Corp. | 2,425,909 | 1,534,442 | |||
China Development Financial Holding Corp. Preference Shares (b) | 179,679 | 62,281 | |||
China General Plastics Corp. | 144,427 | 181,141 | |||
China Man-Made Fiber Corp. | 277,680 | 101,871 | |||
China Motor Corp. | 26,000 | 59,580 | |||
China Petrochemical Development Corp. (b) | 444,221 | 211,136 | |||
China Steel Chemical Corp. | 20,000 | 87,107 | |||
China Steel Corp. | 1,703,000 | 2,175,915 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 120,711 | |||
Chipbond Technology Corp. | 91,000 | 219,384 | |||
ChipMOS Techinologies, Inc. | 67,000 | 117,693 | |||
Chong Hong Construction Co., Ltd. | 18,000 | 47,493 | |||
Chroma ATE, Inc. | 49,000 | 354,213 | |||
Chun Yuan Steel Industry Co., Ltd. | 61,000 | 53,797 | |||
Chung Hung Steel Corp. | 220,000 | 327,213 | |||
Chung Hwa Pulp Corp. (b) | 235,000 | 210,648 |
Security Description | Shares | Value | |||
Chung-Hsin Electric & Machinery Manufacturing Corp. | 34,000 | $ 55,608 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 77,095 | |||
Chunghwa Telecom Co., Ltd. | 570,000 | 2,400,152 | |||
Cleanaway Co., Ltd. | 14,000 | 118,155 | |||
Clevo Co. | 43,000 | 51,289 | |||
Compal Electronics, Inc. | 604,000 | 528,312 | |||
Compeq Manufacturing Co., Ltd. | 146,000 | 230,871 | |||
Coretronic Corp. | 42,000 | 140,268 | |||
Co-Tech Development Corp. | 25,000 | 69,668 | |||
CSBC Corp. Taiwan (b) | 62,000 | 49,189 | |||
CTBC Financial Holding Co., Ltd. | 2,673,009 | 2,507,123 | |||
CTCI Corp. | 72,000 | 96,808 | |||
Cub Elecparts, Inc. | 6,000 | 40,879 | |||
Darfon Electronics Corp. | 24,000 | 43,980 | |||
Delta Electronics, Inc. | 280,630 | 2,789,361 | |||
Dynapack International Technology Corp. | 16,000 | 59,276 | |||
E Ink Holdings, Inc. | 117,000 | 638,559 | |||
E.Sun Financial Holding Co., Ltd. | 1,733,826 | 1,757,828 | |||
Eclat Textile Co., Ltd. | 28,182 | 642,746 | |||
EirGenix, Inc. (b) | 18,000 | 72,541 | |||
Elan Microelectronics Corp. | 44,000 | 270,358 | |||
Elite Material Co., Ltd. | 54,000 | 542,596 | |||
Elite Semiconductor Microelectronics Technology, Inc. | 103,000 | 614,270 | |||
eMemory Technology, Inc. | 9,000 | 712,401 | |||
Ennoconn Corp. | 6,233 | 53,280 | |||
ENNOSTAR, Inc. (b) | 74,000 | 205,147 | |||
Episil Technologies, Inc. (b) | 28,428 | 146,933 | |||
Episil-Precision, Inc. | 13,000 | 62,728 | |||
Eternal Materials Co., Ltd. | 120,000 | 175,661 | |||
Eva Airways Corp. (b) | 323,121 | 326,426 | |||
Ever Supreme Bio Technology Co., Ltd. (b) | 3,000 | 22,825 | |||
Evergreen International Storage & Transport Corp. | 59,000 | 62,482 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 369,683 | 1,904,067 | |||
Everlight Chemical Industrial Corp. | 57,000 | 56,141 | |||
Everlight Electronics Co., Ltd. | 90,000 | 171,432 | |||
Far Eastern Department Stores, Ltd. | 98,000 | 75,979 | |||
Far Eastern International Bank | 190,576 | 74,048 | |||
Far Eastern New Century Corp. | 403,620 | 427,443 | |||
Far EasTone Telecommunications Co., Ltd. | 219,000 | 511,346 | |||
Faraday Technology Corp. | 37,000 | 319,623 |
Security Description | Shares | Value | |||
Farglory Land Development Co., Ltd. | 25,000 | $ 55,843 | |||
Feng Hsin Steel Co., Ltd. | 60,000 | 181,082 | |||
Feng TAY Enterprise Co., Ltd. | 65,560 | 548,565 | |||
First Financial Holding Co., Ltd. | 1,496,908 | 1,325,559 | |||
Fitipower Integrated Technology, Inc. | 11,992 | 122,230 | |||
FLEXium Interconnect, Inc. (b) | 48,000 | 181,299 | |||
FocalTech Systems Co., Ltd. | 19,000 | 117,776 | |||
Formosa Advanced Technologies Co., Ltd. | 14,000 | 19,785 | |||
Formosa Chemicals & Fibre Corp. | 507,000 | 1,480,666 | |||
Formosa Petrochemical Corp. | 165,000 | 571,927 | |||
Formosa Plastics Corp. | 549,000 | 2,063,686 | |||
Formosa Sumco Technology Corp. | 8,000 | 83,854 | |||
Formosa Taffeta Co., Ltd. | 154,000 | 162,255 | |||
Foxconn Technology Co., Ltd. | 131,180 | 307,716 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 175,118 | |||
Fubon Financial Holding Co., Ltd. | 1,080,292 | 2,979,227 | |||
Fulgent Sun International Holding Co., Ltd. | 12,000 | 42,028 | |||
Fusheng Precision Co., Ltd. | 9,000 | 63,108 | |||
General Interface Solution Holding, Ltd. | 29,000 | 106,914 | |||
Genius Electronic Optical Co., Ltd. | 11,396 | 217,894 | |||
Getac Holdings Corp. | 34,000 | 68,450 | |||
Giant Manufacturing Co., Ltd. | 46,000 | 573,608 | |||
Gigabyte Technology Co., Ltd. | 70,000 | 393,429 | |||
Ginko International Co., Ltd. | 7,000 | 67,933 | |||
Global Mixed Mode Technology, Inc. | 7,000 | 67,174 | |||
Global Unichip Corp. | 18,000 | 381,248 | |||
Globalwafers Co., Ltd. | 32,000 | 1,027,072 | |||
Gold Circuit Electronics, Ltd. | 55,000 | 151,082 | |||
Goldsun Building Materials Co., Ltd. | 90,715 | 95,577 | |||
Gourmet Master Co., Ltd. | 10,000 | 40,662 | |||
Grand Pacific Petrochemical | 88,000 | 91,286 | |||
Grape King Bio, Ltd. | 19,000 | 109,878 | |||
Great Wall Enterprise Co., Ltd. | 82,560 | 159,349 | |||
Greatek Electronics, Inc. | 29,000 | 81,863 | |||
Gudeng Precision Industrial Co., Ltd. | 5,375 | 62,945 | |||
Hannstar Board Corp. | 33,000 | 54,151 | |||
HannStar Display Corp. | 325,000 | 212,618 | |||
Highwealth Construction Corp. | 112,190 | 187,544 | |||
Hiwin Technologies Corp. | 39,819 | 441,122 |
Security Description | Shares | Value | |||
Holtek Semiconductor, Inc. | 33,000 | $ 134,185 | |||
Holy Stone Enterprise Co., Ltd. | 18,000 | 77,746 | |||
Hon Hai Precision Industry Co., Ltd. | 1,800,320 | 6,767,386 | |||
Hota Industrial Manufacturing Co., Ltd. | 26,841 | 88,574 | |||
Hotai Finance Co., Ltd. | 18,000 | 59,985 | |||
Hotai Motor Co., Ltd. | 43,000 | 954,278 | |||
Hsin Kuang Steel Co., Ltd. | 28,000 | 58,900 | |||
HTC Corp. (b) | 120,000 | 367,803 | |||
Hua Nan Financial Holdings Co., Ltd. | 1,237,687 | 948,385 | |||
Huaku Development Co., Ltd. | 35,000 | 115,625 | |||
IBF Financial Holdings Co., Ltd. | 409,483 | 237,547 | |||
Innodisk Corp. | 7,000 | 51,614 | |||
Innolux Corp. | 1,324,000 | 937,955 | |||
International CSRC Investment Holdings Co. | 70,000 | 71,349 | |||
International Games System Co., Ltd. | 9,000 | 257,961 | |||
Inventec Corp. | 363,000 | 327,352 | |||
ITE Technology, Inc. | 18,000 | 70,589 | |||
ITEQ Corp. | 36,188 | 185,734 | |||
Jentech Precision Industrial Co., Ltd. | 10,000 | 147,468 | |||
Jih Sun Financial Holdings Co., Ltd. | 139,261 | 62,163 | |||
Kenda Rubber Industrial Co., Ltd. | 56,000 | 62,949 | |||
Kerry TJ Logistics Co., Ltd. | 23,000 | 37,368 | |||
Kindom Development Co., Ltd. | 36,300 | 49,529 | |||
King Slide Works Co., Ltd. | 10,000 | 186,865 | |||
King Yuan Electronics Co., Ltd. | 152,000 | 246,127 | |||
King's Town Bank Co., Ltd. | 140,000 | 205,190 | |||
Kinpo Electronics | 141,000 | 82,306 | |||
Kinsus Interconnect Technology Corp. | 49,000 | 412,658 | |||
KMC Kuei Meng International, Inc. | 6,000 | 42,831 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 95,113 | |||
Land Mark Optoelectronics Corp. | 8,000 | 56,819 | |||
Largan Precision Co., Ltd. | 15,000 | 1,336,430 | |||
Lien Hwa Industrial Holdings Corp. | 153,560 | 343,563 | |||
Lite-On Technology Corp. | 290,419 | 669,705 | |||
Longchen Paper & Packaging Co., Ltd. | 75,000 | 66,144 | |||
Lotes Co., Ltd. | 11,000 | 302,563 | |||
Macronix International Co., Ltd. | 254,000 | 387,422 | |||
Makalot Industrial Co., Ltd. | 44,077 | 393,502 | |||
Marketech International Corp. | 10,000 | 65,782 |
Security Description | Shares | Value | |||
MediaTek, Inc. | 218,000 | $ 9,376,514 | |||
Medigen Vaccine Biologics Corp. (b) | 25,000 | 270,177 | |||
Mega Financial Holding Co., Ltd. | 1,569,601 | 2,016,818 | |||
Mercuries Life Insurance Co., Ltd. (b) | 141,206 | 47,159 | |||
Merida Industry Co., Ltd. | 41,000 | 485,325 | |||
Merry Electronics Co., Ltd. | 23,491 | 80,151 | |||
Microbio Co., Ltd. (b) | 35,142 | 88,023 | |||
Micro-Star International Co., Ltd. | 93,000 | 539,506 | |||
Mitac Holdings Corp. | 125,160 | 159,238 | |||
momo.com, Inc. | 6,500 | 381,772 | |||
Namchow Holdings Co., Ltd. | 43,000 | 78,021 | |||
Nan Kang Rubber Tire Co., Ltd. (b) | 67,000 | 97,108 | |||
Nan Ya Plastics Corp. | 744,000 | 2,296,512 | |||
Nan Ya Printed Circuit Board Corp. | 33,000 | 682,257 | |||
Nantex Industry Co., Ltd. | 69,000 | 212,484 | |||
Nanya Technology Corp. | 190,000 | 536,343 | |||
Nien Made Enterprise Co., Ltd. | 26,000 | 387,646 | |||
Novatek Microelectronics Corp. | 85,000 | 1,655,944 | |||
Nuvoton Technology Corp. | 18,000 | 91,734 | |||
OBI Pharma, Inc. (b) | 13,000 | 53,566 | |||
Oneness Biotech Co., Ltd. (b) | 36,000 | 374,092 | |||
Oriental Union Chemical Corp. (b) | 62,000 | 50,197 | |||
Pan Jit International, Inc. | 62,000 | 239,780 | |||
Pan-International Industrial Corp. | 108,000 | 153,801 | |||
PChome Online, Inc. | 17,000 | 78,650 | |||
Pegatron Corp. | 273,000 | 681,834 | |||
Pegavision Corp. | 3,000 | 46,301 | |||
Phison Electronics Corp. | 22,000 | 407,128 | |||
Pixart Imaging, Inc. | 12,000 | 65,927 | |||
Pou Chen Corp. | 366,000 | 438,533 | |||
Powertech Technology, Inc. | 116,000 | 409,629 | |||
Poya International Co., Ltd. | 6,180 | 94,598 | |||
President Chain Store Corp. | 94,000 | 929,230 | |||
President Securities Corp. | 86,320 | 73,787 | |||
Primax Electronics, Ltd. | 35,000 | 71,728 | |||
Prince Housing & Development Corp. | 113,000 | 54,729 | |||
Qisda Corp. | 262,000 | 288,354 | |||
Quanta Computer, Inc. | 390,000 | 1,334,912 | |||
Radiant Opto-Electronics Corp. | 62,000 | 226,335 | |||
RDC Semiconductor Co., Ltd. (b) | 7,000 | 119,926 | |||
Realtek Semiconductor Corp. | 66,000 | 1,383,598 | |||
Rexon Industrial Corp., Ltd. | 15,000 | 30,632 | |||
RichWave Technology Corp. | 12,600 | 124,329 |
Security Description | Shares | Value | |||
Ruentex Development Co., Ltd. | 162,457 | $ 374,625 | |||
Ruentex Industries, Ltd. | 61,620 | 217,152 | |||
Run Long Construction Co., Ltd. | 21,200 | 42,451 | |||
Sanyang Motor Co., Ltd. | 55,000 | 53,773 | |||
SDI Corp. | 35,000 | 222,015 | |||
Sea, Ltd. ADR (b) | 19,900 | 4,451,829 | |||
Sensortek Technology Corp. | 2,000 | 37,373 | |||
Sercomm Corp. | 27,000 | 73,875 | |||
Shanghai Commercial & Savings Bank, Ltd. | 491,649 | 839,643 | |||
Shin Kong Financial Holding Co., Ltd. | 1,704,889 | 680,920 | |||
Shin Zu Shing Co., Ltd. | 18,742 | 65,438 | |||
Shinkong Synthetic Fibers Corp. | 122,000 | 89,074 | |||
Shiny Chemical Industrial Co., Ltd. | 11,000 | 69,776 | |||
Sigurd Microelectronics Corp. | 67,078 | 142,559 | |||
Simplo Technology Co., Ltd. | 25,000 | 296,834 | |||
Sinbon Electronics Co., Ltd. | 27,000 | 277,153 | |||
Sino-American Silicon Products, Inc. | 68,000 | 580,041 | |||
SinoPac Financial Holdings Co., Ltd. | 1,411,281 | 823,804 | |||
Sitronix Technology Corp. | 16,000 | 185,058 | |||
Soft-World International Corp. | 32,000 | 113,926 | |||
Solar Applied Materials Technology Corp. | 42,205 | 77,951 | |||
Sonix Technology Co., Ltd. | 17,000 | 56,529 | |||
Sporton International, Inc. | 11,550 | 90,590 | |||
St Shine Optical Co., Ltd. | 6,000 | 67,987 | |||
Standard Foods Corp. | 51,417 | 98,311 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 57,686 | |||
Sunplus Technology Co., Ltd. | 58,000 | 81,444 | |||
Supreme Electronics Co., Ltd. | 134,893 | 246,217 | |||
Synnex Technology International Corp. | 184,550 | 441,581 | |||
Systex Corp. | 16,000 | 49,040 | |||
T3EX Global Holdings Corp. | 13,000 | 64,138 | |||
TA Chen Stainless Pipe (b) | 241,408 | 403,554 | |||
Taichung Commercial Bank Co., Ltd. | 401,856 | 176,476 | |||
TaiDoc Technology Corp. | 5,000 | 32,801 | |||
Taigen Biopharmaceuticals Holdings, Ltd. (b) | 126,000 | 70,134 | |||
TaiMed Biologics, Inc. (b) | 15,000 | 38,277 | |||
Tainan Spinning Co., Ltd. | 115,000 | 106,201 | |||
Taishin Financial Holding Co., Ltd. | 1,481,175 | 1,014,503 | |||
Taiwan Business Bank | 737,481 | 263,891 | |||
Taiwan Cement Corp. | 751,504 | 1,303,798 | |||
Taiwan Cogeneration Corp. | 134,000 | 183,562 |
Security Description | Shares | Value | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,373,905 | $ 1,263,812 | |||
Taiwan Fertilizer Co., Ltd. | 111,000 | 280,840 | |||
Taiwan Glass Industry Corp. | 109,000 | 105,387 | |||
Taiwan High Speed Rail Corp. | 360,000 | 385,152 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 261,380 | |||
Taiwan Mask Corp. | 23,000 | 89,782 | |||
Taiwan Mobile Co., Ltd. | 238,000 | 860,231 | |||
Taiwan Paiho, Ltd. | 32,000 | 94,495 | |||
Taiwan Secom Co., Ltd. | 24,000 | 90,216 | |||
Taiwan Semiconductor Co., Ltd. | 23,000 | 65,341 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,544,000 | 78,778,328 | |||
Taiwan Shin Kong Security Co., Ltd. | 33,000 | 46,935 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 133,914 | |||
Taiwan TEA Corp. (b) | 161,000 | 118,130 | |||
Taiwan Union Technology Corp. | 35,000 | 129,035 | |||
Tanvex BioPharma, Inc. (b) | 16,536 | 34,725 | |||
Tatung Co., Ltd. (b) | 237,000 | 279,257 | |||
TCI Co., Ltd. | 14,000 | 105,505 | |||
Teco Electric and Machinery Co., Ltd. | 246,000 | 281,415 | |||
Test Research, Inc. | 44,000 | 93,035 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 148,010 | |||
Ton Yi Industrial Corp. | 184,000 | 96,765 | |||
Tong Hsing Electronic Industries, Ltd. | 34,599 | 372,039 | |||
Tong Yang Industry Co., Ltd. | 58,000 | 69,390 | |||
Topco Scientific Co., Ltd. | 22,000 | 125,637 | |||
Topkey Corp. | 8,000 | 43,373 | |||
TPK Holding Co., Ltd. | 33,000 | 51,825 | |||
Transcend Information, Inc. | 21,000 | 55,485 | |||
Tripod Technology Corp. | 50,000 | 224,997 | |||
TSEC Corp. (b) | 40,000 | 61,445 | |||
TSRC Corp. | 58,000 | 84,693 | |||
TTY Biopharm Co., Ltd. | 22,000 | 54,708 | |||
Tung Ho Steel Enterprise Corp. (b) | 70,560 | 171,127 | |||
Tung Thih Electronic Co., Ltd. | 8,000 | 50,602 | |||
TXC Corp. | 39,000 | 148,715 | |||
U-Ming Marine Transport Corp. | 67,000 | 146,268 | |||
Unimicron Technology Corp. | 174,000 | 1,452,778 | |||
Union Bank Of Taiwan (b) | 167,969 | 82,567 | |||
Uni-President Enterprises Corp. | 696,880 | 1,727,906 | |||
United Integrated Services Co., Ltd. | 18,000 | 118,083 | |||
United Microelectronics Corp. | 1,703,000 | 4,000,976 |
Security Description | Shares | Value | |||
United Renewable Energy Co., Ltd. (b) | 164,571 | $ 129,970 | |||
Universal Vision Biotechnology Co., Ltd. | 5,000 | 51,144 | |||
UPC Technology Corp. | 80,000 | 62,457 | |||
USI Corp. | 244,000 | 278,245 | |||
Vanguard International Semiconductor Corp. | 124,000 | 708,136 | |||
VIA Labs, Inc. | 1,000 | 18,108 | |||
Via Technologies, Inc. | 23,000 | 71,410 | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | 104,095 | |||
Voltronic Power Technology Corp. | 8,200 | 457,910 | |||
Wafer Works Corp. | 70,290 | 217,219 | |||
Wah Lee Industrial Corp. | 18,360 | 71,006 | |||
Walsin Lihwa Corp. | 328,000 | 314,165 | |||
Walsin Technology Corp. | 43,000 | 259,551 | |||
Wan Hai Lines, Ltd. | 83,800 | 601,232 | |||
Win Semiconductors Corp. | 51,000 | 690,335 | |||
Winbond Electronics Corp. | 403,000 | 495,247 | |||
Wisdom Marine Lines Co., Ltd. | 48,000 | 141,569 | |||
Wistron Corp. | 358,842 | 378,077 | |||
Wistron NeWeb Corp. | 36,000 | 101,493 | |||
Wiwynn Corp. | 11,000 | 443,308 | |||
WPG Holdings, Ltd. | 247,480 | 470,504 | |||
WT Microelectronics Co., Ltd. | 37,000 | 98,294 | |||
XinTec, Inc. | 17,000 | 87,866 | |||
Xxentria Technology Materials Corp. | 32,000 | 78,765 | |||
Yageo Corp. (b) | 62,962 | 1,091,202 | |||
Yang Ming Marine Transport Corp. (b) | 252,000 | 1,102,107 | |||
YC INOX Co., Ltd. | 86,531 | 101,021 | |||
YFY, Inc. | 199,000 | 255,700 | |||
Yieh Phui Enterprise Co., Ltd. (b) | 104,000 | 95,102 | |||
Yuanta Financial Holding Co., Ltd. | 1,401,142 | 1,281,270 | |||
Yulon Finance Corp. | 25,300 | 160,028 | |||
Yulon Motor Co., Ltd. | 71,205 | 107,836 | |||
Zhen Ding Technology Holding, Ltd. | 82,000 | 297,864 | |||
219,690,456 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.0% (a) | |||||
AngloGold Ashanti, Ltd. | 54,697 | 1,126,498 | |||
Helios Towers PLC (b)(c) | 99,024 | 230,691 | |||
1,357,189 | |||||
THAILAND — 0.5% | |||||
Advanced Info Service PCL | 159,300 | 1,096,812 | |||
Advanced Info Service PCL NVDR | 12,300 | 84,688 | |||
AEON Thana Sinsap Thailand PCL | 10,400 | 58,686 |
Security Description | Shares | Value | |||
Airports of Thailand PCL (b) | 583,900 | $ 1,066,244 | |||
Airports of Thailand PCL NVDR (b) | 34,500 | 62,999 | |||
Amata Corp. PCL | 98,300 | 61,796 | |||
AP Thailand PCL | 621,274 | 177,613 | |||
Asia Aviation PCL NVDR (b) | 705,600 | 53,651 | |||
Asset World Corp. PCL (b) | 914,400 | 127,011 | |||
B Grimm Power PCL | 246,100 | 298,370 | |||
Bangchak Corp. PCL | 98,500 | 74,454 | |||
Bangkok Chain Hospital PCL | 162,000 | 97,476 | |||
Bangkok Commercial Asset Management PCL NVDR | 89,800 | 58,065 | |||
Bangkok Commercial Asset Management PCL | 166,700 | 107,790 | |||
Bangkok Dusit Medical Services PCL NVDR | 176,400 | 121,455 | |||
Bangkok Dusit Medical Services PCL Class F | 1,138,300 | 783,742 | |||
Bangkok Expressway & Metro PCL | 1,223,100 | 309,391 | |||
Bangkok Land PCL | 1,469,600 | 47,073 | |||
Bangkok Life Assurance PCL NVDR (b) | 60,300 | 67,241 | |||
Banpu PCL | 1,001,866 | 317,910 | |||
Banpu Power PCL | 91,700 | 47,216 | |||
BCPG PCL | 4,100 | 1,473 | |||
BEC World PCL NVDR (b) | 129,900 | 54,830 | |||
Berli Jucker PCL | 355,900 | 330,277 | |||
BTS Group Holdings PCL NVDR | 227,900 | 63,789 | |||
BTS Group Holdings PCL | 909,400 | 254,539 | |||
Bumrungrad Hospital PCL | 69,400 | 292,932 | |||
Carabao Group PCL Class F | 35,300 | 126,279 | |||
Central Pattana PCL | 281,500 | 476,119 | |||
Central Plaza Hotel PCL (b) | 56,800 | 53,136 | |||
Central Retail Corp. PCL NVDR | 76,700 | 73,474 | |||
Central Retail Corp. PCL | 184,325 | 176,572 | |||
CH Karnchang PCL (c) | 146,300 | 100,292 | |||
Charoen Pokphand Foods PCL | 523,500 | 399,618 | |||
Chularat Hospital PCL Class F | 887,900 | 97,282 | |||
CK Power PCL | 64,900 | 9,714 | |||
Com7 PCL Class F | 84,500 | 206,792 | |||
CP ALL PCL | 853,600 | 1,507,631 | |||
Delta Electronics Thailand PCL | 48,600 | 599,407 | |||
Dhipaya Group Holdings PCL NVDR (b) | 51,400 | 118,479 | |||
Dohome PCL | 84,600 | 59,008 | |||
Dynasty Ceramic PCL | 1,066,900 | 90,705 | |||
Eastern Polymer Group PCL Class F | 280,400 | 94,012 | |||
Eastern Water Resources Development and Management PCL | 197,300 | 54,929 |
Security Description | Shares | Value | |||
Electricity Generating PCL | 29,200 | $ 153,408 | |||
Energy Absolute PCL | 170,713 | 490,599 | |||
Energy Absolute PCL NVDR | 42,900 | 123,287 | |||
GFPT PCL | 131,000 | 50,196 | |||
Global Power Synergy PCL NVDR | 28,000 | 74,390 | |||
Global Power Synergy PCL Class F | 74,500 | 197,931 | |||
Gulf Energy Development PCL NVDR | 70,600 | 96,691 | |||
Gulf Energy Development PCL | 352,620 | 482,933 | |||
Gunkul Engineering PCL | 705,600 | 118,286 | |||
Hana Microelectronics PCL | 82,100 | 217,508 | |||
Home Product Center PCL | 711,300 | 308,752 | |||
Home Product Center PCL NVDR | 142,600 | 61,898 | |||
Indorama Ventures PCL | 175,900 | 227,741 | |||
Indorama Ventures PCL NVDR | 67,100 | 86,875 | |||
Intouch Holdings PCL NVDR | 35,400 | 85,043 | |||
Intouch Holdings PCL Class F | 126,500 | 303,895 | |||
IRPC PCL | 971,500 | 111,677 | |||
IRPC PCL NVDR | 650,100 | 74,731 | |||
Jasmine International PCL | 363,100 | 38,044 | |||
Jay Mart PCL | 49,300 | 84,860 | |||
JMT Network Services PCL NVDR | 30,100 | 61,723 | |||
JMT Network Services PCL Class F | 46,900 | 96,173 | |||
KCE Electronics PCL | 142,900 | 376,447 | |||
Kiatnakin Phatra Bank PCL | 25,400 | 45,432 | |||
Krung Thai Bank PCL | 364,900 | 144,190 | |||
Krung Thai Bank PCL NVDR | 139,200 | 55,005 | |||
Krungthai Card PCL | 93,000 | 164,953 | |||
Krungthai Card PCL NVDR | 37,200 | 65,981 | |||
Land & Houses PCL | 855,300 | 225,315 | |||
Major Cineplex Group PCL | 75,245 | 45,050 | |||
MBK PCL (b) | 118,664 | 47,601 | |||
Mega Lifesciences PCL | 50,300 | 76,041 | |||
Minor International PCL (b) | 391,817 | 337,217 | |||
MK Restaurants Group PCL | 80,900 | 125,933 | |||
Muangthai Capital PCL | 89,200 | 156,878 | |||
Ngern Tid Lor PCL (b) | 200,000 | 218,530 | |||
Origin Property PCL Class F | 286,100 | 96,780 | |||
Osotspa PCL | 292,600 | 300,001 | |||
Plan B Media PCL Class F (b) | 288,360 | 66,037 | |||
Precious Shipping PCL NVDR | 112,500 | 55,905 | |||
Prima Marine PCL | 400,500 | 72,535 | |||
Pruksa Holding PCL | 44,000 | 17,123 | |||
PTG Energy PCL | 109,300 | 49,407 | |||
PTT Exploration & Production PCL | 167,400 | 591,325 |
Security Description | Shares | Value | |||
PTT Exploration & Production PCL NVDR | 33,100 | $ 116,923 | |||
PTT Global Chemical PCL | 293,100 | 515,480 | |||
PTT Global Chemical PCL NVDR | 32,200 | 56,631 | |||
PTT Oil & Retail Business PCL | 466,100 | 376,731 | |||
PTT PCL NVDR | 69,200 | 78,719 | |||
PTT PCL | 1,373,300 | 1,562,203 | |||
Quality Houses PCL | 981,000 | 66,369 | |||
R&B Food Supply PCL NVDR | 72,100 | 48,563 | |||
Ratch Group PCL | 108,600 | 146,295 | |||
Ratchthani Leasing PCL | 447,000 | 58,610 | |||
Regional Container Lines PCL | 47,800 | 70,473 | |||
Sansiri PCL | 1,966,900 | 72,423 | |||
SCG Packaging PCL | 170,500 | 353,454 | |||
Siam Cement PCL | 112,165 | 1,296,084 | |||
Siam City Cement PCL | 8,800 | 41,227 | |||
Siam Commercial Bank PCL | 191,100 | 726,529 | |||
Siamgas & Petrochemicals PCL (c) | 242,200 | 89,180 | |||
Singer Thailand PCL NVDR | 40,400 | 64,098 | |||
Singha Estate PCL (b) | 705,600 | 42,668 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 45,986 | |||
SPCG PCL | 112,855 | 62,162 | |||
Sri Trang Agro-Industry PCL | 86,400 | 80,180 | |||
Sri Trang Gloves Thailand PCL (c) | 169,000 | 153,038 | |||
Srisawad Corp. PCL | 84,900 | 156,940 | |||
Star Petroleum Refining PCL (b) | 208,500 | 61,167 | |||
Supalai PCL | 161,300 | 109,610 | |||
Super Energy Corp. PCL | 3,551,400 | 100,998 | |||
Thai Oil PCL | 117,200 | 173,669 | |||
Thai Oil PCL NVDR | 44,700 | 66,237 | |||
Thai Union Group PCL Class F | 372,800 | 217,620 | |||
Thai Vegetable Oil PCL (c) | 83,600 | 77,581 | |||
Thanachart Capital PCL | 32,400 | 36,614 | |||
Thonburi Healthcare Group PCL | 111,000 | 123,776 | |||
Thoresen Thai Agencies PCL | 20,700 | 5,918 | |||
Thoresen Thai Agencies PCL NVDR | 176,500 | 50,459 | |||
Tipco Asphalt PCL (c) | 85,400 | 46,273 | |||
Tisco Financial Group PCL | 54,200 | 155,761 | |||
TOA Paint Thailand PCL | 51,700 | 49,525 | |||
TPI Polene PCL | 1,118,800 | 57,606 | |||
TPI Polene Power PCL | 409,400 | 50,983 | |||
TQM Corp. PCL | 18,600 | 54,010 | |||
True Corp. PCL (c) | 1,013,112 | 144,969 | |||
True Corp. PCL NVDR | 672,000 | 96,158 | |||
TTW PCL | 540,600 | 184,488 | |||
VGI PCL | 744,300 | 147,055 |
Security Description | Shares | Value | |||
Vinythai PCL | 85,300 | $ 98,310 | |||
WHA Corp. PCL | 1,082,500 | 114,067 | |||
WHA Utilities and Power PCL | 351,200 | 42,895 | |||
25,788,014 | |||||
TURKEY — 0.1% | |||||
Akbank T.A.S. | 468,818 | 254,183 | |||
Anadolu Anonim Turk Sigorta Sirketi | 48,675 | 24,081 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 41,534 | 92,640 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 95,465 | 150,101 | |||
Bera Holding A/S (b) | 27,072 | 19,815 | |||
BIM Birlesik Magazalar A/S | 83,621 | 385,999 | |||
Coca-Cola Icecek A/S | 7,067 | 47,123 | |||
Dogan Sirketler Grubu Holding A/S | 36,502 | 7,559 | |||
Eldorado Gold Corp. (b) | 24,600 | 230,975 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 158,361 | 25,519 | |||
Enerjisa Enerji AS (d) | 1,575 | 1,528 | |||
Eregli Demir ve Celik Fabrikalari TAS | 188,635 | 400,005 | |||
Ford Otomotiv Sanayi A/S | 8,284 | 148,528 | |||
Gubre Fabrikalari TAS (b) | 1,906 | 11,030 | |||
Haci Omer Sabanci Holding A/S | 140,790 | 140,263 | |||
KOC Holding A/S | 93,221 | 199,222 | |||
Koza Altin Isletmeleri A/S (b) | 8,941 | 77,899 | |||
Migros Ticaret A/S (b) | 17,677 | 50,503 | |||
Oyak Cimento Fabrikalari A/S (b) | 22,885 | 13,614 | |||
Pegasus Hava Tasimaciligi A/S (b) | 148 | 947 | |||
Petkim Petrokimya Holding A/S (b) | 532,531 | 312,788 | |||
Sok Marketler Ticaret AS | 45,420 | 43,471 | |||
TAV Havalimanlari Holding A/S (b) | 12,185 | 30,004 | |||
Tekfen Holding A/S | 45,605 | 69,508 | |||
Tofas Turk Otomobil Fabrikasi A/S | 9,962 | 56,787 | |||
Turk Hava Yollari AO (b) | 91,754 | 138,325 | |||
Turkcell Iletisim Hizmetleri A/S | 171,753 | 238,752 | |||
Turkiye Garanti Bankasi A/S | 329,673 | 279,780 | |||
Turkiye Halk Bankasi A/S (b) | 157,461 | 53,476 | |||
Turkiye Is Bankasi A/S Class C | 411,468 | 222,779 | |||
Turkiye Petrol Rafinerileri AS (b) | 12,883 | 149,787 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 165,228 | 166,475 | |||
Turkiye Vakiflar Bankasi TAO Class D (b) | 317,534 | 87,993 | |||
Ulker Biskuvi Sanayi A/S | 46,847 | 61,488 |
Security Description | Shares | Value | |||
Yapi ve Kredi Bankasi A/S | 426,675 | $ 108,599 | |||
4,301,546 | |||||
UKRAINE — 0.0% (a) | |||||
Ferrexpo PLC | 48,387 | 196,220 | |||
UNITED ARAB EMIRATES — 0.3% | |||||
Abu Dhabi Commercial Bank PJSC | 401,546 | 932,519 | |||
Abu Dhabi Islamic Bank PJSC | 209,621 | 392,071 | |||
Abu Dhabi National Oil Co. for Distribution PJSC | 336,788 | 391,523 | |||
Agthia Group PJSC | 98,700 | 138,388 | |||
Air Arabia PJSC (b) | 303,107 | 119,657 | |||
Al Waha Capital PJSC | 312,940 | 145,690 | |||
AL Yah Satellite Communications Co-Pjsc-Yah Sat (b) | 244,632 | 182,489 | |||
Aldar Properties PJSC | 599,952 | 651,722 | |||
Amanat Holdings PJSC (b) | 296,164 | 92,726 | |||
Aramex PJSC | 90,000 | 100,462 | |||
Dana Gas PJSC | 494,580 | 142,730 | |||
Dubai Financial Market PJSC (b) | 215,000 | 166,238 | |||
Dubai Investments PJSC | 239,259 | 125,719 | |||
Dubai Islamic Bank PJSC | 417,901 | 612,109 | |||
Emaar Development PJSC (b) | 134,037 | 159,470 | |||
Emaar Properties PJSC | 578,316 | 769,923 | |||
Emirates NBD Bank PJSC | 364,564 | 1,344,888 | |||
Emirates Telecommunications Group Co. PJSC | 405,690 | 3,501,279 | |||
First Abu Dhabi Bank PJSC | 630,250 | 3,232,711 | |||
National Central Cooling Co. PJSC | 150,191 | 103,452 | |||
Network International Holdings PLC (b)(d) | 89,178 | 352,940 | |||
Ras Al Khaimah Ceramics | 70,256 | 54,513 | |||
13,713,219 | |||||
UNITED KINGDOM — 8.0% | |||||
3i Group PLC | 139,103 | 2,730,033 | |||
888 Holdings PLC | 47,272 | 192,723 | |||
A.G. Barr PLC | 16,160 | 113,379 | |||
AB Dynamics PLC (c) | 2,636 | 63,195 | |||
Abcam PLC (b) | 29,122 | 683,570 | |||
Abrdn PLC | 310,791 | 1,014,071 | |||
Aclara Resources, Inc. (b) | 4,298 | 4,896 | |||
Admiral Group PLC | 29,311 | 1,253,338 | |||
Advanced Medical Solutions Group PLC | 26,844 | 122,893 | |||
AJ Bell PLC | 51,401 | 264,139 | |||
Alliance Pharma PLC | 64,517 | 95,075 | |||
Alpha FX Group PLC | 2,831 | 83,783 | |||
Alphawave IP Group PLC (b)(c) | 35,904 | 97,163 | |||
AO World PLC (b)(c) | 62,970 | 94,245 |
Security Description | Shares | Value | |||
Argo Blockchain PLC (b) | 44,352 | $ 58,751 | |||
Ascential PLC (b) | 64,330 | 350,618 | |||
Ashmore Group PLC | 56,656 | 223,307 | |||
Ashtead Group PLC | 64,727 | 5,209,321 | |||
ASOS PLC (b)(c) | 9,035 | 292,598 | |||
Associated British Foods PLC | 53,431 | 1,453,182 | |||
Assura PLC REIT | 359,027 | 339,426 | |||
Aston Martin Lagonda Global Holdings PLC (b)(d) | 7,558 | 138,506 | |||
AstraZeneca PLC | 224,092 | 26,339,590 | |||
Auction Technology Group PLC (b) | 10,755 | 220,837 | |||
Auto Trader Group PLC (d) | 137,224 | 1,375,387 | |||
Avacta Group PLC (b)(c) | 27,428 | 46,957 | |||
AVEVA Group PLC | 16,636 | 767,011 | |||
Aviva PLC | 557,902 | 3,101,189 | |||
Avon Protection PLC | 3,300 | 50,105 | |||
B&M European Value Retail SA | 130,302 | 1,118,931 | |||
Babcock International Group PLC (b) | 45,637 | 196,936 | |||
BAE Systems PLC | 465,228 | 3,464,444 | |||
Balfour Beatty PLC | 104,474 | 370,743 | |||
Barclays PLC | 2,448,656 | 6,202,009 | |||
Barratt Developments PLC | 145,548 | 1,474,589 | |||
Beazley PLC (b) | 93,520 | 590,654 | |||
Bellway PLC | 16,893 | 763,301 | |||
Berkeley Group Holdings PLC (b) | 16,258 | 1,051,486 | |||
Biffa PLC (d) | 34,869 | 169,314 | |||
Big Yellow Group PLC REIT | 23,907 | 552,741 | |||
Blue Prism Group PLC (b) | 11,360 | 194,332 | |||
Bodycote PLC | 30,467 | 357,157 | |||
boohoo Group PLC (b) | 126,459 | 211,020 | |||
BP PLC | 2,910,642 | 13,029,366 | |||
Breedon Group PLC | 243,700 | 313,576 | |||
Brewin Dolphin Holdings PLC | 34,485 | 172,820 | |||
Bridgepoint Group PLC (b)(d) | 27,782 | 185,513 | |||
British American Tobacco PLC | 315,341 | 11,675,152 | |||
British Land Co. PLC REIT | 128,181 | 921,894 | |||
Britvic PLC | 42,169 | 525,465 | |||
BT Group PLC (c) | 1,274,278 | 2,926,341 | |||
Bunzl PLC | 49,791 | 1,945,627 | |||
Burberry Group PLC | 60,738 | 1,495,195 | |||
Bytes Technology Group PLC | 26,358 | 202,601 | |||
Capita PLC (b) | 230,579 | 113,992 | |||
Capital & Counties Properties PLC REIT | 83,250 | 189,884 | |||
Capricorn Energy PLC | 68,350 | 174,322 | |||
Central Asia Metals PLC | 16,997 | 59,626 | |||
Centrica PLC (b) | 845,805 | 819,104 | |||
Ceres Power Holdings PLC (b)(c) | 20,060 | 270,752 | |||
Chemring Group PLC | 34,596 | 138,701 |
Security Description | Shares | Value | |||
Civitas Social Housing PLC REIT | 94,438 | $ 123,946 | |||
CK Hutchison Holdings, Ltd. | 389,024 | 2,509,897 | |||
Clarkson PLC | 3,903 | 205,113 | |||
Clinigen Healthcare, Ltd. | 15,294 | 189,645 | |||
Clipper Logistics PLC | 7,177 | 70,574 | |||
Close Brothers Group PLC | 20,645 | 392,595 | |||
CLS Holdings PLC | 22,420 | 66,351 | |||
CMC Markets PLC (d) | 21,347 | 76,187 | |||
CNH Industrial NV | 147,650 | 2,866,182 | |||
Coats Group PLC | 249,140 | 233,514 | |||
Coca-Cola Europacific Partners PLC | 11,838 | 660,723 | |||
Coca-Cola European Partners PLC | 18,400 | 1,029,112 | |||
Compass Group PLC (b) | 258,075 | 5,771,066 | |||
Computacenter PLC | 11,525 | 454,252 | |||
ConvaTec Group PLC (d) | 224,527 | 587,390 | |||
Countryside Properties PLC (b)(d) | 72,392 | 441,231 | |||
Craneware PLC | 6,020 | 197,729 | |||
Cranswick PLC | 9,187 | 460,652 | |||
Crest Nicholson Holdings PLC | 28,002 | 141,090 | |||
Croda International PLC | 19,934 | 2,732,360 | |||
Currys PLC | 135,517 | 209,982 | |||
Custodian REIT PLC | 48,411 | 69,504 | |||
CVS Group PLC | 8,348 | 253,276 | |||
DCC PLC | 14,982 | 1,227,688 | |||
Dechra Pharmaceuticals PLC | 15,581 | 1,123,771 | |||
Deliveroo PLC (b)(d) | 90,000 | 255,625 | |||
Derwent London PLC REIT | 13,821 | 639,283 | |||
Diageo PLC | 337,626 | 18,456,530 | |||
Diploma PLC | 17,596 | 804,122 | |||
Direct Line Insurance Group PLC | 208,520 | 787,980 | |||
Domino's Pizza Group PLC | 66,407 | 412,668 | |||
dotdigital group PLC | 32,796 | 87,864 | |||
Dr. Martens PLC (b) | 79,874 | 463,033 | |||
Drax Group PLC | 63,387 | 519,420 | |||
DS Smith PLC | 198,575 | 1,032,268 | |||
Dunelm Group PLC | 17,593 | 329,076 | |||
easyJet PLC (b) | 38,545 | 290,272 | |||
Electrocomponents PLC | 68,054 | 1,111,640 | |||
Elementis PLC (b) | 57,380 | 102,277 | |||
EMIS Group PLC | 9,755 | 179,692 | |||
Empiric Student Property PLC REIT | 78,997 | 92,018 | |||
Entain PLC (b) | 86,449 | 1,970,639 | |||
Ergomed PLC (b) | 3,965 | 80,556 | |||
Essentra PLC | 43,641 | 203,928 | |||
Eurasia Mining PLC (b)(c) | 194,764 | 64,631 | |||
Euromoney Institutional Investor PLC | 22,562 | 282,672 | |||
Experian PLC | 133,368 | 6,560,856 | |||
FD Technologies PLC (b) | 2,570 | 69,967 | |||
Fevertree Drinks PLC | 15,380 | 563,491 |
Security Description | Shares | Value | |||
Firstgroup PLC (b) | 134,723 | $ 186,490 | |||
Forterra PLC (d) | 29,434 | 110,033 | |||
Frasers Group PLC (b) | 35,574 | 371,493 | |||
Frontier Developments PLC (b)(c) | 5,571 | 134,312 | |||
Funding Circle Holdings PLC (b)(d) | 129,936 | 197,111 | |||
Future PLC | 15,688 | 813,822 | |||
Games Workshop Group PLC | 4,487 | 605,919 | |||
Gamma Communications PLC | 9,918 | 221,652 | |||
GB Group PLC | 30,978 | 309,861 | |||
Genuit Group PLC | 40,497 | 321,428 | |||
Genus PLC | 9,334 | 624,284 | |||
GlaxoSmithKline PLC | 727,879 | 15,839,080 | |||
Go-Ahead Group PLC (b) | 4,113 | 37,158 | |||
Grafton Group PLC | 32,158 | 537,050 | |||
Grainger PLC | 92,246 | 393,569 | |||
Great Portland Estates PLC REIT | 31,129 | 306,944 | |||
Greatland Gold PLC (b) | 394,830 | 85,564 | |||
Greggs PLC | 13,700 | 619,213 | |||
Gym Group PLC (b)(d) | 21,918 | 75,553 | |||
Halfords Group PLC | 44,124 | 206,424 | |||
Halma PLC | 54,919 | 2,380,321 | |||
Hammerson PLC REIT (c) | 467,765 | 207,809 | |||
Harbour Energy PLC (b) | 56,219 | 269,556 | |||
Hargreaves Lansdown PLC | 51,461 | 944,453 | |||
Hays PLC | 246,248 | 487,622 | |||
Helical PLC | 16,644 | 102,347 | |||
Hill & Smith Holdings PLC | 10,999 | 267,561 | |||
Hiscox, Ltd. | 50,337 | 586,884 | |||
Home Reit PLC (c) | 75,000 | 132,059 | |||
HomeServe PLC | 41,445 | 490,902 | |||
Hotel Chocolat Group PLC (b) | 15,284 | 104,542 | |||
Howden Joinery Group PLC | 83,256 | 1,016,248 | |||
HSBC Holdings PLC (b) | 2,954,817 | 17,955,656 | |||
Hunting PLC | 13,720 | 31,443 | |||
Ibstock PLC (d) | 43,773 | 120,830 | |||
Ideagen PLC | 48,596 | 181,007 | |||
IG Design Group PLC | 11,749 | 40,738 | |||
IG Group Holdings PLC | 53,243 | 586,295 | |||
IMI PLC | 36,542 | 859,221 | |||
Impax Asset Management Group PLC | 11,634 | 231,953 | |||
Imperial Brands PLC | 135,065 | 2,957,206 | |||
Inchcape PLC | 56,716 | 698,669 | |||
Indivior PLC (b) | 116,804 | 406,587 | |||
Informa PLC (b) | 217,438 | 1,521,433 | |||
IntegraFin Holdings PLC | 44,354 | 336,722 | |||
InterContinental Hotels Group PLC (b) | 26,504 | 1,716,300 | |||
Intermediate Capital Group PLC | 42,031 | 1,249,020 | |||
Intertek Group PLC | 23,347 | 1,780,338 |
Security Description | Shares | Value | |||
Investec PLC | 104,608 | $ 570,287 | |||
IP Group PLC | 167,453 | 280,787 | |||
IQE PLC (b)(c) | 95,123 | 44,514 | |||
ITM Power PLC (b)(c) | 61,025 | 325,662 | |||
ITV PLC (b) | 534,601 | 800,482 | |||
J D Wetherspoon PLC (b) | 16,884 | 219,767 | |||
J Sainsbury PLC | 270,417 | 1,010,163 | |||
JD Sports Fashion PLC (b) | 373,084 | 1,100,595 | |||
JET2 PLC (b) | 20,582 | 310,832 | |||
John Wood Group PLC (b) | 116,196 | 300,756 | |||
Johnson Matthey PLC | 27,996 | 775,827 | |||
Johnson Service Group PLC (b) | 54,408 | 108,771 | |||
Judges Scientific PLC | 534 | 60,755 | |||
Jupiter Fund Management PLC | 87,814 | 304,961 | |||
Just Eat Takeaway (b)(d) | 5,995 | 330,968 | |||
Just Eat Takeaway.com NV (b)(d) | 20,087 | 1,107,197 | |||
Just Eat Takeaway.com NV ADR (b)(c) | 26,840 | 288,798 | |||
Just Group PLC (b) | 106,609 | 120,716 | |||
Kainos Group PLC | 12,651 | 328,481 | |||
Kape Technologies PLC (b) | 29,246 | 180,236 | |||
Keller Group PLC | 10,427 | 139,110 | |||
Kier Group PLC (b)(c) | 60,227 | 89,732 | |||
Kingfisher PLC | 305,447 | 1,399,590 | |||
Lancashire Holdings, Ltd. | 47,161 | 338,549 | |||
Land Securities Group PLC REIT | 101,898 | 1,071,554 | |||
Learning Technologies Group PLC | 80,767 | 194,504 | |||
Legal & General Group PLC | 863,598 | 3,479,859 | |||
Liontrust Asset Management PLC | 8,429 | 251,167 | |||
Lloyds Banking Group PLC | 10,267,634 | 6,647,545 | |||
London Stock Exchange Group PLC | 47,586 | 4,466,583 | |||
LondonMetric Property PLC REIT | 115,980 | 445,191 | |||
Luceco PLC (d) | 24,414 | 115,240 | |||
LXI REIT PLC | 81,938 | 160,922 | |||
M&G PLC | 372,170 | 1,005,651 | |||
Man Group PLC | 219,807 | 677,010 | |||
Marks & Spencer Group PLC (b) | 283,256 | 887,780 | |||
Marshalls PLC | 27,624 | 259,101 | |||
Marston's PLC (b) | 55,445 | 57,825 | |||
Meggitt PLC (b) | 108,961 | 1,089,157 | |||
Melrose Industries PLC | 632,508 | 1,369,864 | |||
Micro Focus International PLC ADR (c) | 15,603 | 86,909 | |||
Micro Focus International PLC | 27,764 | 157,151 | |||
Mitchells & Butlers PLC (b) | 30,869 | 107,035 | |||
Mitie Group PLC | 176,377 | 154,087 |
Security Description | Shares | Value | |||
Moneysupermarket.com Group PLC | 105,401 | $ 308,362 | |||
Moonpig Group PLC (b)(c) | 18,827 | 95,626 | |||
Morgan Advanced Materials PLC | 31,654 | 153,702 | |||
Morgan Sindall Group PLC | 4,942 | 168,681 | |||
Naked Wines PLC (b)(c) | 7,158 | 63,115 | |||
National Express Group PLC (b) | 80,953 | 282,012 | |||
National Grid PLC | 514,814 | 7,389,878 | |||
Natwest Group PLC | 840,760 | 2,570,198 | |||
NCC Group PLC | 31,770 | 100,477 | |||
Next PLC | 19,562 | 2,159,404 | |||
Ninety One PLC | 40,079 | 150,478 | |||
Numis Corp. PLC | 1,570 | 7,273 | |||
Ocado Group PLC (b) | 69,521 | 1,580,051 | |||
On the Beach Group PLC (b)(d) | 15,830 | 61,107 | |||
OSB Group PLC | 61,391 | 461,073 | |||
Oxford Biomedica PLC (b) | 16,489 | 274,702 | |||
Pagegroup PLC | 44,988 | 386,017 | |||
Pantheon Resources PLC (b) | 70,381 | 73,688 | |||
Paragon Banking Group PLC | 36,461 | 279,764 | |||
Pearson PLC | 109,447 | 909,011 | |||
Pennon Group PLC | 38,188 | 603,616 | |||
Persimmon PLC | 46,160 | 1,785,612 | |||
Petrofac, Ltd. (b)(c) | 91,326 | 142,622 | |||
Pets at Home Group PLC | 78,789 | 496,228 | |||
Phoenix Group Holdings PLC | 89,950 | 795,812 | |||
Picton Property Income, Ltd. REIT | 95,313 | 131,679 | |||
Playtech PLC (b) | 51,033 | 506,316 | |||
Polar Capital Holdings PLC | 9,057 | 97,279 | |||
Premier Foods PLC | 54,995 | 83,278 | |||
Primary Health Properties PLC REIT | 207,287 | 425,070 | |||
Provident Financial PLC (b) | 54,404 | 264,686 | |||
Prudential PLC | 378,370 | 6,531,600 | |||
PZ Cussons PLC | 23,269 | 64,767 | |||
QinetiQ Group PLC | 81,230 | 292,658 | |||
Quilter PLC (d) | 258,921 | 520,783 | |||
Rank Group PLC (b) | 31,507 | 66,572 | |||
Rathbones Group PLC | 10,212 | 274,420 | |||
Reach PLC | 36,256 | 138,727 | |||
Reckitt Benckiser Group PLC | 103,317 | 8,874,850 | |||
Redde Northgate PLC | 40,263 | 238,042 | |||
Redrow PLC | 42,322 | 401,720 | |||
Regional REIT, Ltd. (d) | 91,945 | 116,938 | |||
RELX PLC (e) | 262,817 | 8,550,460 | |||
RELX PLC (e) | 16,922 | 548,830 | |||
Renewi PLC (b) | 10,000 | 102,532 | |||
Renishaw PLC | 5,025 | 325,332 | |||
Rentokil Initial PLC | 273,498 | 2,163,366 | |||
Restaurant Group PLC (b) | 136,741 | 174,652 | |||
Restore PLC | 14,057 | 93,294 | |||
Rightmove PLC | 129,178 | 1,390,973 |
Security Description | Shares | Value | |||
Rolls-Royce Holdings PLC (b) | 1,234,465 | $ 2,054,580 | |||
Rotork PLC | 126,313 | 611,114 | |||
Royal Mail PLC | 117,414 | 804,699 | |||
RWS Holdings PLC | 39,979 | 351,972 | |||
S4 Capital PLC (b) | 43,001 | 369,259 | |||
Sabre Insurance Group PLC (d) | 28,770 | 71,622 | |||
Safestore Holdings PLC REIT | 33,283 | 635,179 | |||
Saga PLC (b) | 12,850 | 49,603 | |||
Sage Group PLC | 152,427 | 1,760,233 | |||
Savills PLC | 22,943 | 437,538 | |||
Schroders PLC | 17,616 | 849,416 | |||
Secure Income REIT PLC | 33,683 | 193,893 | |||
Segro PLC REIT | 171,029 | 3,327,656 | |||
Senior PLC (b) | 88,720 | 176,645 | |||
Serco Group PLC | 166,747 | 303,995 | |||
Serica Energy PLC | 48,012 | 156,722 | |||
Severn Trent PLC | 35,175 | 1,404,033 | |||
Shaftesbury PLC REIT | 38,149 | 317,776 | |||
SIG PLC (b) | 86,698 | 55,849 | |||
Smart Metering Systems PLC | 13,920 | 158,562 | |||
Smith & Nephew PLC | 126,249 | 2,211,859 | |||
Smiths Group PLC | 60,051 | 1,284,703 | |||
Softcat PLC | 18,219 | 445,168 | |||
Spectris PLC | 16,781 | 831,428 | |||
Spirax-Sarco Engineering PLC | 10,812 | 2,350,412 | |||
Spire Healthcare Group PLC (b)(d) | 49,079 | 166,188 | |||
Spirent Communications PLC | 99,712 | 373,022 | |||
SSE PLC | 150,915 | 3,370,669 | |||
SSP Group PLC (b) | 114,261 | 371,581 | |||
St James's Place PLC | 80,048 | 1,825,268 | |||
Stagecoach Group PLC (b) | 45,711 | 55,567 | |||
Standard Chartered PLC | 380,738 | 2,312,357 | |||
SThree PLC | 15,499 | 97,406 | |||
Strix Group PLC (c) | 18,454 | 75,860 | |||
Subsea 7 SA | 31,878 | 228,395 | |||
Sumo Group PLC (b) | 13,613 | 94,588 | |||
Synthomer PLC | 64,629 | 349,797 | |||
Target Healthcare REIT PLC | 83,000 | 132,655 | |||
Tate & Lyle PLC | 64,137 | 574,561 | |||
Taylor Wimpey PLC | 551,548 | 1,311,063 | |||
Team17 Group PLC (b) | 10,609 | 112,081 | |||
Telecom Plus PLC | 13,020 | 279,690 | |||
Tesco PLC | 1,118,456 | 4,391,674 | |||
TORM PLC Class A (b)(c) | 8,442 | 66,733 | |||
TP ICAP Group PLC | 110,676 | 228,905 | |||
Trainline PLC (b)(d) | 60,301 | 227,872 | |||
Travis Perkins PLC | 31,072 | 654,219 | |||
Tritax Big Box REIT PLC | 244,813 | 825,652 | |||
Trustpilot Group PLC (b)(c)(d) | 20,000 | 88,689 | |||
Tyman PLC | 26,489 | 143,333 |
Security Description | Shares | Value | |||
UK Commercial Property REIT, Ltd. | 128,022 | $ 129,529 | |||
Ultra Electronics Holdings PLC | 11,441 | 492,781 | |||
Unilever PLC | 375,407 | 20,061,686 | |||
UNITE Group PLC REIT | 46,429 | 698,346 | |||
United Utilities Group PLC | 98,785 | 1,457,075 | |||
Urban Logistics REIT PLC | 64,877 | 164,322 | |||
Vesuvius PLC | 33,163 | 202,219 | |||
Victoria PLC (b) | 10,073 | 163,721 | |||
Victrex PLC | 15,021 | 497,237 | |||
Virgin Money UK PLC (b) | 176,467 | 424,970 | |||
Vistry Group PLC | 30,432 | 488,029 | |||
Vodafone Group PLC | 4,000,525 | 6,082,821 | |||
Volex PLC | 14,405 | 67,215 | |||
Volution Group PLC | 26,717 | 200,113 | |||
Warehouse Reit PLC | 89,420 | 214,131 | |||
Watkin Jones PLC | 28,675 | 101,564 | |||
Weir Group PLC | 37,914 | 878,900 | |||
WH Smith PLC (b) | 17,922 | 359,262 | |||
Whitbread PLC (b) | 29,219 | 1,185,292 | |||
Wickes Group PLC | 31,885 | 102,352 | |||
Workspace Group PLC REIT | 15,631 | 171,171 | |||
WPP PLC | 170,594 | 2,586,729 | |||
Yellow Cake PLC (b)(d) | 19,706 | 90,749 | |||
YouGov PLC | 14,274 | 309,335 | |||
Young & Co's Brewery PLC Class A | 2,735 | 57,789 | |||
379,429,979 | |||||
UNITED STATES — 1.0% | |||||
Argonaut Gold, Inc. (b) | 70,000 | 133,001 | |||
Avast PLC (d) | 92,960 | 764,524 | |||
Bausch Health Cos., Inc. (b) | 44,100 | 1,219,850 | |||
Beyondspring, Inc. (b)(c) | 7,600 | 34,428 | |||
Brookfield Renewable Corp. Class A | 17,400 | 641,230 | |||
BRP, Inc. | 5,367 | 470,778 | |||
Burford Capital, Ltd. | 22,687 | 236,916 | |||
Caesarstone, Ltd. | 2,900 | 32,886 | |||
Carnival PLC (b) | 23,276 | 436,196 | |||
Cineworld Group PLC (b)(c) | 111,775 | 48,431 | |||
CyberArk Software, Ltd. (b) | 5,883 | 1,019,406 | |||
Diversified Energy Co. PLC | 100,217 | 141,711 | |||
Eagle Hospitality Trust Unit (b)(f) | 112,600 | — | |||
Energy Fuels, Inc. (b)(c) | 19,400 | 148,362 | |||
Ferguson PLC | 32,159 | 5,708,245 | |||
Fiverr International, Ltd. (b) | 4,000 | 454,800 | |||
Inmode, Ltd. (b) | 8,000 | 564,640 | |||
James Hardie Industries PLC CDI | 63,622 | 2,557,978 | |||
JBS SA | 135,800 | 925,244 | |||
Legend Biotech Corp. ADR (b) | 6,500 | 302,965 | |||
Maxeon Solar Technologies, Ltd. (b) | 1,700 | 23,630 |
Security Description | Shares | Value | |||
MDA, Ltd. (b) | 7,400 | $ 55,655 | |||
Mind Medicine MindMed, Inc. (b) | 39,800 | 54,510 | |||
Parade Technologies, Ltd. | 11,000 | 840,893 | |||
PolyPeptide Group AG (b)(d) | 1,589 | 238,921 | |||
Primo Water Corp. | 23,700 | 418,782 | |||
QIAGEN NV (b) | 33,759 | 1,880,762 | |||
Razer, Inc. (b)(d) | 268,000 | 83,188 | |||
REC Silicon ASA (b) | 36,713 | 74,648 | |||
Reliance Worldwide Corp., Ltd. | 114,294 | 521,021 | |||
Renalytix PLC (b) | 5,727 | 48,093 | |||
Rhi Magnesita NV | 3,069 | 137,424 | |||
Riskified, Ltd. Class A (b) | 8,400 | 66,024 | |||
Schneider Electric SE | 78,200 | 15,336,699 | |||
Sims, Ltd. | 21,617 | 252,409 | |||
Stellantis NV (e) | 119,689 | 2,270,048 | |||
Stellantis NV (e) | 174,012 | 3,301,932 | |||
Swiss Re AG | 43,520 | 4,311,162 | |||
Taro Pharmaceutical Industries, Ltd. (b) | 2,400 | 120,264 | |||
Tenaris SA | 68,135 | 713,619 | |||
Titan Cement International SA (b) | 4,292 | 65,306 | |||
UroGen Pharma, Ltd. (b)(c) | 2,000 | 19,020 | |||
Vobile Group, Ltd. (b)(c) | 172,000 | 136,342 | |||
46,811,943 | |||||
ZAMBIA — 0.0% (a) | |||||
First Quantum Minerals, Ltd. | 85,000 | 2,036,931 | |||
TOTAL COMMON STOCKS (Cost $3,717,201,694) | 4,585,953,842 |
RIGHTS — 0.0% (a) | |||
AUSTRALIA — 0.0% (a) | |||
Johns Lyng Group, Ltd. (expiring 12/30/21) (b) | 464 | 786 | |
CHINA — 0.0% (a) | |||
Seazen Group, Ltd. (expiring 01/19/22) (b) (f) | 11,333 | — | |
HONG KONG — 0.0% (a) | |||
Yuexiu Real Estate Investment Trust (expiring 01/05/22) (b) | 45,510 | 58 | |
INDONESIA — 0.0% (a) | |||
Bank Aladin Syariah Tbk PT (expiring 07/21/22) (f) | 1,000,000 | — | |
SOUTH KOREA — 0.0% (a) | |||
Doosan Heavy Industries & Construction Co., Ltd. (expiring 02/11/22) (b) | 5,288 | 19,573 | |
Enzychem Lifesciences Corp. (expiring 12/17/21) (b) (f) | 710 | — |
Security Description | Shares | Value | |||
Eoflow Co., Ltd. (expiring 01/07/22) (b) | 233 | $ 2,195 | |||
21,768 | |||||
SPAIN — 0.0% (a) | |||||
Faes Farma SA (expiring 01/04/22) (b) | 35,119 | 7,269 | |||
THAILAND — 0.0% (a) | |||||
Asia Aviation PCL (expiring 01/12/22) (b) | 122,446 | 2,896 | |||
TOTAL RIGHTS (Cost $6,757) | 32,777 | ||||
WARRANTS — 0.0% (a) | |||||
CANADA — 0.0% (a) | |||||
Cenovus Energy, Inc. (expiring 01/01/26) (b) | 2,437 | 18,348 | |||
ITALY — 0.0% (a) | |||||
Webuild SpA (expiring 08/02/30) (c) (f) | 2,371 | — | |||
MALAYSIA — 0.0% (a) | |||||
Frontken Corp. Bhd (expiring 05/03/26) (b) | 30,950 | 4,309 | |||
Scientex Bhd (expiring 01/14/26) (b) | 4,960 | 1,572 | |||
SKP Resources Bhd (expiring 04/25/26) (b) | 54,260 | 2,279 | |||
VS Industry Bhd (expiring 06/14/24) (b) | 88,800 | 9,485 | |||
17,645 | |||||
THAILAND — 0.0% (a) | |||||
Banpu PCL (expiring 10/01/22) (b) | 250,466 | 33,890 | |||
Banpu PCL (expiring 10/01/23) (b) | 250,466 | 22,944 | |||
BTS Group Holdings PCL (expiring 07/21/22) (b) | 90,940 | 1,742 | |||
BTS Group Holdings PCL (expiring 07/22/22) (b) | 181,880 | 2,723 | |||
BTS Group Holdings PCL (expiring 09/05/22) (b) | 45,470 | 980 | |||
Jay Mart PCL (expiring 07/26/25) (b) | 2,435 | 1,341 | |||
MBK PCL (expiring 05/15/24) (b) | 4,746 | 1,506 | |||
MBK PCL (expiring 11/15/24) (b) | 4,746 | 1,449 | |||
Srisawad Corp. PCL (expiring 8/29/25) (b) | 3,396 | 1,017 | |||
67,592 | |||||
TOTAL WARRANTS (Cost $9,081) | 103,585 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (g) (h) | 171,512,422 | $ 171,512,422 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 69,958,002 | 69,958,002 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $241,470,424) | 241,470,424 | |||||
TOTAL INVESTMENTS — 101.1% (Cost $3,958,687,956) | 4,827,560,628 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.1)% | (54,862,116) | |||||
NET ASSETS — 100.0% | $ 4,772,698,512 |
(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 December 31, 2021. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.9% of net assets as of December 31, 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 December 31, 2021, total aggregate fair value of the security is $0, representing 0.00% of the Fund's net assets. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 887 | 03/18/2022 | $101,479,790 | $102,971,830 | $1,492,040 | |||||
Mini MSCI Emerging Markets (long) | 1,100 | 03/18/2022 | 67,818,409 | 67,446,500 | (371,909) | |||||
S&P Toronto Stock Exchange 60 Index (Long) | 40 | 03/17/2022 | 10,165,544 | 10,247,200 | 81,656 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $1,201,787 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $4,562,017,948 | $23,804,713 | $131,181 | $4,585,953,842 | ||||
Rights | 7,327 | 25,450 | — | 32,777 | ||||
Warrants | 103,585 | — | — | 103,585 | ||||
Short-Term Investments | 241,470,424 | — | — | 241,470,424 | ||||
TOTAL INVESTMENTS | $4,803,599,284 | $23,830,163 | $131,181 | $4,827,560,628 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,573,696 | — | — | 1,573,696 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,573,696 | $ — | $ — | $ 1,573,696 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,805,172,980 | $23,830,163 | $131,181 | $4,829,134,324 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (371,909) | — | — | (371,909) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (371,909) | $ — | $ — | $ (371,909) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Banks | 9.8% | |
Semiconductors | 5.8 | |
Pharmaceuticals | 5.3 | |
Internet | 4.2 | |
Insurance | 3.7 | |
TOTAL | 28.8% |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 142,930,230 | $142,930,230 | $1,219,159,633 | $1,190,577,441 | $— | $— | 171,512,422 | $171,512,422 | $ 44,172 | ||||||||
State Street Navigator Securities Lending Portfolio II | 42,151,995 | 42,151,995 | 384,393,968 | 356,587,961 | — | — | 69,958,002 | 69,958,002 | 597,544 | ||||||||
Total | $185,082,225 | $1,603,553,601 | $1,547,165,402 | $— | $— | $241,470,424 | $641,716 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.8% | ||||||
AEROSPACE & DEFENSE — 0.9% | ||||||
AAR Corp. (a) | 6,741 | $ 263,101 | ||||
Aerojet Rocketdyne Holdings, Inc. | 15,112 | 706,637 | ||||
AeroVironment, Inc. (a) | 4,445 | 275,723 | ||||
AerSale Corp. (a) | 1,700 | 30,158 | ||||
Astronics Corp. (a) | 5,068 | 60,816 | ||||
Axon Enterprise, Inc. (a) | 13,165 | 2,066,905 | ||||
BWX Technologies, Inc. | 18,926 | 906,177 | ||||
Byrna Technologies, Inc. (a) | 3,500 | 46,725 | ||||
Cadre Holdings, Inc. (a) | 1,200 | 30,504 | ||||
Curtiss-Wright Corp. | 7,715 | 1,069,839 | ||||
Ducommun, Inc. (a) | 3,000 | 140,310 | ||||
HEICO Corp. | 9,546 | 1,376,724 | ||||
HEICO Corp. Class A | 15,664 | 2,013,137 | ||||
Hexcel Corp. (a) | 17,417 | 902,201 | ||||
Kaman Corp. | 5,999 | 258,857 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 25,000 | 485,000 | ||||
Maxar Technologies, Inc. | 14,776 | 436,335 | ||||
Mercury Systems, Inc. (a) | 11,300 | 622,178 | ||||
Moog, Inc. Class A | 6,021 | 487,521 | ||||
National Presto Industries, Inc. | 990 | 81,210 | ||||
PAE, Inc. (a) | 13,600 | 135,048 | ||||
Park Aerospace Corp. | 6,000 | 79,200 | ||||
Parsons Corp. (a) | 5,151 | 173,331 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 21,642 | 932,554 | ||||
Triumph Group, Inc. (a) | 12,545 | 232,459 | ||||
Vectrus, Inc. (a) | 2,200 | 100,694 | ||||
Virgin Galactic Holdings, Inc. (a) | 37,300 | 499,074 | ||||
14,412,418 | ||||||
AIR FREIGHT & LOGISTICS — 0.2% | ||||||
Air Transport Services Group, Inc. (a) | 12,200 | 358,436 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 5,635 | 530,366 | ||||
Forward Air Corp. | 5,451 | 660,062 | ||||
GXO Logistics, Inc. (a) | 19,590 | 1,779,360 | ||||
Hub Group, Inc. Class A (a) | 6,517 | 548,992 | ||||
Radiant Logistics, Inc. (a) | 7,653 | 55,790 | ||||
3,933,006 | ||||||
AIRLINES — 0.2% | ||||||
Allegiant Travel Co. (a) | 3,150 | 589,176 | ||||
Copa Holdings SA Class A (a) (b) | 6,591 | 544,812 | ||||
Frontier Group Holdings, Inc. (a) | 6,800 | 92,276 | ||||
Hawaiian Holdings, Inc. (a) | 9,745 | 179,016 | ||||
JetBlue Airways Corp. (a) | 64,736 | 921,840 | ||||
Mesa Air Group, Inc. (a) | 6,900 | 38,640 | ||||
SkyWest, Inc. (a) | 9,803 | 385,258 | ||||
Spirit Airlines, Inc. (a) | 19,169 | 418,843 |
Security Description | Shares | Value | ||||
Sun Country Airlines Holdings, Inc. (a) | 7,400 | $ 201,650 | ||||
3,371,511 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC (a) | 18,800 | 900,144 | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 21,750 | 202,928 | ||||
Cooper-Standard Holdings, Inc. (a) | 3,290 | 73,729 | ||||
Dana, Inc. | 28,942 | 660,456 | ||||
Dorman Products, Inc. (a) | 5,327 | 602,004 | ||||
Fox Factory Holding Corp. (a) | 8,397 | 1,428,330 | ||||
Gentex Corp. | 48,023 | 1,673,602 | ||||
Gentherm, Inc. (a) | 6,885 | 598,307 | ||||
Goodyear Tire & Rubber Co. (a) | 54,016 | 1,151,621 | ||||
LCI Industries | 5,013 | 781,376 | ||||
Lear Corp. | 12,151 | 2,223,025 | ||||
Modine Manufacturing Co. (a) | 9,483 | 95,684 | ||||
Motorcar Parts of America, Inc. (a) | 3,600 | 61,452 | ||||
Patrick Industries, Inc. | 4,728 | 381,502 | ||||
QuantumScape Corp. (a) | 50,401 | 1,118,398 | ||||
Standard Motor Products, Inc. | 4,043 | 211,813 | ||||
Stoneridge, Inc. (a) | 4,982 | 98,345 | ||||
Tenneco, Inc. Class A (a) | 13,068 | 147,668 | ||||
Visteon Corp. (a) | 5,558 | 617,716 | ||||
XL Fleet Corp. (a) (b) | 6,700 | 22,177 | ||||
XPEL, Inc. (a) | 3,500 | 238,980 | ||||
13,289,257 | ||||||
AUTOMOBILES — 0.4% | ||||||
Arcimoto, Inc. (a) (b) | 5,300 | 41,234 | ||||
Canoo, Inc. (a) (b) | 21,000 | 162,120 | ||||
Fisker, Inc. (a) | 33,500 | 526,955 | ||||
Harley-Davidson, Inc. | 31,301 | 1,179,734 | ||||
Lordstown Motors Corp. Class A (a) (b) | 29,800 | 102,810 | ||||
Rivian Automotive, Inc. Class A (a) | 29,400 | 3,048,486 | ||||
Thor Industries, Inc. | 10,901 | 1,131,197 | ||||
Winnebago Industries, Inc. | 6,700 | 501,964 | ||||
Workhorse Group, Inc. (a) (b) | 23,175 | 101,043 | ||||
6,795,543 | ||||||
BANKS — 4.7% | ||||||
1st Source Corp. | 3,320 | 164,672 | ||||
Allegiance Bancshares, Inc. | 3,700 | 156,177 | ||||
Amalgamated Financial Corp. | 2,500 | 41,925 | ||||
Amerant Bancorp, Inc. | 5,300 | 183,115 | ||||
American National Bankshares, Inc. | 2,000 | 75,360 | ||||
Ameris Bancorp | 13,259 | 658,707 | ||||
Arrow Financial Corp. | 2,630 | 92,655 | ||||
Associated Banc-Corp. | 28,930 | 653,529 | ||||
Atlantic Capital Bancshares, Inc. (a) | 3,799 | 109,297 |
Security Description | Shares | Value | |||
Atlantic Union Bankshares Corp. | 15,007 | $ 559,611 | |||
Banc of California, Inc. | 10,654 | 209,031 | |||
BancFirst Corp. | 3,652 | 257,685 | |||
Bancorp, Inc. (a) | 10,100 | 255,631 | |||
Bank First Corp. | 1,300 | 93,912 | |||
Bank of Hawaii Corp. | 8,226 | 689,010 | |||
Bank of Marin Bancorp | 3,144 | 117,051 | |||
Bank of NT Butterfield & Son, Ltd. | 10,396 | 396,192 | |||
Bank OZK | 24,428 | 1,136,635 | |||
BankUnited, Inc. | 18,727 | 792,339 | |||
Banner Corp. | 6,900 | 418,623 | |||
Bar Harbor Bankshares | 2,980 | 86,211 | |||
Berkshire Hills Bancorp, Inc. | 9,616 | 273,383 | |||
Blue Ridge Bankshares, Inc. | 3,200 | 57,280 | |||
BOK Financial Corp. | 6,108 | 644,333 | |||
Brookline Bancorp, Inc. | 14,751 | 238,819 | |||
Bryn Mawr Bank Corp. | 4,705 | 211,772 | |||
Business First Bancshares, Inc. | 3,700 | 104,747 | |||
Byline Bancorp, Inc. | 4,800 | 131,280 | |||
Cadence Bank | 37,345 | 1,112,508 | |||
Cambridge Bancorp | 1,391 | 130,184 | |||
Camden National Corp. | 2,902 | 139,760 | |||
Capital Bancorp, Inc. | 1,500 | 39,300 | |||
Capital City Bank Group, Inc. | 2,700 | 71,280 | |||
Capstar Financial Holdings, Inc. | 3,900 | 82,017 | |||
Carter Bankshares, Inc. (a) | 4,900 | 75,411 | |||
Cathay General Bancorp | 14,609 | 628,041 | |||
CBTX, Inc. | 3,590 | 104,110 | |||
Central Pacific Financial Corp. | 5,254 | 148,005 | |||
CIT Group, Inc. | 19,653 | 1,008,985 | |||
Citizens & Northern Corp. | 3,100 | 80,972 | |||
City Holding Co. | 2,984 | 244,061 | |||
Civista Bancshares, Inc. | 3,000 | 73,200 | |||
CNB Financial Corp. | 3,100 | 82,150 | |||
Coastal Financial Corp. (a) | 1,813 | 91,774 | |||
Columbia Banking System, Inc. | 15,559 | 509,090 | |||
Commerce Bancshares, Inc. | 22,421 | 1,541,220 | |||
Community Bank System, Inc. | 11,039 | 822,185 | |||
Community Trust Bancorp, Inc. | 3,003 | 130,961 | |||
ConnectOne Bancorp, Inc. | 7,134 | 233,353 | |||
CrossFirst Bankshares, Inc. (a) | 9,223 | 143,971 | |||
Cullen/Frost Bankers, Inc. | 11,572 | 1,458,882 | |||
Customers Bancorp, Inc. (a) | 5,802 | 379,277 | |||
CVB Financial Corp. | 26,200 | 560,942 | |||
Dime Community Bancshares, Inc. | 6,740 | 236,978 | |||
Eagle Bancorp, Inc. | 6,200 | 361,708 | |||
East West Bancorp, Inc. | 28,333 | 2,229,240 | |||
Eastern Bankshares, Inc. | 34,700 | 699,899 | |||
Enterprise Bancorp, Inc. | 1,778 | 79,868 | |||
Enterprise Financial Services Corp. | 6,914 | 325,580 | |||
Equity Bancshares, Inc. Class A | 2,700 | 91,611 | |||
Farmers National Banc Corp. | 6,066 | 112,524 |
Security Description | Shares | Value | |||
FB Financial Corp. | 6,483 | $ 284,085 | |||
Fidelity D&D Bancorp, Inc. (b) | 844 | 49,796 | |||
Financial Institutions, Inc. | 2,980 | 94,764 | |||
First BanCorp | 40,500 | 558,090 | |||
First BanCorp | 6,714 | 306,964 | |||
First Bancorp, Inc. | 2,100 | 65,940 | |||
First Bancshares, Inc. | 4,000 | 154,480 | |||
First Bank | 3,000 | 43,530 | |||
First Busey Corp. | 9,888 | 268,163 | |||
First Citizens BancShares, Inc. Class A | 1,211 | 1,004,936 | |||
First Commonwealth Financial Corp. | 18,406 | 296,153 | |||
First Community Bankshares, Inc. | 3,300 | 110,286 | |||
First Financial Bancorp | 18,591 | 453,249 | |||
First Financial Bankshares, Inc. | 25,802 | 1,311,774 | |||
First Financial Corp. | 2,300 | 104,167 | |||
First Foundation, Inc. | 7,850 | 195,151 | |||
First Hawaiian, Inc. | 26,000 | 710,580 | |||
First Horizon Corp. | 106,700 | 1,742,411 | |||
First Internet Bancorp | 1,800 | 84,672 | |||
First Interstate BancSystem, Inc. Class A | 8,482 | 344,963 | |||
First Merchants Corp. | 11,220 | 470,006 | |||
First Mid-Illinois Bancshares, Inc. | 3,200 | 136,928 | |||
First Midwest Bancorp, Inc. | 22,207 | 454,799 | |||
First of Long Island Corp. | 4,350 | 93,917 | |||
Five Star Bancorp | 2,400 | 72,000 | |||
Flushing Financial Corp. | 6,300 | 153,090 | |||
FNB Corp. | 62,333 | 756,099 | |||
Fulton Financial Corp. | 30,692 | 521,764 | |||
German American Bancorp, Inc. | 4,825 | 188,078 | |||
Glacier Bancorp, Inc. | 22,808 | 1,293,214 | |||
Great Southern Bancorp, Inc. | 2,068 | 122,529 | |||
Great Western Bancorp, Inc. | 10,811 | 367,142 | |||
Guaranty Bancshares, Inc. | 1,665 | 62,571 | |||
Hancock Whitney Corp. | 17,620 | 881,352 | |||
Hanmi Financial Corp. | 5,800 | 137,344 | |||
HarborOne Bancorp, Inc. | 9,663 | 143,399 | |||
HBT Financial, Inc. | 1,900 | 35,587 | |||
Heartland Financial USA, Inc. | 7,900 | 399,819 | |||
Heritage Commerce Corp. | 11,366 | 135,710 | |||
Heritage Financial Corp. | 6,900 | 168,636 | |||
Hilltop Holdings, Inc. | 12,400 | 435,736 | |||
Home BancShares, Inc. | 30,223 | 735,930 | |||
HomeStreet, Inc. | 3,974 | 206,648 | |||
HomeTrust Bancshares, Inc. | 2,909 | 90,121 | |||
Hope Bancorp, Inc. | 25,421 | 373,943 | |||
Horizon Bancorp, Inc. | 8,340 | 173,889 | |||
Howard Bancorp, Inc. (a) | 2,481 | 54,061 | |||
Independent Bank Corp. | 9,365 | 763,528 | |||
Independent Bank Corp. | 4,218 | 100,684 | |||
Independent Bank Group, Inc. | 7,372 | 531,890 | |||
International Bancshares Corp. | 10,350 | 438,736 |
Security Description | Shares | Value | |||
Investors Bancorp, Inc. | 44,614 | $ 675,902 | |||
Lakeland Bancorp, Inc. | 9,700 | 184,203 | |||
Lakeland Financial Corp. | 5,128 | 410,958 | |||
Live Oak Bancshares, Inc. | 6,490 | 566,512 | |||
Macatawa Bank Corp. | 5,566 | 49,092 | |||
Mercantile Bank Corp. | 3,000 | 105,090 | |||
Meta Financial Group, Inc. | 6,143 | 366,491 | |||
Metrocity Bankshares, Inc. (b) | 3,700 | 101,861 | |||
Metropolitan Bank Holding Corp. (a) | 1,900 | 202,407 | |||
Mid Penn Bancorp, Inc. | 2,800 | 88,872 | |||
Midland States Bancorp, Inc. | 4,202 | 104,168 | |||
MidWestOne Financial Group, Inc. | 2,951 | 95,524 | |||
MVB Financial Corp. | 1,930 | 80,134 | |||
National Bank Holdings Corp. Class A | 5,748 | 252,567 | |||
NBT Bancorp, Inc. | 8,300 | 319,716 | |||
Nicolet Bankshares, Inc. (a) | 2,616 | 224,322 | |||
Northrim BanCorp, Inc. | 1,200 | 52,152 | |||
OceanFirst Financial Corp. | 11,507 | 255,455 | |||
OFG Bancorp | 10,900 | 289,504 | |||
Old National Bancorp | 33,561 | 608,125 | |||
Old Second Bancorp, Inc. | 5,335 | 67,168 | |||
Origin Bancorp, Inc. | 4,300 | 184,556 | |||
Orrstown Financial Services, Inc. | 2,100 | 52,920 | |||
Pacific Premier Bancorp, Inc. | 18,901 | 756,607 | |||
PacWest Bancorp | 22,889 | 1,033,896 | |||
Park National Corp. | 3,017 | 414,264 | |||
Peapack-Gladstone Financial Corp. | 3,500 | 123,900 | |||
Peoples Bancorp, Inc. | 4,914 | 156,314 | |||
Peoples Financial Services Corp. | 1,339 | 70,552 | |||
Pinnacle Financial Partners, Inc. | 14,889 | 1,421,899 | |||
Popular, Inc. | 16,010 | 1,313,460 | |||
Preferred Bank | 2,677 | 192,182 | |||
Primis Financial Corp. | 4,800 | 72,192 | |||
Prosperity Bancshares, Inc. | 18,009 | 1,302,051 | |||
QCR Holdings, Inc. | 3,020 | 169,120 | |||
RBB Bancorp | 2,600 | 68,120 | |||
Red River Bancshares, Inc. | 900 | 48,150 | |||
Reliant Bancorp, Inc. | 2,900 | 102,950 | |||
Renasant Corp. | 11,832 | 449,024 | |||
Republic Bancorp, Inc. Class A | 1,839 | 93,495 | |||
Republic First Bancorp, Inc. (a) (b) | 8,200 | 30,504 | |||
S&T Bancorp, Inc. | 7,661 | 241,475 | |||
Sandy Spring Bancorp, Inc. | 9,780 | 470,222 | |||
Seacoast Banking Corp. of Florida | 11,784 | 417,036 | |||
ServisFirst Bancshares, Inc. | 10,100 | 857,894 | |||
Sierra Bancorp | 2,700 | 73,305 | |||
Silvergate Capital Corp. Class A (a) | 5,593 | 828,883 |
Security Description | Shares | �� | Value | |||
Simmons First National Corp. Class A | 22,586 | $ 668,094 | ||||
SmartFinancial, Inc. | 2,702 | 73,927 | ||||
South Plains Financial, Inc. | 2,000 | 55,620 | ||||
Southern First Bancshares, Inc. (a) | 1,400 | 87,486 | ||||
Southside Bancshares, Inc. | 6,055 | 253,220 | ||||
SouthState Corp. | 13,975 | 1,119,537 | ||||
Spirit of Texas Bancshares, Inc. | 2,449 | 70,482 | ||||
Sterling Bancorp | 37,405 | 964,675 | ||||
Stock Yards Bancorp, Inc. | 5,100 | 325,788 | ||||
Summit Financial Group, Inc. | 2,200 | 60,390 | ||||
Synovus Financial Corp. | 29,048 | 1,390,528 | ||||
Texas Capital Bancshares, Inc. (a) | 10,072 | 606,838 | ||||
Third Coast Bancshares, Inc. (a) | 800 | 20,784 | ||||
Tompkins Financial Corp. | 2,781 | 232,436 | ||||
Towne Bank | 13,090 | 413,513 | ||||
TriCo Bancshares | 5,372 | 230,781 | ||||
TriState Capital Holdings, Inc. (a) | 5,600 | 169,456 | ||||
Triumph Bancorp, Inc. (a) | 4,821 | 574,085 | ||||
Trustmark Corp. | 13,796 | 447,818 | ||||
UMB Financial Corp. | 8,689 | 921,990 | ||||
Umpqua Holdings Corp. | 42,799 | 823,453 | ||||
United Bankshares, Inc. | 26,105 | 947,089 | ||||
United Community Banks, Inc. | 17,586 | 632,041 | ||||
Univest Financial Corp. | 5,640 | 168,749 | ||||
Valley National Bancorp | 79,268 | 1,089,935 | ||||
Veritex Holdings, Inc. | 9,250 | 367,965 | ||||
Washington Trust Bancorp, Inc. | 3,823 | 215,503 | ||||
Webster Financial Corp. | 18,564 | 1,036,614 | ||||
WesBanco, Inc. | 12,302 | 430,447 | ||||
West Bancorporation, Inc. | 3,200 | 99,424 | ||||
Westamerica BanCorp | 5,585 | 322,422 | ||||
Western Alliance Bancorp | 20,783 | 2,237,290 | ||||
Wintrust Financial Corp. | 11,531 | 1,047,245 | ||||
75,672,152 | ||||||
BEVERAGES — 0.5% | ||||||
Boston Beer Co., Inc. Class A (a) | 1,916 | 967,771 | ||||
Celsius Holdings, Inc. (a) (b) | 10,900 | 812,813 | ||||
Coca-Cola Consolidated, Inc. | 946 | 585,754 | ||||
Duckhorn Portfolio Inc (a) | 6,900 | 161,046 | ||||
Keurig Dr. Pepper, Inc. | 143,016 | 5,271,570 | ||||
MGP Ingredients, Inc. (b) | 2,800 | 237,972 | ||||
National Beverage Corp. | 4,694 | 212,779 | ||||
NewAge, Inc. (a) | 25,900 | 26,677 | ||||
Primo Water Corp. | 31,800 | 560,634 | ||||
Zevia PBC Class A (a) (b) | 1,900 | 13,395 | ||||
8,850,411 | ||||||
BIOTECHNOLOGY — 5.2% | ||||||
2seventy bio, Inc. (a) | 4,507 | 115,514 |
Security Description | Shares | Value | |||
4D Molecular Therapeutics, Inc. (a) (b) | 5,300 | $ 116,282 | |||
89bio, Inc. (a) (b) | 1,900 | 24,833 | |||
ACADIA Pharmaceuticals, Inc. (a) | 24,489 | 571,573 | |||
Acumen Pharmaceuticals, Inc. (a) | 1,800 | 12,168 | |||
Adagio Therapeutics, Inc. (a) | 4,100 | 29,766 | |||
Adicet Bio, Inc. (a) | 4,000 | 69,960 | |||
Adverum Biotechnologies, Inc. (a) (b) | 17,000 | 29,920 | |||
Aeglea BioTherapeutics, Inc. (a) | 10,100 | 47,975 | |||
Aerovate Therapeutics, Inc. (a) | 1,900 | 22,401 | |||
Affimed NV (a) | 23,000 | 126,960 | |||
Agenus, Inc. (a) (b) | 46,700 | 150,374 | |||
Agios Pharmaceuticals, Inc. (a) | 11,204 | 368,275 | |||
Akebia Therapeutics, Inc. (a) (b) | 34,817 | 78,686 | |||
Akero Therapeutics, Inc. (a) (b) | 6,500 | 137,475 | |||
Akouos, Inc. (a) (b) | 4,600 | 39,100 | |||
Albireo Pharma, Inc. (a) | 3,200 | 74,528 | |||
Aldeyra Therapeutics, Inc. (a) | 9,300 | 37,200 | |||
Alector, Inc. (a) (b) | 11,335 | 234,068 | |||
Aligos Therapeutics, Inc. (a) | 4,100 | 48,667 | |||
Alkermes PLC (a) | 32,662 | 759,718 | |||
Allakos, Inc. (a) | 6,895 | 67,502 | |||
Allogene Therapeutics, Inc. (a) | 13,331 | 198,899 | |||
Allovir, Inc. (a) (b) | 5,700 | 73,758 | |||
Alnylam Pharmaceuticals, Inc. (a) | 24,466 | 4,148,944 | |||
Alpine Immune Sciences, Inc. (a) (b) | 2,200 | 30,470 | |||
Altimmune, Inc. (a) | 7,800 | 71,448 | |||
ALX Oncology Holdings, Inc. (a) | 3,400 | 73,066 | |||
Amicus Therapeutics, Inc. (a) | 53,841 | 621,864 | |||
AnaptysBio, Inc. (a) | 3,814 | 132,537 | |||
Anavex Life Sciences Corp. (a) | 13,700 | 237,558 | |||
Anika Therapeutics, Inc. (a) | 2,847 | 102,008 | |||
Annexon, Inc. (a) | 6,000 | 68,940 | |||
Apellis Pharmaceuticals, Inc. (a) | 14,500 | 685,560 | |||
Applied Molecular Transport, Inc. (a) | 4,800 | 67,104 | |||
Applied Therapeutics, Inc. (a) | 3,441 | 30,797 | |||
AquaBounty Technologies, Inc. (a) | 11,100 | 23,310 | |||
Arbutus Biopharma Corp. (a) (b) | 15,600 | 60,684 | |||
Arcturus Therapeutics Holdings, Inc. (a) | 4,135 | 153,036 | |||
Arcus Biosciences, Inc. (a) (b) | 8,895 | 359,981 | |||
Arcutis Biotherapeutics, Inc. (a) (b) | 5,300 | 109,922 | |||
Ardelyx, Inc. (a) | 19,100 | 21,010 | |||
Arena Pharmaceuticals, Inc. (a) | 12,630 | 1,173,832 | |||
Arrowhead Pharmaceuticals, Inc. (a) | 20,061 | 1,330,044 | |||
Atara Biotherapeutics, Inc. (a) | 18,300 | 288,408 | |||
Athenex, Inc. (a) | 16,498 | 22,437 | |||
Athersys, Inc. (a) (b) | 41,381 | 37,350 |
Security Description | Shares | Value | |||
Atossa Therapeutics, Inc. (a) | 22,500 | $ 36,000 | |||
Atreca, Inc. Class A (a) (b) | 5,500 | 16,665 | |||
Aura Biosciences, Inc. (a) | 1,100 | 18,678 | |||
Avalo Therapeutics, Inc. (a) | 9,900 | 16,830 | |||
Avid Bioservices, Inc. (a) | 11,868 | 346,308 | |||
Avidity Biosciences, Inc. (a) (b) | 7,300 | 173,521 | |||
Avita Medical, Inc. (a) (b) | 4,600 | 55,108 | |||
Avrobio, Inc. (a) (b) | 7,398 | 28,482 | |||
Beam Therapeutics, Inc. (a) (b) | 10,400 | 828,776 | |||
Beyondspring, Inc. (a) (b) | 4,400 | 19,932 | |||
BioAtla, Inc. (a) | 3,000 | 58,890 | |||
BioCryst Pharmaceuticals, Inc. (a) (b) | 36,630 | 507,325 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 11,200 | 1,543,472 | |||
BioMarin Pharmaceutical, Inc. (a) | 37,627 | 3,324,345 | |||
Biomea Fusion, Inc. (a) (b) | 4,200 | 31,290 | |||
Bioxcel Therapeutics, Inc. (a) (b) | 3,312 | 67,333 | |||
Black Diamond Therapeutics, Inc. (a) (b) | 8,800 | 46,904 | |||
Bluebird Bio, Inc. (a) (b) | 13,421 | 134,076 | |||
Blueprint Medicines Corp. (a) | 11,842 | 1,268,397 | |||
Bolt Biotherapeutics, Inc. (a) (b) | 4,400 | 21,560 | |||
Bridgebio Pharma, Inc. (a) (b) | 21,694 | 361,856 | |||
Brooklyn ImmunoTherapeutics, Inc. (a) (b) | 5,600 | 23,352 | |||
C4 Therapeutics, Inc. (a) | 7,500 | 241,500 | |||
Cardiff Oncology, Inc. (a) (b) | 7,500 | 45,075 | |||
CareDx, Inc. (a) | 10,348 | 470,627 | |||
Caribou Biosciences, Inc. (a) | 3,700 | 55,833 | |||
Catalyst Pharmaceuticals, Inc. (a) | 19,147 | 129,625 | |||
Celcuity, Inc. (a) | 1,800 | 23,742 | |||
Celldex Therapeutics, Inc. (a) | 9,000 | 347,760 | |||
CEL-SCI Corp. (a) (b) | 6,895 | 48,955 | |||
Century Therapeutics, Inc. (a) | 2,300 | 36,478 | |||
Cerevel Therapeutics Holdings, Inc. (a) | 8,400 | 272,328 | |||
ChemoCentryx, Inc. (a) (b) | 11,200 | 407,792 | |||
Chimerix, Inc. (a) | 14,197 | 91,287 | |||
Chinook Therapeutics, Inc. (a) | 7,890 | 128,686 | |||
Clene, Inc. (a) (b) | 4,000 | 16,400 | |||
Clovis Oncology, Inc. (a) | 21,880 | 59,295 | |||
Codiak Biosciences, Inc. (a) (b) | 3,200 | 35,648 | |||
Cogent Biosciences, Inc. (a) | 7,000 | 60,060 | |||
Coherus Biosciences, Inc. (a) (b) | 13,817 | 220,519 | |||
Contra Aduro Biotech | 2,090 | 272 | |||
Cortexyme, Inc. (a) (b) | 3,849 | 48,574 | |||
Crinetics Pharmaceuticals, Inc. (a) | 9,500 | 269,895 | |||
Cue Biopharma, Inc. (a) | 5,885 | 66,559 | |||
Cullinan Oncology, Inc. (a) (b) | 5,000 | 77,150 | |||
CureVac NV (a) (b) | 11,200 | 384,272 | |||
Curis, Inc. (a) | 16,500 | 78,540 |
Security Description | Shares | Value | |||
Cyteir Therapeutics, Inc. (a) | 1,600 | $ 18,192 | |||
Cytokinetics, Inc. (a) | 16,096 | 733,656 | |||
CytomX Therapeutics, Inc. (a) | 12,275 | 53,151 | |||
Day One Biopharmaceuticals, Inc. (a) (b) | 2,100 | 35,385 | |||
Deciphera Pharmaceuticals, Inc. (a) | 7,400 | 72,298 | |||
Denali Therapeutics, Inc. (a) | 18,532 | 826,527 | |||
Dermtech, Inc. (a) (b) | 4,700 | 74,260 | |||
Design Therapeutics, Inc. (a) (b) | 5,000 | 107,050 | |||
Dynavax Technologies Corp. (a) | 21,138 | 297,412 | |||
Dyne Therapeutics, Inc. (a) (b) | 5,800 | 68,962 | |||
Eagle Pharmaceuticals, Inc. (a) | 2,246 | 114,366 | |||
Editas Medicine, Inc. (a) (b) | 14,139 | 375,390 | |||
Eiger BioPharmaceuticals, Inc. (a) | 11,975 | 62,150 | |||
Eliem Therapeutics, Inc. (a) | 1,300 | 13,598 | |||
Emergent BioSolutions, Inc. (a) | 10,000 | 434,700 | |||
Enanta Pharmaceuticals, Inc. (a) | 3,800 | 284,164 | |||
Entrada Therapeutics, Inc. (a) | 1,800 | 30,816 | |||
Epizyme, Inc. (a) | 17,938 | 44,845 | |||
Erasca, Inc. (a) | 3,900 | 60,762 | |||
Evelo Biosciences, Inc. (a) (b) | 5,935 | 36,025 | |||
Exact Sciences Corp. (a) | 35,229 | 2,741,873 | |||
Exagen, Inc. (a) | 1,900 | 22,097 | |||
Exelixis, Inc. (a) | 63,008 | 1,151,786 | |||
Fate Therapeutics, Inc. (a) (b) | 16,489 | 964,771 | |||
FibroGen, Inc. (a) (b) | 17,008 | 239,813 | |||
Finch Therapeutics Group, Inc. (a) | 1,700 | 16,949 | |||
Foghorn Therapeutics, Inc. (a) (b) | 3,900 | 89,193 | |||
Forma Therapeutics Holdings, Inc. (a) | 6,500 | 92,430 | |||
Forte Biosciences, Inc. (a) (b) | 12,700 | 27,178 | |||
Fortress Biotech, Inc. (a) (b) | 14,000 | 35,000 | |||
Frequency Therapeutics, Inc. (a) | 6,100 | 31,293 | |||
G1 Therapeutics, Inc. (a) (b) | 7,561 | 77,198 | |||
Gemini Therapeutics, Inc. (a) (b) | 4,200 | 12,222 | |||
Generation Bio Co. (a) | 8,500 | 60,180 | |||
Geron Corp. (a) (b) | 87,383 | 106,607 | |||
Global Blood Therapeutics, Inc. (a) | 13,181 | 385,808 | |||
Gossamer Bio, Inc. (a) (b) | 12,300 | 139,113 | |||
Graphite Bio, Inc. (a) | 3,100 | 38,533 | |||
Greenwich Lifesciences, Inc. (a) | 800 | 19,464 | |||
Gritstone bio, Inc. (a) | 9,300 | 119,598 | |||
GT Biopharma, Inc. (a) | 4,200 | 12,810 | |||
Halozyme Therapeutics, Inc. (a) | 27,558 | 1,108,107 | |||
Harpoon Therapeutics, Inc. (a) | 3,490 | 26,350 | |||
Heron Therapeutics, Inc. (a) (b) | 18,217 | 166,321 | |||
Homology Medicines, Inc. (a) (b) | 8,200 | 29,848 | |||
Hookipa Pharma, Inc. (a) | 3,300 | 7,689 |
Security Description | Shares | Value | |||
Horizon Therapeutics Plc (a) | 44,964 | $ 4,845,321 | |||
Humanigen, Inc. (a) | 8,900 | 33,108 | |||
iBio, Inc. (a) (b) | 46,200 | 25,364 | |||
Icosavax, Inc. (a) | 2,600 | 59,488 | |||
Ideaya Biosciences, Inc. (a) | 6,400 | 151,296 | |||
IGM Biosciences, Inc. (a) | 1,600 | 46,928 | |||
Imago Biosciences, Inc. (a) | 1,900 | 45,049 | |||
Immuneering Corp. Class A (a) | 1,600 | 25,872 | |||
Immunic, Inc. (a) | 3,700 | 35,409 | |||
ImmunityBio, Inc. (a) | 13,200 | 80,256 | |||
ImmunoGen, Inc. (a) | 41,076 | 304,784 | |||
Immunovant, Inc. (a) (b) | 7,800 | 66,456 | |||
Impel Neuropharma, Inc. (a) (b) | 1,000 | 8,630 | |||
Infinity Pharmaceuticals, Inc. (a) | 17,300 | 38,925 | |||
Inhibrx, Inc. (a) (b) | 5,500 | 240,185 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 40,611 | 202,649 | |||
Inozyme Pharma, Inc. (a) (b) | 2,800 | 19,096 | |||
Insmed, Inc. (a) | 24,466 | 666,454 | |||
Instil Bio, Inc. (a) (b) | 10,400 | 177,944 | |||
Intellia Therapeutics, Inc. (a) | 14,100 | 1,667,184 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 6,287 | 102,415 | |||
Invitae Corp. (a) (b) | 40,700 | 621,489 | |||
Ionis Pharmaceuticals, Inc. (a) (b) | 29,212 | 888,921 | |||
Iovance Biotherapeutics, Inc. (a) | 31,100 | 593,699 | |||
Ironwood Pharmaceuticals, Inc. (a) | 28,678 | 334,385 | |||
iTeos Therapeutics, Inc. (a) | 3,900 | 181,584 | |||
IVERIC bio, Inc. (a) | 23,400 | 391,248 | |||
Janux Therapeutics, Inc. (a) (b) | 2,600 | 51,298 | |||
Jounce Therapeutics, Inc. (a) | 6,200 | 51,770 | |||
KalVista Pharmaceuticals, Inc. (a) | 5,400 | 71,442 | |||
Karuna Therapeutics, Inc. (a) | 4,524 | 592,644 | |||
Karyopharm Therapeutics, Inc. (a) (b) | 15,200 | 97,736 | |||
Keros Therapeutics, Inc. (a) | 3,047 | 178,280 | |||
Kezar Life Sciences, Inc. (a) | 6,730 | 112,526 | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) | 5,525 | 65,029 | |||
Kinnate Biopharma, Inc. (a) (b) | 5,000 | 88,600 | |||
Kodiak Sciences, Inc. (a) | 6,735 | 570,993 | |||
Kronos Bio, Inc. (a) (b) | 7,500 | 101,925 | |||
Krystal Biotech, Inc. (a) | 3,567 | 249,512 | |||
Kura Oncology, Inc. (a) | 12,600 | 176,400 | |||
Kymera Therapeutics, Inc. (a) | 7,000 | 444,430 | |||
Lexicon Pharmaceuticals, Inc. (a) | 12,921 | 50,909 | |||
Ligand Pharmaceuticals, Inc. (a) | 3,036 | 468,941 | |||
Lineage Cell Therapeutics, Inc. (a) | 23,900 | 58,555 | |||
Lyell Immunopharma, Inc. (a) (b) | 4,500 | 34,830 | |||
MacroGenics, Inc. (a) | 11,834 | 189,936 |
Security Description | Shares | Value | |||
Madrigal Pharmaceuticals, Inc. (a) | 2,559 | $ 216,850 | |||
Magenta Therapeutics, Inc. (a) | 5,600 | 24,808 | |||
MannKind Corp. (a) (b) | 48,500 | 211,945 | |||
MEI Pharma, Inc. (a) | 20,314 | 54,238 | |||
MeiraGTx Holdings PLC (a) (b) | 6,000 | 142,440 | |||
Mersana Therapeutics, Inc. (a) | 13,700 | 85,214 | |||
MiMedx Group, Inc. (a) | 22,000 | 132,880 | |||
Mirati Therapeutics, Inc. (a) | 8,611 | 1,263,148 | |||
Mirum Pharmaceuticals, Inc. (a) | 700 | 11,165 | |||
Molecular Templates, Inc. (a) (b) | 6,715 | 26,323 | |||
Monte Rosa Therapeutics, Inc. (a) | 2,200 | 44,924 | |||
Morphic Holding, Inc. (a) | 4,400 | 208,472 | |||
Mustang Bio, Inc. (a) | 36,405 | 60,432 | |||
Myriad Genetics, Inc. (a) | 16,195 | 446,982 | |||
Natera, Inc. (a) | 17,249 | 1,610,884 | |||
Neoleukin Therapeutics, Inc. (a) | 6,600 | 31,812 | |||
Neurocrine Biosciences, Inc. (a) | 19,022 | 1,620,104 | |||
NexImmune, Inc. (a) | 3,300 | 15,213 | |||
Nkarta, Inc. (a) | 2,700 | 41,445 | |||
Novavax, Inc. (a) (b) | 15,493 | 2,216,584 | |||
Nurix Therapeutics, Inc. (a) (b) | 6,100 | 176,595 | |||
Nuvalent, Inc. Class A (a) | 2,100 | 39,984 | |||
Ocugen, Inc. (a) (b) | 35,800 | 162,890 | |||
Olema Pharmaceuticals, Inc. (a) (b) | 4,900 | 45,864 | |||
Omega Therapeutics, Inc. (a) | 1,400 | 15,862 | |||
Oncocyte Corp. (a) | 22,185 | 48,141 | |||
Oncorus, Inc. (a) (b) | 3,900 | 20,553 | |||
Oncternal Therapeutics, Inc. (a) | 8,600 | 19,522 | |||
OPKO Health, Inc. (a) (b) | 82,418 | 396,431 | |||
Organogenesis Holdings, Inc. (a) (b) | 7,198 | 66,510 | |||
ORIC Pharmaceuticals, Inc. (a) | 6,300 | 92,610 | |||
Outlook Therapeutics, Inc. (a) | 18,000 | 24,480 | |||
Oyster Point Pharma, Inc. (a) (b) | 2,100 | 38,346 | |||
Passage Bio, Inc. (a) | 7,000 | 44,450 | |||
PMV Pharmaceuticals, Inc. (a) (b) | 5,100 | 117,810 | |||
Portage Biotech, Inc. (a) | 1,000 | 10,730 | |||
Poseida Therapeutics, Inc. (a) | 6,300 | 42,903 | |||
Praxis Precision Medicines, Inc. (a) | 6,300 | 124,110 | |||
Precigen, Inc. (a) | 18,141 | 67,303 | |||
Precision BioSciences, Inc. (a) | 9,400 | 69,560 | |||
Prelude Therapeutics, Inc. (a) (b) | 2,100 | 26,145 | |||
Prometheus Biosciences, Inc. (a) | 5,800 | 229,332 | |||
Protagonist Therapeutics, Inc. (a) | 9,302 | 318,128 | |||
Prothena Corp. PLC (a) | 7,100 | 350,740 | |||
PTC Therapeutics, Inc. (a) | 14,600 | 581,518 | |||
Puma Biotechnology, Inc. (a) | 6,407 | 19,477 | |||
Pyxis Oncology, Inc. (a) | 2,400 | 26,328 |
Security Description | Shares | Value | |||
Radius Health, Inc. (a) (b) | 8,855 | $ 61,277 | |||
Rallybio Corp. (a) | 1,400 | 13,356 | |||
Rapt Therapeutics, Inc. (a) | 4,100 | 150,593 | |||
Recursion Pharmaceuticals, Inc. Class A (a) | 23,600 | 404,268 | |||
REGENXBIO, Inc. (a) | 7,800 | 255,060 | |||
Relay Therapeutics, Inc. (a) | 14,300 | 439,153 | |||
Reneo Pharmaceuticals, Inc. (a) (b) | 1,300 | 11,115 | |||
Replimenu Group, Inc. (a) | 5,800 | 157,180 | |||
REVOLUTION Medicines, Inc. (a) (b) | 11,658 | 293,432 | |||
Rhythm Pharmaceuticals, Inc. (a) (b) | 8,500 | 84,830 | |||
Rigel Pharmaceuticals, Inc. (a) | 33,089 | 87,686 | |||
Rocket Pharmaceuticals, Inc. (a) (b) | 8,800 | 192,104 | |||
Rubius Therapeutics, Inc. (a) (b) | 8,800 | 85,184 | |||
Sage Therapeutics, Inc. (a) | 10,772 | 458,241 | |||
Sana Biotechnology, Inc. (a) (b) | 17,000 | 263,160 | |||
Sangamo Therapeutics, Inc. (a) | 23,165 | 173,738 | |||
Sarepta Therapeutics, Inc. (a) | 17,252 | 1,553,543 | |||
Scholar Rock Holding Corp. (a) | 6,145 | 152,642 | |||
Seagen, Inc. (a) | 27,538 | 4,257,375 | |||
Selecta Biosciences, Inc. (a) | 17,100 | 55,746 | |||
Sensei Biotherapeutics, Inc. (a) | 4,100 | 23,780 | |||
Sera Prognostics, Inc. Class A (a) (b) | 900 | 6,183 | |||
Seres Therapeutics, Inc. (a) (b) | 13,446 | 112,005 | |||
Sesen Bio, Inc. (a) (b) | 39,200 | 31,948 | |||
Shattuck Labs, Inc. (a) | 5,100 | 43,401 | |||
Sigilon Therapeutics, Inc. (a) | 3,700 | 10,212 | |||
Silverback Therapeutics, Inc. (a) | 3,800 | 25,308 | |||
Solid Biosciences, Inc. (a) | 11,700 | 20,475 | |||
Sorrento Therapeutics, Inc. (a) (b) | 61,919 | 287,923 | |||
Spectrum Pharmaceuticals, Inc. (a) | 32,032 | 40,681 | |||
Spero Therapeutics, Inc. (a) | 4,893 | 78,337 | |||
SpringWorks Therapeutics, Inc. (a) | 6,000 | 371,880 | |||
Spruce Biosciences, Inc. (a) (b) | 1,500 | 6,690 | |||
SQZ Biotechnologies Co. (a) | 4,400 | 39,292 | |||
Stoke Therapeutics, Inc. (a) | 3,700 | 88,763 | |||
Summit Therapeutics, Inc. (a) | 5,100 | 13,719 | |||
Surface Oncology, Inc. (a) (b) | 6,600 | 31,548 | |||
Sutro Biopharma, Inc. (a) | 8,600 | 127,968 | |||
Syndax Pharmaceuticals, Inc. (a) | 8,920 | 195,259 | |||
Syros Pharmaceuticals, Inc. (a) (b) | 11,100 | 36,186 | |||
Talaris Therapeutics, Inc. (a) | 4,000 | 61,160 | |||
Taysha Gene Therapies, Inc. (a) (b) | 4,300 | 50,095 | |||
TCR2 Therapeutics, Inc. (a) | 6,100 | 28,426 | |||
Tenaya Therapeutics, Inc. (a) | 2,700 | 51,165 | |||
TG Therapeutics, Inc. (a) (b) | 26,545 | 504,355 |
Security Description | Shares | Value | ||||
Tonix Pharmaceuticals Holding Corp. (a) (b) | 75,200 | $ 26,899 | ||||
Travere Therapeutics, Inc. (a) | 12,198 | 378,626 | ||||
Trevena, Inc. (a) | 32,800 | 19,106 | ||||
Turning Point Therapeutics, Inc. (a) | 9,489 | 452,625 | ||||
Twist Bioscience Corp. (a) | 9,612 | 743,873 | ||||
Tyra Biosciences, Inc. (a) | 2,300 | 32,361 | ||||
Ultragenyx Pharmaceutical, Inc. (a) | 13,376 | 1,124,788 | ||||
United Therapeutics Corp. (a) | 8,921 | 1,927,650 | ||||
UroGen Pharma, Ltd. (a) (b) | 4,000 | 38,040 | ||||
Vanda Pharmaceuticals, Inc. (a) | 10,751 | 168,683 | ||||
Vaxart, Inc. (a) | 23,300 | 146,091 | ||||
Vaxcyte, Inc. (a) | 7,900 | 187,941 | ||||
VBI Vaccines, Inc. (a) (b) | 37,306 | 87,296 | ||||
Vera Therapeutics, Inc. (a) | 2,300 | 61,456 | ||||
Veracyte, Inc. (a) | 13,687 | 563,904 | ||||
Verastem, Inc. (a) | 33,600 | 68,880 | ||||
Vericel Corp. (a) (b) | 9,573 | 376,219 | ||||
Verve Therapeutics, Inc. (a) (b) | 3,200 | 117,984 | ||||
Viking Therapeutics, Inc. (a) | 20,514 | 94,364 | ||||
Vincerx Pharma, Inc. (a) | 4,400 | 44,836 | ||||
Vir Biotechnology, Inc. (a) | 12,239 | 512,447 | ||||
Viracta Therapeutics, Inc. (a) | 7,200 | 26,280 | ||||
VistaGen Therapeutics, Inc. (a) | 37,200 | 72,540 | ||||
Vor BioPharma, Inc. (a) | 3,700 | 42,994 | ||||
Werewolf Therapeutics, Inc. (a) (b) | 5,000 | 59,550 | ||||
XBiotech, Inc. | 2,775 | 30,886 | ||||
Xencor, Inc. (a) | 11,785 | 472,814 | ||||
Xilio Therapeutics, Inc. (a) | 2,000 | 32,000 | ||||
XOMA Corp. (a) | 1,200 | 25,020 | ||||
Y-mAbs Therapeutics, Inc. (a) | 7,000 | 113,470 | ||||
Zentalis Pharmaceuticals, Inc. (a) (b) | 7,400 | 622,044 | ||||
ZIOPHARM Oncology, Inc. (a) | 40,456 | 44,097 | ||||
84,602,110 | ||||||
BUILDING PRODUCTS — 1.6% | ||||||
AAON, Inc. | 8,500 | 675,155 | ||||
Advanced Drainage Systems, Inc. | 12,400 | 1,688,012 | ||||
American Woodmark Corp. (a) | 3,256 | 212,291 | ||||
Apogee Enterprises, Inc. | 4,909 | 236,368 | ||||
Armstrong World Industries, Inc. | 9,895 | 1,149,008 | ||||
AZEK Co., Inc. (a) | 23,192 | 1,072,398 | ||||
Builders FirstSource, Inc. (a) | 38,241 | 3,277,636 | ||||
Caesarstone, Ltd. | 4,527 | 51,336 | ||||
Carlisle Cos., Inc. | 10,338 | 2,565,065 | ||||
Cornerstone Building Brands, Inc. (a) | 10,828 | 188,840 | ||||
CSW Industrials, Inc. | 3,071 | 371,161 | ||||
Gibraltar Industries, Inc. (a) | 6,800 | 453,424 | ||||
Griffon Corp. | 9,100 | 259,168 | ||||
Insteel Industries, Inc. | 3,587 | 142,799 | ||||
JELD-WEN Holding, Inc. (a) | 18,509 | 487,897 |
Security Description | Shares | Value | ||||
Lennox International, Inc. | 6,656 | $ 2,158,940 | ||||
Masonite International Corp. (a) | 4,893 | 577,129 | ||||
Owens Corning | 20,281 | 1,835,431 | ||||
PGT Innovations, Inc. (a) | 12,054 | 271,095 | ||||
Quanex Building Products Corp. | 6,650 | 164,787 | ||||
Resideo Technologies, Inc. (a) | 29,677 | 772,492 | ||||
Simpson Manufacturing Co., Inc. | 8,654 | 1,203,512 | ||||
Trex Co., Inc. (a) | 23,405 | 3,160,377 | ||||
UFP Industries, Inc. | 12,110 | 1,114,241 | ||||
View, Inc. (a) (b) | 26,500 | 103,615 | ||||
Zurn water solutions Corp. | 24,390 | 887,796 | ||||
25,079,973 | ||||||
CAPITAL MARKETS — 3.8% | ||||||
Affiliated Managers Group, Inc. | 8,139 | 1,338,947 | ||||
Apollo Global Management, Inc. (b) | 48,507 | 3,513,362 | ||||
Ares Management Corp. Class A | 29,130 | 2,367,395 | ||||
Artisan Partners Asset Management, Inc. Class A | 11,902 | 567,011 | ||||
Assetmark Financial Holdings, Inc. (a) | 3,500 | 91,735 | ||||
Associated Capital Group, Inc. Class A | 500 | 21,500 | ||||
B Riley Financial, Inc. | 3,934 | 349,575 | ||||
BGC Partners, Inc. Class A | 64,900 | 301,785 | ||||
Blackstone, Inc. | 140,300 | 18,153,417 | ||||
Blucora, Inc. (a) | 9,600 | 166,272 | ||||
Brightsphere Investment Group, Inc. | 11,373 | 291,149 | ||||
Carlyle Group, Inc. | 33,340 | 1,830,366 | ||||
Cohen & Steers, Inc. | 5,009 | 463,383 | ||||
Cowen, Inc. Class A | 5,450 | 196,745 | ||||
Diamond Hill Investment Group, Inc. | 568 | 110,323 | ||||
Donnelley Financial Solutions, Inc. (a) | 5,775 | 272,233 | ||||
Evercore, Inc. Class A | 7,641 | 1,038,030 | ||||
Federated Hermes, Inc. | 18,286 | 687,188 | ||||
Focus Financial Partners, Inc. Class A (a) | 12,082 | 721,537 | ||||
GAMCO Investors, Inc. Class A | 982 | 24,530 | ||||
GCM Grosvenor, Inc. Class A | 10,200 | 107,100 | ||||
Greenhill & Co., Inc. | 2,717 | 48,716 | ||||
Hamilton Lane, Inc. Class A | 7,004 | 725,754 | ||||
Houlihan Lokey, Inc. | 10,200 | 1,055,904 | ||||
Interactive Brokers Group, Inc. Class A | 16,175 | 1,284,618 | ||||
Janus Henderson Group PLC | 33,900 | 1,421,766 | ||||
Jefferies Financial Group, Inc. | 43,719 | 1,696,297 | ||||
KKR & Co., Inc. | 114,333 | 8,517,808 | ||||
Lazard, Ltd. Class A | 20,702 | 903,228 | ||||
LPL Financial Holdings, Inc. | 16,306 | 2,610,428 | ||||
Moelis & Co. Class A | 12,400 | 775,124 | ||||
Morningstar, Inc. | 4,797 | 1,640,526 |
Security Description | Shares | Value | ||||
Open Lending Corp. Class A (a) | 21,300 | $ 478,824 | ||||
Oppenheimer Holdings, Inc. Class A | 1,800 | 83,466 | ||||
Piper Sandler Cos. | 3,471 | 619,608 | ||||
PJT Partners, Inc. Class A | 4,772 | 353,557 | ||||
Pzena Investment Management, Inc. Class A | 3,200 | 30,304 | ||||
Sculptor Capital Management, Inc. | 4,285 | 91,485 | ||||
SEI Investments Co. | 21,506 | 1,310,576 | ||||
StepStone Group, Inc. Class A | 7,926 | 329,484 | ||||
Stifel Financial Corp. | 20,416 | 1,437,695 | ||||
StoneX Group, Inc. (a) | 3,303 | 202,309 | ||||
Tradeweb Markets, Inc. Class A | 21,492 | 2,152,209 | ||||
Value Line, Inc. | 200 | 9,364 | ||||
Virtu Financial, Inc. Class A | 18,097 | 521,737 | ||||
Virtus Investment Partners, Inc. | 1,427 | 423,962 | ||||
WisdomTree Investments, Inc. (b) | 27,499 | 168,294 | ||||
61,506,626 | ||||||
CHEMICALS — 1.6% | ||||||
AdvanSix, Inc. | 5,300 | 250,425 | ||||
American Vanguard Corp. | 5,752 | 94,275 | ||||
Amyris, Inc. (a) (b) | 36,700 | 198,547 | ||||
Ashland Global Holdings, Inc. | 11,030 | 1,187,490 | ||||
Avient Corp. | 18,246 | 1,020,864 | ||||
Axalta Coating Systems, Ltd. (a) | 42,600 | 1,410,912 | ||||
Balchem Corp. | 6,586 | 1,110,400 | ||||
Cabot Corp. | 11,498 | 646,188 | ||||
Chase Corp. | 1,496 | 148,942 | ||||
Chemours Co. | 32,943 | 1,105,567 | ||||
Danimer Scientific, Inc. (a) (b) | 17,300 | 147,396 | ||||
Diversey Holdings, Ltd. (a) (b) | 16,500 | 219,615 | ||||
Ecovyst, Inc. | 10,250 | 104,960 | ||||
Element Solutions, Inc. | 47,300 | 1,148,444 | ||||
Ferro Corp. (a) | 16,858 | 368,010 | ||||
FutureFuel Corp. | 5,400 | 41,256 | ||||
GCP Applied Technologies, Inc. (a) | 9,697 | 307,007 | ||||
Hawkins, Inc. | 4,196 | 165,532 | ||||
HB Fuller Co. | 10,499 | 850,419 | ||||
Huntsman Corp. | 42,439 | 1,480,272 | ||||
Ingevity Corp. (a) | 8,038 | 576,325 | ||||
Innospec, Inc. | 5,095 | 460,282 | ||||
Intrepid Potash, Inc. (a) | 1,890 | 80,760 | ||||
Koppers Holdings, Inc. (a) | 4,130 | 129,269 | ||||
Kraton Corp. (a) | 6,185 | 286,489 | ||||
Kronos Worldwide, Inc. | 4,400 | 66,044 | ||||
Livent Corp. (a) (b) | 32,842 | 800,688 | ||||
Marrone Bio Innovations, Inc. (a) | 18,693 | 13,463 | ||||
Minerals Technologies, Inc. | 6,592 | 482,205 | ||||
NewMarket Corp. | 1,323 | 453,419 | ||||
Olin Corp. | 28,947 | 1,665,031 | ||||
Orion Engineered Carbons SA (a) | 12,800 | 235,008 |
Security Description | Shares | Value | ||||
PureCycle Technologies, Inc. (a) (b) | 10,300 | $ 98,571 | ||||
Quaker Chemical Corp. (b) | 2,807 | 647,799 | ||||
Rayonier Advanced Materials, Inc. (a) | 12,600 | 71,946 | ||||
RPM International, Inc. | 25,864 | 2,612,264 | ||||
Scotts Miracle-Gro Co. | 8,344 | 1,343,384 | ||||
Sensient Technologies Corp. | 8,519 | 852,411 | ||||
Stepan Co. | 4,478 | 556,571 | ||||
Tredegar Corp. | 5,307 | 62,729 | ||||
Trinseo PLC | 7,616 | 399,535 | ||||
Tronox Holdings PLC Class A | 23,269 | 559,154 | ||||
Valhi, Inc. | 500 | 14,375 | ||||
Valvoline, Inc. | 36,641 | 1,366,343 | ||||
Westlake Chemical Corp. | 6,896 | 669,808 | ||||
Zymergen, Inc. (a) | 15,400 | 103,026 | ||||
26,613,420 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.0% | ||||||
ABM Industries, Inc. | 13,700 | 559,645 | ||||
ACCO Brands Corp. | 18,442 | 152,331 | ||||
ADT, Inc. (b) | 31,284 | 263,098 | ||||
Aris Water Solution, Inc. Class A (a) | 3,700 | 47,915 | ||||
Brady Corp. Class A | 9,600 | 517,440 | ||||
BrightView Holdings, Inc. (a) | 8,000 | 112,640 | ||||
Brink's Co. | 9,714 | 636,947 | ||||
Casella Waste Systems, Inc. Class A (a) | 10,000 | 854,200 | ||||
CECO Environmental Corp. (a) | 5,843 | 36,402 | ||||
Cimpress PLC (a) | 3,633 | 260,159 | ||||
Clean Harbors, Inc. (a) | 10,153 | 1,012,965 | ||||
CompX International, Inc. | 300 | 6,741 | ||||
CoreCivic, Inc. REIT (a) | 23,625 | 235,541 | ||||
Deluxe Corp. | 8,176 | 262,531 | ||||
Driven Brands Holdings, Inc. (a) | 10,800 | 363,096 | ||||
Ennis, Inc. | 4,897 | 95,638 | ||||
Harsco Corp. (a) | 15,425 | 257,752 | ||||
Healthcare Services Group, Inc. | 15,865 | 282,238 | ||||
Heritage-Crystal Clean, Inc. (a) | 2,934 | 93,947 | ||||
HNI Corp. | 8,989 | 377,988 | ||||
IAA, Inc. (a) | 27,333 | 1,383,597 | ||||
Interface, Inc. | 13,562 | 216,314 | ||||
KAR Auction Services, Inc. (a) | 24,492 | 382,565 | ||||
Kimball International, Inc. Class B | 6,765 | 69,206 | ||||
Matthews International Corp. Class A | 6,031 | 221,157 | ||||
MillerKnoll, Inc. | 14,834 | 581,345 | ||||
Montrose Environmental Group, Inc. (a) | 5,400 | 380,754 | ||||
MSA Safety, Inc. | 7,473 | 1,128,124 | ||||
NL Industries, Inc. | 1,731 | 12,809 | ||||
Pitney Bowes, Inc. | 34,464 | 228,496 | ||||
RR Donnelley & Sons Co. (a) | 13,900 | 156,514 | ||||
SP Plus Corp. (a) | 6,100 | 172,142 | ||||
Steelcase, Inc. Class A | 17,300 | 202,756 |
Security Description | Shares | Value | ||||
Stericycle, Inc. (a) | 18,494 | $ 1,102,982 | ||||
Team, Inc. (a) | 5,500 | 5,995 | ||||
Tetra Tech, Inc. | 10,695 | 1,816,011 | ||||
UniFirst Corp. | 3,005 | 632,252 | ||||
US Ecology, Inc. (a) | 6,061 | 193,588 | ||||
Viad Corp. (a) | 3,954 | 169,192 | ||||
VSE Corp. | 2,080 | 126,755 | ||||
15,611,768 | ||||||
COMMUNICATIONS EQUIPMENT — 0.6% | ||||||
ADTRAN, Inc. | 9,337 | 213,164 | ||||
Aviat Networks, Inc. (a) | 1,900 | 60,952 | ||||
CalAmp Corp. (a) | 7,000 | 49,420 | ||||
Calix, Inc. (a) | 11,200 | 895,664 | ||||
Cambium Networks Corp. (a) | 2,100 | 53,823 | ||||
Casa Systems, Inc. (a) | 5,899 | 33,447 | ||||
Ciena Corp. (a) | 31,197 | 2,401,233 | ||||
Clearfield, Inc. (a) | 2,200 | 185,724 | ||||
CommScope Holding Co., Inc. (a) | 42,055 | 464,287 | ||||
Comtech Telecommunications Corp. | 4,998 | 118,403 | ||||
Digi International, Inc. (a) | 6,670 | 163,882 | ||||
DZS, Inc. (a) | 3,260 | 52,877 | ||||
EMCORE Corp. (a) | 7,000 | 48,860 | ||||
Extreme Networks, Inc. (a) | 26,200 | 411,340 | ||||
Harmonic, Inc. (a) | 19,100 | 224,616 | ||||
Infinera Corp. (a) (b) | 38,200 | 366,338 | ||||
Inseego Corp. (a) (b) | 19,317 | 112,618 | ||||
KVH Industries, Inc. (a) | 3,132 | 28,783 | ||||
Lumentum Holdings, Inc. (a) | 14,682 | 1,552,915 | ||||
NETGEAR, Inc. (a) | 5,889 | 172,018 | ||||
NetScout Systems, Inc. (a) | 14,307 | 473,276 | ||||
Plantronics, Inc. (a) (b) | 8,348 | 244,930 | ||||
Ribbon Communications, Inc. (a) | 13,800 | 83,490 | ||||
Ubiquiti, Inc. (b) | 1,407 | 431,527 | ||||
Viasat, Inc. (a) | 14,111 | 628,504 | ||||
Viavi Solutions, Inc. (a) | 49,258 | 867,926 | ||||
10,340,017 | ||||||
CONSTRUCTION & ENGINEERING — 0.9% | ||||||
AECOM (a) | 27,504 | 2,127,434 | ||||
Ameresco, Inc. Class A (a) | 6,300 | 513,072 | ||||
API Group Corp. (a) | 40,823 | 1,052,009 | ||||
Arcosa, Inc. | 10,186 | 536,802 | ||||
Argan, Inc. | 2,939 | 113,710 | ||||
Comfort Systems USA, Inc. | 7,225 | 714,842 | ||||
Concrete Pumping Holdings, Inc. (a) (b) | 4,831 | 39,614 | ||||
Construction Partners, Inc. Class A (a) | 5,798 | 170,519 | ||||
Dycom Industries, Inc. (a) | 6,052 | 567,436 | ||||
EMCOR Group, Inc. | 10,553 | 1,344,347 | ||||
Fluor Corp. (a) (b) | 28,309 | 701,214 | ||||
Granite Construction, Inc. | 9,379 | 362,967 |
Security Description | Shares | Value | ||||
Great Lakes Dredge & Dock Corp. (a) | 14,050 | $ 220,866 | ||||
IES Holdings, Inc. (a) | 1,700 | 86,088 | ||||
Infrastructure and Energy Alternatives, Inc. (a) | 5,400 | 49,680 | ||||
INNOVATE Corp. (a) (b) | 9,058 | 33,515 | ||||
MasTec, Inc. (a) (b) | 11,372 | 1,049,408 | ||||
Matrix Service Co. (a) | 4,900 | 36,848 | ||||
MYR Group, Inc. (a) | 3,448 | 381,176 | ||||
Northwest Pipe Co. (a) | 2,000 | 63,600 | ||||
NV5 Global, Inc. (a) | 2,744 | 379,001 | ||||
Primoris Services Corp. | 10,554 | 253,085 | ||||
Sterling Construction Co., Inc. (a) | 5,400 | 142,020 | ||||
Tutor Perini Corp. (a) | 8,100 | 100,197 | ||||
Valmont Industries, Inc. | 4,274 | 1,070,637 | ||||
WillScot Mobile Mini Holdings Corp. (a) | 42,713 | 1,744,399 | ||||
13,854,486 | ||||||
CONSTRUCTION MATERIALS — 0.2% | ||||||
Eagle Materials, Inc. | 8,044 | 1,339,004 | ||||
Forterra, Inc. (a) | 6,504 | 154,665 | ||||
Summit Materials, Inc. Class A (a) | 24,012 | 963,842 | ||||
United States Lime & Minerals, Inc. | 581 | 74,961 | ||||
2,532,472 | ||||||
CONSUMER FINANCE — 0.9% | ||||||
Ally Financial, Inc. | 70,812 | 3,371,359 | ||||
Atlanticus Holdings Corp. (a) | 1,000 | 71,320 | ||||
Credit Acceptance Corp. (a) | 1,709 | 1,175,245 | ||||
Curo Group Holdings Corp. | 4,030 | 64,520 | ||||
Encore Capital Group, Inc. (a) (b) | 5,851 | 363,406 | ||||
Enova International, Inc. (a) | 7,100 | 290,816 | ||||
EZCORP, Inc. Class A (a) | 10,000 | 73,700 | ||||
FirstCash Holdings, Inc. | 7,915 | 592,121 | ||||
Green Dot Corp. Class A (a) | 11,100 | 402,264 | ||||
LendingClub Corp. (a) | 20,006 | 483,745 | ||||
LendingTree, Inc. (a) | 2,336 | 286,394 | ||||
Navient Corp. | 30,804 | 653,661 | ||||
Nelnet, Inc. Class A | 3,342 | 326,447 | ||||
OneMain Holdings, Inc. | 22,844 | 1,143,114 | ||||
Oportun Financial Corp. (a) | 4,051 | 82,033 | ||||
PRA Group, Inc. (a) | 8,772 | 440,442 | ||||
Prog Holdings, Inc. | 10,974 | 495,037 | ||||
Regional Management Corp. | 1,600 | 91,936 | ||||
Santander Consumer USA Holdings, Inc. | 12,464 | 523,737 | ||||
SLM Corp. | 59,312 | 1,166,667 | ||||
Upstart Holdings, Inc. (a) | 9,403 | 1,422,674 | ||||
World Acceptance Corp. (a) | 928 | 227,759 | ||||
13,748,397 | ||||||
CONTAINERS & PACKAGING — 0.7% | ||||||
AptarGroup, Inc. | 13,375 | 1,638,170 |
Security Description | Shares | Value | ||||
Ardagh Group SA (a) (b) | 3,500 | $ 79,013 | ||||
Ardagh Metal Packaging SA (a) | 30,100 | 271,803 | ||||
Berry Global Group, Inc. (a) | 27,687 | 2,042,747 | ||||
Crown Holdings, Inc. | 25,210 | 2,788,730 | ||||
Graphic Packaging Holding Co. | 58,167 | 1,134,256 | ||||
Greif, Inc. Class A | 4,900 | 295,813 | ||||
Greif, Inc. Class B | 1,242 | 74,247 | ||||
Myers Industries, Inc. | 7,195 | 143,972 | ||||
O-I Glass, Inc. (a) | 30,928 | 372,064 | ||||
Pactiv Evergreen, Inc. | 8,500 | 107,780 | ||||
Ranpak Holdings Corp. (a) | 7,300 | 274,334 | ||||
Silgan Holdings, Inc. | 16,968 | 726,909 | ||||
Sonoco Products Co. | 19,978 | 1,156,526 | ||||
TriMas Corp. | 8,506 | 314,722 | ||||
UFP Technologies, Inc. (a) | 1,400 | 98,364 | ||||
11,519,450 | ||||||
DISTRIBUTORS — 0.0% (c) | ||||||
Funko, Inc. Class A (a) | 5,050 | 94,940 | ||||
Greenlane Holdings, Inc. Class A (a) | 3,800 | 3,664 | ||||
98,604 | ||||||
DIVERSIFIED CONSUMER SERVICES — 0.8% | ||||||
2U, Inc. (a) (b) | 15,127 | 303,599 | ||||
Adtalem Global Education, Inc. (a) | 9,774 | 288,919 | ||||
American Public Education, Inc. (a) | 3,700 | 82,325 | ||||
Bright Horizons Family Solutions, Inc. (a) | 12,402 | 1,561,164 | ||||
Carriage Services, Inc. | 3,196 | 205,950 | ||||
Chegg, Inc. (a) | 29,557 | 907,400 | ||||
Coursera, Inc. (a) | 14,900 | 364,156 | ||||
European Wax Center, Inc. Class A (a) | 2,600 | 78,910 | ||||
Frontdoor, Inc. (a) | 17,311 | 634,448 | ||||
Graham Holdings Co. Class B | 803 | 505,753 | ||||
Grand Canyon Education, Inc. (a) | 7,978 | 683,794 | ||||
H&R Block, Inc. | 35,926 | 846,417 | ||||
Houghton Mifflin Harcourt Co. (a) | 25,999 | 418,584 | ||||
Laureate Education, Inc. Class A | 19,170 | 234,641 | ||||
Mister Car Wash, Inc. (a) | 16,200 | 295,002 | ||||
OneSpaWorld Holdings, Ltd. (a) | 10,100 | 101,202 | ||||
Perdoceo Education Corp. (a) | 13,612 | 160,077 | ||||
PowerSchool Holdings, Inc. Class A (a) | 10,400 | 171,288 | ||||
Regis Corp. (a) (b) | 5,706 | 9,928 | ||||
Service Corp. International | 32,383 | 2,298,869 | ||||
StoneMor, Inc. (a) | 6,000 | 13,680 | ||||
Strategic Education, Inc. | 4,746 | 274,509 | ||||
Stride, Inc. (a) | 8,505 | 283,472 | ||||
Terminix Global Holdings, Inc. (a) | 24,973 | 1,129,529 | ||||
Udemy, Inc. (a) | 2,700 | 52,758 |
Security Description | Shares | Value | ||||
Vivint Smart Home, Inc. (a) | 18,013 | $ 176,167 | ||||
WW International, Inc. (a) | 10,400 | 167,752 | ||||
12,250,293 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | ||||||
Alerus Financial Corp. | 2,976 | 87,137 | ||||
A-Mark Precious Metals, Inc. | 1,700 | 103,870 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 6,200 | 102,920 | ||||
Cannae Holdings, Inc. (a) | 16,600 | 583,490 | ||||
Equitable Holdings, Inc. | 74,046 | 2,427,969 | ||||
Marlin Business Services Corp. | 1,700 | 39,576 | ||||
Voya Financial, Inc. (b) | 22,162 | 1,469,562 | ||||
4,814,524 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% | ||||||
Anterix, Inc. (a) | 2,507 | 147,311 | ||||
ATN International, Inc. | 2,757 | 110,142 | ||||
Bandwidth, Inc. Class A (a) (b) | 4,802 | 344,592 | ||||
Cogent Communications Holdings, Inc. | 8,696 | 636,373 | ||||
Consolidated Communications Holdings, Inc. (a) | 14,349 | 107,331 | ||||
EchoStar Corp. Class A (a) | 7,741 | 203,975 | ||||
Globalstar, Inc. (a) (b) | 120,200 | 139,432 | ||||
IDT Corp. Class B (a) | 3,900 | 172,224 | ||||
Iridium Communications, Inc. (a) | 23,575 | 973,412 | ||||
Liberty Latin America, Ltd. Class A (a) | 8,788 | 102,468 | ||||
Liberty Latin America, Ltd. Class C (a) | 29,600 | 337,440 | ||||
Ooma, Inc. (a) | 5,100 | 104,244 | ||||
Radius Global Infrastructure, Inc. Class A (a) | 12,600 | 202,860 | ||||
Telesat Corp. (a) (b) | 2,500 | 71,675 | ||||
3,653,479 | ||||||
ELECTRIC UTILITIES — 0.7% | ||||||
ALLETE, Inc. | 10,262 | 680,884 | ||||
Avangrid, Inc. (b) | 11,809 | 589,033 | ||||
Hawaiian Electric Industries, Inc. | 21,083 | 874,945 | ||||
IDACORP, Inc. | 10,238 | 1,160,068 | ||||
MGE Energy, Inc. | 7,462 | 613,750 | ||||
OGE Energy Corp. | 39,938 | 1,532,820 | ||||
Otter Tail Corp. | 8,376 | 598,214 | ||||
PG&E Corp. (a) | 310,581 | 3,770,453 | ||||
PNM Resources, Inc. | 17,154 | 782,394 | ||||
Portland General Electric Co. | 18,158 | 960,921 | ||||
Via Renewables, Inc. (b) | 2,496 | 28,529 | ||||
11,592,011 | ||||||
ELECTRICAL EQUIPMENT — 1.5% | ||||||
Acuity Brands, Inc. | 6,982 | 1,478,229 | ||||
Advent Technologies Holdings, Inc. (a) (b) | 3,100 | 21,731 |
Security Description | Shares | Value | ||||
Allied Motion Technologies, Inc. | 2,243 | $ 81,847 | ||||
American Superconductor Corp. (a) | 5,400 | 58,752 | ||||
Array Technologies, Inc. (a) | 26,300 | 412,647 | ||||
Atkore, Inc. (a) | 9,200 | 1,022,948 | ||||
AZZ, Inc. | 5,293 | 292,650 | ||||
Babcock & Wilcox Enterprises, Inc. (a) | 10,700 | 96,514 | ||||
Beam Global (a) (b) | 1,900 | 35,340 | ||||
Blink Charging Co. (a) (b) | 7,100 | 188,221 | ||||
Bloom Energy Corp. Class A (a) (b) | 29,376 | 644,216 | ||||
ChargePoint Holdings, Inc. (a) (b) | 46,300 | 882,015 | ||||
Encore Wire Corp. | 3,934 | 562,955 | ||||
EnerSys | 8,641 | 683,158 | ||||
Eos Energy Enterprises, Inc. (a) (b) | 8,300 | 62,416 | ||||
Fluence Energy, Inc. (a) | 7,300 | 259,588 | ||||
FTC Solar, Inc. (a) (b) | 3,700 | 27,972 | ||||
FuelCell Energy, Inc. (a) (b) | 75,277 | 391,440 | ||||
GrafTech International, Ltd. | 40,150 | 474,975 | ||||
Hubbell, Inc. | 10,947 | 2,279,932 | ||||
nVent Electric PLC | 33,600 | 1,276,800 | ||||
Plug Power, Inc. (a) (b) | 105,488 | 2,977,926 | ||||
Powell Industries, Inc. | 1,900 | 56,031 | ||||
Preformed Line Products Co. | 600 | 38,820 | ||||
Regal Rexnord Corp. | 13,645 | 2,322,106 | ||||
Romeo Power, Inc. (a) (b) | 24,600 | 89,790 | ||||
Sensata Technologies Holding PLC (a) | 31,947 | 1,970,810 | ||||
Shoals Technologies Group, Inc. Class A (a) (b) | 21,300 | 517,590 | ||||
Stem, Inc. (a) (b) | 23,100 | 438,207 | ||||
Sunrun, Inc. (a) (b) | 40,989 | 1,405,923 | ||||
Thermon Group Holdings, Inc. (a) | 6,580 | 111,399 | ||||
TPI Composites, Inc. (a) | 7,000 | 104,720 | ||||
Vertiv Holdings Co. | 66,200 | 1,653,014 | ||||
Vicor Corp. (a) | 4,376 | 555,665 | ||||
23,476,347 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.7% | ||||||
908 Devices, Inc. (a) | 3,500 | 90,545 | ||||
Advanced Energy Industries, Inc. | 7,754 | 706,079 | ||||
Aeva Technologies, Inc. (a) (b) | 20,200 | 152,712 | ||||
Akoustis Technologies, Inc. (a) (b) | 13,400 | 89,512 | ||||
Arlo Technologies, Inc. (a) | 18,017 | 188,998 | ||||
Arrow Electronics, Inc. (a) | 13,894 | 1,865,547 | ||||
Avnet, Inc. | 19,897 | 820,353 | ||||
Badger Meter, Inc. | 5,876 | 626,147 | ||||
Belden, Inc. | 8,763 | 575,992 | ||||
Benchmark Electronics, Inc. | 6,931 | 187,830 | ||||
Cognex Corp. | 34,671 | 2,696,017 |
Security Description | Shares | Value | ||||
Coherent, Inc. (a) | 4,938 | $ 1,316,175 | ||||
CTS Corp. | 6,787 | 249,219 | ||||
Daktronics, Inc. (a) | 6,945 | 35,072 | ||||
ePlus, Inc. (a) | 5,236 | 282,116 | ||||
Fabrinet (a) | 7,400 | 876,678 | ||||
FARO Technologies, Inc. (a) | 3,588 | 251,232 | ||||
Identiv, Inc. (a) | 4,200 | 118,188 | ||||
II-VI, Inc. (a) (b) | 21,066 | 1,439,440 | ||||
Insight Enterprises, Inc. (a) | 6,978 | 743,855 | ||||
Iteris, Inc. (a) | 8,000 | 32,000 | ||||
Itron, Inc. (a) | 9,299 | 637,167 | ||||
Jabil, Inc. | 29,767 | 2,094,108 | ||||
Kimball Electronics, Inc. (a) | 4,744 | 103,229 | ||||
Knowles Corp. (a) | 18,268 | 426,558 | ||||
Littelfuse, Inc. | 4,899 | 1,541,617 | ||||
Luna Innovations, Inc. (a) | 5,800 | 48,952 | ||||
Methode Electronics, Inc. | 7,880 | 387,460 | ||||
MicroVision, Inc. (a) (b) | 31,800 | 159,318 | ||||
Napco Security Technologies, Inc. (a) | 2,778 | 138,844 | ||||
National Instruments Corp. | 26,982 | 1,178,304 | ||||
nLight, Inc. (a) | 9,188 | 220,053 | ||||
Novanta, Inc. (a) | 7,126 | 1,256,528 | ||||
OSI Systems, Inc. (a) | 3,539 | 329,835 | ||||
Ouster, Inc. (a) (b) | 30,300 | 157,560 | ||||
PAR Technology Corp. (a) (b) | 5,300 | 279,681 | ||||
PC Connection, Inc. | 2,260 | 97,474 | ||||
Plexus Corp. (a) | 5,700 | 546,573 | ||||
Rogers Corp. (a) | 3,795 | 1,036,035 | ||||
Sanmina Corp. (a) | 12,675 | 525,505 | ||||
ScanSource, Inc. (a) | 4,909 | 172,208 | ||||
TD SYNNEX Corp. | 8,384 | 958,794 | ||||
TTM Technologies, Inc. (a) | 20,500 | 305,450 | ||||
Velodyne Lidar, Inc. (a) (b) | 14,700 | 68,208 | ||||
Vishay Intertechnology, Inc. | 26,545 | 580,539 | ||||
Vishay Precision Group, Inc. (a) | 2,400 | 89,088 | ||||
Vontier Corp. | 34,200 | 1,050,966 | ||||
27,733,761 | ||||||
ENERGY EQUIPMENT & SERVICES — 0.4% | ||||||
Archrock, Inc. | 26,842 | 200,778 | ||||
Aspen Aerogels, Inc. (a) | 4,300 | 214,097 | ||||
Bristow Group, Inc. (a) | 4,633 | 146,727 | ||||
Cactus, Inc. Class A | 11,243 | 428,696 | ||||
ChampionX Corp. (a) | 39,700 | 802,337 | ||||
DMC Global, Inc. (a) | 3,600 | 142,596 | ||||
Dril-Quip, Inc. (a) | 8,975 | 176,628 | ||||
Expro Group Holdings NV (a) (b) | 8,783 | 126,036 | ||||
FTS International, Inc. Class A (a) | 1,700 | 44,625 | ||||
Helix Energy Solutions Group, Inc. (a) | 29,609 | 92,380 | ||||
Helmerich & Payne, Inc. | 21,400 | 507,180 | ||||
Liberty Oilfield Services, Inc. Class A (a) | 17,600 | 170,720 | ||||
Nabors Industries, Ltd. (a) | 1,427 | 115,716 |
Security Description | Shares | Value | ||||
National Energy Services Reunited Corp. (a) (b) | 7,400 | $ 69,930 | ||||
Newpark Resources, Inc. (a) | 18,500 | 54,390 | ||||
NexTier Oilfield Solutions, Inc. (a) | 33,198 | 117,853 | ||||
Nov, Inc. | 78,700 | 1,066,385 | ||||
Oceaneering International, Inc. (a) | 19,281 | 218,068 | ||||
Oil States International, Inc. (a) | 19,666 | 97,740 | ||||
Patterson-UTI Energy, Inc. | 36,560 | 308,932 | ||||
ProPetro Holding Corp. (a) | 16,699 | 135,262 | ||||
RPC, Inc. (a) | 13,010 | 59,065 | ||||
Select Energy Services, Inc. Class A (a) | 11,892 | 74,087 | ||||
Solaris Oilfield Infrastructure, Inc. Class A | 6,200 | 40,610 | ||||
TETRA Technologies, Inc. (a) | 24,300 | 69,012 | ||||
Tidewater, Inc. (a) | 8,225 | 88,090 | ||||
US Silica Holdings, Inc. (a) | 14,588 | 137,127 | ||||
5,705,067 | ||||||
ENTERTAINMENT — 1.4% | ||||||
AMC Entertainment Holdings, Inc. Class A (a) | 104,311 | 2,837,259 | ||||
Chicken Soup For The Soul Entertainment, Inc. (a) | 2,000 | 27,680 | ||||
Cinemark Holdings, Inc. (a) (b) | 22,438 | 361,701 | ||||
CuriosityStream, Inc. (a) | 4,900 | 29,057 | ||||
Eros STX Global Corp. (a) (b) | 62,947 | 15,088 | ||||
IMAX Corp. (a) | 9,733 | 173,637 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) (b) | 2,938 | 84,467 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 6,975 | 195,997 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) | 4,801 | 284,891 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 40,786 | 2,579,307 | ||||
Lions Gate Entertainment Corp. Class A (a) | 13,224 | 220,047 | ||||
Lions Gate Entertainment Corp. Class B (a) | 22,489 | 346,106 | ||||
Liveone, Inc. (a) | 11,099 | 14,207 | ||||
Madison Square Garden Entertainment Corp. (a) (b) | 5,126 | 360,563 | ||||
Madison Square Garden Sports Corp. (a) | 3,973 | 690,229 | ||||
Marcus Corp. (a) (b) | 7,237 | 129,253 | ||||
Playtika Holding Corp. (a) | 21,900 | 378,651 | ||||
Roku, Inc. (a) (b) | 24,223 | 5,527,689 | ||||
Skillz, Inc. (a) (b) | 64,300 | 478,392 | ||||
Spotify Technology SA (a) | 28,156 | 6,589,349 | ||||
World Wrestling Entertainment, Inc. Class A (b) | 9,142 | 451,066 | ||||
Zynga, Inc. Class A (a) | 211,832 | 1,355,725 | ||||
23,130,361 |
Security Description | Shares | Value | ||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs) — 6.8% | ||||||
Acadia Realty Trust REIT | 16,947 | $ 369,953 | ||||
Agree Realty Corp. REIT (b) | 13,956 | 995,900 | ||||
Alexander & Baldwin, Inc. REIT (a) | 14,238 | 357,231 | ||||
Alexander's, Inc. REIT | 502 | 130,671 | ||||
American Assets Trust, Inc. REIT | 9,817 | 368,432 | ||||
American Campus Communities, Inc. REIT | 27,709 | 1,587,449 | ||||
American Finance Trust, Inc. REIT | 23,344 | 213,131 | ||||
American Homes 4 Rent Class A REIT | 57,716 | 2,516,995 | ||||
Americold Realty Trust REIT (b) | 54,966 | 1,802,335 | ||||
Apartment Income REIT Corp. | 31,600 | 1,727,572 | ||||
Apartment Investment & Management Co. Class A REIT (a) | 29,100 | 224,652 | ||||
Apple Hospitality REIT, Inc. | 42,100 | 679,915 | ||||
Armada Hoffler Properties, Inc. REIT | 11,800 | 179,596 | ||||
Ashford Hospitality Trust, Inc. REIT (a) (b) | 3,510 | 33,696 | ||||
Braemar Hotels & Resorts, Inc. REIT (a) | 10,300 | 52,530 | ||||
Brandywine Realty Trust REIT | 33,100 | 444,202 | ||||
Brixmor Property Group, Inc. REIT | 60,748 | 1,543,607 | ||||
Broadstone Net Lease, Inc. REIT (b) | 31,919 | 792,230 | ||||
BRT Apartments Corp. REIT | 2,200 | 52,778 | ||||
Camden Property Trust REIT | 19,866 | 3,549,657 | ||||
CareTrust REIT, Inc. | 20,028 | 457,239 | ||||
CatchMark Timber Trust, Inc. Class A REIT | 10,100 | 87,971 | ||||
Centerspace REIT | 2,965 | 328,819 | ||||
Chatham Lodging Trust REIT (a) | 9,160 | 125,675 | ||||
City Office REIT, Inc. | 8,400 | 165,648 | ||||
Clipper Realty, Inc. REIT | 4,893 | 48,636 | ||||
Community Healthcare Trust, Inc. REIT | 5,247 | 248,026 | ||||
CorePoint Lodging, Inc. REIT (a) | 7,680 | 120,576 | ||||
Corporate Office Properties Trust REIT | 22,800 | 637,716 | ||||
Cousins Properties, Inc. REIT | 29,629 | 1,193,456 | ||||
CTO Realty Growth, Inc. REIT (b) | 1,245 | 76,468 | ||||
CubeSmart REIT | 43,988 | 2,503,357 | ||||
CyrusOne, Inc. REIT | 25,682 | 2,304,189 | ||||
DiamondRock Hospitality Co. REIT (a) | 41,200 | 395,932 | ||||
DigitalBridge Group, Inc. REIT (a) | 98,318 | 818,989 | ||||
Diversified Healthcare Trust REIT | 46,677 | 144,232 |
Security Description | Shares | Value | |||
Douglas Emmett, Inc. REIT | 33,737 | $ 1,130,190 | |||
Easterly Government Properties, Inc. REIT | 18,200 | 417,144 | |||
EastGroup Properties, Inc. REIT | 7,958 | 1,813,230 | |||
Empire State Realty Trust, Inc. Class A REIT | 28,224 | 251,194 | |||
EPR Properties REIT | 15,449 | 733,673 | |||
Equity Commonwealth REIT (a) | 23,081 | 597,798 | |||
Equity LifeStyle Properties, Inc. REIT | 35,572 | 3,118,242 | |||
Essential Properties Realty Trust, Inc. REIT | 24,313 | 700,944 | |||
Farmland Partners, Inc. REIT | 5,800 | 69,310 | |||
First Industrial Realty Trust, Inc. REIT | 25,715 | 1,702,333 | |||
Four Corners Property Trust, Inc. REIT | 15,609 | 459,061 | |||
Franklin Street Properties Corp. REIT | 20,083 | 119,494 | |||
Gaming and Leisure Properties, Inc. REIT | 46,264 | 2,251,206 | |||
GEO Group, Inc. REIT (a) (b) | 23,280 | 180,420 | |||
Getty Realty Corp. REIT | 8,574 | 275,140 | |||
Gladstone Commercial Corp. REIT | 8,130 | 209,510 | |||
Gladstone Land Corp. REIT (b) | 6,200 | 209,312 | |||
Global Medical REIT, Inc. | 13,000 | 230,750 | |||
Global Net Lease, Inc. REIT | 21,482 | 328,245 | |||
Healthcare Realty Trust, Inc. REIT | 29,503 | 933,475 | |||
Healthcare Trust of America, Inc. Class A REIT | 44,796 | 1,495,738 | |||
Hersha Hospitality Trust REIT (a) | 9,876 | 90,563 | |||
Highwoods Properties, Inc. REIT | 20,770 | 926,134 | |||
Hudson Pacific Properties, Inc. REIT | 30,637 | 757,040 | |||
Independence Realty Trust, Inc. REIT | 21,373 | 552,065 | |||
Indus Realty Trust, Inc. REIT | 1,162 | 94,192 | |||
Industrial Logistics Properties Trust REIT | 12,728 | 318,836 | |||
Innovative Industrial Properties, Inc. REIT (b) | 4,833 | 1,270,644 | |||
Invitation Homes, Inc. REIT | 121,962 | 5,529,757 | |||
iStar, Inc. REIT (b) | 13,875 | 358,391 | |||
JBG SMITH Properties REIT | 25,122 | 721,253 | |||
Kilroy Realty Corp. REIT | 23,363 | 1,552,705 | |||
Kite Realty Group Trust REIT | 43,852 | 955,097 | |||
Lamar Advertising Co. Class A REIT | 17,455 | 2,117,291 | |||
Life Storage, Inc. REIT | 16,457 | 2,520,883 | |||
LTC Properties, Inc. REIT (b) | 9,024 | 308,079 | |||
LXP Industrial Trust REIT | 56,300 | 879,406 | |||
Macerich Co. REIT | 41,958 | 725,034 | |||
Medical Properties Trust, Inc. REIT | 119,161 | 2,815,774 |
Security Description | Shares | Value | |||
Monmouth Real Estate Investment Corp. REIT | 19,617 | $ 412,153 | |||
National Health Investors, Inc. REIT | 9,045 | 519,816 | |||
National Retail Properties, Inc. REIT | 35,163 | 1,690,285 | |||
National Storage Affiliates Trust REIT | 16,110 | 1,114,812 | |||
NETSTREIT Corp. | 8,600 | 196,940 | |||
NexPoint Residential Trust, Inc. REIT | 4,348 | 364,493 | |||
Office Properties Income Trust REIT | 9,327 | 231,683 | |||
Omega Healthcare Investors, Inc. REIT | 48,307 | 1,429,404 | |||
One Liberty Properties, Inc. REIT | 3,138 | 110,709 | |||
Orion Office REIT, Inc. (a) | 11,100 | 207,237 | |||
Outfront Media, Inc. REIT | 29,467 | 790,305 | |||
Paramount Group, Inc. REIT | 39,753 | 331,540 | |||
Park Hotels & Resorts, Inc. REIT (a) | 47,534 | 897,442 | |||
Pebblebrook Hotel Trust REIT | 25,857 | 578,421 | |||
Phillips Edison & Co., Inc. REIT | 3,600 | 118,944 | |||
Physicians Realty Trust REIT | 43,931 | 827,221 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 24,205 | 444,888 | |||
Plymouth Industrial REIT, Inc. | 7,700 | 246,400 | |||
Postal Realty Trust, Inc. Class A REIT | 3,400 | 67,320 | |||
PotlatchDeltic Corp. REIT | 13,128 | 790,568 | |||
Preferred Apartment Communities, Inc. Class A REIT (b) | 9,897 | 178,740 | |||
PS Business Parks, Inc. REIT | 4,049 | 745,704 | |||
Rayonier, Inc. REIT | 28,727 | 1,159,422 | |||
Retail Opportunity Investments Corp. REIT | 24,200 | 474,320 | |||
Retail Value, Inc. REIT | 3,996 | 25,654 | |||
Rexford Industrial Realty, Inc. REIT | 30,443 | 2,469,232 | |||
RLJ Lodging Trust REIT | 32,655 | 454,884 | |||
RPT Realty REIT | 22,300 | 298,374 | |||
Ryman Hospitality Properties, Inc. REIT (a) | 10,927 | 1,004,847 | |||
Sabra Health Care REIT, Inc. | 45,655 | 618,169 | |||
Safehold, Inc. REIT | 4,547 | 363,078 | |||
Saul Centers, Inc. REIT | 2,300 | 121,946 | |||
Seritage Growth Properties Class A REIT (a) (b) | 7,138 | 94,721 | |||
Service Properties Trust REIT | 31,874 | 280,172 | |||
SITE Centers Corp. REIT | 33,801 | 535,070 | |||
SL Green Realty Corp. REIT | 14,100 | 1,010,970 | |||
Spirit Realty Capital, Inc. REIT | 24,648 | 1,187,787 | |||
STAG Industrial, Inc. REIT | 35,350 | 1,695,386 | |||
STORE Capital Corp. REIT | 49,223 | 1,693,271 | |||
Summit Hotel Properties, Inc. REIT (a) | 20,200 | 197,152 |
Security Description | Shares | Value | ||||
Sun Communities, Inc. REIT | 23,521 | $ 4,938,704 | ||||
Sunstone Hotel Investors, Inc. REIT (a) | 44,319 | 519,862 | ||||
Tanger Factory Outlet Centers, Inc. REIT | 20,987 | 404,629 | ||||
Terreno Realty Corp. REIT | 14,824 | 1,264,339 | ||||
UMH Properties, Inc. REIT | 8,200 | 224,106 | ||||
Uniti Group, Inc. REIT (b) | 40,570 | 568,386 | ||||
Universal Health Realty Income Trust REIT | 2,888 | 171,749 | ||||
Urban Edge Properties REIT | 23,400 | 444,600 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 5,640 | 120,132 | ||||
Veris Residential, Inc. REIT (a) | 17,047 | 313,324 | ||||
VICI Properties, Inc. REIT (b) | 128,693 | 3,874,946 | ||||
Washington Real Estate Investment Trust | 17,402 | 449,842 | ||||
Whitestone REIT | 15,100 | 152,963 | ||||
WP Carey, Inc. REIT | 37,767 | 3,098,782 | ||||
Xenia Hotels & Resorts, Inc. REIT (a) | 22,400 | 405,664 | ||||
109,930,522 | ||||||
FOOD & STAPLES RETAILING — 0.7% | ||||||
Albertsons Cos., Inc. Class A | 32,000 | 966,080 | ||||
Andersons, Inc. | 6,185 | 239,421 | ||||
BJ's Wholesale Club Holdings, Inc. (a) | 27,300 | 1,828,281 | ||||
Casey's General Stores, Inc. | 7,475 | 1,475,191 | ||||
Chefs' Warehouse, Inc. (a) | 6,200 | 206,460 | ||||
Grocery Outlet Holding Corp. (a) (b) | 17,945 | 507,485 | ||||
HF Foods Group, Inc. (a) (b) | 6,900 | 58,374 | ||||
Ingles Markets, Inc. Class A | 2,956 | 255,221 | ||||
MedAvail Holdings, Inc. (a) (b) | 2,400 | 3,360 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 1,700 | 24,225 | ||||
Performance Food Group Co. (a) | 30,194 | 1,385,603 | ||||
PriceSmart, Inc. | 4,891 | 357,874 | ||||
Rite Aid Corp. (a) (b) | 11,866 | 174,312 | ||||
SpartanNash Co. | 7,209 | 185,704 | ||||
Sprouts Farmers Market, Inc. (a) | 22,275 | 661,122 | ||||
United Natural Foods, Inc. (a) | 11,299 | 554,555 | ||||
US Foods Holding Corp. (a) | 45,454 | 1,583,163 | ||||
Village Super Market, Inc. Class A | 1,669 | 39,038 | ||||
Weis Markets, Inc. | 3,215 | 211,804 | ||||
10,717,273 | ||||||
FOOD PRODUCTS — 1.1% | ||||||
AppHarvest, Inc. (a) (b) | 13,400 | 52,126 | ||||
B&G Foods, Inc. | 13,100 | 402,563 | ||||
Beyond Meat, Inc. (a) (b) | 11,862 | 772,928 | ||||
Bunge, Ltd. | 28,021 | 2,616,041 | ||||
Calavo Growers, Inc. | 3,781 | 160,314 | ||||
Cal-Maine Foods, Inc. (a) | 8,462 | 313,009 |
Security Description | Shares | Value | ||||
Darling Ingredients, Inc. (a) | 32,705 | $ 2,266,129 | ||||
Flowers Foods, Inc. | 38,131 | 1,047,459 | ||||
Fresh Del Monte Produce, Inc. | 6,547 | 180,697 | ||||
Freshpet, Inc. (a) | 8,442 | 804,269 | ||||
Hain Celestial Group, Inc. (a) (b) | 18,301 | 779,806 | ||||
Hostess Brands, Inc. (a) | 27,900 | 569,718 | ||||
Ingredion, Inc. | 13,457 | 1,300,484 | ||||
J&J Snack Foods Corp. | 2,991 | 472,458 | ||||
John B Sanfilippo & Son, Inc. | 1,870 | 168,599 | ||||
Laird Superfood, Inc. (a) | 1,100 | 14,344 | ||||
Lancaster Colony Corp. | 3,866 | 640,210 | ||||
Landec Corp. (a) | 4,900 | 54,390 | ||||
Limoneira Co. | 2,900 | 43,500 | ||||
Mission Produce, Inc. (a) (b) | 7,200 | 113,040 | ||||
Pilgrim's Pride Corp. (a) | 9,221 | 260,032 | ||||
Post Holdings, Inc. (a) | 11,913 | 1,342,953 | ||||
Sanderson Farms, Inc. | 4,066 | 776,931 | ||||
Seaboard Corp. | 53 | 208,556 | ||||
Seneca Foods Corp. Class A (a) | 1,249 | 59,890 | ||||
Simply Good Foods Co. (a) | 17,200 | 715,004 | ||||
Sovos Brands, Inc. (a) | 5,000 | 75,250 | ||||
Tattooed Chef, Inc. (a) (b) | 9,100 | 141,414 | ||||
Tootsie Roll Industries, Inc. (b) | 3,286 | 119,052 | ||||
TreeHouse Foods, Inc. (a) | 10,581 | 428,848 | ||||
Utz Brands, Inc. (b) | 12,500 | 199,375 | ||||
Vita Coco Co. Inc (a) | 2,200 | 24,574 | ||||
Vital Farms, Inc. (a) | 4,900 | 88,494 | ||||
Whole Earth Brands, Inc. (a) (b) | 7,400 | 79,476 | ||||
17,291,933 | ||||||
GAS UTILITIES — 0.5% | ||||||
Brookfield Infrastructure Corp. Class A (b) | 12,682 | 865,673 | ||||
Chesapeake Utilities Corp. | 3,521 | 513,397 | ||||
National Fuel Gas Co. | 17,570 | 1,123,426 | ||||
New Jersey Resources Corp. | 19,344 | 794,265 | ||||
Northwest Natural Holding Co. | 6,182 | 301,558 | ||||
ONE Gas, Inc. | 10,621 | 824,083 | ||||
South Jersey Industries, Inc. | 20,462 | 534,467 | ||||
Southwest Gas Holdings, Inc. (a) | 11,739 | 822,317 | ||||
Spire, Inc. | 9,939 | 648,222 | ||||
UGI Corp. | 41,735 | 1,916,054 | ||||
8,343,462 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.3% | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 7,000 | 36,540 | ||||
Accuray, Inc. (a) | 17,821 | 85,006 | ||||
Acutus Medical, Inc. (a) (b) | 4,200 | 14,322 | ||||
Alphatec Holdings, Inc. (a) (b) | 13,900 | 158,877 | ||||
AngioDynamics, Inc. (a) | 7,197 | 198,493 | ||||
Apyx Medical Corp. (a) | 6,195 | 79,420 | ||||
Asensus Surgical, Inc. (a) (b) | 44,300 | 49,173 | ||||
Aspira Women's Health, Inc. (a) (b) | 14,600 | 25,842 |
Security Description | Shares | Value | |||
AtriCure, Inc. (a) | 9,100 | $ 632,723 | |||
Atrion Corp. | 268 | 188,913 | |||
Avanos Medical, Inc. (a) | 9,500 | 329,365 | |||
AxoGen, Inc. (a) | 7,300 | 68,401 | |||
Axonics, Inc. (a) | 9,363 | 524,328 | |||
BioLife Solutions, Inc. (a) | 1,920 | 71,558 | |||
Bioventus, Inc. Class A (a) (b) | 5,199 | 75,334 | |||
Butterfly Network, Inc. (a) (b) | 26,600 | 177,954 | |||
Cardiovascular Systems, Inc. (a) | 8,550 | 160,569 | |||
Cerus Corp. (a) | 33,209 | 226,153 | |||
ClearPoint Neuro, Inc. (a) (b) | 3,700 | 41,514 | |||
CONMED Corp. | 5,900 | 836,384 | |||
CryoLife, Inc. (a) | 7,292 | 148,392 | |||
CryoPort, Inc. (a) (b) | 8,300 | 491,111 | |||
Cue Health, Inc. (a) | 2,800 | 37,548 | |||
Cutera, Inc. (a) (b) | 3,500 | 144,620 | |||
CVRx, Inc. (a) | 1,500 | 18,345 | |||
CytoSorbents Corp. (a) (b) | 7,660 | 32,095 | |||
DarioHealth Corp. (a) (b) | 2,700 | 35,019 | |||
Eargo, Inc. (a) (b) | 6,900 | 35,190 | |||
Envista Holdings Corp. (a) | 32,368 | 1,458,502 | |||
Figs, Inc. Class A (a) | 20,500 | 564,980 | |||
Glaukos Corp. (a) | 9,316 | 414,003 | |||
Globus Medical, Inc. Class A (a) | 15,832 | 1,143,071 | |||
Haemonetics Corp. (a) | 10,093 | 535,333 | |||
Heska Corp. (a) | 1,996 | 364,250 | |||
ICU Medical, Inc. (a) | 4,080 | 968,347 | |||
Inari Medical, Inc. (a) | 7,039 | 642,450 | |||
Inogen, Inc. (a) | 3,792 | 128,928 | |||
Insulet Corp. (a) | 13,577 | 3,612,432 | |||
Integer Holdings Corp. (a) | 6,883 | 589,116 | |||
Integra LifeSciences Holdings Corp. (a) | 14,593 | 977,585 | |||
Intersect ENT, Inc. (a) | 6,530 | 178,334 | |||
Invacare Corp. (a) | 6,500 | 17,680 | |||
iRadimed Corp. (a) | 1,200 | 55,452 | |||
iRhythm Technologies, Inc. (a) | 6,026 | 709,200 | |||
Lantheus Holdings, Inc. (a) | 13,861 | 400,444 | |||
LeMaitre Vascular, Inc. | 4,051 | 203,482 | |||
LivaNova PLC (a) | 10,750 | 939,873 | |||
Masimo Corp. (a) | 10,109 | 2,959,713 | |||
Meridian Bioscience, Inc. (a) | 8,471 | 172,808 | |||
Merit Medical Systems, Inc. (a) | 10,400 | 647,920 | |||
Mesa Laboratories, Inc. (b) | 998 | 327,434 | |||
Natus Medical, Inc. (a) | 6,573 | 155,977 | |||
Neogen Corp. (a) | 21,442 | 973,681 | |||
Neuronetics, Inc. (a) (b) | 5,000 | 22,300 | |||
NeuroPace, Inc. (a) | 1,400 | 14,112 | |||
Nevro Corp. (a) | 7,109 | 576,327 | |||
Novocure, Ltd. (a) (b) | 21,055 | 1,580,810 | |||
NuVasive, Inc. (a) | 10,380 | 544,742 | |||
OraSure Technologies, Inc. (a) | 14,200 | 123,398 | |||
Ortho Clinical Diagnostics Holdings PLC (a) | 24,500 | 524,055 | |||
Orthofix Medical, Inc. (a) | 3,760 | 116,898 |
Security Description | Shares | Value | ||||
OrthoPediatrics Corp. (a) | 2,668 | $ 159,707 | ||||
Outset Medical, Inc. (a) (b) | 10,000 | 460,900 | ||||
Paragon 28, Inc. (a) | 1,700 | 30,073 | ||||
PAVmed, Inc. (a) (b) | 13,800 | 33,948 | ||||
Penumbra, Inc. (a) | 7,016 | 2,015,837 | ||||
PROCEPT BioRobotics Corp. (a) | 1,400 | 35,014 | ||||
Pulmonx Corp. (a) | 5,100 | 163,557 | ||||
Pulse Biosciences, Inc. (a) (b) | 2,712 | 40,165 | ||||
Quidel Corp. (a) | 7,503 | 1,012,830 | ||||
Quotient, Ltd. (a) (b) | 16,000 | 41,440 | ||||
Retractable Technologies, Inc. (a) (b) | 3,300 | 22,869 | ||||
RxSight, Inc. (a) | 1,600 | 18,000 | ||||
SeaSpine Holdings Corp. (a) | 6,100 | 83,082 | ||||
Senseonics Holdings, Inc. (a) (b) | 85,100 | 227,217 | ||||
Shockwave Medical, Inc. (a) | 6,870 | 1,225,127 | ||||
SI-BONE, Inc. (a) | 6,260 | 139,035 | ||||
Sientra, Inc. (a) (b) | 11,900 | 43,673 | ||||
Sight Sciences, Inc. (a) | 2,100 | 36,897 | ||||
Silk Road Medical, Inc. (a) (b) | 7,169 | 305,471 | ||||
STAAR Surgical Co. (a) | 9,469 | 864,520 | ||||
Stereotaxis, Inc. (a) | 9,400 | 58,280 | ||||
Surmodics, Inc. (a) | 2,981 | 143,535 | ||||
Tactile Systems Technology, Inc. (a) | 3,600 | 68,508 | ||||
Talis Biomedical Corp. (a) | 3,300 | 13,233 | ||||
Tandem Diabetes Care, Inc. (a) | 12,592 | 1,895,348 | ||||
TransMedics Group, Inc. (a) | 5,000 | 95,800 | ||||
Treace Medical Concepts, Inc. (a) | 5,700 | 106,248 | ||||
Utah Medical Products, Inc. | 640 | 64,000 | ||||
Vapotherm, Inc. (a) (b) | 4,400 | 91,124 | ||||
Varex Imaging Corp. (a) (b) | 7,508 | 236,877 | ||||
ViewRay, Inc. (a) | 27,206 | 149,905 | ||||
Zynex, Inc. (a) (b) | 3,700 | 36,889 | ||||
37,485,935 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.9% | ||||||
1Life Healthcare, Inc. (a) | 24,000 | 421,680 | ||||
Acadia Healthcare Co., Inc. (a) | 18,082 | 1,097,577 | ||||
Accolade, Inc. (a) (b) | 9,900 | 260,964 | ||||
AdaptHealth Corp. (a) (b) | 14,900 | 364,454 | ||||
Addus HomeCare Corp. (a) | 3,216 | 300,728 | ||||
Agiliti, Inc. (a) | 4,500 | 104,220 | ||||
agilon health, Inc. (a) | 34,500 | 931,500 | ||||
AirSculpt Technologies, Inc. (a) (b) | 1,600 | 27,504 | ||||
Alignment Healthcare, Inc. (a) | 16,700 | 234,802 | ||||
Amedisys, Inc. (a) | 6,506 | 1,053,191 | ||||
AMN Healthcare Services, Inc. (a) | 9,548 | 1,168,007 | ||||
Apollo Medical Holdings, Inc. (a) (b) | 7,673 | 563,812 | ||||
Apria, Inc. (a) | 3,700 | 120,620 |
Security Description | Shares | Value | ||||
Aveanna Healthcare Holdings, Inc. (a) | 7,600 | $ 56,240 | ||||
Biodesix, Inc. (a) (b) | 2,500 | 13,225 | ||||
Brookdale Senior Living, Inc. (a) | 35,941 | 185,456 | ||||
Castle Biosciences, Inc. (a) | 4,200 | 180,054 | ||||
Chemed Corp. | 3,065 | 1,621,508 | ||||
Community Health Systems, Inc. (a) | 25,867 | 344,290 | ||||
CorVel Corp. (a) | 1,900 | 395,200 | ||||
Covetrus, Inc. (a) | 21,280 | 424,962 | ||||
Cross Country Healthcare, Inc. (a) | 6,958 | 193,154 | ||||
Encompass Health Corp. | 19,703 | 1,285,818 | ||||
Ensign Group, Inc. | 10,670 | 895,853 | ||||
Fulgent Genetics, Inc. (a) (b) | 4,271 | 429,620 | ||||
Guardant Health, Inc. (a) (b) | 18,551 | 1,855,471 | ||||
Hanger, Inc. (a) | 7,550 | 136,881 | ||||
HealthEquity, Inc. (a) | 16,363 | 723,899 | ||||
InfuSystem Holdings, Inc. (a) | 3,400 | 57,902 | ||||
Innovage Holding Corp. (a) | 3,600 | 18,000 | ||||
Joint Corp. (a) | 2,650 | 174,078 | ||||
LHC Group, Inc. (a) | 6,084 | 834,907 | ||||
LifeStance Health Group, Inc. (a) | 9,000 | 85,680 | ||||
Magellan Health, Inc. (a) | 4,843 | 460,037 | ||||
MEDNAX, Inc. (a) | 15,674 | 426,489 | ||||
ModivCare, Inc. (a) | 2,554 | 378,733 | ||||
Molina Healthcare, Inc. (a) | 11,646 | 3,704,360 | ||||
National HealthCare Corp. | 2,441 | 165,842 | ||||
National Research Corp. | 3,200 | 132,864 | ||||
Oak Street Health, Inc. (a) (b) | 20,309 | 673,040 | ||||
Ontrack, Inc. (a) | 1,938 | 12,190 | ||||
Option Care Health, Inc. (a) | 31,307 | 890,371 | ||||
Owens & Minor, Inc. | 14,719 | 640,276 | ||||
Patterson Cos., Inc. | 17,300 | 507,755 | ||||
Pennant Group, Inc. (a) | 4,917 | 113,484 | ||||
PetIQ, Inc. (a) (b) | 5,226 | 118,682 | ||||
Premier, Inc. Class A | 25,245 | 1,039,337 | ||||
Privia Health Group, Inc. (a) (b) | 3,000 | 77,610 | ||||
Progyny, Inc. (a) | 13,000 | 654,550 | ||||
R1 RCM, Inc. (a) | 23,687 | 603,782 | ||||
RadNet, Inc. (a) | 9,476 | 285,322 | ||||
Select Medical Holdings Corp. | 22,334 | 656,620 | ||||
Sharps Compliance Corp. (a) | 3,000 | 21,390 | ||||
Signify Health, Inc. Class A (a) | 13,900 | 197,658 | ||||
SOC Telemed, Inc. (a) (b) | 12,600 | 16,128 | ||||
Surgery Partners, Inc. (a) | 6,995 | 373,603 | ||||
Tenet Healthcare Corp. (a) | 21,022 | 1,717,287 | ||||
Tivity Health, Inc. (a) | 8,797 | 232,593 | ||||
Triple-S Management Corp. (a) | 4,435 | 158,241 | ||||
US Physical Therapy, Inc. | 2,522 | 240,977 | ||||
Viemed Healthcare, Inc. (a) | 6,500 | 33,930 | ||||
31,094,408 | ||||||
HEALTH CARE TECHNOLOGY — 1.2% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 24,112 | 444,866 |
Security Description | Shares | Value | ||||
American Well Corp. Class A (a) (b) | 36,000 | $ 217,440 | ||||
Castlight Health, Inc. Class B (a) | 22,600 | 34,804 | ||||
Certara, Inc. (a) | 21,400 | 608,188 | ||||
Change Healthcare, Inc. (a) | 51,210 | 1,094,870 | ||||
Computer Programs & Systems, Inc. (a) | 2,804 | 82,157 | ||||
Convey Holding Parent, Inc. (a) | 2,600 | 21,736 | ||||
Definitive Healthcare Corp. (a) | 2,200 | 60,126 | ||||
Evolent Health, Inc. Class A (a) | 16,765 | 463,888 | ||||
Forian, Inc. (a) (b) | 3,500 | 31,570 | ||||
Health Catalyst, Inc. (a) (b) | 11,800 | 467,516 | ||||
HealthStream, Inc. (a) | 4,999 | 131,774 | ||||
iCAD, Inc. (a) | 4,000 | 28,800 | ||||
Inspire Medical Systems, Inc. (a) | 5,409 | 1,244,394 | ||||
Multiplan Corp. (a) (b) | 78,400 | 347,312 | ||||
NantHealth, Inc. (a) (b) | 9,100 | 9,600 | ||||
NextGen Healthcare, Inc. (a) | 12,000 | 213,480 | ||||
Omnicell, Inc. (a) | 8,866 | 1,599,781 | ||||
OptimizeRx Corp. (a) | 3,396 | 210,926 | ||||
Phreesia, Inc. (a) | 10,100 | 420,766 | ||||
Schrodinger, Inc. (a) | 9,008 | 313,749 | ||||
Simulations Plus, Inc. (b) | 2,997 | 141,758 | ||||
Tabula Rasa HealthCare, Inc. (a) | 4,665 | 69,975 | ||||
Teladoc Health, Inc. (a) (b) | 31,104 | 2,855,969 | ||||
Veeva Systems, Inc. Class A (a) | 28,167 | 7,196,105 | ||||
Vocera Communications, Inc. (a) | 7,034 | 456,085 | ||||
18,767,635 | ||||||
HOTELS, RESTAURANTS & LEISURE — 2.3% | ||||||
Accel Entertainment, Inc. (a) | 10,800 | 140,616 | ||||
Aramark | 46,840 | 1,726,054 | ||||
Bally's Corp. (a) (b) | 6,365 | 242,252 | ||||
Biglari Holdings, Inc. Class B (a) | 170 | 24,237 | ||||
BJ's Restaurants, Inc. (a) | 4,406 | 152,227 | ||||
Bloomin' Brands, Inc. (a) | 17,993 | 377,493 | ||||
Bluegreen Vacations Holding Corp. (a) | 2,648 | 92,945 | ||||
Boyd Gaming Corp. (a) | 16,398 | 1,075,217 | ||||
Brinker International, Inc. (a) | 9,330 | 341,385 | ||||
Carrols Restaurant Group, Inc. | 7,000 | 20,720 | ||||
Century Casinos, Inc. (a) | 5,361 | 65,297 | ||||
Cheesecake Factory, Inc. (a) | 9,455 | 370,163 | ||||
Choice Hotels International, Inc. | 6,956 | 1,085,067 | ||||
Churchill Downs, Inc. | 7,408 | 1,784,587 | ||||
Chuy's Holdings, Inc. (a) | 3,953 | 119,064 | ||||
Cracker Barrel Old Country Store, Inc. | 4,808 | 618,501 | ||||
Dave & Buster's Entertainment, Inc. (a) | 8,516 | 327,015 | ||||
Del Taco Restaurants, Inc. | 6,000 | 74,700 | ||||
Denny's Corp. (a) | 12,041 | 192,656 | ||||
Dine Brands Global, Inc. | 3,430 | 260,028 |
Security Description | Shares | Value | |||
DraftKings, Inc. Class A (a) (b) | 63,400 | $ 1,741,598 | |||
Drive Shack, Inc. (a) | 16,200 | 23,166 | |||
El Pollo Loco Holdings, Inc. (a) | 3,500 | 49,665 | |||
Esports Technologies, Inc. (a) | 2,100 | 43,176 | |||
Everi Holdings, Inc. (a) | 16,595 | 354,303 | |||
F45 Training Holdings, Inc. (a) | 3,900 | 42,471 | |||
Fiesta Restaurant Group, Inc. (a) | 3,397 | 37,401 | |||
First Watch Restaurant Group, Inc. (a) | 2,000 | 33,520 | |||
Full House Resorts, Inc. (a) | 6,300 | 76,293 | |||
GAN, Ltd. (a) | 7,700 | 70,763 | |||
Golden Entertainment, Inc. (a) | 3,325 | 168,012 | |||
Golden Nugget Online Gaming, Inc. (a) | 7,900 | 78,605 | |||
Hall of Fame Resort & Entertainment Co. (a) (b) | 10,400 | 15,808 | |||
Hilton Grand Vacations, Inc. (a) | 17,671 | 920,836 | |||
Hyatt Hotels Corp. Class A (a) | 10,459 | 1,003,018 | |||
International Game Technology PLC (b) | 20,235 | 584,994 | |||
Jack in the Box, Inc. | 4,397 | 384,650 | |||
Krispy Kreme, Inc. | 4,200 | 79,464 | |||
Kura Sushi USA, Inc. Class A (a) | 800 | 64,672 | |||
Life Time Group Holdings, Inc. (a) | 7,500 | 129,075 | |||
Lindblad Expeditions Holdings, Inc. (a) (b) | 6,089 | 94,988 | |||
Marriott Vacations Worldwide Corp. | 8,340 | 1,409,293 | |||
Monarch Casino & Resort, Inc. (a) | 2,500 | 184,875 | |||
Nathan's Famous, Inc. | 738 | 43,092 | |||
NEOGAMES SA (a) | 1,900 | 52,782 | |||
Noodles & Co. (a) | 7,900 | 71,653 | |||
ONE Group Hospitality Inc (a) | 3,900 | 49,179 | |||
Papa John's International, Inc. | 6,588 | 879,300 | |||
Planet Fitness, Inc. Class A (a) | 17,143 | 1,552,813 | |||
PlayAGS, Inc. (a) | 6,060 | 41,147 | |||
Portillo's, Inc. Class A (a) | 4,600 | 172,684 | |||
RCI Hospitality Holdings, Inc. | 1,600 | 124,608 | |||
Red Robin Gourmet Burgers, Inc. (a) | 3,036 | 50,185 | |||
Red Rock Resorts, Inc. Class A | 11,886 | 653,849 | |||
Rush Street Interactive, Inc. (a) | 10,600 | 174,900 | |||
Ruth's Hospitality Group, Inc. (a) | 8,100 | 161,190 | |||
Scientific Games Corp. Class A (a) | 19,064 | 1,274,047 | |||
SeaWorld Entertainment, Inc. (a) | 10,417 | 675,647 | |||
Shake Shack, Inc. Class A (a) | 7,630 | 550,581 | |||
Six Flags Entertainment Corp. (a) | 15,695 | 668,293 | |||
Target Hospitality Corp. (a) | 5,600 | 19,936 | |||
Texas Roadhouse, Inc. | 14,077 | 1,256,795 |
Security Description | Shares | Value | ||||
Travel + Leisure Co. | 18,100 | $ 1,000,387 | ||||
Vail Resorts, Inc. | 8,190 | 2,685,501 | ||||
Wendy's Co. | 35,858 | 855,213 | ||||
Wingstop, Inc. | 5,965 | 1,030,752 | ||||
Wyndham Hotels & Resorts, Inc. | 18,416 | 1,650,995 | ||||
Xponential Fitness, Inc. Class A (a) | 1,800 | 36,792 | ||||
Yum China Holdings, Inc. | 88,117 | 4,391,751 | ||||
36,804,942 | ||||||
HOUSEHOLD DURABLES — 1.1% | ||||||
Aterian, Inc. (a) | 5,000 | 20,550 | ||||
Bassett Furniture Industries, Inc. | 2,100 | 35,217 | ||||
Beazer Homes USA, Inc. (a) | 6,096 | 141,549 | ||||
Casper Sleep, Inc. (a) (b) | 6,200 | 41,416 | ||||
Cavco Industries, Inc. (a) | 1,876 | 595,911 | ||||
Century Communities, Inc. | 6,051 | 494,911 | ||||
Ethan Allen Interiors, Inc. | 4,300 | 113,047 | ||||
Flexsteel Industries, Inc. | 1,300 | 34,918 | ||||
GoPro, Inc. Class A (a) (b) | 26,722 | 275,504 | ||||
Green Brick Partners, Inc. (a) | 6,102 | 185,074 | ||||
Hamilton Beach Brands Holding Co. Class A | 1,317 | 18,912 | ||||
Helen of Troy, Ltd. (a) | 4,864 | 1,189,102 | ||||
Hooker Furniture Corp. | 2,200 | 51,216 | ||||
Hovnanian Enterprises, Inc. Class A (a) | 1,000 | 127,290 | ||||
Installed Building Products, Inc. | 4,914 | 686,584 | ||||
iRobot Corp. (a) (b) | 5,443 | 358,585 | ||||
KB Home | 15,500 | 693,315 | ||||
Landsea Homes Corp. (a) | 2,000 | 14,640 | ||||
La-Z-Boy, Inc. | 8,933 | 324,357 | ||||
Legacy Housing Corp. (a) | 1,520 | 40,234 | ||||
Leggett & Platt, Inc. | 27,100 | 1,115,436 | ||||
LGI Homes, Inc. (a) | 4,425 | 683,574 | ||||
Lifetime Brands, Inc. | 2,300 | 36,731 | ||||
Lovesac Co. (a) (b) | 2,487 | 164,789 | ||||
M/I Homes, Inc. (a) | 5,591 | 347,648 | ||||
MDC Holdings, Inc. | 11,555 | 645,116 | ||||
Meritage Homes Corp. (a) | 7,367 | 899,216 | ||||
Purple Innovation, Inc. (a) (b) | 12,496 | 165,822 | ||||
Skyline Champion Corp. (a) | 10,737 | 848,008 | ||||
Snap One Holdings Corp. (a) | 2,600 | 54,808 | ||||
Sonos, Inc. (a) | 24,430 | 728,014 | ||||
Taylor Morrison Home Corp. (a) | 23,258 | 813,100 | ||||
Tempur Sealy International, Inc. | 35,968 | 1,691,575 | ||||
Toll Brothers, Inc. | 22,284 | 1,613,139 | ||||
TopBuild Corp. (a) | 6,674 | 1,841,423 | ||||
Traeger, Inc. (a) | 4,300 | 52,288 | ||||
Tri Pointe Homes, Inc. (a) | 21,983 | 613,106 | ||||
Tupperware Brands Corp. (a) | 9,581 | 146,494 | ||||
Universal Electronics, Inc. (a) | 2,539 | 103,464 | ||||
VOXX International Corp. (a) | 3,700 | 37,629 | ||||
Vuzix Corp. (a) (b) | 11,200 | 97,104 |
Security Description | Shares | Value | ||||
Weber, Inc. Class A (b) | 3,300 | $ 42,669 | ||||
18,183,485 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 2,300 | 121,049 | ||||
Central Garden & Pet Co. Class A (a) | 7,982 | 381,939 | ||||
Energizer Holdings, Inc. | 13,758 | 551,696 | ||||
Oil-Dri Corp. of America | 1,548 | 50,666 | ||||
Reynolds Consumer Products, Inc. (b) | 11,500 | 361,100 | ||||
Spectrum Brands Holdings, Inc. | 8,669 | 881,810 | ||||
WD-40 Co. (b) | 2,753 | 673,494 | ||||
3,021,754 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.3% | ||||||
Brookfield Renewable Corp. Class A | 26,479 | 975,222 | ||||
Clearway Energy, Inc. Class A | 6,626 | 221,838 | ||||
Clearway Energy, Inc. Class C | 16,900 | 608,907 | ||||
Ormat Technologies, Inc. (b) | 9,192 | 728,926 | ||||
Sunnova Energy International, Inc. (a) (b) | 17,600 | 491,392 | ||||
Vistra Corp. | 98,507 | 2,243,004 | ||||
5,269,289 | ||||||
INSURANCE — 2.6% | ||||||
Alleghany Corp. (a) | 2,582 | 1,723,717 | ||||
Ambac Financial Group, Inc. (a) | 8,794 | 141,144 | ||||
American Equity Investment Life Holding Co. | 16,772 | 652,766 | ||||
American Financial Group, Inc. | 13,419 | 1,842,697 | ||||
American National Group, Inc. | 1,531 | 289,114 | ||||
AMERISAFE, Inc. | 3,734 | 201,001 | ||||
Arch Capital Group, Ltd. (a) | 75,167 | 3,341,173 | ||||
Argo Group International Holdings, Ltd. | 6,160 | 357,958 | ||||
Assured Guaranty, Ltd. | 13,619 | 683,674 | ||||
Athene Holding, Ltd. Class A (a) | 23,323 | 1,943,506 | ||||
Axis Capital Holdings, Ltd. | 15,399 | 838,784 | ||||
Bright Health Group, Inc. (a) | 10,300 | 35,432 | ||||
Brighthouse Financial, Inc. (a) | 16,073 | 832,581 | ||||
BRP Group, Inc. Class A (a) | 9,905 | 357,670 | ||||
Citizens, Inc. (a) | 9,100 | 48,321 | ||||
CNA Financial Corp. | 6,491 | 286,123 | ||||
CNO Financial Group, Inc. | 25,179 | 600,267 | ||||
Crawford & Co. Class A | 3,000 | 22,470 | ||||
Donegal Group, Inc. Class A | 2,600 | 37,154 | ||||
eHealth, Inc. (a) | 4,707 | 120,029 | ||||
Employers Holdings, Inc. | 5,500 | 227,590 | ||||
Enstar Group, Ltd. (a) | 2,465 | 610,309 | ||||
Erie Indemnity Co. Class A | 5,118 | 986,034 | ||||
Fidelity National Financial, Inc. | 55,136 | 2,876,996 | ||||
First American Financial Corp. | 21,114 | 1,651,748 | ||||
Genworth Financial, Inc. Class A (a) | 99,482 | 402,902 | ||||
GoHealth, Inc. Class A (a) (b) | 9,400 | 35,626 |
Security Description | Shares | Value | ||||
Goosehead Insurance, Inc. Class A (b) | 3,519 | $ 457,752 | ||||
Greenlight Capital Re, Ltd. Class A (a) | 5,000 | 39,200 | ||||
Hanover Insurance Group, Inc. | 7,135 | 935,113 | ||||
HCI Group, Inc. | 1,173 | 97,992 | ||||
Heritage Insurance Holdings, Inc. | 4,799 | 28,218 | ||||
Horace Mann Educators Corp. | 8,100 | 313,470 | ||||
Independence Holding Co. | 905 | 51,295 | ||||
Investors Title Co. | 243 | 47,907 | ||||
James River Group Holdings, Ltd. | 7,100 | 204,551 | ||||
Kemper Corp. | 11,807 | 694,134 | ||||
Kinsale Capital Group, Inc. | 4,249 | 1,010,795 | ||||
Lemonade, Inc. (a) (b) | 7,600 | 320,036 | ||||
Maiden Holdings, Ltd. (a) | 13,500 | 41,310 | ||||
Markel Corp. (a) | 2,725 | 3,362,650 | ||||
MBIA, Inc. (a) | 9,397 | 148,379 | ||||
Mercury General Corp. | 5,237 | 277,875 | ||||
MetroMile, Inc. (a) | 17,500 | 38,325 | ||||
National Western Life Group, Inc. Class A | 580 | 124,375 | ||||
NI Holdings, Inc. (a) | 1,700 | 32,147 | ||||
Old Republic International Corp. | 55,462 | 1,363,256 | ||||
Palomar Holdings, Inc. (a) | 4,810 | 311,544 | ||||
Primerica, Inc. | 7,764 | 1,189,988 | ||||
ProAssurance Corp. | 10,505 | 265,776 | ||||
Reinsurance Group of America, Inc. | 13,446 | 1,472,203 | ||||
RenaissanceRe Holdings, Ltd. | 8,975 | 1,519,737 | ||||
RLI Corp. | 7,878 | 883,124 | ||||
Safety Insurance Group, Inc. | 2,786 | 236,894 | ||||
Selective Insurance Group, Inc. | 11,798 | 966,728 | ||||
Selectquote, Inc. (a) | 26,503 | 240,117 | ||||
SiriusPoint, Ltd. (a) | 17,100 | 139,023 | ||||
State Auto Financial Corp. | 3,700 | 191,253 | ||||
Stewart Information Services Corp. | 5,365 | 427,751 | ||||
Tiptree, Inc. | 4,500 | 62,235 | ||||
Trean Insurance Group, Inc. (a) | 3,400 | 30,294 | ||||
Trupanion, Inc. (a) | 7,700 | 1,016,631 | ||||
United Fire Group, Inc. | 4,163 | 96,540 | ||||
United Insurance Holdings Corp. | 3,800 | 16,492 | ||||
Universal Insurance Holdings, Inc. | 5,117 | 86,989 | ||||
Unum Group | 41,900 | 1,029,483 | ||||
White Mountains Insurance Group, Ltd. | 551 | 558,659 | ||||
41,477,027 | ||||||
INTERACTIVE MEDIA & SERVICES — 0.7% | ||||||
Cargurus, Inc. (a) | 19,200 | 645,888 | ||||
Cars.com, Inc. (a) | 13,400 | 215,606 | ||||
Eventbrite, Inc. Class A (a) (b) | 15,893 | 277,174 | ||||
EverQuote, Inc. Class A (a) | 3,635 | 56,924 |
Security Description | Shares | Value | ||||
fuboTV, Inc. (a) (b) | 27,200 | $ 422,144 | ||||
IAC/InterActiveCorp. (a) | 15,737 | 2,056,983 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 14,200 | 30,814 | ||||
MediaAlpha, Inc. Class A (a) (b) | 4,000 | 61,760 | ||||
Outbrain, Inc. (a) | 1,500 | 21,000 | ||||
Pinterest, Inc. Class A (a) | 115,809 | 4,209,657 | ||||
QuinStreet, Inc. (a) | 9,698 | 176,407 | ||||
Society Pass, Inc. (a) (b) | 900 | 9,369 | ||||
TripAdvisor, Inc. (a) | 20,400 | 556,104 | ||||
TrueCar, Inc. (a) | 19,266 | 65,505 | ||||
Vimeo, Inc. (a) | 29,923 | 537,417 | ||||
Yelp, Inc. (a) | 15,091 | 546,898 | ||||
Ziff Davis, Inc. (a) | 8,606 | 954,061 | ||||
10,843,711 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.7% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 5,100 | 119,187 | ||||
1stdibs.com, Inc. (a) | 1,300 | 16,263 | ||||
aka Brands Holding Corp. (a) | 2,200 | 20,350 | ||||
CarParts.com, Inc. (a) | 9,700 | 108,640 | ||||
DoorDash, Inc. Class A (a) | 30,189 | 4,495,142 | ||||
Duluth Holdings, Inc. Class B (a) | 2,296 | 34,853 | ||||
Groupon, Inc. (a) (b) | 4,511 | 104,475 | ||||
Lands' End, Inc. (a) | 2,800 | 54,964 | ||||
Liquidity Services, Inc. (a) | 5,124 | 113,138 | ||||
Lulu's Fashion Lounge Holdings, Inc. (a) | 1,800 | 18,414 | ||||
Overstock.com, Inc. (a) (b) | 8,782 | 518,226 | ||||
PetMed Express, Inc. (b) | 4,568 | 115,388 | ||||
Porch Group, Inc. (a) | 15,200 | 236,968 | ||||
Quotient Technology, Inc. (a) | 17,671 | 131,119 | ||||
Qurate Retail, Inc. Class A | 73,916 | 561,761 | ||||
RealReal, Inc. (a) (b) | 16,900 | 196,209 | ||||
Rent the Runway, Inc. Class A (a) | 3,100 | 25,265 | ||||
Revolve Group, Inc. (a) | 7,400 | 414,696 | ||||
Shutterstock, Inc. | 4,850 | 537,768 | ||||
Stitch Fix, Inc. Class A (a) (b) | 16,746 | 316,834 | ||||
Wayfair, Inc. Class A (a) (b) | 15,770 | 2,995,827 | ||||
Xometry, Inc. Class A (a) (b) | 1,600 | 82,000 | ||||
11,217,487 | ||||||
IT SERVICES — 5.4% | ||||||
Alliance Data Systems Corp. | 9,810 | 653,052 | ||||
Amdocs, Ltd. | 26,635 | 1,993,363 | ||||
BigCommerce Holdings, Inc. (a) (b) | 10,000 | 353,700 | ||||
Block, Inc. (a) | 81,637 | 13,185,192 | ||||
Brightcove, Inc. (a) | 7,771 | 79,420 | ||||
Cantaloupe, Inc. (a) | 11,200 | 99,456 | ||||
Cass Information Systems, Inc. | 2,836 | 111,512 | ||||
Cloudflare, Inc. Class A (a) | 53,195 | 6,995,142 | ||||
Concentrix Corp. | 8,474 | 1,513,626 | ||||
Conduent, Inc. (a) | 32,600 | 174,084 |
Security Description | Shares | Value | ||||
CSG Systems International, Inc. | 6,692 | $ 385,593 | ||||
DigitalOcean Holdings, Inc. (a) | 10,300 | 827,399 | ||||
Euronet Worldwide, Inc. (a) | 10,412 | 1,240,798 | ||||
EVERTEC, Inc. | 12,100 | 604,758 | ||||
Evo Payments, Inc. Class A (a) | 10,000 | 256,000 | ||||
ExlService Holdings, Inc. (a) | 6,637 | 960,838 | ||||
Fastly, Inc. Class A (a) (b) | 22,143 | 784,969 | ||||
Flywire Corp. (a) | 12,800 | 487,168 | ||||
Genpact, Ltd. | 37,053 | 1,966,773 | ||||
Globant SA (a) | 8,294 | 2,605,062 | ||||
GoDaddy, Inc. Class A (a) | 34,592 | 2,935,477 | ||||
GreenBox POS (a) (b) | 3,400 | 14,280 | ||||
Grid Dynamics Holdings, Inc. (a) | 9,300 | 353,121 | ||||
Hackett Group, Inc. | 4,790 | 98,339 | ||||
I3 Verticals, Inc. Class A (a) | 4,200 | 95,718 | ||||
IBEX Holdings, Ltd. (a) (b) | 1,100 | 14,179 | ||||
International Money Express, Inc. (a) | 6,300 | 100,548 | ||||
Kyndryl Holdings, Inc. (a) | 45,700 | 827,170 | ||||
Limelight Networks, Inc. (a) | 25,299 | 86,776 | ||||
LiveRamp Holdings, Inc. (a) | 13,201 | 632,988 | ||||
MAXIMUS, Inc. | 12,207 | 972,532 | ||||
MoneyGram International, Inc. (a) | 17,200 | 135,708 | ||||
MongoDB, Inc. (a) (b) | 13,078 | 6,922,839 | ||||
Okta, Inc. (a) | 25,975 | 5,822,816 | ||||
Paya Holdings, Inc. (a) | 16,400 | 103,976 | ||||
Paysafe, Ltd. (a) (b) | 142,100 | 555,611 | ||||
Perficient, Inc. (a) | 6,549 | 846,720 | ||||
Priority Technology Holdings, Inc. (a) (b) | 1,965 | 13,912 | ||||
Rackspace Technology, Inc. (a) | 10,500 | 141,435 | ||||
Remitly Global, Inc. (a) | 2,300 | 47,426 | ||||
Repay Holdings Corp. (a) (b) | 18,100 | 330,687 | ||||
Sabre Corp. (a) (b) | 66,335 | 569,818 | ||||
Shift4 Payments, Inc. Class A (a) | 8,900 | 515,577 | ||||
Snowflake, Inc. Class A (a) | 40,992 | 13,886,040 | ||||
SolarWinds Corp. | 6,851 | 97,216 | ||||
StarTek, Inc. (a) | 3,400 | 17,748 | ||||
StoneCo, Ltd. Class A (a) | 45,660 | 769,828 | ||||
Switch, Inc. Class A | 23,436 | 671,207 | ||||
Thoughtworks Holding, Inc. (a) | 8,400 | 225,204 | ||||
TTEC Holdings, Inc. | 3,807 | 344,724 | ||||
Tucows, Inc. Class A (a) | 1,976 | 165,628 | ||||
Twilio, Inc. Class A (a) | 34,324 | 9,038,882 | ||||
Unisys Corp. (a) | 13,800 | 283,866 | ||||
Verra Mobility Corp. (a) (b) | 29,281 | 451,806 | ||||
Western Union Co. | 81,400 | 1,452,176 | ||||
WEX, Inc. (a) | 9,057 | 1,271,512 | ||||
Wix.com, Ltd. (a) (b) | 10,997 | 1,735,217 | ||||
87,826,612 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.7% | ||||||
Acushnet Holdings Corp. | 6,772 | 359,458 |
Security Description | Shares | Value | ||||
American Outdoor Brands, Inc. (a) | 2,681 | $ 53,432 | ||||
AMMO, Inc. (a) (b) | 16,400 | 89,380 | ||||
Brunswick Corp. | 15,626 | 1,574,007 | ||||
Callaway Golf Co. (a) | 22,941 | 629,501 | ||||
Clarus Corp. | 5,665 | 157,034 | ||||
Escalade, Inc. | 2,000 | 31,580 | ||||
Genius Brands International, Inc. (a) (b) | 56,900 | 59,745 | ||||
Hayward Holdings, Inc. (a) | 9,800 | 257,054 | ||||
Johnson Outdoors, Inc. Class A | 1,080 | 101,185 | ||||
Latham Group, Inc. (a) | 6,200 | 155,186 | ||||
Malibu Boats, Inc. Class A (a) | 4,065 | 279,387 | ||||
Marine Products Corp. | 1,680 | 21,000 | ||||
MasterCraft Boat Holdings, Inc. (a) | 3,665 | 103,829 | ||||
Mattel, Inc. (a) | 70,539 | 1,520,821 | ||||
Nautilus, Inc. (a) (b) | 5,700 | 34,941 | ||||
Peloton Interactive, Inc. Class A (a) | 55,603 | 1,988,363 | ||||
Polaris, Inc. | 11,503 | 1,264,295 | ||||
Smith & Wesson Brands, Inc. | 9,526 | 169,563 | ||||
Solo Brands, Inc. Class A (a) (b) | 2,200 | 34,386 | ||||
Sturm Ruger & Co., Inc. (b) | 3,685 | 250,654 | ||||
Vista Outdoor, Inc. (a) | 11,621 | 535,380 | ||||
YETI Holdings, Inc. (a) | 17,334 | 1,435,775 | ||||
11,105,956 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.5% | ||||||
10X Genomics, Inc. Class A (a) | 17,445 | 2,598,607 | ||||
Absci Corp. (a) | 2,700 | 22,140 | ||||
Adaptive Biotechnologies Corp. (a) | 22,700 | 636,962 | ||||
Akoya Biosciences, Inc. (a) | 3,300 | 50,523 | ||||
Alpha Teknova, Inc. (a) | 1,300 | 26,624 | ||||
Avantor, Inc. (a) | 123,951 | 5,223,295 | ||||
Berkeley Lights, Inc. (a) (b) | 9,447 | 171,746 | ||||
Bionano Genomics, Inc. (a) (b) | 60,100 | 179,699 | ||||
Bruker Corp. | 20,697 | 1,736,685 | ||||
ChromaDex Corp. (a) | 8,700 | 32,538 | ||||
Codex DNA, Inc. (a) (b) | 1,400 | 15,120 | ||||
Codexis, Inc. (a) | 12,421 | 388,405 | ||||
Cytek Biosciences, Inc. (a) | 3,100 | 50,592 | ||||
Fluidigm Corp. (a) (b) | 14,444 | 56,620 | ||||
Harvard Bioscience, Inc. (a) | 7,700 | 54,285 | ||||
Inotiv, Inc. (a) (b) | 2,900 | 122,003 | ||||
IsoPlexis Corp. (a) (b) | 2,100 | 19,299 | ||||
Maravai LifeSciences Holdings, Inc. Class A (a) | 22,700 | 951,130 | ||||
MaxCyte, Inc. (a) (b) | 18,600 | 189,534 | ||||
Medpace Holdings, Inc. (a) | 5,801 | 1,262,530 | ||||
NanoString Technologies, Inc. (a) (b) | 9,400 | 396,962 | ||||
NeoGenomics, Inc. (a) | 23,029 | 785,750 | ||||
Pacific Biosciences of California, Inc. (a) (b) | 39,421 | 806,554 | ||||
Personalis, Inc. (a) | 7,000 | 99,890 |
Security Description | Shares | Value | ||||
QIAGEN NV (a) (b) | 46,781 | $ 2,600,088 | ||||
Quanterix Corp. (a) | 6,500 | 275,600 | ||||
Rapid Micro Biosystems, Inc. Class A (a) | 1,500 | 15,960 | ||||
Repligen Corp. (a) | 11,117 | 2,944,226 | ||||
Seer, Inc. (a) (b) | 8,200 | 187,042 | ||||
Singular Genomics Systems, Inc. (a) | 2,500 | 28,900 | ||||
Sotera Health Co. (a) | 20,800 | 489,840 | ||||
Syneos Health, Inc. (a) | 20,594 | 2,114,592 | ||||
24,533,741 | ||||||
MACHINERY — 2.9% | ||||||
AGCO Corp. | 12,721 | 1,475,890 | ||||
AgEagle Aerial Systems, Inc. (a) (b) | 14,000 | 21,980 | ||||
Alamo Group, Inc. | 1,989 | 292,741 | ||||
Albany International Corp. Class A | 6,271 | 554,670 | ||||
Allison Transmission Holdings, Inc. | 21,559 | 783,670 | ||||
Altra Industrial Motion Corp. | 13,468 | 694,545 | ||||
Astec Industries, Inc. | 4,506 | 312,131 | ||||
Barnes Group, Inc. | 9,314 | 433,939 | ||||
Blue Bird Corp. (a) | 3,022 | 47,264 | ||||
Chart Industries, Inc. (a) | 7,370 | 1,175,441 | ||||
CIRCOR International, Inc. (a) | 3,747 | 101,843 | ||||
Colfax Corp. (a) | 23,427 | 1,076,939 | ||||
Columbus McKinnon Corp. | 5,448 | 252,025 | ||||
Commercial Vehicle Group, Inc. (a) | 6,300 | 50,778 | ||||
Crane Co. | 9,948 | 1,012,010 | ||||
Desktop Metal, Inc. Class A (a) (b) | 39,481 | 195,431 | ||||
Donaldson Co., Inc. | 25,186 | 1,492,522 | ||||
Douglas Dynamics, Inc. | 4,873 | 190,339 | ||||
Energy Recovery, Inc. (a) | 8,300 | 178,367 | ||||
Enerpac Tool Group Corp. | 11,991 | 243,177 | ||||
EnPro Industries, Inc. | 4,045 | 445,233 | ||||
ESCO Technologies, Inc. | 5,228 | 470,468 | ||||
Evoqua Water Technologies Corp. (a) | 23,300 | 1,089,275 | ||||
Federal Signal Corp. | 12,300 | 533,082 | ||||
Flowserve Corp. | 26,400 | 807,840 | ||||
Franklin Electric Co., Inc. | 9,415 | 890,282 | ||||
Gates Industrial Corp. PLC (a) | 19,000 | 302,290 | ||||
Gorman-Rupp Co. | 4,400 | 196,020 | ||||
Graco, Inc. | 33,782 | 2,723,505 | ||||
Greenbrier Cos., Inc. | 6,194 | 284,243 | ||||
Helios Technologies, Inc. | 6,548 | 688,653 | ||||
Hillenbrand, Inc. | 14,768 | 767,788 | ||||
Hydrofarm Holdings Group, Inc. (a) (b) | 7,700 | 217,833 | ||||
Hyliion Holdings Corp. (a) (b) | 22,800 | 141,360 | ||||
Hyster-Yale Materials Handling, Inc. | 1,989 | 81,748 | ||||
Ideanomics, Inc. (a) (b) | 96,700 | 116,040 |
Security Description | Shares | Value | ||||
ITT, Inc. | 17,288 | $ 1,766,661 | ||||
John Bean Technologies Corp. | 6,376 | 979,099 | ||||
Kadant, Inc. | 2,290 | 527,799 | ||||
Kennametal, Inc. | 17,217 | 618,262 | ||||
Lincoln Electric Holdings, Inc. | 11,605 | 1,618,549 | ||||
Lindsay Corp. | 2,175 | 330,600 | ||||
Luxfer Holdings PLC | 5,531 | 106,804 | ||||
Manitowoc Co., Inc (a) | 6,575 | 122,229 | ||||
Mayville Engineering Co., Inc. (a) (b) | 1,690 | 25,198 | ||||
Meritor, Inc. (a) | 13,296 | 329,475 | ||||
Middleby Corp. (a) | 11,127 | 2,189,349 | ||||
Miller Industries, Inc. | 2,265 | 75,651 | ||||
Mueller Industries, Inc. | 11,484 | 681,690 | ||||
Mueller Water Products, Inc. Class A | 32,422 | 466,877 | ||||
Nikola Corp. (a) (b) | 46,500 | 458,955 | ||||
NN, Inc. (a) | 8,616 | 35,326 | ||||
Nordson Corp. | 11,713 | 2,989,978 | ||||
Omega Flex, Inc. | 651 | 82,644 | ||||
Oshkosh Corp. | 13,742 | 1,548,861 | ||||
Park-Ohio Holdings Corp. | 1,711 | 36,222 | ||||
Proto Labs, Inc. (a) | 5,485 | 281,655 | ||||
RBC Bearings, Inc. (a) | 5,622 | 1,135,475 | ||||
REV Group, Inc. | 5,400 | 76,410 | ||||
Shyft Group, Inc. | 7,129 | 350,248 | ||||
SPX Corp. (a) | 8,889 | 530,496 | ||||
SPX FLOW, Inc. | 8,300 | 717,784 | ||||
Standex International Corp. | 2,319 | 256,621 | ||||
Tennant Co. | 3,924 | 318,001 | ||||
Terex Corp. | 13,692 | 601,763 | ||||
Timken Co. | 12,958 | 897,860 | ||||
Titan International, Inc. (a) | 10,000 | 109,600 | ||||
Toro Co. | 21,474 | 2,145,467 | ||||
Trinity Industries, Inc. | 15,269 | 461,124 | ||||
Wabash National Corp. | 9,887 | 192,994 | ||||
Watts Water Technologies, Inc. Class A | 5,522 | 1,072,207 | ||||
Welbilt, Inc. (a) | 26,290 | 624,913 | ||||
Woodward, Inc. | 11,574 | 1,266,890 | ||||
46,371,099 | ||||||
MARINE — 0.1% | ||||||
Costamare, Inc. | 10,300 | 130,295 | ||||
Eagle Bulk Shipping, Inc. | 1,723 | 78,397 | ||||
Genco Shipping & Trading, Ltd. | 6,400 | 102,400 | ||||
Kirby Corp. (a) | 12,164 | 722,785 | ||||
Matson, Inc. | 8,482 | 763,634 | ||||
Safe Bulkers, Inc. (a) | 11,660 | 43,958 | ||||
1,841,469 | ||||||
MEDIA — 1.3% | ||||||
Advantage Solutions, Inc. (a) (b) | 14,600 | 117,092 | ||||
Altice USA, Inc. Class A (a) | 43,800 | 708,684 | ||||
AMC Networks, Inc. Class A (a) | 5,620 | 193,553 | ||||
Boston Omaha Corp. Class A (a) | 4,165 | 119,660 |
Security Description | Shares | Value | ||||
Cable One, Inc. | 1,092 | $ 1,925,687 | ||||
Cardlytics, Inc. (a) (b) | 6,565 | 433,881 | ||||
Clear Channel Outdoor Holding, Inc. (a) | 76,300 | 252,553 | ||||
comScore, Inc. (a) | 13,200 | 44,088 | ||||
Daily Journal Corp. (a) | 227 | 80,978 | ||||
Digital Media Solutions, Inc. Class A (a) | 800 | 3,824 | ||||
Emerald Holding, Inc. (a) | 4,400 | 17,468 | ||||
Entercom Communications Corp. (a) | 22,300 | 57,311 | ||||
Entravision Communications Corp. Class A | 11,300 | 76,614 | ||||
EW Scripps Co. Class A | 11,040 | 213,624 | ||||
Fluent, Inc. (a) (b) | 8,513 | 16,941 | ||||
Gannett Co., Inc. (a) | 27,014 | 143,985 | ||||
Gray Television, Inc. | 16,477 | 332,176 | ||||
Hemisphere Media Group, Inc. (a) | 3,000 | 21,810 | ||||
iHeartMedia, Inc. Class A (a) | 22,800 | 479,712 | ||||
Integral Ad Science Holding Corp. (a) | 3,200 | 71,072 | ||||
John Wiley & Sons, Inc. Class A | 8,740 | 500,540 | ||||
Liberty Broadband Corp. Class A (a) | 5,364 | 863,068 | ||||
Liberty Broadband Corp. Class C (a) | 28,532 | 4,596,505 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 18,804 | 956,183 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 33,043 | 1,680,236 | ||||
Loyalty Ventures, Inc. (a) | 4,024 | 121,002 | ||||
Magnite, Inc. (a) (b) | 26,627 | 465,972 | ||||
National CineMedia, Inc. | 11,700 | 32,877 | ||||
New York Times Co. Class A | 33,502 | 1,618,147 | ||||
Nexstar Media Group, Inc. Class A | 7,998 | 1,207,538 | ||||
Scholastic Corp. | 5,229 | 208,951 | ||||
Sinclair Broadcast Group, Inc. Class A (b) | 9,662 | 255,367 | ||||
Sirius XM Holdings, Inc. (b) | 181,638 | 1,153,401 | ||||
Stagwell, Inc. (a) | 12,200 | 105,774 | ||||
TechTarget, Inc. (a) | 5,500 | 526,130 | ||||
TEGNA, Inc. | 43,283 | 803,332 | ||||
Thryv Holdings, Inc. (a) | 1,500 | 61,695 | ||||
WideOpenWest, Inc. (a) | 10,236 | 220,279 | ||||
20,687,710 | ||||||
METALS & MINING — 1.2% | ||||||
Alcoa Corp. | 37,805 | 2,252,422 | ||||
Allegheny Technologies, Inc. (a) | 27,037 | 430,699 | ||||
Arconic Corp. (a) | 21,400 | 706,414 | ||||
Carpenter Technology Corp. | 9,355 | 273,072 | ||||
Century Aluminum Co. (a) | 9,900 | 163,944 | ||||
Cleveland-Cliffs, Inc. (a) (b) | 92,202 | 2,007,238 | ||||
Coeur Mining, Inc. (a) | 50,442 | 254,228 | ||||
Commercial Metals Co. | 23,547 | 854,521 |
Security Description | Shares | Value | ||||
Compass Minerals International, Inc. | 7,014 | $ 358,275 | ||||
Constellium SE (a) | 25,800 | 462,078 | ||||
Ferroglobe Representation & Warranty Insurance Trust (a) (d) | 2,200 | — | ||||
Gatos Silver, Inc. (a) | 8,900 | 92,382 | ||||
Haynes International, Inc. | 2,400 | 96,792 | ||||
Hecla Mining Co. | 108,516 | 566,453 | ||||
Kaiser Aluminum Corp. | 3,133 | 294,314 | ||||
Materion Corp. | 4,155 | 382,011 | ||||
MP Materials Corp. (a) (b) | 15,300 | 694,926 | ||||
Novagold Resources, Inc. (a) | 49,900 | 342,314 | ||||
Olympic Steel, Inc. | 1,800 | 42,300 | ||||
Perpetua Resources Corp. (a) | 5,300 | 25,175 | ||||
PolyMet Mining Corp. (a) | 5,800 | 14,500 | ||||
Reliance Steel & Aluminum Co. | 12,566 | 2,038,456 | ||||
Royal Gold, Inc. | 13,355 | 1,405,080 | ||||
Ryerson Holding Corp. | 3,100 | 80,755 | ||||
Schnitzer Steel Industries, Inc. Class A | 5,072 | 263,338 | ||||
Southern Copper Corp. | 17,269 | 1,065,670 | ||||
Steel Dynamics, Inc. | 38,030 | 2,360,522 | ||||
SunCoke Energy, Inc. | 16,600 | 109,394 | ||||
TimkenSteel Corp. (a) | 8,814 | 145,431 | ||||
United States Steel Corp. (b) | 53,876 | 1,282,788 | ||||
Warrior Met Coal, Inc. | 10,838 | 278,645 | ||||
Worthington Industries, Inc. | 6,572 | 359,225 | ||||
19,703,362 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 0.9% | ||||||
AFC Gamma, Inc. REIT | 2,800 | 63,728 | ||||
AGNC Investment Corp. REIT | 105,579 | 1,587,908 | ||||
Angel Oak Mortgage, Inc. REIT | 1,300 | 21,294 | ||||
Annaly Capital Management, Inc. REIT (b) | 285,106 | 2,229,529 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 27,449 | 361,229 | ||||
Arbor Realty Trust, Inc. REIT | 28,900 | 529,448 | ||||
Ares Commercial Real Estate Corp. REIT | 8,600 | 125,044 | ||||
ARMOUR Residential REIT, Inc. (b) | 18,000 | 176,580 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT | 31,966 | 978,799 | ||||
BrightSpire Capital, Inc. REIT | 16,300 | 167,238 | ||||
Broadmark Realty Capital, Inc. REIT (b) | 28,709 | 270,726 | ||||
Chimera Investment Corp. REIT (b) | 47,345 | 713,963 | ||||
Dynex Capital, Inc. REIT (b) | 7,800 | 130,338 | ||||
Ellington Financial, Inc. REIT | 11,505 | 196,620 | ||||
Franklin BSP Realty Trust, Inc. | 7,334 | 109,570 | ||||
Granite Point Mortgage Trust, Inc. REIT | 10,834 | 126,866 | ||||
Great Ajax Corp. REIT | 4,486 | 59,036 |
Security Description | Shares | Value | ||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 15,745 | $ 836,374 | ||||
Invesco Mortgage Capital, Inc. REIT (b) | 65,413 | 181,848 | ||||
KKR Real Estate Finance Trust, Inc. REIT (b) | 8,100 | 168,723 | ||||
Ladder Capital Corp. REIT | 24,839 | 297,820 | ||||
MFA Financial, Inc. REIT | 86,036 | 392,324 | ||||
New Residential Investment Corp. REIT | 88,211 | 944,740 | ||||
New York Mortgage Trust, Inc. REIT | 75,188 | 279,699 | ||||
Orchid Island Capital, Inc. REIT (b) | 30,700 | 138,150 | ||||
PennyMac Mortgage Investment Trust REIT (b) | 19,124 | 331,419 | ||||
Ready Capital Corp. REIT | 11,658 | 182,214 | ||||
Redwood Trust, Inc. REIT | 22,200 | 292,818 | ||||
TPG RE Finance Trust, Inc. REIT | 11,752 | 144,785 | ||||
Two Harbors Investment Corp. REIT | 69,257 | 399,613 | ||||
Starwood Property Trust, Inc. REIT | 60,004 | 1,458,097 | ||||
13,896,540 | ||||||
MULTI-UTILITIES — 0.2% | ||||||
Avista Corp. | 14,000 | 594,860 | ||||
Black Hills Corp. | 12,405 | 875,421 | ||||
MDU Resources Group, Inc. | 40,337 | 1,243,993 | ||||
NorthWestern Corp. (b) | 10,255 | 586,176 | ||||
Unitil Corp. | 3,038 | 139,717 | ||||
3,440,167 | ||||||
MULTILINE RETAIL — 0.3% | ||||||
Big Lots, Inc. | 6,549 | 295,033 | ||||
Dillard's, Inc. Class A | 1,152 | 282,263 | ||||
Franchise Group, Inc. | 5,900 | 307,744 | ||||
Kohl's Corp. | 30,206 | 1,491,874 | ||||
Macy's, Inc. | 62,400 | 1,633,632 | ||||
Nordstrom, Inc. (a) (b) | 22,600 | 511,212 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 13,369 | 684,359 | ||||
5,206,117 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.2% | ||||||
Aemetis, Inc. (a) | 5,200 | 63,960 | ||||
Alto Ingredients, Inc. (a) | 13,700 | 65,897 | ||||
Altus Midstream Co. Class A | 900 | 55,179 | ||||
Antero Midstream Corp. | 68,000 | 658,240 | ||||
Antero Resources Corp. (a) | 57,674 | 1,009,295 | ||||
Arch Resources, Inc. (b) | 2,994 | 273,412 | ||||
Berry Corp. | 13,400 | 112,828 | ||||
Brigham Minerals, Inc. Class A | 9,500 | 200,355 | ||||
California Resources Corp. | 16,200 | 691,902 | ||||
Callon Petroleum Co. (a) (b) | 9,600 | 453,600 |
Security Description | Shares | Value | |||
Centennial Resource Development, Inc. Class A (a) | 35,700 | $ 213,486 | |||
Centrus Energy Corp. Class A (a) | 1,900 | 94,829 | |||
Cheniere Energy, Inc. | 48,259 | 4,894,428 | |||
Chesapeake Energy Corp. (b) | 21,243 | 1,370,598 | |||
Civitas Resources, Inc. | 8,746 | 428,292 | |||
Clean Energy Fuels Corp. (a) | 30,800 | 188,804 | |||
CNX Resources Corp. (a) | 41,281 | 567,614 | |||
Comstock Resources, Inc. (a) | 17,900 | 144,811 | |||
CONSOL Energy, Inc. (a) | 6,725 | 152,725 | |||
Continental Resources, Inc. | 13,350 | 597,546 | |||
Crescent Energy, Inc. Class A (a) (b) | 5,579 | 70,742 | |||
CVR Energy, Inc. | 5,700 | 95,817 | |||
Delek US Holdings, Inc. (a) | 14,204 | 212,918 | |||
Denbury, Inc. (a) | 10,200 | 781,218 | |||
DHT Holdings, Inc. | 27,371 | 142,055 | |||
Dorian LPG, Ltd. | 5,958 | 75,607 | |||
DTE Midstream LLC (a) | 19,700 | 945,206 | |||
Earthstone Energy, Inc. Class A (a) | 4,885 | 53,442 | |||
Energy Fuels, Inc. (a) (b) | 31,701 | 241,879 | |||
EQT Corp. (a) | 61,796 | 1,347,771 | |||
Equitrans Midstream Corp. | 81,040 | 837,954 | |||
Falcon Minerals Corp. | 7,600 | 37,012 | |||
Frontline, Ltd. (a) (b) | 23,700 | 167,559 | |||
Gevo, Inc. (a) (b) | 38,400 | 164,352 | |||
Golar LNG, Ltd. (a) | 20,155 | 249,720 | |||
Green Plains, Inc. (a) (b) | 9,938 | 345,445 | |||
HighPeak Energy, Inc. | 1,000 | 14,640 | |||
HollyFrontier Corp. | 30,300 | 993,234 | |||
International Seaways, Inc. | 9,118 | 133,852 | |||
Kosmos Energy, Ltd. (a) | 93,700 | 324,202 | |||
Laredo Petroleum, Inc. (a) (b) | 2,500 | 150,325 | |||
Magnolia Oil & Gas Corp. Class A (b) | 29,300 | 552,891 | |||
Matador Resources Co. | 22,702 | 838,158 | |||
Murphy Oil Corp. | 29,000 | 757,190 | |||
New Fortress Energy, Inc. (b) | 5,300 | 127,942 | |||
Nordic American Tankers, Ltd. | 41,140 | 69,527 | |||
Northern Oil and Gas, Inc. (b) | 11,100 | 228,438 | |||
Oasis Petroleum, Inc. | 3,900 | 491,361 | |||
Ovintiv, Inc. | 52,767 | 1,778,248 | |||
Par Pacific Holdings, Inc. (a) | 9,989 | 164,719 | |||
PBF Energy, Inc. Class A (a) | 18,952 | 245,807 | |||
PDC Energy, Inc. | 19,791 | 965,405 | |||
Peabody Energy Corp. (a) | 17,803 | 179,276 | |||
Range Resources Corp. (a) | 48,372 | 862,473 | |||
Ranger Oil Corp. Class A (a) | 4,019 | 108,191 | |||
Renewable Energy Group, Inc. (a) | 9,325 | 395,753 | |||
REX American Resources Corp. (a) | 1,035 | 99,360 | |||
Riley Exploration Permian, Inc. (b) | 500 | 9,660 | |||
Scorpio Tankers, Inc. | 9,699 | 124,244 |
Security Description | Shares | Value | ||||
SFL Corp., Ltd. | 26,000 | $ 211,900 | ||||
SM Energy Co. | 24,256 | 715,067 | ||||
Southwestern Energy Co. (a) | 206,449 | 962,052 | ||||
Talos Energy, Inc. (a) | 7,200 | 70,560 | ||||
Targa Resources Corp. | 45,507 | 2,377,286 | ||||
Teekay Corp. (a) | 13,200 | 41,448 | ||||
Teekay Tankers, Ltd. Class A (a) | 4,500 | 49,050 | ||||
Tellurian, Inc. (a) (b) | 78,027 | 240,323 | ||||
Texas Pacific Land Corp. | 1,181 | 1,474,915 | ||||
Uranium Energy Corp. (a) (b) | 51,400 | 172,190 | ||||
Ur-Energy, Inc. (a) | 35,500 | 43,310 | ||||
W&T Offshore, Inc. (a) | 23,800 | 76,874 | ||||
Whiting Petroleum Corp. (a) | 8,002 | 517,569 | ||||
World Fuel Services Corp. | 13,135 | 347,683 | ||||
34,921,621 | ||||||
PAPER & FOREST PRODUCTS — 0.1% | ||||||
Clearwater Paper Corp. (a) | 3,207 | 117,601 | ||||
Glatfelter Corp. | 8,500 | 146,200 | ||||
Louisiana-Pacific Corp. | 17,618 | 1,380,370 | ||||
Neenah, Inc. | 3,745 | 173,318 | ||||
Schweitzer-Mauduit International, Inc. | 6,821 | 203,948 | ||||
Sylvamo Corp. (a) | 7,200 | 200,808 | ||||
Verso Corp. Class A | 5,200 | 140,504 | ||||
2,362,749 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
Beauty Health Co (a) (b) | 17,100 | 413,136 | ||||
BellRing Brands, Inc. Class A (a) | 8,471 | 241,678 | ||||
Coty, Inc. Class A (a) | 68,800 | 722,400 | ||||
Edgewell Personal Care Co. | 10,679 | 488,137 | ||||
elf Beauty, Inc. (a) | 9,400 | 312,174 | ||||
Herbalife Nutrition, Ltd. (a) | 20,976 | 858,548 | ||||
Honest Co. Inc (a) (b) | 16,200 | 131,058 | ||||
Inter Parfums, Inc. | 3,570 | 381,633 | ||||
Medifast, Inc. | 2,326 | 487,134 | ||||
Nature's Sunshine Products, Inc. | 2,400 | 44,400 | ||||
Nu Skin Enterprises, Inc. Class A | 9,958 | 505,368 | ||||
Olaplex Holdings, Inc. (a) | 16,700 | 486,471 | ||||
Revlon, Inc. Class A (a) | 1,300 | 14,742 | ||||
Thorne HealthTech, Inc. (a) | 2,600 | 16,146 | ||||
USANA Health Sciences, Inc. (a) | 2,404 | 243,285 | ||||
Veru, Inc. (a) | 12,400 | 73,036 | ||||
5,419,346 | ||||||
PHARMACEUTICALS — 1.1% | ||||||
9 Meters Biopharma, Inc. (a) | 44,200 | 43,259 | ||||
Aclaris Therapeutics, Inc. (a) | 10,137 | 147,392 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 8,000 | 56,160 | ||||
Amneal Pharmaceuticals, Inc. (a) | 18,790 | 90,004 |
Security Description | Shares | Value | |||
Amphastar Pharmaceuticals, Inc. (a) | 7,327 | $ 170,646 | |||
Ampio Pharmaceuticals, Inc. (a) | 38,100 | 21,717 | |||
Angion Biomedica Corp. (a) | 4,300 | 12,470 | |||
ANI Pharmaceuticals, Inc. (a) | 2,433 | 112,113 | |||
Antares Pharma, Inc. (a) | 33,000 | 117,810 | |||
Arvinas, Inc. (a) | 9,596 | 788,216 | |||
Atea Pharmaceuticals, Inc. (a) | 12,400 | 110,856 | |||
Athira Pharma, Inc. (a) (b) | 6,200 | 80,786 | |||
Axsome Therapeutics, Inc. (a) (b) | 5,500 | 207,790 | |||
BioDelivery Sciences International, Inc. (a) | 17,300 | 53,630 | |||
Cara Therapeutics, Inc. (a) | 8,800 | 107,184 | |||
Cassava Sciences, Inc. (a) (b) | 7,500 | 327,750 | |||
Citius Pharmaceuticals, Inc. (a) (b) | 21,500 | 33,110 | |||
Collegium Pharmaceutical, Inc. (a) (b) | 6,967 | 130,144 | |||
Corcept Therapeutics, Inc. (a) (b) | 18,984 | 375,883 | |||
CorMedix, Inc. (a) (b) | 7,300 | 33,215 | |||
Cymabay Therapeutics, Inc. (a) | 23,130 | 78,179 | |||
DICE Therapeutics, Inc. (a) | 2,700 | 68,337 | |||
Durect Corp. (a) (b) | 44,600 | 43,971 | |||
Edgewise Therapeutics, Inc. (a) | 7,441 | 113,699 | |||
Elanco Animal Health, Inc. (a) | 91,856 | 2,606,873 | |||
Endo International PLC (a) | 45,400 | 170,704 | |||
Esperion Therapeutics, Inc. (a) (b) | 5,500 | 27,500 | |||
Evolus, Inc. (a) (b) | 6,100 | 39,711 | |||
EyePoint Pharmaceuticals, Inc. (a) | 4,100 | 50,184 | |||
Fulcrum Therapeutics, Inc. (a) (b) | 5,100 | 90,219 | |||
Harmony Biosciences Holdings, Inc. (a) | 4,900 | 208,936 | |||
Ikena Oncology, Inc. (a) | 5,300 | 66,462 | |||
Innoviva, Inc. (a) | 8,553 | 147,539 | |||
Intra-Cellular Therapies, Inc. (a) | 14,425 | 755,005 | |||
Jazz Pharmaceuticals PLC (a) | 12,206 | 1,555,044 | |||
Kala Pharmaceuticals, Inc. (a) (b) | 9,300 | 11,253 | |||
Kaleido Biosciences, Inc. (a) | 4,400 | 10,516 | |||
KemPharm, Inc. (a) (b) | 5,400 | 47,034 | |||
Landos Biopharma, Inc. (a) | 1,200 | 5,760 | |||
Marinus Pharmaceuticals, Inc. (a) (b) | 7,472 | 88,767 | |||
Mind Medicine MindMed, Inc. (a) | 67,100 | 92,598 | |||
Nektar Therapeutics (a) (b) | 37,800 | 510,678 | |||
NGM Biopharmaceuticals, Inc. (a) | 6,060 | 107,323 | |||
Nuvation Bio, Inc. (a) (b) | 33,300 | 283,050 | |||
Ocular Therapeutix, Inc. (a) (b) | 14,600 | 101,762 | |||
Omeros Corp. (a) (b) | 12,093 | 77,758 |
Security Description | Shares | Value | ||||
Oramed Pharmaceuticals, Inc. (a) | 5,800 | $ 82,824 | ||||
Pacira BioSciences, Inc. (a) | 9,037 | 543,756 | ||||
Paratek Pharmaceuticals, Inc. (a) (b) | 9,700 | 43,553 | ||||
Perrigo Co. PLC | 26,900 | 1,046,410 | ||||
Phathom Pharmaceuticals, Inc. (a) (b) | 4,100 | 80,647 | ||||
Phibro Animal Health Corp. Class A | 3,900 | 79,638 | ||||
Pliant Therapeutics, Inc. (a) (b) | 4,600 | 62,100 | ||||
Prestige Consumer Healthcare, Inc. (a) | 10,216 | 619,600 | ||||
Provention Bio, Inc. (a) (b) | 10,600 | 59,572 | ||||
Rain Therapeutics, Inc. (a) | 2,900 | 37,352 | ||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 5,336 | 140,710 | ||||
Relmada Therapeutics, Inc. (a) (b) | 3,000 | 67,590 | ||||
Revance Therapeutics, Inc. (a) (b) | 13,774 | 224,792 | ||||
Royalty Pharma PLC Class A | 67,042 | 2,671,624 | ||||
Seelos Therapeutics, Inc. (a) (b) | 19,800 | 32,274 | ||||
SIGA Technologies, Inc. (a) | 9,900 | 74,448 | ||||
Supernus Pharmaceuticals, Inc. (a) | 9,700 | 282,852 | ||||
Tarsus Pharmaceuticals, Inc. (a) | 1,600 | 36,000 | ||||
Terns Pharmaceuticals, Inc. (a) | 2,700 | 19,089 | ||||
TherapeuticsMD, Inc. (a) (b) | 78,400 | 27,871 | ||||
Theravance Biopharma, Inc. (a) (b) | 11,704 | 129,329 | ||||
Theseus Pharmaceuticals, Inc. (a) | 2,200 | 27,896 | ||||
Ventyx Biosciences, Inc. (a) | 2,000 | 39,720 | ||||
Verrica Pharmaceuticals, Inc. (a) (b) | 2,400 | 21,984 | ||||
WaVe Life Sciences, Ltd. (a) | 7,610 | 23,895 | ||||
Zogenix, Inc. (a) (b) | 11,141 | 181,041 | ||||
17,035,564 | ||||||
PROFESSIONAL SERVICES — 1.9% | ||||||
Acacia Research Corp. (a) | 10,000 | 51,300 | ||||
ASGN, Inc. (a) | 10,135 | 1,250,659 | ||||
Atlas Technical Consultants, Inc. (a) | 2,700 | 22,734 | ||||
Barrett Business Services, Inc. | 1,439 | 99,377 | ||||
Booz Allen Hamilton Holding Corp. | 27,352 | 2,319,176 | ||||
CACI International, Inc. Class A (a) | 4,671 | 1,257,480 | ||||
CBIZ, Inc. (a) | 9,700 | 379,464 | ||||
Clarivate PLC (a) (b) | 89,400 | 2,102,688 | ||||
CoStar Group, Inc. (a) | 80,689 | 6,376,852 | ||||
CRA International, Inc. | 1,445 | 134,905 | ||||
Dun & Bradstreet Holdings, Inc. (a) (b) | 33,062 | 677,440 | ||||
Exponent, Inc. | 10,509 | 1,226,716 | ||||
First Advantage Corp. (a) | 11,600 | 220,864 |
Security Description | Shares | Value | ||||
Forrester Research, Inc. (a) | 2,200 | $ 129,206 | ||||
Franklin Covey Co. (a) | 2,783 | 129,020 | ||||
FTI Consulting, Inc. (a) | 6,808 | 1,044,483 | ||||
Heidrick & Struggles International, Inc. | 4,200 | 183,666 | ||||
HireQuest, Inc. | 1,000 | 20,160 | ||||
HireRight Holdings Corp. (a) | 4,300 | 68,800 | ||||
Huron Consulting Group, Inc. (a) | 4,331 | 216,117 | ||||
ICF International, Inc. | 3,812 | 390,921 | ||||
Insperity, Inc. | 7,210 | 851,573 | ||||
KBR, Inc. | 28,026 | 1,334,598 | ||||
Kelly Services, Inc. Class A | 7,095 | 118,983 | ||||
Kforce, Inc. | 4,254 | 319,986 | ||||
Korn Ferry | 10,757 | 814,628 | ||||
LEGALZOOMCOM INC (a) | 3,700 | 59,459 | ||||
ManpowerGroup, Inc. | 10,935 | 1,064,303 | ||||
ManTech International Corp. Class A | 5,658 | 412,638 | ||||
Mistras Group, Inc. (a) | 4,258 | 31,637 | ||||
Rekor Systems, Inc. (a) (b) | 6,100 | 39,955 | ||||
Resources Connection, Inc. | 6,300 | 112,392 | ||||
Science Applications International Corp. | 11,782 | 984,857 | ||||
Sterling Check Corp. (a) | 3,200 | 65,632 | ||||
TransUnion | 39,362 | 4,667,546 | ||||
TriNet Group, Inc. (a) | 8,100 | 771,606 | ||||
TrueBlue, Inc. (a) | 6,807 | 188,350 | ||||
Upwork, Inc. (a) | 23,924 | 817,244 | ||||
Willdan Group, Inc. (a) | 2,171 | 76,419 | ||||
31,033,834 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.8% | ||||||
Cushman & Wakefield PLC (a) (b) | 28,206 | 627,301 | ||||
Douglas Elliman, Inc. | 13,998 | 160,977 | ||||
eXp World Holdings, Inc. (b) | 13,000 | 437,970 | ||||
Fathom Holdings, Inc. (a) (b) | 1,000 | 20,460 | ||||
Forestar Group, Inc. (a) | 3,406 | 74,081 | ||||
FRP Holdings, Inc. (a) | 1,289 | 74,504 | ||||
Howard Hughes Corp. (a) | 8,538 | 868,998 | ||||
Jones Lang LaSalle, Inc. (a) | 10,207 | 2,749,153 | ||||
Kennedy-Wilson Holdings, Inc. | 23,357 | 557,765 | ||||
Marcus & Millichap, Inc. (a) | 4,646 | 239,083 | ||||
Newmark Group, Inc. Class A | 29,212 | 546,264 | ||||
Opendoor Technologies, Inc. (a) | 94,000 | 1,373,340 | ||||
Rafael Holdings, Inc. Class B (a) | 1,802 | 9,190 | ||||
RE/MAX Holdings, Inc. Class A | 3,700 | 112,813 | ||||
Realogy Holdings Corp. (a) | 22,495 | 378,141 | ||||
Redfin Corp. (a) (b) | 21,700 | 833,063 | ||||
RMR Group, Inc. Class A | 3,007 | 104,283 | ||||
St. Joe Co. | 6,900 | 359,145 | ||||
Tejon Ranch Co. (a) | 4,000 | 76,320 | ||||
Zillow Group, Inc. Class A (a) | 13,012 | 809,607 |
Security Description | Shares | Value | ||||
Zillow Group, Inc. Class C (a) (b) | 34,114 | $ 2,178,179 | ||||
12,590,637 | ||||||
ROAD & RAIL — 1.9% | ||||||
AMERCO | 1,844 | 1,339,168 | ||||
ArcBest Corp. | 5,167 | 619,265 | ||||
Avis Budget Group, Inc. (a) | 8,172 | 1,694,628 | ||||
Covenant Logistics Group, Inc. (a) | 2,245 | 59,335 | ||||
Daseke, Inc. (a) | 8,664 | 86,986 | ||||
Heartland Express, Inc. | 9,155 | 153,987 | ||||
HyreCar, Inc. (a) (b) | 3,600 | 16,956 | ||||
Knight-Swift Transportation Holdings, Inc. | 32,316 | 1,969,337 | ||||
Landstar System, Inc. | 7,758 | 1,388,837 | ||||
Lyft, Inc. Class A (a) | 59,910 | 2,559,954 | ||||
Marten Transport, Ltd. | 11,448 | 196,448 | ||||
PAM Transportation Services, Inc. (a) | 700 | 49,707 | ||||
Ryder System, Inc. | 10,639 | 876,973 | ||||
Saia, Inc. (a) | 5,255 | 1,771,093 | ||||
Schneider National, Inc. Class B | 10,300 | 277,173 | ||||
TuSimple Holdings, Inc. Class A (a) | 27,400 | 982,290 | ||||
Uber Technologies, Inc. (a) | 332,672 | 13,948,937 | ||||
Universal Logistics Holdings, Inc. | 1,529 | 28,837 | ||||
US Xpress Enterprises, Inc. Class A (a) | 5,098 | 29,925 | ||||
Werner Enterprises, Inc. | 12,000 | 571,920 | ||||
XPO Logistics, Inc. (a) | 19,490 | 1,509,111 | ||||
Yellow Corp. (a) | 9,600 | 120,864 | ||||
30,251,731 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.6% | ||||||
Allegro MicroSystems, Inc. (a) (b) | 8,500 | 307,530 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 4,387 | 265,677 | ||||
Ambarella, Inc. (a) | 7,129 | 1,446,403 | ||||
Amkor Technology, Inc. | 20,335 | 504,105 | ||||
Atomera, Inc. (a) (b) | 4,000 | 80,480 | ||||
Axcelis Technologies, Inc. (a) | 6,785 | 505,890 | ||||
AXT, Inc. (a) | 7,453 | 65,661 | ||||
Azenta, Inc. | 14,841 | 1,530,255 | ||||
CEVA, Inc. (a) | 4,871 | 210,622 | ||||
Cirrus Logic, Inc. (a) | 11,540 | 1,061,911 | ||||
CMC Materials, Inc. | 5,701 | 1,092,825 | ||||
Cohu, Inc. (a) | 9,791 | 372,939 | ||||
Diodes, Inc. (a) | 8,892 | 976,430 | ||||
Entegris, Inc. | 27,651 | 3,831,875 | ||||
First Solar, Inc. (a) | 21,557 | 1,878,908 | ||||
FormFactor, Inc. (a) | 16,246 | 742,767 | ||||
GLOBALFOUNDRIES, Inc. (a) | 10,700 | 695,179 | ||||
Ichor Holdings, Ltd. (a) | 5,799 | 266,928 | ||||
Impinj, Inc. (a) (b) | 3,852 | 341,672 |
Security Description | Shares | Value | ||||
Kopin Corp. (a) (b) | 15,200 | $ 62,168 | ||||
Kulicke & Soffa Industries, Inc. | 12,400 | 750,696 | ||||
Lattice Semiconductor Corp. (a) | 26,925 | 2,074,840 | ||||
MACOM Technology Solutions Holdings, Inc. (a) | 9,752 | 763,582 | ||||
Marvell Technology, Inc. | 168,691 | 14,758,776 | ||||
MaxLinear, Inc. (a) | 14,296 | 1,077,775 | ||||
Meta Materials, Inc. (a) (b) | 42,350 | 104,181 | ||||
MKS Instruments, Inc. | 11,175 | 1,946,350 | ||||
NeoPhotonics Corp. (a) | 9,900 | 152,163 | ||||
NVE Corp. | 1,186 | 81,004 | ||||
ON Semiconductor Corp. (a) | 87,103 | 5,916,036 | ||||
Onto Innovation, Inc. (a) | 9,757 | 987,701 | ||||
PDF Solutions, Inc. (a) | 6,329 | 201,199 | ||||
Photronics, Inc. (a) | 11,593 | 218,528 | ||||
Power Integrations, Inc. | 12,022 | 1,116,724 | ||||
Rambus, Inc. (a) | 22,001 | 646,609 | ||||
Semtech Corp. (a) | 12,900 | 1,147,197 | ||||
Silicon Laboratories, Inc. (a) | 7,867 | 1,623,906 | ||||
SiTime Corp. (a) | 3,135 | 917,113 | ||||
SkyWater Technology, Inc. (a) (b) | 1,600 | 25,952 | ||||
SMART Global Holdings, Inc. (a) (b) | 3,690 | 261,953 | ||||
SunPower Corp. (a) (b) | 16,355 | 341,329 | ||||
Synaptics, Inc. (a) | 7,790 | 2,255,283 | ||||
Ultra Clean Holdings, Inc. (a) | 8,998 | 516,125 | ||||
Universal Display Corp. | 8,786 | 1,449,953 | ||||
Veeco Instruments, Inc. (a) | 10,408 | 296,316 | ||||
Wolfspeed, Inc. (a) | 23,401 | 2,615,530 | ||||
58,487,046 | ||||||
SOFTWARE — 12.4% | ||||||
8x8, Inc. (a) (b) | 23,200 | 388,832 | ||||
A10 Networks, Inc. | 11,700 | 193,986 | ||||
ACI Worldwide, Inc. (a) | 23,986 | 832,314 | ||||
Agilysys, Inc. (a) | 4,357 | 193,712 | ||||
Alarm.com Holdings, Inc. (a) | 9,700 | 822,657 | ||||
Alkami Technology, Inc. (a) (b) | 5,400 | 108,324 | ||||
Altair Engineering, Inc. Class A (a) (b) | 9,353 | 723,174 | ||||
Alteryx, Inc. Class A (a) (b) | 12,222 | 739,431 | ||||
American Software, Inc. Class A | 6,100 | 159,637 | ||||
Anaplan, Inc. (a) | 29,324 | 1,344,505 | ||||
Appfolio, Inc. Class A (a) (b) | 3,864 | 467,776 | ||||
Appian Corp. (a) | 8,082 | 527,027 | ||||
Arteris, Inc. (a) | 1,000 | 21,110 | ||||
Asana, Inc. Class A (a) (b) | 14,400 | 1,073,520 | ||||
Aspen Technology, Inc. (a) | 13,525 | 2,058,505 | ||||
Atlassian Corp. PLC Class A (a) | 28,712 | 10,947,599 | ||||
Avalara, Inc. (a) | 17,640 | 2,277,500 | ||||
Avaya Holdings Corp. (a) | 17,088 | 338,342 | ||||
AvidXchange Holdings, Inc. (a) (b) | 4,900 | 73,794 | ||||
Benefitfocus, Inc. (a) (b) | 4,941 | 52,671 | ||||
Bentley Systems, Inc. Class B | 28,400 | 1,372,572 | ||||
Bill.Com Holdings, Inc. (a) | 18,908 | 4,710,928 |
Security Description | Shares | Value | |||
Black Knight, Inc. (a) | 31,319 | $ 2,596,032 | |||
Blackbaud, Inc. (a) | 9,533 | 752,916 | |||
Blackline, Inc. (a) | 10,962 | 1,135,005 | |||
Bottomline Technologies DE, Inc. (a) | 9,100 | 513,877 | |||
Box, Inc. Class A (a) | 28,527 | 747,122 | |||
BTRS Holdings, Inc. Class A (a) | 12,600 | 98,532 | |||
C3.ai, Inc. Class A (a) (b) | 12,300 | 384,375 | |||
CDK Global, Inc. | 24,028 | 1,002,929 | |||
Cerence, Inc. (a) (b) | 7,579 | 580,855 | |||
ChannelAdvisor Corp. (a) | 6,400 | 157,952 | |||
Cleanspark, Inc. (a) (b) | 6,400 | 60,928 | |||
CommVault Systems, Inc. (a) | 9,220 | 635,442 | |||
Consensus Cloud Solutions, Inc. (a) | 3,268 | 189,119 | |||
CoreCard Corp. (a) | 1,383 | 53,660 | |||
Couchbase, Inc. (a) | 1,800 | 44,928 | |||
Coupa Software, Inc. (a) | 15,068 | 2,381,497 | |||
Crowdstrike Holdings, Inc. Class A (a) | 40,606 | 8,314,079 | |||
CS Disco, Inc. (a) | 1,400 | 50,050 | |||
Datadog, Inc. Class A (a) | 52,362 | 9,326,196 | |||
Datto Holding Corp. (a) (b) | 4,700 | 123,845 | |||
Digimarc Corp. (a) (b) | 2,440 | 96,331 | |||
Digital Turbine, Inc. (a) (b) | 17,986 | 1,096,966 | |||
DocuSign, Inc. (a) | 39,749 | 6,054,170 | |||
Dolby Laboratories, Inc. Class A | 13,224 | 1,259,189 | |||
Domo, Inc. Class B (a) | 5,744 | 284,902 | |||
DoubleVerify Holdings, Inc. (a) | 10,800 | 359,424 | |||
Dropbox, Inc. Class A (a) | 61,142 | 1,500,425 | |||
Duck Creek Technologies, Inc. (a) | 15,000 | 451,650 | |||
Dynatrace, Inc. (a) | 40,400 | 2,438,140 | |||
E2open Parent Holdings, Inc. (a) (b) | 40,400 | 454,904 | |||
Ebix, Inc. (b) | 5,298 | 161,059 | |||
eGain Corp. (a) | 3,994 | 39,860 | |||
Elastic NV (a) | 15,120 | 1,861,121 | |||
Enfusion, Inc. Class A (a) | 4,200 | 87,948 | |||
EngageSmart, Inc. (a) | 3,100 | 74,772 | |||
Envestnet, Inc. (a) | 10,799 | 856,793 | |||
Everbridge, Inc. (a) | 8,014 | 539,583 | |||
EverCommerce, Inc. (a) | 3,300 | 51,975 | |||
Fair Isaac Corp. (a) | 5,395 | 2,339,650 | |||
Five9, Inc. (a) | 13,896 | 1,908,199 | |||
GTY Technology Holdings, Inc. (a) | 6,600 | 44,220 | |||
Guidewire Software, Inc. (a) (b) | 17,274 | 1,961,117 | |||
HubSpot, Inc. (a) | 9,304 | 6,132,732 | |||
Informatica, Inc. Class A (a) | 6,600 | 244,068 | |||
Instructure Holdings, Inc. (a) | 2,400 | 57,552 | |||
Intapp, Inc. (a) | 1,900 | 47,804 | |||
InterDigital, Inc. | 6,373 | 456,498 | |||
Jamf Holding Corp. (a) (b) | 11,100 | 421,911 | |||
JFrog, Ltd. (a) | 11,000 | 326,700 | |||
Kaltura, Inc. (a) | 3,300 | 11,121 | |||
LivePerson, Inc. (a) (b) | 13,500 | 482,220 |
Security Description | Shares | Value | |||
Mandiant, Inc. (a) | 48,747 | $ 855,022 | |||
Manhattan Associates, Inc. (a) | 12,828 | 1,994,626 | |||
Marathon Digital Holdings, Inc. (a) (b) | 19,300 | 634,198 | |||
McAfee Corp. Class A | 17,000 | 438,430 | |||
MeridianLink, Inc. (a) | 2,400 | 51,792 | |||
MicroStrategy, Inc. Class A (a) (b) | 1,735 | 944,690 | |||
Mimecast, Ltd. (a) | 12,205 | 971,152 | |||
Mitek Systems, Inc. (a) (b) | 8,261 | 146,633 | |||
Model N, Inc. (a) (b) | 7,556 | 226,907 | |||
Momentive Global, Inc. (a) | 26,426 | 558,910 | |||
N-Able, Inc. (a) | 7,752 | 86,047 | |||
nCino, Inc. (a) | 11,600 | 636,376 | |||
NCR Corp. (a) | 25,867 | 1,039,853 | |||
New Relic, Inc. (a) | 10,631 | 1,168,985 | |||
Nuance Communications, Inc. (a) | 58,246 | 3,222,169 | |||
Nutanix, Inc. Class A (a) | 43,547 | 1,387,407 | |||
ON24, Inc. (a) | 5,200 | 90,220 | |||
OneSpan, Inc. (a) | 6,997 | 118,459 | |||
Pagerduty, Inc. (a) (b) | 16,798 | 583,731 | |||
Palantir Technologies, Inc. Class A (a) (b) | 342,100 | 6,229,641 | |||
Palo Alto Networks, Inc. (a) (b) | 19,668 | 10,950,356 | |||
Paycor HCM, Inc. (a) (b) | 6,400 | 184,384 | |||
Paylocity Holding Corp. (a) | 7,997 | 1,888,572 | |||
Pegasystems, Inc. | 8,436 | 943,314 | |||
Ping Identity Holding Corp. (a) | 12,600 | 288,288 | |||
Procore Technologies, Inc. (a) (b) | 12,300 | 983,631 | |||
Progress Software Corp. | 8,938 | 431,437 | |||
PROS Holdings, Inc. (a) | 7,900 | 272,471 | |||
Q2 Holdings, Inc. (a) | 11,138 | 884,803 | |||
Qualys, Inc. (a) | 6,795 | 932,410 | |||
Rapid7, Inc. (a) | 11,325 | 1,332,839 | |||
Rimini Street, Inc. (a) (b) | 8,200 | 48,954 | |||
RingCentral, Inc. Class A (a) | 16,878 | 3,162,093 | |||
Riot Blockchain, Inc. (a) (b) | 18,314 | 408,952 | |||
SailPoint Technologies Holding, Inc. (a) | 18,303 | 884,767 | |||
Sapiens International Corp. NV | 6,100 | 210,145 | |||
SecureWorks Corp. Class A (a) | 1,895 | 30,263 | |||
ShotSpotter, Inc. (a) (b) | 1,600 | 47,232 | |||
Smartsheet, Inc. Class A (a) | 25,055 | 1,940,510 | |||
Smith Micro Software, Inc. (a) | 9,400 | 46,248 | |||
Splunk, Inc. (a) | 33,303 | 3,853,823 | |||
Sprout Social, Inc. Class A (a) | 9,247 | 838,610 | |||
SPS Commerce, Inc. (a) | 7,297 | 1,038,728 | |||
SS&C Technologies Holdings, Inc. | 45,981 | 3,769,522 | |||
Stronghold Digital Mining, Inc. Class A (a) | 1,400 | 17,990 | |||
Sumo Logic, Inc. (a) | 18,415 | 249,707 | |||
Telos Corp. (a) (b) | 7,700 | 118,734 | |||
Tenable Holdings, Inc. (a) | 18,800 | 1,035,316 | |||
Teradata Corp. (a) | 21,875 | 929,031 |
Security Description | Shares | Value | ||||
Trade Desk, Inc. Class A (a) | 89,476 | $ 8,199,581 | ||||
Unity Software, Inc. (a) | 31,000 | 4,432,690 | ||||
Upland Software, Inc. (a) | 5,700 | 102,258 | ||||
Varonis Systems, Inc. (a) | 21,679 | 1,057,502 | ||||
Verint Systems, Inc. (a) | 12,929 | 678,902 | ||||
Veritone, Inc. (a) (b) | 5,500 | 123,640 | ||||
Viant Technology, Inc. Class A (a) | 2,200 | 21,351 | ||||
VirnetX Holding Corp. (a) (b) | 13,400 | 34,840 | ||||
VMware, Inc. Class A | 45,893 | 5,318,081 | ||||
Vonage Holdings Corp. (a) | 48,900 | 1,016,631 | ||||
Weave Communications, Inc. (a) | 1,400 | 21,252 | ||||
Workday, Inc. Class A (a) | 39,094 | 10,679,699 | ||||
Workiva, Inc. (a) | 8,700 | 1,135,263 | ||||
Xperi Holding Corp. | 21,636 | 409,137 | ||||
Yext, Inc. (a) (b) | 23,907 | 237,157 | ||||
Zendesk, Inc. (a) | 24,535 | 2,558,755 | ||||
Zoom Video Communications, Inc. Class A (a) | 44,825 | 8,243,766 | ||||
Zscaler, Inc. (a) | 16,229 | 5,214,865 | ||||
Zuora, Inc. Class A (a) | 22,900 | 427,772 | ||||
199,701,779 | ||||||
SPECIALTY RETAIL — 2.6% | ||||||
Aaron's Co., Inc. | 6,448 | 158,943 | ||||
Abercrombie & Fitch Co. Class A (a) | 11,842 | 412,457 | ||||
Academy Sports & Outdoors, Inc. (a) | 15,700 | 689,230 | ||||
American Eagle Outfitters, Inc. (b) | 30,828 | 780,565 | ||||
America's Car-Mart, Inc. (a) | 1,251 | 128,102 | ||||
Arko Corp. (a) | 23,800 | 208,726 | ||||
Asbury Automotive Group, Inc. (a) | 4,702 | 812,176 | ||||
AutoNation, Inc. (a) | 8,369 | 977,918 | ||||
Barnes & Noble Education, Inc. (a) | 10,200 | 69,462 | ||||
Bed Bath & Beyond, Inc. (a) (b) | 20,546 | 299,561 | ||||
Big 5 Sporting Goods Corp. (b) | 4,200 | 79,842 | ||||
Boot Barn Holdings, Inc. (a) | 5,900 | 725,995 | ||||
Buckle, Inc. | 5,787 | 244,848 | ||||
Burlington Stores, Inc. (a) | 13,714 | 3,997,768 | ||||
Caleres, Inc. | 7,090 | 160,801 | ||||
Camping World Holdings, Inc. Class A (b) | 8,327 | 336,411 | ||||
CarLotz, Inc. (a) (b) | 14,000 | 31,780 | ||||
Carvana Co. (a) (b) | 16,095 | 3,730,660 | ||||
Cato Corp. Class A | 3,900 | 66,924 | ||||
Chico's FAS, Inc. (a) | 22,953 | 123,487 | ||||
Children's Place, Inc. (a) | 2,742 | 217,413 | ||||
Citi Trends, Inc. (a) | 1,700 | 161,075 | ||||
Conn's, Inc. (a) | 3,522 | 82,837 | ||||
Container Store Group, Inc. (a) | 6,073 | 60,609 | ||||
Designer Brands, Inc. Class A (a) (b) | 11,956 | 169,895 |
Security Description | Shares | Value | ||||
Dick's Sporting Goods, Inc. (b) | 12,682 | $ 1,458,303 | ||||
Five Below, Inc. (a) | 11,124 | 2,301,444 | ||||
Floor & Decor Holdings, Inc. Class A (a) | 20,956 | 2,724,490 | ||||
Foot Locker, Inc. | 18,131 | 791,056 | ||||
GameStop Corp. Class A (a) (b) | 13,006 | 1,929,960 | ||||
Genesco, Inc. (a) | 2,905 | 186,414 | ||||
Group 1 Automotive, Inc. | 3,508 | 684,832 | ||||
GrowGeneration Corp. (a) | 10,500 | 137,025 | ||||
Guess?, Inc. (b) | 7,800 | 184,704 | ||||
Haverty Furniture Cos., Inc. | 3,205 | 97,977 | ||||
Hibbett, Inc. | 3,134 | 225,429 | ||||
JOANN, Inc. (b) | 2,500 | 25,950 | ||||
Kirkland's, Inc. (a) (b) | 2,900 | 43,297 | ||||
Lazydays Holdings, Inc. (a) | 1,600 | 34,464 | ||||
Leslie's, Inc. (a) (b) | 27,571 | 652,330 | ||||
Lithia Motors, Inc. | 5,929 | 1,760,617 | ||||
Lumber Liquidators Holdings, Inc. (a) | 5,659 | 96,599 | ||||
MarineMax, Inc. (a) | 4,176 | 246,551 | ||||
Monro, Inc. | 6,798 | 396,119 | ||||
Murphy USA, Inc. | 4,870 | 970,299 | ||||
National Vision Holdings, Inc. (a) | 16,525 | 793,035 | ||||
ODP Corp. (a) | 9,218 | 362,083 | ||||
OneWater Marine, Inc. Class A | 2,000 | 121,940 | ||||
Party City Holdco, Inc. (a) (b) | 21,300 | 118,641 | ||||
Penske Automotive Group, Inc. | 6,389 | 685,029 | ||||
Petco Health & Wellness Co., Inc. (a) (b) | 11,200 | 221,648 | ||||
Rent-A-Center, Inc. | 13,354 | 641,526 | ||||
RH (a) | 3,560 | 1,907,946 | ||||
Sally Beauty Holdings, Inc. (a) | 23,248 | 429,158 | ||||
Shift Technologies, Inc. (a) (b) | 12,400 | 42,284 | ||||
Shoe Carnival, Inc. | 3,400 | 132,872 | ||||
Signet Jewelers, Ltd. | 10,700 | 931,221 | ||||
Sleep Number Corp. (a) | 4,517 | 346,002 | ||||
Sonic Automotive, Inc. Class A | 4,236 | 209,470 | ||||
Sportsman's Warehouse Holdings, Inc. (a) | 8,470 | 99,946 | ||||
Tilly's, Inc. Class A | 6,237 | 100,478 | ||||
Torrid Holdings, Inc. (a) | 2,500 | 24,700 | ||||
TravelCenters of America, Inc. (a) | 2,400 | 123,888 | ||||
Urban Outfitters, Inc. (a) | 13,250 | 389,020 | ||||
Victoria's Secret & Co. (a) | 15,300 | 849,762 | ||||
Vroom, Inc. (a) (b) | 23,100 | 249,249 | ||||
Williams-Sonoma, Inc. | 14,980 | 2,533,567 | ||||
Winmark Corp. | 745 | 184,976 | ||||
Zumiez, Inc. (a) | 5,100 | 244,749 | ||||
41,418,535 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.4% | ||||||
3D Systems Corp. (a) (b) | 24,665 | 531,284 | ||||
Avid Technology, Inc. (a) | 7,597 | 247,435 | ||||
Corsair Gaming, Inc. (a) | 5,300 | 111,353 |
Security Description | Shares | Value | ||||
Dell Technologies, Inc. Class C (a) | 55,270 | $ 3,104,516 | ||||
Diebold Nixdorf, Inc. (a) | 15,936 | 144,221 | ||||
Eastman Kodak Co. (a) (b) | 8,800 | 41,184 | ||||
Pure Storage, Inc. Class A (a) | 54,975 | 1,789,436 | ||||
Quantum Corp. (a) | 14,600 | 80,592 | ||||
Super Micro Computer, Inc. (a) | 8,915 | 391,814 | ||||
Turtle Beach Corp. (a) | 3,000 | 66,780 | ||||
Xerox Holdings Corp. | 28,400 | 642,976 | ||||
7,151,591 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.3% | ||||||
Capri Holdings, Ltd. (a) | 29,891 | 1,940,225 | ||||
Carter's, Inc. | 8,460 | 856,321 | ||||
Columbia Sportswear Co. | 8,020 | 781,469 | ||||
Crocs, Inc. (a) | 11,620 | 1,489,916 | ||||
Deckers Outdoor Corp. (a) | 5,540 | 2,029,357 | ||||
Fossil Group, Inc. (a) | 9,200 | 94,668 | ||||
G-III Apparel Group, Ltd. (a) | 8,681 | 239,943 | ||||
Hanesbrands, Inc. | 70,700 | 1,182,104 | ||||
Kontoor Brands, Inc. (b) | 10,600 | 543,250 | ||||
Lululemon Athletica, Inc. (a) | 23,504 | 9,200,641 | ||||
Movado Group, Inc. | 3,061 | 128,042 | ||||
Oxford Industries, Inc. | 3,330 | 338,062 | ||||
PLBY Group, Inc. (a) | 5,600 | 149,184 | ||||
Rocky Brands, Inc. | 1,305 | 51,939 | ||||
Skechers U.S.A., Inc. Class A (a) | 26,734 | 1,160,255 | ||||
Steven Madden, Ltd. | 16,613 | 772,006 | ||||
Superior Group of Cos., Inc. | 2,300 | 50,462 | ||||
Unifi, Inc. (a) | 2,610 | 60,421 | ||||
Vera Bradley, Inc. (a) | 5,000 | 42,550 | ||||
Wolverine World Wide, Inc. | 16,780 | 483,432 | ||||
21,594,247 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.7% | ||||||
Axos Financial, Inc. (a) | 11,632 | 650,345 | ||||
Blue Foundry Bancorp (a) | 5,600 | 81,928 | ||||
Bridgewater Bancshares, Inc. (a) | 4,050 | 71,645 | ||||
Capitol Federal Financial, Inc. | 28,000 | 317,240 | ||||
Columbia Financial, Inc. (a) | 8,700 | 181,482 | ||||
Enact Holdings, Inc. | 2,900 | 59,943 | ||||
Essent Group, Ltd. | 21,444 | 976,345 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,732 | 214,647 | ||||
Finance Of America Cos., Inc. Class A (a) (b) | 1,800 | 7,146 | ||||
Flagstar Bancorp, Inc. | 10,225 | 490,187 | ||||
FS Bancorp, Inc. | 1,470 | 49,436 | ||||
Hingham Institution for Savings | 268 | 112,528 | ||||
Home Bancorp, Inc. | 1,500 | 62,265 | ||||
Home Point Capital, Inc. (b) | 1,900 | 8,550 | ||||
Kearny Financial Corp. | 14,151 | 187,501 | ||||
Luther Burbank Corp. | 3,400 | 47,736 | ||||
Merchants Bancorp | 1,900 | 89,927 | ||||
MGIC Investment Corp. | 64,489 | 929,931 |
Security Description | Shares | Value | ||||
Mr Cooper Group, Inc. (a) | 12,360 | $ 514,300 | ||||
New York Community Bancorp, Inc. | 90,423 | 1,104,065 | ||||
NMI Holdings, Inc. Class A (a) | 16,565 | 361,945 | ||||
Northfield Bancorp, Inc. | 8,580 | 138,653 | ||||
Northwest Bancshares, Inc. | 25,676 | 363,572 | ||||
Ocwen Financial Corp. (a) | 1,600 | 63,952 | ||||
PCSB Financial Corp. | 2,696 | 51,332 | ||||
PennyMac Financial Services, Inc. | 6,097 | 425,449 | ||||
Pioneer Bancorp, Inc. (a) (b) | 2,400 | 27,168 | ||||
Premier Financial Corp. | 7,297 | 225,550 | ||||
Provident Bancorp, Inc. | 3,114 | 57,920 | ||||
Provident Financial Services, Inc. | 14,856 | 359,812 | ||||
Radian Group, Inc. | 35,654 | 753,369 | ||||
Rocket Cos., Inc. Class A (b) | 27,600 | 386,400 | ||||
Southern Missouri Bancorp, Inc. | 1,500 | 78,255 | ||||
TFS Financial Corp. | 11,417 | 204,022 | ||||
TrustCo Bank Corp. | 4,319 | 143,866 | ||||
UWM Holdings Corp. (b) | 18,700 | 110,704 | ||||
Velocity Financial, Inc. (a) (b) | 1,600 | 21,920 | ||||
Walker & Dunlop, Inc. | 5,840 | 881,139 | ||||
Washington Federal, Inc. | 13,017 | 434,507 | ||||
Waterstone Financial, Inc. | 4,100 | 89,626 | ||||
WSFS Financial Corp. | 9,190 | 460,603 | ||||
11,796,911 | ||||||
TOBACCO — 0.0% (c) | ||||||
22nd Century Group, Inc. (a) (b) | 31,100 | 96,099 | ||||
Turning Point Brands, Inc. | 2,800 | 105,784 | ||||
Universal Corp. | 4,741 | 260,376 | ||||
Vector Group, Ltd. | 29,796 | 342,058 | ||||
804,317 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.0% | ||||||
Air Lease Corp. | 21,856 | 966,691 | ||||
Alta Equipment Group, Inc. (a) | 3,500 | 51,240 | ||||
Applied Industrial Technologies, Inc. | 7,901 | 811,433 | ||||
Beacon Roofing Supply, Inc. (a) | 11,303 | 648,227 | ||||
BlueLinx Holdings, Inc. (a) | 1,800 | 172,368 | ||||
Boise Cascade Co. | 8,001 | 569,671 | ||||
Core & Main, Inc. Class A (a) | 7,700 | 233,618 | ||||
Custom Truck One Source, Inc. (a) (b) | 8,800 | 70,400 | ||||
DXP Enterprises, Inc. (a) | 3,500 | 89,845 | ||||
EVI Industries, Inc. (a) (b) | 1,120 | 34,977 | ||||
GATX Corp. | 6,931 | 722,141 | ||||
Global Industrial Co. | 3,000 | 122,700 | ||||
GMS, Inc. (a) | 8,400 | 504,924 | ||||
H&E Equipment Services, Inc. | 6,800 | 301,036 | ||||
Herc Holdings, Inc. | 5,038 | 788,699 | ||||
Karat Packaging, Inc. (a) | 900 | 18,189 | ||||
Lawson Products, Inc. (a) | 953 | 52,177 | ||||
McGrath RentCorp | 5,000 | 401,300 | ||||
MRC Global, Inc. (a) | 15,500 | 106,640 |
Security Description | Shares | Value | ||||
MSC Industrial Direct Co., Inc. Class A | 9,299 | $ 781,674 | ||||
NOW, Inc. (a) | 21,419 | 182,918 | ||||
Rush Enterprises, Inc. Class A | 9,350 | 520,234 | ||||
Rush Enterprises, Inc. Class B | 700 | 37,779 | ||||
SiteOne Landscape Supply, Inc. (a) | 9,033 | 2,188,515 | ||||
Textainer Group Holdings, Ltd. | 9,365 | 334,424 | ||||
Titan Machinery, Inc. (a) | 3,900 | 131,391 | ||||
Transcat, Inc. (a) | 1,400 | 129,402 | ||||
Triton International, Ltd. | 13,431 | 808,949 | ||||
Univar Solutions, Inc. (a) | 33,888 | 960,725 | ||||
Veritiv Corp. (a) | 2,891 | 354,350 | ||||
Watsco, Inc. | 6,603 | 2,065,947 | ||||
WESCO International, Inc. (a) | 9,008 | 1,185,363 | ||||
Willis Lease Finance Corp. (a) | 510 | 19,201 | ||||
16,367,148 | ||||||
WATER UTILITIES — 0.3% | ||||||
American States Water Co. | 7,601 | 786,247 | ||||
Artesian Resources Corp. Class A | 1,551 | 71,858 | ||||
Cadiz, Inc. (a) | 4,600 | 17,756 | ||||
California Water Service Group | 10,489 | 753,740 | ||||
Essential Utilities, Inc. | 46,139 | 2,477,203 | ||||
Global Water Resources, Inc. | 2,400 | 41,040 | ||||
Middlesex Water Co. | 3,523 | 423,817 | ||||
Pure Cycle Corp. (a) | 3,700 | 54,020 | ||||
SJW Group | 5,587 | 408,968 | ||||
York Water Co. | 2,700 | 134,406 | ||||
5,169,055 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | ||||||
Gogo, Inc. (a) (b) | 11,610 | 157,083 | ||||
Shenandoah Telecommunications Co. | 10,150 | 258,825 | ||||
Telephone & Data Systems, Inc. | 20,400 | 411,060 | ||||
United States Cellular Corp. (a) | 3,435 | 108,270 | ||||
935,238 | ||||||
TOTAL COMMON STOCKS (Cost $1,308,759,476) | 1,596,290,449 | |||||
RIGHTS — 0.0% (c) | ||||||
BIOTECHNOLOGY — 0.0% (c) | ||||||
GTX, Inc. (CVR) (a) (b) | 85 | 161 | ||||
Progenic Pharmaceuticals, Inc. (CVR) | 13,803 | 590 | ||||
Tobira Therapeutics, Inc. (CVR) | 200 | 2,834 | ||||
3,585 | ||||||
MEDIA — 0.0% (c) | ||||||
Media General, Inc. (CVR) (a) | 6,500 | 650 | ||||
TOTAL RIGHTS (Cost $186) | 4,235 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.1% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.04% (e) (f) | 14,686,484 | $ 14,687,953 | ||||
State Street Navigator Securities Lending Portfolio II (g) (h) | 68,084,095 | 68,084,095 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $82,772,048) | 82,772,048 | |||||
TOTAL INVESTMENTS — 103.9% (Cost $1,391,531,710) | 1,679,066,732 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.9)% | (62,938,331) | |||||
NET ASSETS — 100.0% | $ 1,616,128,401 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of September 30, 2021, total aggregate fair value of this security is $0, representing less than 0.05% of the Fund's net assets. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(g) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(h) | Investment of cash collateral for securities loaned. |
CVR | Contingent Value Rights |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini Russell 2000 Index (long) | 67 | 03/18/2022 | $7,401,133 | $7,513,380 | $ 112,247 | |||||
E-mini S&P MidCap 400 Index (long) | 28 | 03/18/2022 | 7,769,770 | 7,945,560 | 175,790 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $288,037 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,596,290,177 | $ 272 | $ 0(a) | $1,596,290,449 | ||||
Rights | — | 4,235 | — | 4,235 | ||||
Short-Term Investments | 82,772,048 | — | — | 82,772,048 | ||||
TOTAL INVESTMENTS | $1,679,062,225 | $4,507 | $ 0 | $1,679,066,732 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 288,037 | — | — | 288,037 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 288,037 | $ — | $— | $ 288,037 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,679,350,262 | $4,507 | $— | $1,679,354,769 |
(a) | The Portfolio held a Level 3 security that was valued at $0 at December 31, 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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,650,443 | $13,653,173 | $427,881,001 | $426,847,172 | $951 | $— | 14,686,484 | $14,687,953 | $ 10,137 | ||||||||
State Street Navigator Securities Lending Portfolio II | 43,142,840 | 43,142,840 | 275,929,654 | 250,988,399 | — | — | 68,084,095 | 68,084,095 | 305,232 | ||||||||
Total | $56,796,013 | $703,810,655 | $677,835,571 | $951 | $— | $82,772,048 | $315,369 |
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* | $2,080,057,071 | $4,586,090,204 | $1,596,294,684 | ||
Investments in affiliated issuers, at value | 206,038,439 | 241,470,424 | 82,772,048 | ||
Total Investments | 2,286,095,510 | 4,827,560,628 | 1,679,066,732 | ||
Foreign currency, at value | — | 21,300,802 | — | ||
Net cash at broker | 750,000 | 8,110,867 | 481,129 | ||
Cash | — | 224,369 | 2,001,982 | ||
Receivable from broker — accumulated variation margin on futures contracts | — | 1,207,442 | 288,248 | ||
Receivable for investments sold | 319,520 | 394,417 | 92,312 | ||
Receivable for fund shares sold | 69,774,475 | 80,073,396 | 28,985,508 | ||
Dividends receivable — unaffiliated issuers | — | 5,107,792 | 1,147,918 | ||
Dividends receivable — affiliated issuers | 18,813 | 3,803 | 2,046 | ||
Interest receivable — unaffiliated issuers | 8,432,109 | 4,557 | 588 | ||
Securities lending income receivable — unaffiliated issuers | 3,758 | 47,741 | 11,064 | ||
Securities lending income receivable — affiliated issuers | 13,804 | 48,596 | 20,788 | ||
Receivable from Adviser | 8,011 | — | — | ||
Receivable for foreign taxes recoverable | 1,872 | 3,352,556 | — | ||
Other Receivable | 439 | — | — | ||
Prepaid expenses and other assets | 3,091 | 7,116 | 2,464 | ||
TOTAL ASSETS | 2,365,421,402 | 4,947,444,082 | 1,712,100,779 | ||
LIABILITIES | |||||
Due to custodian | 3,824 | — | — | ||
Payable upon return of securities loaned | 91,540,533 | 69,958,002 | 68,084,095 | ||
Payable for investments purchased | 174,295,891 | 99,109,130 | 27,545,433 | ||
Payable for fund shares repurchased | — | — | 210,000 | ||
Deferred foreign taxes payable | — | 5,120,441 | — | ||
Custodian, sub-administration and transfer agent fees payable | 61,518 | 139,042 | 47,525 | ||
Custodian fees payable | 5,818 | 293,123 | 8,808 | ||
Trustees’ fees and expenses payable | 557 | 1,282 | 410 | ||
Registration and filing fees payable | 15,365 | 36,002 | 8,930 | ||
Professional fees payable | 44,480 | 43,128 | 38,043 | ||
Printing and postage fees payable | 15,935 | 33,476 | 11,308 | ||
Accrued expenses and other liabilities | 1,748 | 11,944 | 17,826 | ||
TOTAL LIABILITIES | 265,985,669 | 174,745,570 | 95,972,378 | ||
NET ASSETS | $2,099,435,733 | $4,772,698,512 | $1,616,128,401 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $2,087,190,991 | $3,975,180,395 | $1,348,942,881 | ||
Total distributable earnings (loss)** | 12,244,742 | 797,518,117 | 267,185,520 | ||
NET ASSETS | $2,099,435,733 | $4,772,698,512 | $1,616,128,401 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 103.42 | $ 122.91 | $ 316.31 | ||
Shares of beneficial interest | 20,300,638 | 38,831,458 | 5,109,266 | ||
Net Assets | $2,099,435,733 | $4,772,698,512 | $1,616,128,401 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $2,063,614,329 | $3,717,217,532 | $1,308,759,662 | ||
Investments in affiliated issuers | 206,044,208 | 241,470,424 | 82,772,048 | ||
Total cost of investments | $2,269,658,537 | $3,958,687,956 | $1,391,531,710 | ||
Foreign currency, at cost | $ — | $ 21,288,821 | $ — | ||
* Includes investments in securities on loan, at value | $ 142,982,835 | $ 94,356,626 | $ 130,016,776 | ||
** Includes deferred foreign taxes | $ — | $ 5,120,441 | $ — |
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 | $ 27,848,111 | $ — | $ — | ||
Dividend income — unaffiliated issuers | — | 113,906,106 | 13,406,546 | ||
Dividend income — affiliated issuers | 72,497 | 44,172 | 10,137 | ||
Unaffiliated securities lending income | 51,649 | 345,619 | 138,057 | ||
Affiliated securities lending income | 163,297 | 597,544 | 305,232 | ||
Foreign taxes withheld | (878) | (11,192,779) | (13,839) | ||
TOTAL INVESTMENT INCOME (LOSS) | 28,134,676 | 103,700,662 | 13,846,133 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 225,408 | 512,093 | 175,498 | ||
Custodian fees | 21,597 | 1,273,113 | 29,619 | ||
Trustees’ fees and expenses | 35,205 | 54,103 | 32,151 | ||
Registration and filing fees | 25,518 | 65,986 | 1,282 | ||
Professional fees and expenses | 55,313 | 107,090 | 43,585 | ||
Printing and postage fees | 18,918 | 39,569 | 13,487 | ||
Insurance expense | 4,799 | 11,194 | 3,878 | ||
Interest expense | — | 1,346 | — | ||
Miscellaneous expenses | 13,850 | 16,008 | 8,740 | ||
TOTAL EXPENSES | 400,608 | 2,080,502 | 308,240 | ||
Expenses waived/reimbursed by the Adviser | (137,048) | — | — | ||
NET EXPENSES | 263,560 | 2,080,502 | 308,240 | ||
NET INVESTMENT INCOME (LOSS) | $ 27,871,116 | $101,620,160 | $ 13,537,893 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | 2,473,200 | 13,074 | 121,581,934 | ||
Investments — affiliated issuers | (5,768) | — | 951 | ||
Foreign currency transactions | — | (1,143,997) | — | ||
Futures contracts | — | 8,649,661 | 2,233,948 | ||
Net realized gain (loss) | 2,467,432 | 7,518,738 | 123,816,833 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (54,317,515) | 186,842,747 | 5,136,332 | ||
Investments — affiliated issuers | (5,891) | — | — | ||
Foreign currency translations | — | (516,769) | — | ||
Futures contracts | — | 47,612 | 101,581 | ||
Net change in unrealized appreciation/depreciation | (54,323,406) | 186,373,590 | 5,237,913 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (51,855,974) | 193,892,328 | 129,054,746 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(23,984,858) | $295,512,488 | $142,592,639 | ||
* Includes foreign capital gain taxes | $ — | $ (6,603) | $ — | ||
** Includes foreign deferred taxes | $ — | $ (5,120,441) | $ — |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/21 | Year Ended 12/31/20(b) | Year Ended 12/31/21 | Year Ended 12/31/20(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 27,871,116 | $ 24,045,795 | $ 101,620,160 | $ 54,964,306 | $ 13,537,893 | $ 9,367,669 | |||||
Net realized gain (loss) | 2,467,432 | 12,983,630 | 7,518,738 | 12,553,426 | 123,816,833 | 87,244,174 | |||||
Net change in unrealized appreciation/depreciation | (54,323,406) | 38,808,794 | 186,373,590 | 379,793,513 | 5,237,913 | 172,688,276 | |||||
Net increase (decrease) in net assets resulting from operations | (23,984,858) | 75,838,219 | 295,512,488 | 447,311,245 | 142,592,639 | 269,300,119 | |||||
Distributions to shareholders | (34,362,489) | (34,309,398) | (117,603,601) | (55,571,980) | (219,927,786) | (33,144,081) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from shares sold | 1,014,306,203 | 606,503,436 | 1,749,857,744 | 1,101,256,816 | 616,237,779 | 315,250,396 | |||||
Reinvestment of distributions | 34,362,489 | 34,309,398 | 117,603,602 | 55,571,980 | 219,927,786 | 33,144,080 | |||||
Cost of shares redeemed | (305,893,232) | (300,912,971) | (543,634,098) | (374,904,536) | (208,561,164) | (267,893,599) | |||||
Other Capital | — | — | — | (50) | 160 | — | |||||
Net increase (decrease) in net assets from capital transactions | 742,775,460 | 339,899,863 | 1,323,827,248 | 781,924,210 | 627,604,561 | 80,500,877 | |||||
Contribution from Affiliate (Note 5) | — | 439 | — | — | — | — | |||||
Net increase (decrease) in net assets during the period | 684,428,113 | 381,429,123 | 1,501,736,135 | 1,173,663,475 | 550,269,414 | 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 | $2,099,435,733 | $1,415,007,620 | $4,772,698,512 | $3,270,962,377 | $1,616,128,401 | $1,065,858,987 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 9,706,095 | 5,663,700 | 14,131,624 | 11,643,374 | 1,725,291 | 1,213,203 | |||||
Reinvestment of distributions | 329,438 | 320,927 | 979,949 | 489,794 | 706,391 | 100,678 | |||||
Shares redeemed | (2,931,004) | (2,865,783) | (4,374,525) | (3,713,369) | (574,686) | (1,003,530) | |||||
Net increase (decrease) from share transactions | 7,104,529 | 3,118,844 | 10,737,048 | 8,419,799 | 1,856,996 | 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. |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.61 | 0.65 | 2.80 | 2.60 | 2.30 | ||||
Net realized and unrealized gain (loss) | (3.46) | 7.25 | 5.70 | (2.80) | 1.00 | ||||
Total from investment operations | (1.85) | 7.90 | 8.50 | (0.20) | 3.30 | ||||
Contribution from Affiliate (Note 5) | — | 0.00(c) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.96) | (2.67) | (3.00) | (2.70) | (2.40) | ||||
Net realized gains | — | (0.60) | — | — | — | ||||
Total distributions | (1.96) | (3.27) | (3.00) | (2.70) | (2.40) | ||||
Net asset value, end of period | $ 103.42 | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | ||||
Total return (d) | (1.72)% | 7.86%(e) | 8.69% | (0.12)% | 3.38% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,099,436 | $1,415,008 | $1,033,578 | $846,759 | $687,541 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.02% | 0.03% | 0.04% | 0.04% | 0.06% | ||||
Net expenses | 0.01% | 0.03% | 0.03% | 0.03% | 0.03% | ||||
Net investment income (loss) | 1.55% | 2.20% | 2.76% | 2.73% | 2.31% | ||||
Portfolio turnover rate | 21%(f) | 37%(f) | 69% | 90% | 99% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | If an Affiliate had not made a contribution during the year ended December 31, 2020, the total return would have remained 7.86%. |
(f) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.09 | 2.28 | 3.20 | 3.00 | 2.60 | ||||
Net realized and unrealized gain (loss) | 6.56 | 9.49 | 16.40 | (18.20) | 21.20 | ||||
Total from investment operations | 9.65 | 11.77 | 19.60 | (15.20) | 23.80 | ||||
Other capital | — | (0.00)(c) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.17) | (1.94) | (3.20) | (2.70) | (2.50) | ||||
Net realized gains | — | — | — | (0.00)(c) | (0.50) | ||||
Total distributions | (3.17) | (1.94) | (3.20) | (2.70) | (3.00) | ||||
Net asset value, end of period | $ 122.91 | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | ||||
Total return (d) | 8.37% | 11.07% | 21.70% | (13.99)% | 27.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,772,699 | $3,270,962 | $2,097,299 | $1,907,599 | $1,655,261 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | ||||
Net expenses | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | ||||
Net investment income (loss) | 2.48% | 2.29% | 3.19% | 2.89% | 2.59% | ||||
Portfolio turnover rate | 2% | 2% | 28% | 4% | 2% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.50 | 3.01 | 3.60 | 3.80 | 3.40 | ||||
Net realized and unrealized gain (loss) | 36.64 | 79.67 | 54.20 | (26.20) | 35.20 | ||||
Total from investment operations | 40.14 | 82.68 | 57.80 | (22.40) | 38.60 | ||||
Other capital | 0.00(c) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.47) | (2.90) | (3.40) | (3.80) | (3.00) | ||||
Net realized gains | (48.09) | (6.65) | (6.00) | (9.60) | (6.60) | ||||
Total distributions | (51.56) | (9.55) | (9.40) | (13.40) | (9.60) | ||||
Net asset value, end of period | $ 316.31 | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | ||||
Total return (d) | 12.50% | 32.46% | 27.98% | (9.07)% | 18.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,616,128 | $1,065,859 | $749,202 | $628,732 | $464,870 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.02% | 0.03% | 0.05% | 0.05% | 0.07% | ||||
Net expenses | 0.02% | 0.03% | 0.03% | 0.03% | 0.03% | ||||
Net investment income (loss) | 0.96% | 1.19% | 1.48% | 1.52% | 1.46% | ||||
Portfolio turnover rate | 28% | 52% | 51% | 22% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund/Portfolio | Classes | Commencement of Operations | Diversification Classification |
State Street Aggregate Bond Index Fund (the "Fund") | Class A Class I Class K | September 19, 2014 September 19, 2014 September 19, 2014 | Diversified Diversified Diversified |
State Street Global All Cap Equity ex-U.S. Index Fund (the "Fund") | Class A Class I Class K | September 17, 2014 September 17, 2014 September 17, 2014 | Diversified Diversified Diversified |
State Street Small/Mid Cap Equity Index Fund (the "Fund") | Class A Class I Class K | October 16, 2015 October 16, 2015 August 12, 2015 | Diversified Diversified Diversified |
State Street Aggregate Bond Index Portfolio (the "Portfolio") | September 19, 2014 | Diversified | |
State Street Global All Cap Equity ex-U.S. Index Portfolio (the "Portfolio") | September 17, 2014 | Diversified | |
State Street Small/Mid Cap Equity Index Portfolio (the "Portfolio") | August 12, 2015 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at December 31, 2021 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 30.49% | ||
State Street Global All Cap Equity ex- U.S. Index Fund | State Street Global All Cap Equity ex- U.S. Index Portfolio | 24.09% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 25.37% |
Name | Frequency |
State Street Aggregate Bond Index Fund | Monthly |
State Street Global All Cap Equity ex-U.S. Index Fund | Annually |
State Street Small/Mid Cap Equity Index Fund | Annually |
State Street Aggregate Bond Index Portfolio | Monthly |
State Street Global All Cap Equity ex-U.S. Index Portfolio | Annually |
State Street Small/Mid Cap Equity Index Portfolio | Annually |
Portfolios | Strategies |
State Street Global All Cap Equity ex- U.S. Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
State Street Small/Mid Cap Equity Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $1,207,442 | $— | $1,207,442 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 288,248 | — | 288,248 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $8,649,661 | $— | $8,649,661 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 2,233,948 | — | 2,233,948 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $ 47,612 | $— | $ 47,612 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 101,581 | — | 101,581 |
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 | $3,013,005,160 | $2,468,155,530 | $ 262,213,513 | $ 64,838,989 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 1,242,284,245 | 59,334,389 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 808,362,995 | 386,718,807 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $ 10,507,301 | $ 8,990,126 | $ 19,497,427 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 28,787,282 | 17,480,203 | 46,267,485 | ||
State Street Small/Mid Cap Equity Index Fund | 13,140,252 | 22,386,967 | 35,527,219 | ||
State Street Aggregate Bond Index Portfolio | 34,362,489 | — | 34,362,489 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 117,603,601 | — | 117,603,601 | ||
State Street Small/Mid Cap Equity Index Portfolio | 47,466,877 | 172,460,909 | 219,927,786 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $ 7,124,058 | $ 2,821,193 | $ 9,945,251 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 13,356,345 | 209,540 | 13,565,885 | ||
State Street Small/Mid Cap Equity Index Fund | 1,521,933 | 1,951,557 | 3,473,490 | ||
State Street Aggregate Bond Index Portfolio | 27,085,216 | 7,224,182 | 34,309,398 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 55,571,980 | — | 55,571,980 | ||
State Street Small/Mid Cap Equity Index Portfolio | 14,411,451 | 18,732,630 | 33,144,081 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Aggregate Bond Index Fund | $ — | $ — | $ 61,346 | $ (12,872,677) | $ (12,811,331) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | — | — | 2,152,319 | 119,683,708 | 121,836,027 | ||||
State Street Small/Mid Cap Equity Index Fund | — | — | 44,862,304 | (2,426,253) | 42,436,051 | ||||
State Street Aggregate Bond Index Portfolio | 555,083 | (4,328,888) | — | 16,018,547 | 12,244,742 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 1,035,990 | (39,310,608) | — | 835,792,735 | 797,518,117 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 2,035,330 | — | 11,818,939 | 253,331,251 | 267,185,520 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Aggregate Bond Index Portfolio | $4,328,888 | $ — | |
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | 39,310,608 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 651,814,786 | $ — | $ 12,872,677 | $ (12,872,677) | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 1,030,822,911 | 119,683,708 | — | 119,683,708 | |||
State Street Small/Mid Cap Equity Index Fund | 412,920,283 | — | 2,426,254 | (2,426,254) | |||
State Street Aggregate Bond Index Portfolio | 2,270,076,963 | 39,723,507 | 23,704,960 | 16,018,547 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 3,987,874,032 | 1,068,684,389 | 232,857,672 | 835,826,717 | |||
State Street Small/Mid Cap Equity Index Portfolio | 1,426,023,517 | 342,173,372 | 88,842,120 | 253,331,252 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 142,982,835 | $ 91,540,533 | $ 54,317,024 | $ 145,857,557 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 94,356,626 | 69,958,002 | 29,226,887 | 99,184,889 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 130,016,776 | 68,084,095 | 66,976,888 | 135,060,983 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 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 | $30,634,638 | $— | $— | $— | $30,634,638 | $30,634,638 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 10,448,205 | — | — | — | 10,448,205 | 10,448,205 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 3,213,465 | — | — | — | 3,213,465 | 3,213,465 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 47,244,225 | — | — | — | 47,244,225 | 47,244,225 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Common Stocks | 69,958,002 | — | — | — | 69,958,002 | 69,958,002 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 68,084,000 | — | — | — | 68,084,000 | 68,084,000 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 95 | — | — | — | 95 | 95 |
March 1, 2022
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% | $ 997.80 | $2.37(a) | $1,022.80 | $2.40(a) | ||||
Class I | 0.22 | 999.00 | 1.11(a) | 1,024.10 | 1.12(a) | ||||
Class K | 0.02 | 1,000.00 | 0.10(a) | 1,025.10 | 0.10(a) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | |||||||||
Class A | 0.46 | 987.00 | 2.30(a) | 1,022.90 | 2.35(a) | ||||
Class I | 0.19 | 988.40 | 0.95(a) | 1,024.20 | 0.97(a) | ||||
Class K | 0.01 | 989.30 | 0.05(a) | 1,025.20 | 0.05(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.49 | 979.10 | 2.44(a) | 1,022.70 | 2.50(a) | ||||
Class I | 0.24 | 980.30 | 1.20(a) | 1,024.00 | 1.22(a) | ||||
Class K | 0.04 | 981.30 | 0.20(a) | 1,025.00 | 0.20(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.01 | 1,000.10 | 0.05(b) | 1,025.20 | 0.05(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.05 | 989.30 | 0.25(b) | 1,025.00 | 0.26(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.02 | 981.50 | 0.10(b) | 1,025.10 | 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 184, then divided by 365. |
(b) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Aggregate Bond Index Fund | $ 8,990,126 |
State Street Global All Cap Equity ex- U.S. Index Fund | 17,480,203 |
State Street Small/Mid Cap Equity Index Fund | 22,386,967 |
State Street Small/Mid Cap Equity Index Portfolio | 172,460,909 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $2,241,825 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 9,097,472 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $ 28,065,844 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 113,893,033 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' and Portfolios' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
4 | |
27 | |
28 | |
29 | |
30 | |
31 | |
39 | |
40 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Emerging Markets Equity Index Fund Class K | (2.80%) | 9.67% | 9.82% |
MSCI Emerging Markets Index (1) | (2.54%) | 9.87% | 10.17% |
* | Inception date is December 18, 2015. |
(1) | The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging market countries. |
% of Net Assets | |||
Common Stocks | 93.0% | ||
Warrants | 2.3 | ||
Rights | 0.0 * | ||
Preferred Stocks | 0.0 * | ||
Short-Term Investments | 3.8 | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 93.0% | |||||
BRAZIL — 3.7% | |||||
Alpargatas SA Preference Shares | 19,400 | $ 128,939 | |||
Ambev SA | 531,185 | 1,470,534 | |||
Americanas SA (a) | 51,395 | 291,392 | |||
Atacadao SA | 51,600 | 141,275 | |||
B3 SA - Brasil Bolsa Balcao | 689,576 | 1,379,152 | |||
Banco Bradesco SA Preference Shares | 539,830 | 1,861,784 | |||
Banco Bradesco SA | 160,249 | 465,787 | |||
Banco BTG Pactual SA | 128,548 | 484,651 | |||
Banco BTG Pactual SA Preference Shares | 9 | 9 | |||
Banco do Brasil SA | 94,098 | 487,384 | |||
Banco Inter SA | 36,586 | 187,659 | |||
Banco Santander Brasil SA | 46,300 | 249,205 | |||
BB Seguridade Participacoes SA | 78,437 | 292,202 | |||
Braskem SA Class A, Preference Shares | 21,200 | 219,346 | |||
BRF SA (a) | 69,423 | 280,683 | |||
CCR SA | 138,869 | 288,957 | |||
Centrais Eletricas Brasileiras SA | 34,000 | 203,939 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 26,100 | 154,679 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 39,500 | 284,939 | |||
Cia Energetica de Minas Gerais Preference Shares | 115,531 | 271,923 | |||
Cia Siderurgica Nacional SA | 77,400 | 347,258 | |||
Cosan SA | 116,800 | 454,828 | |||
Energisa SA | 22,000 | 175,250 | |||
Engie Brasil Energia SA | 22,087 | 152,309 | |||
Equatorial Energia SA | 102,600 | 416,479 | |||
Gerdau SA Preference Shares | 128,100 | 626,931 | |||
Hapvida Participacoes e Investimentos SA (b) | 134,695 | 251,011 | |||
Hypera SA | 41,800 | 212,152 | |||
Itau Unibanco Holding SA Preference Shares | 540,361 | 2,032,417 | |||
Itausa SA Preference Shares | 520,131 | 833,890 | |||
Itausa SA | 265 | 442 | |||
Klabin SA | 81,907 | 377,331 | |||
Localiza Rent a Car SA | 67,808 | 645,211 | |||
Lojas Renner SA | 111,755 | 490,358 | |||
Magazine Luiza SA | 337,076 | 436,928 | |||
Natura & Co. Holding SA (a) | 97,290 | 444,180 | |||
Notre Dame Intermedica Participacoes SA | 58,370 | 632,429 | |||
Petroleo Brasileiro SA Preference Shares | 530,398 | 2,709,124 | |||
Petroleo Brasileiro SA | 415,014 | 2,287,420 | |||
Raia Drogasil SA | 117,600 | 513,048 | |||
Rede D'Or Sao Luiz SA (b) | 45,200 | 363,791 |
Security Description | Shares | Value | |||
Rumo SA (a) | 143,900 | $ 458,827 | |||
Suzano SA (a) | 83,324 | 899,211 | |||
Telefonica Brasil SA | 57,155 | 494,488 | |||
TIM SA | 90,700 | 214,130 | |||
TOTVS SA | 58,093 | 298,704 | |||
Ultrapar Participacoes SA | 82,264 | 214,743 | |||
Vale SA | 458,728 | 6,420,545 | |||
Via S/A (a) | 136,100 | 128,281 | |||
Vibra Energia SA | 129,100 | 496,004 | |||
WEG SA | 186,460 | 1,104,031 | |||
34,276,190 | |||||
CHILE — 0.4% | |||||
Banco de Chile | 4,985,297 | 389,462 | |||
Banco de Credito e Inversiones SA | 6,110 | 178,495 | |||
Banco Santander Chile | 7,364,836 | 296,063 | |||
Cencosud SA | 163,097 | 272,785 | |||
Cia Cervecerias Unidas SA | 15,532 | 126,334 | |||
Empresas CMPC SA | 127,581 | 213,833 | |||
Empresas COPEC SA | 43,489 | 336,172 | |||
Enel Americas SA | 2,464,805 | 269,046 | |||
Enel Chile SA | 3,038,792 | 106,286 | |||
Falabella SA | 87,525 | 285,484 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 15,084 | 769,939 | |||
3,243,899 | |||||
CHINA — 28.6% | |||||
360 DigiTech, Inc. ADR | 9,800 | 224,714 | |||
360 Security Technology, Inc. Class A (a) | 22,900 | 45,807 | |||
3SBio, Inc. (a)(b) | 134,800 | 112,387 | |||
51job, Inc. ADR (a) | 3,200 | 156,576 | |||
AAC Technologies Holdings, Inc. (c) | 81,000 | 319,998 | |||
Addsino Co., Ltd. Class A | 7,800 | 20,484 | |||
Advanced Micro-Fabrication Equipment, Inc. China Class A (a) | 2,043 | 40,673 | |||
AECC Aero-Engine Control Co., Ltd. Class A | 3,700 | 17,618 | |||
AECC Aviation Power Co., Ltd. Class A | 8,600 | 85,824 | |||
Agile Group Holdings, Ltd. (c) | 124,000 | 67,278 | |||
Agora, Inc. ADR (a) | 4,900 | 79,429 | |||
Agricultural Bank of China, Ltd. Class A | 278,400 | 128,714 | |||
Agricultural Bank of China, Ltd. Class H | 2,933,500 | 1,008,399 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 18,334 | 121,899 | |||
Air China, Ltd. Class A (a) | 18,400 | 26,418 | |||
Air China, Ltd. Class H (a)(c) | 198,000 | 138,158 | |||
Airtac International Group | 15,650 | 576,969 | |||
Akeso, Inc. (a)(b) | 34,000 | 148,275 |
Security Description | Shares | Value | |||
Alibaba Group Holding, Ltd. ADR (a) | 1,257 | $ 149,319 | |||
Alibaba Group Holding, Ltd. (a) | 1,683,256 | 25,671,041 | |||
Alibaba Health Information Technology, Ltd. (a)(c) | 446,500 | 377,414 | |||
A-Living Smart City Services Co., Ltd. (b) | 58,750 | 100,224 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 42,000 | 40,223 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 420,000 | 232,187 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 31,324 | |||
Anhui Conch Cement Co., Ltd. Class A | 14,500 | 91,893 | |||
Anhui Conch Cement Co., Ltd. Class H | 138,000 | 689,442 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 1,300 | 49,882 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 11,400 | 162,308 | |||
Anhui Honglu Steel Construction Group Co., Ltd. Class A | 1,200 | 10,103 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 2,500 | 27,862 | |||
Anhui Yingjia Distillery Co., Ltd. Class A | 3,600 | 39,317 | |||
ANTA Sports Products, Ltd. | 121,400 | 1,820,307 | |||
Apeloa Pharmaceutical Co., Ltd. Class A | 3,800 | 20,969 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 800 | 54,725 | |||
Autel Intelligent Technology Corp., Ltd. Class A | 2,737 | 34,175 | |||
Autobio Diagnostics Co., Ltd. Class A | 2,420 | 20,954 | |||
Autohome, Inc. ADR | 8,100 | 238,788 | |||
Avary Holding Shenzhen Co., Ltd. Class A | 5,400 | 36,031 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 41,454 | |||
AVIC Industry-Finance Holdings Co., Ltd. Class A (a) | 20,500 | 12,798 | |||
AviChina Industry & Technology Co., Ltd. Class H | 296,000 | 204,641 | |||
AVICOPTER PLC Class A | 2,300 | 29,044 | |||
Baidu, Inc. ADR (a) | 30,100 | 4,478,579 | |||
Baidu, Inc. Class A (a) | 6,961 | 129,107 | |||
Bank of Beijing Co., Ltd. Class A | 71,740 | 50,090 | |||
Bank of Changsha Co., Ltd. Class A | 21,500 | 26,406 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 29,061 | |||
Bank of China, Ltd. Class A | 121,000 | 58,035 | |||
Bank of China, Ltd. Class H | 8,892,000 | 3,204,920 | |||
Bank of Communications Co., Ltd. Class A | 144,012 | 104,402 |
Security Description | Shares | Value | |||
Bank of Communications Co., Ltd. Class H | 967,000 | $ 584,196 | |||
Bank of Hangzhou Co., Ltd. Class A | 23,400 | 47,175 | |||
Bank of Jiangsu Co., Ltd. Class A | 46,800 | 42,906 | |||
Bank of Nanjing Co., Ltd. Class A | 40,240 | 56,699 | |||
Bank of Ningbo Co., Ltd. Class A | 25,000 | 150,494 | |||
Bank of Shanghai Co., Ltd. Class A | 49,008 | 54,950 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 71,500 | 80,506 | |||
BBMG Corp. Class A | 33,400 | 14,917 | |||
BeiGene, Ltd. ADR (a) | 5,200 | 1,408,836 | |||
Beijing BDStar Navigation Co., Ltd. Class A (a) | 2,300 | 14,196 | |||
Beijing Capital International Airport Co., Ltd. Class H (a)(c) | 206,000 | 126,037 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A | 19,800 | 32,662 | |||
Beijing Easpring Material Technology Co., Ltd. Class A | 2,400 | 32,786 | |||
Beijing E-Hualu Information Technology Co., Ltd. Class A | 3,200 | 17,789 | |||
Beijing Enlight Media Co., Ltd. Class A | 12,900 | 26,068 | |||
Beijing Enterprises Holdings, Ltd. | 57,500 | 198,395 | |||
Beijing Enterprises Water Group, Ltd. | 516,000 | 200,541 | |||
Beijing Kingsoft Office Software, Inc. Class A | 1,191 | 49,632 | |||
Beijing New Building Materials PLC Class A | 7,000 | 39,441 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 14,360 | |||
Beijing Roborock Technology Co., Ltd. Class A | 252 | 32,218 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 5,600 | 25,309 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 9,606 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 2,300 | 5,367 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 5,220 | 23,773 | |||
Beijing United Information Technology Co., Ltd. Class A | 870 | 14,707 | |||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 1,500 | 52,248 | |||
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. Class A | 600 | 16,931 |
Security Description | Shares | Value | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 160,500 | $ 121,907 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 1,600 | 20,086 | |||
BGI Genomics Co., Ltd. Class A (a) | 1,600 | 22,091 | |||
Bilibili, Inc. ADR (a)(c) | 18,200 | 844,480 | |||
BOC International China Co., Ltd. Class A | 5,900 | 12,479 | |||
BOE Technology Group Co., Ltd. Class A | 147,300 | 116,977 | |||
Bosideng International Holdings, Ltd. (c) | 374,000 | 235,540 | |||
BYD Co., Ltd. Class A | 6,500 | 274,063 | |||
BYD Co., Ltd. Class H | 87,500 | 2,992,124 | |||
BYD Electronic International Co., Ltd. (c) | 72,000 | 263,664 | |||
By-health Co., Ltd. Class A | 6,300 | 26,710 | |||
C&S Paper Co., Ltd. Class A | 5,900 | 15,504 | |||
Caitong Securities Co., Ltd. Class A | 13,000 | 22,733 | |||
CanSino Biologics, Inc. Class A (a) | 388 | 18,277 | |||
CanSino Biologics, Inc. Class H (a)(b)(c) | 8,400 | 194,154 | |||
CECEP Solar Energy Co., Ltd. Class A | 16,300 | 28,709 | |||
CECEP Wind-Power Corp. Class A | 30,900 | 31,633 | |||
CGN Power Co., Ltd. Class H (b) | 1,184,700 | 360,137 | |||
Chacha Food Co., Ltd. Class A | 2,300 | 22,193 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,400 | 59,751 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 23,359 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 35,332 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 54,005 | |||
Chengtun Mining Group Co., Ltd. Class A | 14,600 | 24,635 | |||
Chengxin Lithium Group Co., Ltd. Class A (a) | 4,000 | 36,452 | |||
Chifeng Jilong Gold Mining Co., Ltd. Class A (a) | 7,200 | 16,870 | |||
China Baoan Group Co., Ltd. Class A | 10,000 | 22,692 | |||
China Bohai Bank Co., Ltd. Class H (b) | 340,000 | 130,831 | |||
China Cinda Asset Management Co., Ltd. Class H | 958,481 | 174,576 | |||
China CITIC Bank Corp., Ltd. Class H | 980,000 | 424,868 |
Security Description | Shares | Value | |||
China Coal Energy Co., Ltd. Class H (c) | 235,000 | $ 135,641 | |||
China Communications Services Corp., Ltd. Class H | 258,000 | 125,752 | |||
China Conch Venture Holdings, Ltd. | 183,500 | 896,752 | |||
China Construction Bank Corp. Class A | 28,400 | 26,171 | |||
China Construction Bank Corp. Class H | 10,716,500 | 7,422,636 | |||
China CSSC Holdings, Ltd. Class A | 14,800 | 57,696 | |||
China Eastern Airlines Corp., Ltd. Class A (a) | 22,400 | 18,176 | |||
China Education Group Holdings, Ltd. (c) | 87,000 | 141,275 | |||
China Everbright Bank Co., Ltd. Class A | 142,600 | 74,450 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 132,047 | |||
China Everbright Environment Group, Ltd. | 409,222 | 328,583 | |||
China Evergrande Group (c) | 467,000 | 95,241 | |||
China Feihe, Ltd. (b) | 390,000 | 523,248 | |||
China Galaxy Securities Co., Ltd. Class A | 14,200 | 24,988 | |||
China Galaxy Securities Co., Ltd. Class H | 382,000 | 219,509 | |||
China Gas Holdings, Ltd. | 339,000 | 704,411 | |||
China Great Wall Securities Co., Ltd. Class A | 8,300 | 16,903 | |||
China Greatwall Technology Group Co., Ltd. Class A | 7,100 | 15,810 | |||
China Hongqiao Group, Ltd. | 243,000 | 256,518 | |||
China Huarong Asset Management Co., Ltd. Class H (a)(b)(d) | 1,217,500 | 79,644 | |||
China International Capital Corp., Ltd. Class A | 4,400 | 33,925 | |||
China International Capital Corp., Ltd. Class H (b) | 162,800 | 448,957 | |||
China Jinmao Holdings Group, Ltd. | 648,000 | 200,310 | |||
China Jushi Co., Ltd. Class A | 12,829 | 36,717 | |||
China Lesso Group Holdings, Ltd. | 117,000 | 168,080 | |||
China Life Insurance Co., Ltd. Class A | 9,000 | 42,587 | |||
China Life Insurance Co., Ltd. Class H | 837,000 | 1,387,073 | |||
China Literature, Ltd. (a)(b)(c) | 45,600 | 286,597 | |||
China Longyuan Power Group Corp., Ltd. Class H | 378,000 | 882,419 | |||
China Medical System Holdings, Ltd. | 148,000 | 247,163 | |||
China Meidong Auto Holdings, Ltd. | 64,000 | 330,003 |
Security Description | Shares | Value | |||
China Mengniu Dairy Co., Ltd. (a) | 352,000 | $ 1,995,613 | |||
China Merchants Bank Co., Ltd. Class A | 76,000 | 582,156 | |||
China Merchants Bank Co., Ltd. Class H | 435,500 | 3,382,313 | |||
China Merchants Port Holdings Co., Ltd. | 168,969 | 307,756 | |||
China Merchants Securities Co., Ltd. Class A | 24,050 | 66,752 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 27,812 | 58,344 | |||
China Minmetals Rare Earth Co., Ltd. Class A | 5,500 | 33,749 | |||
China Minsheng Banking Corp., Ltd. Class A | 130,300 | 79,913 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 631,700 | 241,456 | |||
China Molybdenum Co., Ltd. Class A | 73,300 | 64,320 | |||
China Molybdenum Co., Ltd. Class H | 390,000 | 205,598 | |||
China National Building Material Co., Ltd. Class H | 460,000 | 564,062 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 40,006 | |||
China National Medicines Corp., Ltd. Class A | 3,600 | 17,850 | |||
China National Nuclear Power Co., Ltd. Class A | 51,300 | 66,958 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 12,600 | 90,749 | |||
China Oilfield Services, Ltd. Class H (c) | 196,000 | 171,707 | |||
China Overseas Land & Investment, Ltd. | 425,500 | 1,007,495 | |||
China Overseas Property Holdings, Ltd. | 140,000 | 148,506 | |||
China Pacific Insurance Group Co., Ltd. Class A | 23,100 | 98,517 | |||
China Pacific Insurance Group Co., Ltd. Class H | 289,600 | 785,634 | |||
China Petroleum & Chemical Corp. Class A | 110,300 | 73,371 | |||
China Petroleum & Chemical Corp. Class H | 2,680,000 | 1,247,823 | |||
China Power International Development, Ltd. | 761,000 | 512,455 | |||
China Railway Group, Ltd. Class A | 62,100 | 56,543 | |||
China Railway Group, Ltd. Class H | 468,000 | 247,317 | |||
China Railway Signal & Communication Corp., Ltd. Class A (a) | 14,348 | 11,236 |
Security Description | Shares | Value | |||
China Resources Beer Holdings Co., Ltd. | 161,333 | $ 1,321,282 | |||
China Resources Cement Holdings, Ltd. | 261,000 | 197,182 | |||
China Resources Gas Group, Ltd. | 106,000 | 598,912 | |||
China Resources Land, Ltd. | 360,000 | 1,514,565 | |||
China Resources Mixc Lifestyle Services, Ltd. (b) | 62,000 | 289,073 | |||
China Resources Power Holdings Co., Ltd. | 214,000 | 716,417 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 22,615 | |||
China Shenhua Energy Co., Ltd. Class A | 21,200 | 75,078 | |||
China Shenhua Energy Co., Ltd. Class H | 371,500 | 871,057 | |||
China Southern Airlines Co., Ltd. Class A (a) | 34,500 | 36,947 | |||
China Southern Airlines Co., Ltd. Class H (a)(c) | 188,000 | 112,612 | |||
China State Construction Engineering Corp., Ltd. Class A | 153,900 | 121,009 | |||
China State Construction International Holdings, Ltd. | 234,000 | 290,838 | |||
China Suntien Green Energy Corp., Ltd. Class H | 199,000 | 155,192 | |||
China Taiping Insurance Holdings Co., Ltd. | 185,600 | 254,726 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 7,000 | 241,525 | |||
China Tower Corp., Ltd. Class H (b) | 4,584,000 | 505,655 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 322,000 | 213,529 | |||
China TransInfo Technology Co., Ltd. Class A | 6,000 | 14,106 | |||
China United Network Communications, Ltd. Class A | 96,200 | 59,453 | |||
China Vanke Co., Ltd. Class A | 33,000 | 102,544 | |||
China Vanke Co., Ltd. Class H | 186,500 | 433,938 | |||
China Yangtze Power Co., Ltd. Class A | 84,805 | 302,730 | |||
China Yuhua Education Corp., Ltd. (a)(b) | 178,000 | 63,699 | |||
China Zhenhua Group Science & Technology Co., Ltd. Class A | 1,399 | 27,342 | |||
China Zheshang Bank Co., Ltd. Class A | 76,500 | 42,105 | |||
Chinasoft International, Ltd. (a) | 288,000 | 375,316 | |||
Chindata Group Holdings, Ltd. ADR (a)(c) | 13,800 | 90,942 | |||
Chongqing Brewery Co., Ltd. Class A (a) | 2,000 | 47,592 |
Security Description | Shares | Value | |||
Chongqing Changan Automobile Co., Ltd. Class A | 23,380 | $ 55,848 | |||
Chongqing Fuling Zhacai Group Co., Ltd. Class A | 3,900 | 23,183 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class A | 28,400 | 17,194 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 5,400 | 105,808 | |||
CIFI Ever Sunshine Services Group, Ltd. | 82,000 | 127,055 | |||
CIFI Holdings Group Co., Ltd. | 419,939 | 252,622 | |||
CITIC Securities Co., Ltd. Class A | 40,200 | 166,956 | |||
CITIC Securities Co., Ltd. Class H | 251,500 | 656,468 | |||
CITIC, Ltd. | 650,000 | 641,971 | |||
CNNC Hua Yuan Titanium Dioxide Co., Ltd. Class A | 11,500 | 22,768 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 8,600 | 795,213 | |||
COSCO SHIPPING Development Co., Ltd. Class A | 45,600 | 23,305 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class A | 15,800 | 14,709 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 49,100 | 144,311 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a)(c) | 380,474 | 737,884 | |||
COSCO SHIPPING Ports, Ltd. | 190,115 | 165,088 | |||
Country Garden Holdings Co., Ltd. (c) | 877,193 | 778,597 | |||
Country Garden Services Holdings Co., Ltd. | 196,000 | 1,174,044 | |||
CRRC Corp., Ltd. Class A | 102,300 | 97,972 | |||
CRRC Corp., Ltd. Class H | 514,000 | 220,861 | |||
CSC Financial Co., Ltd. Class A | 14,000 | 64,396 | |||
CSPC Pharmaceutical Group, Ltd. | 998,240 | 1,084,501 | |||
Daan Gene Co., Ltd. Class A | 4,500 | 14,196 | |||
Dada Nexus, Ltd. ADR (a) | 6,000 | 78,960 | |||
Dali Foods Group Co., Ltd. (b) | 252,300 | 132,035 | |||
Daqo New Energy Corp. ADR (a) | 6,500 | 262,080 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 2,640 | 17,482 | |||
Dawning Information Industry Co., Ltd. Class A | 8,100 | 35,118 | |||
DHC Software Co., Ltd. Class A | 4,400 | 5,397 | |||
DiDi Global, Inc. ADR (a)(c) | 32,700 | 162,846 | |||
Do-Fluoride New Materials Co., Ltd. Class A | 4,400 | 31,130 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 20,699 |
Security Description | Shares | Value | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | $ 37,390 | |||
Dongfeng Motor Group Co., Ltd. Class H (a) | 290,000 | 241,037 | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | 21,215 | |||
Dongyue Group, Ltd. | 166,000 | 258,913 | |||
East Money Information Co., Ltd. Class A | 37,436 | 218,468 | |||
Ecovacs Robotics Co., Ltd. Class A | 1,400 | 33,233 | |||
ENN Energy Holdings, Ltd. | 88,100 | 1,658,874 | |||
ENN Natural Gas Co., Ltd. Class A | 12,800 | 36,956 | |||
Eve Energy Co., Ltd. Class A | 6,981 | 129,739 | |||
Everbright Securities Co., Ltd. Class A | 16,199 | 38,033 | |||
Fangda Carbon New Material Co., Ltd. Class A | 17,360 | 29,538 | |||
Far East Horizon, Ltd. (c) | 195,000 | 173,082 | |||
FAW Jiefang Group Co., Ltd. | 14,500 | 23,463 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 2,000 | 5,655 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 16,231 | |||
Flat Glass Group Co., Ltd. Class A | 4,000 | 36,446 | |||
Flat Glass Group Co., Ltd. Class H (a)(c) | 47,000 | 238,729 | |||
Focus Media Information Technology Co., Ltd. Class A | 46,800 | 60,275 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 12,650 | 209,094 | |||
Fosun International, Ltd. | 292,000 | 314,985 | |||
Founder Securities Co., Ltd. Class A | 33,000 | 40,685 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 23,700 | 44,425 | |||
Fu Jian Anjoy Foods Co., Ltd. Class A | 800 | 21,485 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 15,584 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 6,400 | 47,444 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (b) | 67,256 | 347,654 | |||
Ganfeng Lithium Co., Ltd. Class A | 4,500 | 101,088 | |||
Ganfeng Lithium Co., Ltd. Class H (b) | 28,600 | 450,114 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 19,902 | |||
GCL System Integration Technology Co., Ltd. Class A (a) | 9,500 | 5,677 | |||
GD Power Development Co., Ltd. Class A | 96,900 | 48,305 |
Security Description | Shares | Value | |||
GDS Holdings, Ltd. ADR (a) | 10,000 | $ 471,600 | |||
Geely Automobile Holdings, Ltd. | 656,000 | 1,792,235 | |||
GEM Co., Ltd. Class A | 16,700 | 27,181 | |||
Gemdale Corp. Class A | 18,100 | 36,917 | |||
Genscript Biotech Corp. (a) | 126,000 | 557,572 | |||
GF Securities Co., Ltd. Class A | 25,000 | 96,673 | |||
GF Securities Co., Ltd. Class H | 127,000 | 242,066 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 10,165 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 2,392 | 66,147 | |||
Ginlong Technologies Co., Ltd. Class A | 1,300 | 47,336 | |||
GoerTek, Inc. Class A | 11,700 | 99,538 | |||
GOME Retail Holdings, Ltd. (a)(c) | 1,346,000 | 113,946 | |||
Great Wall Motor Co., Ltd. Class A | 7,400 | 56,486 | |||
Great Wall Motor Co., Ltd. Class H | 342,000 | 1,175,635 | |||
Greenland Holdings Corp., Ltd. Class A | 34,125 | 23,290 | |||
Greentown China Holdings, Ltd. (c) | 94,500 | 152,241 | |||
Greentown Service Group Co., Ltd. | 158,000 | 145,915 | |||
GRG Banking Equipment Co., Ltd. Class A | 10,600 | 19,836 | |||
Guangdong Haid Group Co., Ltd. Class A | 5,800 | 66,856 | |||
Guangdong Investment, Ltd. | 324,000 | 411,842 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 1,100 | 31,412 | |||
Guanghui Energy Co., Ltd. Class A (a) | 27,300 | 28,077 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 324,800 | 320,371 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 3,200 | 17,210 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | 15,799 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 29,773 | |||
Guangzhou R&F Properties Co., Ltd. Class H (c) | 180,800 | 67,252 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 2,200 | 28,161 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 3,060 | 55,170 | |||
Guangzhou Yuexiu Financial Holdings Group Co., Ltd. Class A | 11,300 | 15,460 | |||
Guolian Securities Co., Ltd. Class A | 7,800 | 17,136 |
Security Description | Shares | Value | |||
Guosen Securities Co., Ltd. Class A | 20,600 | $ 37,189 | |||
Guotai Junan Securities Co., Ltd. Class A | 25,800 | 72,583 | |||
Guoxuan High-Tech Co., Ltd. Class A (a) | 6,100 | 49,162 | |||
Guoyuan Securities Co., Ltd. Class A | 18,720 | 22,668 | |||
Haidilao International Holding, Ltd. (b)(c) | 118,000 | 266,383 | |||
Haier Smart Home Co., Ltd. Class A | 24,100 | 113,279 | |||
Haier Smart Home Co., Ltd. Class H | 254,200 | 1,074,342 | |||
Haitian International Holdings, Ltd. (a) | 69,000 | 191,610 | |||
Haitong Securities Co., Ltd. Class A | 32,500 | 62,659 | |||
Haitong Securities Co., Ltd. Class H | 292,400 | 259,159 | |||
Hang Zhou Great Star Industrial Co., Ltd. Class A (a) | 2,600 | 12,474 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 3,620 | 74,318 | |||
Hangzhou Oxygen Plant Group Co., Ltd. Class A | 2,400 | 11,326 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 1,500 | 8,497 | |||
Hangzhou Silan Microelectronics Co., Ltd. Class A | 4,200 | 35,798 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 36,175 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (b) | 13,800 | 175,237 | |||
Hansoh Pharmaceutical Group Co., Ltd. (b) | 134,000 | 326,565 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 2,700 | 15,905 | |||
Heilongjiang Agriculture Co., Ltd. Class A | 7,600 | 17,401 | |||
Hello Group, Inc. ADR | 17,800 | 159,844 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 8,797 | 43,646 | |||
Hengan International Group Co., Ltd. (c) | 72,500 | 373,366 | |||
Hengli Petrochemical Co., Ltd. Class A | 20,300 | 73,327 | |||
HengTen Networks Group, Ltd. (a)(c) | 280,000 | 105,948 | |||
Hengtong Optic-electric Co., Ltd. Class A | 13,400 | 31,861 | |||
Hengyi Petrochemical Co., Ltd. Class A | 16,510 | 27,573 | |||
Hesteel Co., Ltd. Class A | 42,500 | 16,441 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 47,746 |
Security Description | Shares | Value | |||
Hongfa Technology Co., Ltd. Class A | 3,600 | $ 42,255 | |||
Hopson Development Holdings, Ltd. (c) | 79,200 | 165,180 | |||
Hoshine Silicon Industry Co., Ltd. Class A | 1,200 | 24,904 | |||
Hua Hong Semiconductor, Ltd. (a)(b) | 58,000 | 319,895 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 22,884 | |||
Huadong Medicine Co., Ltd. Class A | 7,960 | 50,321 | |||
Huafon Chemical Co., Ltd. Class A | 14,900 | 24,462 | |||
Huagong Tech Co., Ltd. Class A | 3,200 | 14,020 | |||
Hualan Biological Engineering, Inc. Class A | 4,810 | 22,042 | |||
Huaneng Power International, Inc. Class A | 23,500 | 35,810 | |||
Huaneng Power International, Inc. Class H | 412,000 | 275,325 | |||
Huatai Securities Co., Ltd. Class A | 25,218 | 70,431 | |||
Huatai Securities Co., Ltd. Class H (b) | 169,100 | 281,533 | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | 16,109 | |||
Huaxia Bank Co., Ltd. Class A | 41,700 | 36,722 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 16,389 | |||
Huayu Automotive Systems Co., Ltd. Class A | 9,900 | 44,058 | |||
Huazhu Group, Ltd. ADR (a) | 19,700 | 735,598 | |||
Hubei Xingfa Chemicals Group Co., Ltd. Class A | 6,200 | 36,933 | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 2,000 | 44,507 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 4,400 | 15,582 | |||
Hunan Valin Steel Co., Ltd. Class A | 26,500 | 21,295 | |||
Hundsun Technologies, Inc. Class A | 5,824 | 56,921 | |||
Hutchmed China, Ltd. ADR (a) | 9,800 | 343,784 | |||
Hygeia Healthcare Holdings Co., Ltd. (b)(c) | 39,400 | 246,620 | |||
Iflytek Co., Ltd. Class A | 9,350 | 77,208 | |||
I-Mab ADR (a) | 4,400 | 208,516 | |||
Imeik Technology Development Co., Ltd. Class A | 700 | 59,015 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 249,042 | 181,327 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,295,000 | 3,552,711 | |||
Industrial Bank Co., Ltd. Class A | 78,299 | 234,440 |
Security Description | Shares | Value | |||
Industrial Securities Co., Ltd. Class A | 24,600 | $ 38,221 | |||
Ingenic Semiconductor Co., Ltd. Class A | 1,900 | 40,037 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (a) | 156,300 | 68,576 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 33,800 | 27,799 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 22,000 | 143,437 | |||
Inner Mongolia Yuan Xing Energy Co., Ltd. Class A (a) | 20,800 | 23,878 | |||
Innovent Biologics, Inc. (a)(b) | 129,000 | 798,359 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 3,248 | 18,301 | |||
Intco Medical Technology Co., Ltd. Class A | 2,250 | 20,465 | |||
iQIYI, Inc. ADR (a) | 32,300 | 147,288 | |||
JA Solar Technology Co., Ltd. Class A | 5,200 | 75,804 | |||
Jafron Biomedical Co., Ltd. Class A | 1,520 | 12,740 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 2,000 | 24,268 | |||
JCET Group Co., Ltd. Class A | 5,900 | 28,781 | |||
JD Health International, Inc. (a)(b)(c) | 39,850 | 314,095 | |||
JD.com, Inc. Class A (a) | 193,684 | 6,807,000 | |||
Jiangsu Eastern Shenghong Co., Ltd. Class A | 10,400 | 31,630 | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | 151,677 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 4,364 | 56,137 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 25,144 | 200,510 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 6,000 | 51,328 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,300 | 137,296 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 1,500 | 30,948 | |||
Jiangsu Yoke Technology Co., Ltd. Class A | 1,200 | 15,317 | |||
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. Class A | 3,200 | 19,022 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 33,072 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 30,901 | |||
Jiangxi Copper Co., Ltd. Class H | 124,000 | 198,494 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 5,000 | 7,595 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 16,626 |
Security Description | Shares | Value | |||
Jinxin Fertility Group, Ltd. (a)(b)(c) | 140,500 | $ 156,966 | |||
JiuGui Liquor Co., Ltd. Class A | 1,600 | 53,467 | |||
Jiumaojiu International Holdings, Ltd. (b)(c) | 76,000 | 133,551 | |||
Joincare Pharmaceutical Group Industry Co., Ltd. Class A | 8,600 | 17,365 | |||
Joinn Laboratories China Co., Ltd. Class A | 840 | 15,248 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 7,500 | 17,361 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A | 1,600 | 9,554 | |||
JOYY, Inc. ADR (c) | 6,100 | 277,123 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 24,714 | |||
Kanzhun, Ltd. ADR (a) | 7,900 | 275,552 | |||
KE Holdings, Inc. ADR (a) | 39,900 | 802,788 | |||
Kingboard Holdings, Ltd. | 75,000 | 365,077 | |||
Kingdee International Software Group Co., Ltd. (a) | 294,000 | 905,045 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 8,500 | 16,815 | |||
Kingsoft Cloud Holdings, Ltd. ADR (a)(c) | 5,800 | 91,350 | |||
Kingsoft Corp., Ltd. | 108,000 | 474,456 | |||
Kuaishou Technology (a)(b) | 53,500 | 494,424 | |||
Kuang-Chi Technologies Co., Ltd. Class A (a) | 7,100 | 26,808 | |||
Kunlun Energy Co., Ltd. | 428,000 | 401,303 | |||
Kunlun Tech Co., Ltd. Class A | 5,300 | 19,295 | |||
Kweichow Moutai Co., Ltd. Class A | 4,599 | 1,482,604 | |||
KWG Group Holdings, Ltd. (a) | 137,250 | 89,783 | |||
Lakala Payment Co., Ltd. Class A | 4,800 | 21,905 | |||
LB Group Co., Ltd. Class A | 8,200 | 36,867 | |||
Lee & Man Paper Manufacturing, Ltd. | 136,000 | 94,547 | |||
Lenovo Group, Ltd. (c) | 816,000 | 937,799 | |||
Lens Technology Co., Ltd. Class A | 19,400 | 70,107 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | 18,861 | |||
Leyard Optoelectronic Co., Ltd. Class A | 11,000 | 17,731 | |||
Li Auto, Inc. ADR (a) | 61,500 | 1,974,150 | |||
Li Ning Co., Ltd. | 250,000 | 2,736,875 | |||
Lingyi iTech Guangdong Co. Class A (a) | 36,100 | 41,782 | |||
Livzon Pharmaceutical Group, Inc. Class A | 2,700 | 17,073 | |||
Logan Group Co., Ltd. | 150,000 | 114,670 | |||
Longfor Group Holdings, Ltd. (b) | 205,500 | 967,363 | |||
LONGi Green Energy Technology Co., Ltd. Class A (a) | 19,360 | 262,434 |
Security Description | Shares | Value | |||
Luoyang Xinqianglian Slewing Bearing Co., Ltd. Class A | 900 | $ 25,265 | |||
Luxi Chemical Group Co., Ltd. Class A | 4,600 | 11,039 | |||
Luxshare Precision Industry Co., Ltd. Class A | 25,271 | 195,522 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,100 | 203,605 | |||
Mango Excellent Media Co., Ltd. Class A | 7,340 | 66,047 | |||
Maxscend Microelectronics Co., Ltd. Class A | 1,040 | 53,447 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (a) | 15,000 | 18,517 | |||
Meituan Class B (a)(b) | 455,400 | 13,166,138 | |||
Metallurgical Corp. of China, Ltd. Class A | 63,200 | 38,065 | |||
Mianyang Fulin Precision Co., Ltd. Class A (a) | 4,200 | 19,418 | |||
Microport Scientific Corp. (c) | 70,949 | 258,450 | |||
Ming Yang Smart Energy Group, Ltd. Class A | 4,600 | 18,880 | |||
Ming Yuan Cloud Group Holdings, Ltd. (a)(c) | 61,000 | 138,958 | |||
Minth Group, Ltd. | 84,000 | 370,099 | |||
MMG, Ltd. (a) | 316,000 | 101,330 | |||
Montage Technology Co., Ltd. Class A | 2,768 | 36,507 | |||
Muyuan Foods Co., Ltd. Class A | 20,176 | 169,301 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 4,056 | 26,789 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 20,467 | |||
NARI Technology Co., Ltd. Class A | 20,982 | 132,081 | |||
National Silicon Industry Group Co., Ltd. Class A (a) | 8,190 | 33,254 | |||
NAURA Technology Group Co., Ltd. Class A | 2,100 | 114,599 | |||
NavInfo Co., Ltd. Class A (a) | 3,500 | 8,762 | |||
NetEase, Inc. | 223,825 | 4,521,688 | |||
New China Life Insurance Co., Ltd. Class A | 6,800 | 41,576 | |||
New China Life Insurance Co., Ltd. Class H | 100,800 | 269,574 | |||
New Hope Liuhe Co., Ltd. Class A (a) | 13,700 | 32,769 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 171,300 | 359,730 | |||
Ninestar Corp. Class A | 4,400 | 33,046 | |||
Ningbo Joyson Electronic Corp. Class A | 6,700 | 23,148 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 5,000 | 41,673 |
Security Description | Shares | Value | |||
Ningxia Baofeng Energy Group Co., Ltd. Class A | 19,600 | $ 53,507 | |||
NIO, Inc. ADR (a) | 152,300 | 4,824,864 | |||
Noah Holdings, Ltd. ADR (a) | 3,900 | 119,691 | |||
Nongfu Spring Co., Ltd. Class H (b) | 195,600 | 1,290,820 | |||
North Industries Group Red Arrow Co., Ltd. Class A (a) | 7,700 | 32,294 | |||
Northeast Securities Co., Ltd. Class A | 10,700 | 14,774 | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | 4,495 | |||
OFILM Group Co., Ltd. Class A (a) | 12,400 | 18,915 | |||
Oppein Home Group, Inc. Class A | 1,680 | 38,968 | |||
Orient Securities Co., Ltd. Class A | 23,900 | 55,399 | |||
Ovctek China, Inc. Class A | 3,160 | 28,509 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (a) | 33,400 | 20,432 | |||
People's Insurance Co. Group of China, Ltd. Class A | 19,600 | 14,486 | |||
People's Insurance Co. Group of China, Ltd. Class H | 889,000 | 269,107 | |||
Perfect World Co., Ltd. Class A | 4,800 | 15,331 | |||
PetroChina Co., Ltd. Class A | 69,300 | 53,508 | |||
PetroChina Co., Ltd. Class H | 2,344,000 | 1,043,274 | |||
PharmaBlock Sciences Nanjing, Inc. Class A | 1,100 | 24,593 | |||
Pharmaron Beijing Co., Ltd. Class A | 2,000 | 44,431 | |||
Pharmaron Beijing Co., Ltd. Class H (b) | 14,300 | 220,655 | |||
PICC Property & Casualty Co., Ltd. Class H | 759,000 | 620,144 | |||
Pinduoduo, Inc. ADR (a) | 48,700 | 2,839,210 | |||
Ping An Bank Co., Ltd. Class A | 73,500 | 190,481 | |||
Ping An Healthcare & Technology Co., Ltd. (a)(b)(c) | 48,800 | 177,453 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 38,600 | 305,993 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 707,500 | 5,095,510 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 42,600 | 104,707 | |||
Postal Savings Bank of China Co., Ltd. Class A | 103,000 | 82,607 | |||
Postal Savings Bank of China Co., Ltd. Class H (b) | 869,000 | 609,703 | |||
Power Construction Corp. of China, Ltd. Class A | 51,100 | 64,929 | |||
Powerlong Real Estate Holdings, Ltd. | 146,000 | 76,405 | |||
Proya Cosmetics Co., Ltd. Class A | 1,000 | 32,758 |
Security Description | Shares | Value | |||
Qingdao Rural Commercial Bank Corp. Class A | 25,200 | $ 15,297 | |||
Raytron Technology Co., Ltd. Class A | 1,060 | 13,097 | |||
RiseSun Real Estate Development Co., Ltd. Class A | 19,300 | 13,202 | |||
Riyue Heavy Industry Co., Ltd. Class A | 2,400 | 12,436 | |||
RLX Technology, Inc. ADR (a)(c) | 67,600 | 263,640 | |||
Rongsheng Petrochemical Co., Ltd. Class A | 40,055 | 114,388 | |||
SAIC Motor Corp., Ltd. Class A | 27,800 | 90,189 | |||
Sailun Group Co., Ltd. Class A | 7,600 | 17,676 | |||
Sangfor Technologies, Inc. Class A | 1,650 | 49,559 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 111,000 | 107,351 | |||
Sany Heavy Industry Co., Ltd. Class A | 28,555 | 102,382 | |||
Satellite Chemical Co., Ltd. Class A | 7,600 | 47,842 | |||
SDIC Capital Co., Ltd. Class A | 23,612 | 30,522 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 49,061 | |||
Sealand Securities Co., Ltd. Class A | 24,100 | 15,576 | |||
Seazen Group, Ltd. (a) | 250,000 | 168,990 | |||
Seazen Holdings Co., Ltd. Class A | 6,800 | 31,150 | |||
SF Holding Co., Ltd. Class A | 18,800 | 203,756 | |||
SG Micro Corp. Class A | 750 | 36,444 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 32,100 | 61,585 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 15,256 | |||
Shandong Gold Mining Co., Ltd. Class A | 11,228 | 33,230 | |||
Shandong Gold Mining Co., Ltd. Class H (b)(c) | 67,250 | 115,069 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 8,450 | 41,592 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 27,589 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 35,470 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 18,972 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 272,000 | 339,464 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 2,380 | 22,393 |
Security Description | Shares | Value | |||
Shanghai Baosight Software Co., Ltd. Class A | 3,590 | $ 34,342 | |||
Shanghai Baosight Software Co., Ltd. Class B | 44,300 | 213,836 | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | 26,721 | |||
Shanghai Electric Group Co., Ltd. Class A | 41,000 | 31,335 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 60,953 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 53,000 | 233,515 | |||
Shanghai Friendess Electronic Technology Corp., Ltd. Class A | 502 | 30,429 | |||
Shanghai Industrial Urban Development Group, Ltd. | 11,400 | 1,111 | |||
Shanghai International Airport Co., Ltd. Class A (a) | 2,968 | 21,792 | |||
Shanghai International Port Group Co., Ltd. Class A | 39,200 | 33,781 | |||
Shanghai Jahwa United Co., Ltd. Class A | 2,200 | 13,980 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 2,700 | 24,881 | |||
Shanghai Junshi Biosciences Co., Ltd. Class A (a) | 3,897 | 41,047 | |||
Shanghai Lingang Holdings Corp., Ltd. Class A | 6,900 | 16,135 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 129,391 | |||
Shanghai M&G Stationery, Inc. Class A | 2,300 | 23,333 | |||
Shanghai Medicilon, Inc. Class A | 359 | 27,414 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 26,872 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 90,300 | 171,188 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 107,800 | 144,602 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 2,760 | 69,709 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 18,500 | 19,841 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 21,057 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 14,683 | |||
Shanxi Coking Coal Energy Group Co., Ltd. Class A | 13,200 | 17,167 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 9,600 | 17,074 |
Security Description | Shares | Value | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 16,200 | $ 41,347 | |||
Shanxi Securities Co., Ltd. Class A | 15,700 | 16,295 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 25,242 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 4,680 | 232,401 | |||
Shenghe Resources Holding Co., Ltd. Class A | 4,400 | 13,576 | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | 22,220 | |||
Shennan Circuits Co., Ltd. Class A | 1,260 | 24,138 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 75,100 | 60,467 | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 2,000 | 35,540 | |||
Shenzhen Energy Group Co., Ltd. Class A | 12,700 | 16,177 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 1,200 | 20,337 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 8,850 | 95,472 | |||
Shenzhen International Holdings, Ltd. | 150,085 | 155,931 | |||
Shenzhen Kaifa Technology Co., Ltd. Class A | 6,800 | 16,938 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,449 | 37,950 | |||
Shenzhen Kedali Industry Co., Ltd. Class A | 1,300 | 32,779 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 4,400 | 263,486 | |||
Shenzhen MTC Co., Ltd. Class A (a) | 20,000 | 15,285 | |||
Shenzhen New Industries Biomedical Engineering Co., Ltd. Class A | 3,500 | 24,245 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 36,423 | |||
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A (a) | 3,600 | 15,466 | |||
Shenzhen SC New Energy Technology Corp. Class A | 1,500 | 26,962 | |||
Shenzhen Senior Technology Material Co., Ltd. Class A | 4,600 | 26,570 | |||
Shenzhen Sunlord Electronics Co., Ltd. Class A | 2,000 | 12,008 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 2,100 | 8,362 | |||
Shenzhen Transsion Holdings Co., Ltd. Class A | 2,008 | 49,544 | |||
Shenzhou International Group Holdings, Ltd. | 92,100 | 1,770,813 |
Security Description | Shares | Value | |||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. Class A | 5,400 | $ 16,644 | |||
Shimao Group Holdings, Ltd. (c) | 131,500 | 86,022 | |||
Shimao Services Holdings, Ltd. (b)(c) | 60,000 | 41,712 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 19,657 | |||
Sichuan Hebang Biotechnology Co., Ltd. Class A (a) | 48,100 | 25,793 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 15,480 | |||
Sichuan New Energy Power Co., Ltd. (a) | 7,600 | 31,707 | |||
Sichuan Road & Bridge Co., Ltd. Class A | 11,800 | 22,342 | |||
Sichuan Swellfun Co., Ltd. Class A | 1,600 | 30,191 | |||
Sichuan Yahua Industrial Group Co., Ltd. Class A | 7,000 | 31,549 | |||
Sieyuan Electric Co., Ltd. Class A | 4,400 | 34,050 | |||
Silergy Corp. | 9,000 | 1,634,619 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 21,737 | |||
Sinoma Science & Technology Co., Ltd. Class A | 8,700 | 46,544 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | 16,066 | |||
Sinopharm Group Co., Ltd. Class H | 154,400 | 335,880 | |||
Sinotrans, Ltd. Class A | 19,000 | 13,386 | |||
Sinotruk Hong Kong, Ltd. | 73,500 | 113,131 | |||
Skshu Paint Co., Ltd. Class A | 1,680 | 36,762 | |||
Smoore International Holdings, Ltd. (b)(c) | 201,000 | 1,024,813 | |||
Songcheng Performance Development Co., Ltd. Class A | 11,340 | 25,537 | |||
SooChow Securities Co., Ltd. Class A | 15,600 | 21,735 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 24,873 | |||
StarPower Semiconductor, Ltd. Class A | 600 | 35,949 | |||
Sun Art Retail Group, Ltd. (c) | 187,500 | 75,276 | |||
Sunac China Holdings, Ltd. | 334,700 | 505,723 | |||
Sunac Services Holdings, Ltd. (b) | 126,000 | 128,484 | |||
Sungrow Power Supply Co., Ltd. Class A | 5,700 | 130,689 | |||
Suning.com Co., Ltd. Class A (a) | 30,200 | 19,566 | |||
Sunny Optical Technology Group Co., Ltd. | 79,500 | 2,514,616 |
Security Description | Shares | Value | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | $ 41,106 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | 30,684 | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 360 | 36,362 | |||
Suzhou TA&A Ultra Clean Technology Co., Ltd. Class A | 3,000 | 38,213 | |||
TAL Education Group ADR (a) | 45,100 | 177,243 | |||
TBEA Co., Ltd. Class A | 14,887 | 49,561 | |||
TCL Technology Group Corp Class A | 45,000 | 43,662 | |||
Tencent Holdings, Ltd. | 642,300 | 37,633,575 | |||
Tencent Music Entertainment Group ADR (a) | 73,300 | 502,105 | |||
Thunder Software Technology Co., Ltd. Class A | 1,400 | 30,474 | |||
Tianfeng Securities Co., Ltd. Class A | 22,100 | 14,075 | |||
Tianjin 712 Communication & Broadcasting Co., Ltd. Class A | 2,500 | 17,023 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 12,400 | 81,412 | |||
Tianma Microelectronics Co., Ltd. Class A | 8,800 | 18,018 | |||
Tianshan Aluminum Group Co., Ltd. Class A | 26,700 | 34,220 | |||
Tianshui Huatian Technology Co., Ltd. Class A | 9,100 | 18,188 | |||
Tibet Summit Resources Co., Ltd. Class A | 5,600 | 33,165 | |||
Tingyi Cayman Islands Holding Corp. | 220,000 | 452,061 | |||
Titan Wind Energy Suzhou Co., Ltd. Class A | 10,800 | 32,931 | |||
Toly Bread Co., Ltd. Class A | 3,080 | 13,756 | |||
Tongcheng Travel Holdings, Ltd. (a) | 105,600 | 195,588 | |||
TongFu Microelectronics Co., Ltd. Class A | 6,300 | 19,250 | |||
Tongkun Group Co., Ltd. Class A | 7,400 | 24,647 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 23,094 | |||
Tongwei Co., Ltd. Class A | 16,600 | 117,366 | |||
Topchoice Medical Corp. Class A (a) | 1,100 | 34,423 | |||
Topsec Technologies Group, Inc. Class A | 7,200 | 21,705 | |||
Topsports International Holdings, Ltd. (b) | 183,000 | 185,199 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 17,786 | |||
TravelSky Technology, Ltd. Class H | 106,000 | 178,382 |
Security Description | Shares | Value | |||
Trip.com Group, Ltd. ADR (a) | 57,467 | $ 1,414,838 | |||
Tsingtao Brewery Co., Ltd. Class A | 3,200 | 49,819 | |||
Tsingtao Brewery Co., Ltd. Class H | 62,000 | 580,532 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 2,500 | 88,457 | |||
Uni-President China Holdings, Ltd. | 137,000 | 132,848 | |||
Unisplendour Corp., Ltd. Class A | 10,360 | 37,227 | |||
Universal Scientific Industrial Shanghai Co., Ltd. Class A | 5,800 | 14,648 | |||
Venus MedTech Hangzhou, Inc. Class H (a)(b)(c) | 22,000 | 83,527 | |||
Vipshop Holdings, Ltd. ADR (a) | 50,188 | 421,579 | |||
Vnet Group, Inc. ADR (a) | 10,400 | 93,912 | |||
Walvax Biotechnology Co., Ltd. Class A | 5,000 | 44,189 | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,100 | 176,300 | |||
Want Want China Holdings, Ltd. | 536,000 | 492,254 | |||
Weibo Corp. ADR (a) | 7,060 | 218,719 | |||
Weichai Power Co., Ltd. Class A | 23,800 | 66,957 | |||
Weichai Power Co., Ltd. Class H | 219,000 | 428,657 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 2,400 | 31,884 | |||
Weimob, Inc. (a)(b)(c) | 222,000 | 224,668 | |||
Wens Foodstuffs Group Co., Ltd. Class A (a) | 23,040 | 69,782 | |||
Western Securities Co., Ltd. Class A | 14,600 | 18,528 | |||
Western Superconducting Technologies Co., Ltd. Class A | 2,488 | 37,928 | |||
Westone Information Industry, Inc. Class A | 2,100 | 18,474 | |||
Wharf Holdings, Ltd. | 151,000 | 463,867 | |||
Will Semiconductor Co., Ltd. Shanghai Class A | 3,500 | 171,047 | |||
Wingtech Technology Co., Ltd. Class A | 4,900 | 99,633 | |||
Winning Health Technology Group Co., Ltd. Class A | 8,450 | 22,271 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 18,898 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 7,280 | 27,716 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 38,666 | |||
Wuhu Token Science Co., Ltd. Class A | 13,800 | 28,819 |
Security Description | Shares | Value | |||
Wuliangye Yibin Co., Ltd. Class A | 14,500 | $ 507,713 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 4,180 | 10,899 | |||
WuXi AppTec Co., Ltd. Class A | 9,733 | 181,496 | |||
WuXi AppTec Co., Ltd. Class H (b) | 38,991 | 675,164 | |||
Wuxi Biologics Cayman, Inc. (a)(b) | 403,000 | 4,784,019 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 2,020 | 23,624 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 900 | 23,633 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 33,063 | |||
Xiamen C & D, Inc. Class A | 11,400 | 16,260 | |||
Xiamen Faratronic Co., Ltd. Class A | 1,200 | 43,856 | |||
Xiamen Intretech, Inc. Class A | 3,800 | 20,335 | |||
Xiamen Tungsten Co., Ltd. Class A | 4,600 | 16,370 | |||
Xiaomi Corp. Class B (a)(b) | 1,589,500 | 3,853,309 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 16,300 | 42,217 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 85,000 | 165,938 | |||
Xinjiang Zhongtai Chemical Co., Ltd. Class A | 14,900 | 22,353 | |||
Xinyi Solar Holdings, Ltd. | 544,089 | 922,599 | |||
XPeng, Inc. ADR (a) | 43,400 | 2,184,322 | |||
Yadea Group Holdings, Ltd. (b) | 128,000 | 249,554 | |||
Yankuang Energy Group Co., Ltd. Class H (c) | 170,000 | 337,981 | |||
Yantai Eddie Precision Machinery Co., Ltd. Class A | 4,200 | 21,082 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 3,700 | 23,274 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 36,632 | |||
Yealink Network Technology Corp., Ltd. Class A | 2,900 | 37,145 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 1,274 | 11,041 | |||
Yihai International Holding, Ltd. (a)(c) | 53,000 | 245,071 | |||
Yihai Kerry Arawana Holdings Co., Ltd. Class A | 5,700 | 56,408 | |||
Yintai Gold Co., Ltd. Class A | 11,060 | 15,271 | |||
Yonghui Superstores Co., Ltd. Class A | 28,800 | 18,342 | |||
YongXing Special Materials Technology Co., Ltd. Class A | 1,000 | 23,277 | |||
Yonyou Network Technology Co., Ltd. Class A | 12,778 | 72,098 | |||
Youngor Group Co., Ltd. Class A | 22,500 | 24,379 | |||
Youngy Co., Ltd. Class A (a) | 1,300 | 26,607 |
Security Description | Shares | Value | |||
YTO Express Group Co., Ltd. Class A | 10,400 | $ 27,280 | |||
Yuan Longping High-tech Agriculture Co., Ltd. Class A (a) | 4,200 | 15,363 | |||
Yuexiu Property Co., Ltd. | 151,400 | 133,412 | |||
Yum China Holdings, Inc. | 46,900 | 2,337,496 | |||
Yunda Holding Co., Ltd. Class A | 9,360 | 30,115 | |||
Yunnan Aluminium Co., Ltd. Class A (a) | 7,600 | 13,350 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,299 | 70,748 | |||
Yunnan Energy New Material Co., Ltd. Class A | 3,300 | 129,944 | |||
Yunnan Tin Co., Ltd. Class A (a) | 9,000 | 27,641 | |||
Zai Lab, Ltd. ADR (a) | 8,674 | 545,161 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,300 | 158,112 | |||
Zhefu Holding Group Co., Ltd. Class A (a) | 13,200 | 14,780 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (a) | 18,800 | 24,804 | |||
Zhejiang China Commodities City Group Co., Ltd. Class A | 13,400 | 10,220 | |||
Zhejiang Chint Electrics Co., Ltd. Class A (a) | 6,900 | 58,474 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 44,309 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,960 | 24,738 | |||
Zhejiang Expressway Co., Ltd. Class H (c) | 164,000 | 146,198 | |||
Zhejiang HangKe Technology, Inc. Co. Class A | 1,724 | 29,166 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 5,830 | 19,858 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 4,600 | 79,796 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 6,000 | 65,576 | |||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 2,000 | 17,694 | |||
Zhejiang Juhua Co., Ltd. Class A | 8,700 | 17,663 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 7,400 | 14,697 | |||
Zhejiang NHU Co., Ltd. Class A | 11,180 | 54,713 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A (a) | 12,690 | 50,488 | |||
Zhejiang Supor Co., Ltd. Class A (a) | 1,300 | 12,724 |
Security Description | Shares | Value | |||
Zhejiang Weiming Environment Protection Co., Ltd. Class A | 7,100 | $ 40,786 | |||
Zhejiang Weixing New Building Materials Co., Ltd. Class A | 5,100 | 19,505 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 8,110 | |||
Zhejiang Yongtai Technology Co., Ltd. Class A (a) | 4,500 | 36,239 | |||
Zheshang Securities Co., Ltd. Class A | 11,100 | 23,006 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 55,600 | 193,266 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 14,703 | |||
Zhongsheng Group Holdings, Ltd. | 66,000 | 514,706 | |||
Zhongtai Securities Co., Ltd. Class A | 23,600 | 37,001 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 61,300 | 355,001 | |||
Zhuzhou Hongda Electronics Corp., Ltd. Class A | 2,400 | 37,764 | |||
Zhuzhou Kibing Group Co., Ltd. Class A | 6,600 | 17,748 | |||
Zibo Qixiang Tengda Chemical Co., Ltd. Class A | 15,600 | 25,759 | |||
Zijin Mining Group Co., Ltd. Class A | 83,900 | 127,980 | |||
Zijin Mining Group Co., Ltd. Class H | 630,000 | 749,894 | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A (a) | 28,400 | 32,022 | |||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class H | 147,600 | 92,956 | |||
ZTE Corp. Class A | 13,800 | 72,700 | |||
ZTE Corp. Class H | 87,000 | 238,248 | |||
ZTO Express Cayman, Inc. ADR | 48,900 | 1,379,958 | |||
262,869,785 | |||||
COLOMBIA — 0.2% | |||||
Bancolombia SA | 29,590 | 252,278 | |||
Bancolombia SA Preference Shares | 49,615 | 390,093 | |||
Ecopetrol SA | 542,248 | 358,390 | |||
Grupo de Inversiones Suramericana SA | 24,484 | 180,472 | |||
Interconexion Electrica SA ESP | 47,764 | 262,878 | |||
1,444,111 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S | 17,823 | 674,524 | |||
Komercni banka A/S | 8,548 | 365,752 | |||
Moneta Money Bank A/S (b) | 41,415 | 177,680 | |||
1,217,956 |
Security Description | Shares | Value | |||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE (a) | 185,076 | $ 624,264 | |||
Eastern Co SAE | 120,063 | 81,927 | |||
Fawry for Banking & Payment Technology Services SAE (a) | 51,729 | 42,180 | |||
748,371 | |||||
GREECE — 0.2% | |||||
Alpha Services & Holdings SA (a) | 259,127 | 317,370 | |||
Eurobank Ergasias Services & Holdings SA Class A (a) | 278,256 | 282,068 | |||
FF Group (a)(d) | 3,869 | — | |||
Hellenic Telecommunications Organization SA | 25,216 | 466,122 | |||
JUMBO SA | 11,960 | 171,372 | |||
OPAP SA | 23,830 | 337,930 | |||
Public Power Corp. SA (a) | 23,104 | 246,974 | |||
1,821,836 | |||||
HONG KONG — 0.2% | |||||
Alibaba Pictures Group, Ltd. (a)(c) | 1,275,900 | 116,195 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(c)(d) | 406,100 | — | |||
China Youzan, Ltd. (a)(c) | 1,500,000 | 103,895 | |||
Huabao International Holdings, Ltd. (c) | 106,000 | 195,785 | |||
Kingboard Laminates Holdings, Ltd. | 107,300 | 182,497 | |||
Nine Dragons Paper Holdings, Ltd. (a) | 180,000 | 193,245 | |||
Sino Biopharmaceutical, Ltd. | 1,164,000 | 815,187 | |||
Vinda International Holdings, Ltd. (c) | 38,000 | 92,608 | |||
1,699,412 | |||||
HUNGARY — 0.2% | |||||
MOL Hungarian Oil & Gas PLC | 46,542 | 361,883 | |||
OTP Bank Nyrt (a) | 24,764 | 1,268,386 | |||
Richter Gedeon Nyrt | 15,561 | 418,915 | |||
2,049,184 | |||||
INDIA — 11.9% | |||||
ACC, Ltd. | 8,655 | 257,983 | |||
Adani Enterprises, Ltd. | 31,216 | 717,855 | |||
Adani Green Energy, Ltd. (a) | 42,997 | 769,439 | |||
Adani Ports & Special Economic Zone, Ltd. | 55,955 | 549,722 | |||
Adani Total Gas, Ltd. | 31,206 | 722,809 | |||
Adani Transmission, Ltd. (a) | 30,975 | 725,397 | |||
Ambuja Cements, Ltd. | 77,424 | 393,184 | |||
Apollo Hospitals Enterprise, Ltd. | 11,247 | 758,529 | |||
Asian Paints, Ltd. | 42,717 | 1,944,013 | |||
Aurobindo Pharma, Ltd. | 33,000 | 326,002 | |||
Avenue Supermarts, Ltd. (a)(b) | 17,922 | 1,126,266 |
Security Description | Shares | Value | |||
Axis Bank, Ltd. (a) | 252,939 | $ 2,308,876 | |||
Bajaj Auto, Ltd. | 7,731 | 337,926 | |||
Bajaj Finance, Ltd. | 30,420 | 2,855,285 | |||
Bajaj Finserv, Ltd. | 4,261 | 940,421 | |||
Balkrishna Industries, Ltd. | 9,903 | 309,524 | |||
Bandhan Bank, Ltd. (b) | 69,077 | 234,824 | |||
Berger Paints India, Ltd. | 28,140 | 292,148 | |||
Bharat Electronics, Ltd. | 137,366 | 387,970 | |||
Bharat Forge, Ltd. | 25,984 | 243,933 | |||
Bharat Petroleum Corp., Ltd. | 95,800 | 496,748 | |||
Bharti Airtel, Ltd. (a) | 274,175 | 2,522,086 | |||
Biocon, Ltd. (a) | 47,309 | 232,072 | |||
Britannia Industries, Ltd. | 11,850 | 574,840 | |||
Cholamandalam Investment & Finance Co., Ltd. | 47,045 | 329,347 | |||
Cipla, Ltd. | 54,208 | 688,469 | |||
Coal India, Ltd. | 176,337 | 346,456 | |||
Colgate-Palmolive India, Ltd. | 14,008 | 279,140 | |||
Container Corp. Of India, Ltd. | 26,659 | 220,396 | |||
Dabur India, Ltd. | 67,783 | 528,919 | |||
Divi's Laboratories, Ltd. | 14,919 | 938,904 | |||
DLF, Ltd. | 70,214 | 368,801 | |||
Dr Reddy's Laboratories, Ltd. | 12,931 | 853,593 | |||
Eicher Motors, Ltd. | 14,936 | 520,781 | |||
GAIL India, Ltd. | 166,613 | 289,584 | |||
Godrej Consumer Products, Ltd. (a) | 39,254 | 511,351 | |||
Godrej Properties, Ltd. (a) | 14,103 | 355,119 | |||
Grasim Industries, Ltd. | 29,951 | 653,630 | |||
Havells India, Ltd. | 27,411 | 515,139 | |||
HCL Technologies, Ltd. | 120,826 | 2,144,080 | |||
HDFC Asset Management Co., Ltd. (b) | 5,710 | 187,894 | |||
HDFC Life Insurance Co., Ltd. (b) | 101,244 | 884,677 | |||
Hero MotoCorp, Ltd. | 13,120 | 434,553 | |||
Hindalco Industries, Ltd. | 174,836 | 1,118,484 | |||
Hindustan Petroleum Corp., Ltd. | 74,028 | 291,140 | |||
Hindustan Unilever, Ltd. | 92,096 | 2,924,040 | |||
Housing Development Finance Corp., Ltd. | 191,288 | 6,655,714 | |||
ICICI Bank, Ltd. | 573,048 | 5,705,761 | |||
ICICI Lombard General Insurance Co., Ltd. (b) | 24,370 | 459,382 | |||
ICICI Prudential Life Insurance Co., Ltd. (a)(b) | 38,573 | 291,001 | |||
Indian Oil Corp., Ltd. | 210,531 | 315,787 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 27,704 | 309,983 | |||
Indraprastha Gas, Ltd. | 31,314 | 198,157 | |||
Indus Towers, Ltd. | 72,232 | 241,273 | |||
Info Edge India, Ltd. | 8,706 | 653,129 | |||
Infosys, Ltd. | 379,586 | 9,639,567 | |||
InterGlobe Aviation, Ltd. (a)(b) | 10,843 | 294,291 | |||
ITC, Ltd. | 328,540 | 963,712 | |||
JSW Steel, Ltd. | 93,004 | 820,683 |
Security Description | Shares | Value | |||
Jubilant Foodworks, Ltd. | 8,968 | $ 433,237 | |||
Kotak Mahindra Bank, Ltd. | 61,829 | 1,493,914 | |||
Larsen & Toubro Infotech, Ltd. (b) | 5,821 | 574,147 | |||
Larsen & Toubro, Ltd. | 77,241 | 1,970,000 | |||
Lupin, Ltd. | 24,422 | 312,356 | |||
Mahindra & Mahindra, Ltd. | 97,618 | 1,099,350 | |||
Marico, Ltd. | 58,864 | 405,951 | |||
Maruti Suzuki India, Ltd. | 15,219 | 1,520,443 | |||
Mindtree, Ltd. | 7,411 | 476,549 | |||
Motherson Sumi Systems, Ltd. | 142,594 | 428,344 | |||
Mphasis, Ltd. | 9,508 | 434,459 | |||
MRF, Ltd. | 216 | 213,101 | |||
Muthoot Finance, Ltd. | 13,837 | 278,404 | |||
Nestle India, Ltd. | 3,790 | 1,004,694 | |||
NTPC, Ltd. | 548,366 | 917,685 | |||
Oil & Natural Gas Corp., Ltd. | 277,817 | 532,196 | |||
Page Industries, Ltd. | 635 | 345,294 | |||
Petronet LNG, Ltd. | 80,105 | 233,195 | |||
PI Industries, Ltd. | 9,306 | 379,848 | |||
Pidilite Industries, Ltd. | 17,082 | 565,940 | |||
Piramal Enterprises, Ltd. | 12,097 | 430,255 | |||
Power Grid Corp. of India, Ltd. | 348,927 | 959,441 | |||
Reliance Industries, Ltd. | 317,792 | 10,124,067 | |||
SBI Cards & Payment Services, Ltd. (a) | 26,082 | 325,658 | |||
SBI Life Insurance Co., Ltd. (b) | 50,035 | 805,022 | |||
Shree Cement, Ltd. | 1,202 | 436,384 | |||
Shriram Transport Finance Co., Ltd. | 23,023 | 376,925 | |||
Siemens, Ltd. | 7,799 | 247,743 | |||
SRF, Ltd. | 16,637 | 541,641 | |||
State Bank of India | 197,284 | 1,222,017 | |||
Sun Pharmaceutical Industries, Ltd. | 94,285 | 1,072,659 | |||
Tata Consultancy Services, Ltd. | 103,354 | 5,197,687 | |||
Tata Consumer Products, Ltd. | 65,993 | 660,013 | |||
Tata Motors, Ltd. ADR (a)(c) | 541 | 17,361 | |||
Tata Motors, Ltd. (a) | 183,366 | 1,189,951 | |||
Tata Power Co., Ltd. | 161,372 | 479,651 | |||
Tata Steel, Ltd. | 76,828 | 1,148,715 | |||
Tata Steel, Ltd. GDR | 4,114 | 60,887 | |||
Tech Mahindra, Ltd. | 70,482 | 1,697,726 | |||
Titan Co., Ltd. | 39,267 | 1,332,430 | |||
Torrent Pharmaceuticals, Ltd. | 5,408 | 238,511 | |||
Trent, Ltd. | 20,811 | 298,157 | |||
UltraTech Cement, Ltd. | 11,183 | 1,141,992 | |||
United Spirits, Ltd. (a) | 31,592 | 381,748 | |||
UPL, Ltd. | 54,337 | 546,106 | |||
Vedanta, Ltd. | 125,078 | 574,107 | |||
Wipro, Ltd. ADR | 119 | 1,161 | |||
Wipro, Ltd. | 151,292 | 1,455,920 | |||
Yes Bank, Ltd. (a) | 1,260,955 | 232,393 | |||
Zomato, Ltd. (a) | 177,063 | 327,279 | |||
109,103,503 |
Security Description | Shares | Value | |||
INDONESIA — 1.4% | |||||
Adaro Energy Tbk PT | 1,643,300 | $ 259,423 | |||
Aneka Tambang Tbk | 967,300 | 152,705 | |||
Astra International Tbk PT | 2,274,700 | 909,721 | |||
Bank Central Asia Tbk PT | 6,191,100 | 3,171,025 | |||
Bank Mandiri Persero Tbk PT | 2,088,100 | 1,029,216 | |||
Bank Negara Indonesia Persero Tbk PT | 848,500 | 401,851 | |||
Bank Rakyat Indonesia Persero Tbk PT | 7,630,013 | 2,200,270 | |||
Barito Pacific Tbk PT | 2,937,300 | 176,207 | |||
Charoen Pokphand Indonesia Tbk PT | 842,200 | 351,594 | |||
Gudang Garam Tbk PT | 48,300 | 103,700 | |||
Indah Kiat Pulp & Paper Tbk PT | 320,700 | 176,073 | |||
Indocement Tunggal Prakarsa Tbk PT | 153,700 | 130,487 | |||
Indofood CBP Sukses Makmur Tbk PT | 254,900 | 155,596 | |||
Indofood Sukses Makmur Tbk PT | 508,000 | 225,441 | |||
Kalbe Farma Tbk PT | 2,262,700 | 256,394 | |||
Merdeka Copper Gold Tbk PT (a) | 1,254,900 | 342,506 | |||
Sarana Menara Nusantara Tbk PT | 2,462,100 | 194,342 | |||
Semen Indonesia Persero Tbk PT | 315,700 | 160,591 | |||
Telkom Indonesia Persero Tbk PT | 5,543,200 | 1,571,270 | |||
Tower Bersama Infrastructure Tbk PT | 929,400 | 192,368 | |||
Unilever Indonesia Tbk PT | 818,700 | 236,089 | |||
United Tractors Tbk PT | 192,400 | 299,011 | |||
12,695,880 | |||||
KUWAIT — 0.6% | |||||
Agility Public Warehousing Co. KSC | 137,970 | 431,370 | |||
Boubyan Bank KSCP (a) | 128,444 | 335,718 | |||
Kuwait Finance House KSCP | 519,528 | 1,430,099 | |||
Mabanee Co. KPSC | 63,148 | 165,679 | |||
Mobile Telecommunications Co. KSCP | 243,028 | 478,417 | |||
National Bank of Kuwait SAKP | 761,376 | 2,511,470 | |||
5,352,753 | |||||
LUXEMBOURG — 0.0% (e) | |||||
Reinet Investments SCA | 14,692 | 263,305 | |||
MALAYSIA — 1.3% | |||||
AMMB Holdings Bhd (a) | 191,600 | 145,793 | |||
Axiata Group Bhd | 308,493 | 308,049 | |||
CIMB Group Holdings Bhd | 724,093 | 947,265 | |||
Dialog Group Bhd | 446,200 | 280,616 | |||
DiGi.Com Bhd | 342,800 | 358,763 | |||
Fraser & Neave Holdings Bhd | 14,200 | 84,327 | |||
Genting Bhd | 230,500 | 258,386 |
Security Description | Shares | Value | |||
Genting Malaysia Bhd (a) | 315,400 | $ 218,039 | |||
HAP Seng Consolidated Bhd | 65,900 | 121,803 | |||
Hartalega Holdings Bhd | 183,100 | 251,839 | |||
Hong Leong Bank Bhd | 75,400 | 337,001 | |||
Hong Leong Financial Group Bhd | 26,800 | 111,549 | |||
IHH Healthcare Bhd | 200,900 | 353,962 | |||
Inari Amertron Bhd | 333,400 | 320,115 | |||
IOI Corp. Bhd | 270,500 | 242,190 | |||
Kuala Lumpur Kepong Bhd | 47,112 | 246,303 | |||
Malayan Banking Bhd | 519,836 | 1,035,679 | |||
Malaysia Airports Holdings Bhd (a) | 115,900 | 166,366 | |||
Maxis Bhd | 264,700 | 308,160 | |||
MISC Bhd | 157,000 | 265,687 | |||
Nestle Malaysia Bhd | 7,500 | 241,599 | |||
Petronas Chemicals Group Bhd | 272,600 | 583,676 | |||
Petronas Dagangan Bhd | 33,900 | 167,628 | |||
Petronas Gas Bhd | 90,700 | 391,887 | |||
PPB Group Bhd | 68,320 | 280,430 | |||
Press Metal Aluminium Holdings Bhd | 363,700 | 504,605 | |||
Public Bank Bhd | 1,629,100 | 1,626,754 | |||
QL Resources Bhd | 122,700 | 134,599 | |||
RHB Bank Bhd | 208,527 | 268,793 | |||
Sime Darby Bhd | 316,269 | 176,127 | |||
Sime Darby Plantation Bhd | 201,536 | 181,895 | |||
Telekom Malaysia Bhd | 122,400 | 161,594 | |||
Tenaga Nasional Bhd | 250,900 | 562,507 | |||
Top Glove Corp. Bhd | 591,000 | 367,424 | |||
Westports Holdings Bhd | 121,800 | 118,409 | |||
12,129,819 | |||||
MEXICO — 2.0% | |||||
Alfa SAB de CV Class A | 343,500 | 252,107 | |||
America Movil SAB de CV Series L | 3,828,621 | 4,057,796 | |||
Arca Continental SAB de CV | 48,600 | 309,957 | |||
Becle SAB de CV | 56,500 | 141,795 | |||
Cemex SAB de CV Series CPO (a) | 1,681,517 | 1,149,495 | |||
Coca-Cola Femsa SAB de CV | 59,125 | 322,710 | |||
Fibra Uno Administracion SA de CV REIT | 362,858 | 383,692 | |||
Fomento Economico Mexicano SAB de CV | 217,580 | 1,693,860 | |||
Gruma SAB de CV Class B | 24,125 | 309,470 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B (a) | 41,300 | 569,421 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 23,350 | 482,357 | |||
Grupo Bimbo SAB de CV Class A | 176,315 | 542,514 | |||
Grupo Carso SAB de CV Series A1 | 53,700 | 173,682 |
Security Description | Shares | Value | |||
Grupo Financiero Banorte SAB de CV Series O | 294,703 | $ 1,915,534 | |||
Grupo Financiero Inbursa SAB de CV Series O (a) | 254,026 | 304,360 | |||
Grupo Mexico SAB de CV Class B | 345,136 | 1,505,849 | |||
Grupo Televisa SAB Series CPO | 263,129 | 495,657 | |||
Industrias Penoles SAB de CV | 14,495 | 166,843 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 162,389 | 246,063 | |||
Megacable Holdings SAB de CV | 37,300 | 127,146 | |||
Orbia Advance Corp. SAB de CV | 121,810 | 311,117 | |||
Promotora y Operadora de Infraestructura SAB de CV | 24,150 | 188,810 | |||
Telesites SAB de CV (c) | 143,900 | 147,381 | |||
Wal-Mart de Mexico SAB de CV | 582,994 | 2,167,604 | |||
17,965,220 | |||||
PERU — 0.2% | |||||
Cia de Minas Buenaventura SAA ADR (a)(c) | 23,400 | 171,288 | |||
Credicorp, Ltd. | 7,500 | 915,525 | |||
Southern Copper Corp. | 9,367 | 578,038 | |||
1,664,851 | |||||
PHILIPPINES — 0.7% | |||||
Aboitiz Equity Ventures, Inc. | 216,340 | 231,009 | |||
AC Energy Corp. | 905,200 | 195,268 | |||
Ayala Corp. | 30,855 | 502,829 | |||
Ayala Land, Inc. | 886,500 | 638,026 | |||
Bank of the Philippine Islands | 207,449 | 374,887 | |||
BDO Unibank, Inc. | 217,079 | 513,829 | |||
Globe Telecom, Inc. | 3,070 | 200,001 | |||
GT Capital Holdings, Inc. | 12,002 | 127,099 | |||
International Container Terminal Services, Inc. | 113,600 | 445,556 | |||
JG Summit Holdings, Inc. | 330,470 | 343,480 | |||
Jollibee Foods Corp. | 47,570 | 201,876 | |||
Manila Electric Co. | 26,550 | 153,700 | |||
Metro Pacific Investments Corp. | 1,239,000 | 94,761 | |||
Metropolitan Bank & Trust Co. | 199,887 | 218,340 | |||
Monde Nissin Corp. (a)(b) | 462,600 | 146,965 | |||
PLDT, Inc. | 8,106 | 288,044 | |||
SM Investments Corp. | 26,360 | 487,473 | |||
SM Prime Holdings, Inc. | 1,125,100 | 747,970 | |||
Universal Robina Corp. | 99,000 | 248,507 | |||
6,159,620 | |||||
POLAND — 0.7% | |||||
Allegro.eu SA (a)(b) | 39,226 | 378,206 | |||
Bank Polska Kasa Opieki SA | 20,273 | 613,663 | |||
CCC SA (a) | 244 | 6,387 | |||
CD Projekt SA (c) | 8,084 | 386,910 |
Security Description | Shares | Value | |||
Cyfrowy Polsat SA | 29,925 | $ 257,790 | |||
Dino Polska SA (a)(b) | 5,555 | 506,240 | |||
KGHM Polska Miedz SA | 15,318 | 529,806 | |||
LPP SA | 122 | 520,643 | |||
mBank SA (a) | 1,753 | 188,418 | |||
Orange Polska SA (a) | 76,094 | 159,536 | |||
PGE Polska Grupa Energetyczna SA (a) | 87,427 | 174,880 | |||
Polski Koncern Naftowy ORLEN SA | 32,937 | 607,517 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 198,506 | 310,289 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (a) | 97,211 | 1,083,686 | |||
Powszechny Zaklad Ubezpieczen SA | 66,640 | 584,489 | |||
Santander Bank Polska SA | 3,855 | 333,334 | |||
6,641,794 | |||||
QATAR — 0.7% | |||||
Barwa Real Estate Co. | 223,427 | 187,774 | |||
Commercial Bank PQSC | 218,410 | 404,847 | |||
Industries Qatar QSC | 166,610 | 708,813 | |||
Masraf Al Rayan QSC | 508,457 | 647,965 | |||
Mesaieed Petrochemical Holding Co. | 492,130 | 282,492 | |||
Ooredoo QSC | 84,086 | 162,121 | |||
Qatar Electricity & Water Co. QSC | 50,210 | 228,917 | |||
Qatar Fuel QSC | 55,820 | 280,250 | |||
Qatar Gas Transport Co., Ltd. | 266,853 | 241,861 | |||
Qatar International Islamic Bank QSC | 82,218 | 207,972 | |||
Qatar Islamic Bank SAQ | 127,753 | 643,151 | |||
Qatar National Bank QPSC | 502,289 | 2,785,283 | |||
6,781,446 | |||||
ROMANIA — 0.0% (e) | |||||
NEPI Rockcastle PLC | 47,105 | 312,853 | |||
RUSSIA — 3.4% | |||||
Alrosa PJSC (a) | 280,100 | 457,496 | |||
Gazprom PJSC | 1,314,798 | 6,012,508 | |||
Inter Rao Use PJSC (a) | 4,077,928 | 232,723 | |||
LUKOIL PJSC | 46,457 | 4,062,171 | |||
Magnit PJSC | 7,879 | 572,073 | |||
Mail.Ru Group, Ltd. GDR (a) | 12,460 | 144,411 | |||
MMC Norilsk Nickel PJSC | 7,060 | 2,147,002 | |||
Mobile TeleSystems PJSC ADR | 44,794 | 356,112 | |||
Mobile TeleSystems PJSC | 13,301 | 52,889 | |||
Moscow Exchange MICEX (a) | 163,911 | 334,591 | |||
Novatek PJSC GDR | 600 | 140,520 | |||
Novatek PJSC | 91,850 | 2,106,251 | |||
Novolipetskiy Steel PJSC (a) | 164,233 | 476,324 | |||
Ozon Holdings PLC ADR (a)(c) | 6,064 | 179,555 | |||
PhosAgro PJSC GDR | 15,404 | 332,418 |
Security Description | Shares | Value | |||
Polymetal International PLC | 40,728 | $ 723,477 | |||
Polyus PJSC (a) | 3,712 | 644,820 | |||
Rosneft Oil Co. PJSC | 130,890 | 1,043,630 | |||
Sberbank of Russia PJSC | 1,199,364 | 4,686,724 | |||
Severstal PAO | 22,956 | 491,462 | |||
Surgutneftegas PJSC Preference Shares | 761,500 | 390,110 | |||
Surgutneftegas PJSC | 774,400 | 410,036 | |||
Tatneft PJSC | 159,555 | 1,062,761 | |||
TCS Group Holding PLC GDR | 13,226 | 1,115,216 | |||
United Co. RUSAL International PJSC (a) | 343,940 | 338,615 | |||
VTB Bank PJSC | 351,600,000 | 226,079 | |||
X5 Retail Group NV GDR | 13,578 | 359,410 | |||
Yandex NV Class A (a)(f) | 30,984 | 1,874,532 | |||
Yandex NV Class A (a)(f) | 3,187 | 191,289 | |||
31,165,205 | |||||
SAUDI ARABIA — 3.2% | |||||
Abdullah Al Othaim Markets Co. | 4,958 | 142,887 | |||
Advanced Petrochemical Co. | 11,368 | 213,165 | |||
Al Rajhi Bank | 136,154 | 5,142,403 | |||
Alinma Bank | 109,541 | 699,074 | |||
Almarai Co. JSC | 28,379 | 368,495 | |||
Arab National Bank | 67,834 | 413,031 | |||
Bank AlBilad (a) | 40,526 | 500,314 | |||
Bank Al-Jazira | 43,091 | 221,515 | |||
Banque Saudi Fransi | 65,931 | 829,757 | |||
Bupa Arabia for Cooperative Insurance Co. | 6,898 | 241,423 | |||
Co. for Cooperative Insurance | 6,432 | 132,772 | |||
Dar Al Arkan Real Estate Development Co. (a) | 59,280 | 158,842 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 5,600 | 240,741 | |||
Emaar Economic City (a) | 43,855 | 139,471 | |||
Etihad Etisalat Co. | 42,150 | 349,716 | |||
Jarir Marketing Co. | 6,481 | 339,724 | |||
Mobile Telecommunications Co. (a) | 47,124 | 151,122 | |||
Mouwasat Medical Services Co. | 5,380 | 249,053 | |||
National Industrialization Co. (a) | 37,956 | 201,790 | |||
National Petrochemical Co. | 14,130 | 150,543 | |||
Rabigh Refining & Petrochemical Co. (a) | 25,187 | 138,869 | |||
Riyad Bank | 149,876 | 1,081,835 | |||
SABIC Agri-Nutrients Co. | 23,786 | 1,118,849 | |||
Sahara International Petrochemical Co. | 41,091 | 459,680 | |||
Saudi Arabian Mining Co. (a) | 47,900 | 1,001,532 | |||
Saudi Arabian Oil Co. (b) | 245,266 | 2,338,729 | |||
Saudi Basic Industries Corp. | 99,868 | 3,085,630 | |||
Saudi British Bank | 92,764 | 815,366 | |||
Saudi Cement Co. | 8,713 | 127,177 |
Security Description | Shares | Value | |||
Saudi Electricity Co. | 91,851 | $ 586,668 | |||
Saudi Industrial Investment Group | 23,681 | 196,480 | |||
Saudi Kayan Petrochemical Co. (a) | 81,044 | 367,401 | |||
Saudi National Bank | 244,005 | 4,185,468 | |||
Saudi Telecom Co. | 66,937 | 2,003,974 | |||
Savola Group | 29,348 | 249,752 | |||
Yanbu National Petrochemical Co. | 27,690 | 506,686 | |||
29,149,934 | |||||
SINGAPORE — 0.0% (e) | |||||
BOC Aviation, Ltd. (b) | 22,100 | 161,860 | |||
SOUTH AFRICA — 2.8% | |||||
Absa Group, Ltd. | 79,309 | 758,057 | |||
African Rainbow Minerals, Ltd. | 11,695 | 169,431 | |||
Anglo American Platinum, Ltd. | 5,828 | 663,417 | |||
Aspen Pharmacare Holdings, Ltd. | 42,639 | 599,618 | |||
Bid Corp., Ltd. | 38,020 | 777,623 | |||
Bidvest Group, Ltd. | 31,949 | 379,244 | |||
Capitec Bank Holdings, Ltd. | 8,992 | 1,149,241 | |||
Clicks Group, Ltd. | 26,913 | 532,071 | |||
Discovery, Ltd. (a)(c) | 48,092 | 432,617 | |||
Exxaro Resources, Ltd. | 28,125 | 269,390 | |||
FirstRand, Ltd. | 563,236 | 2,145,661 | |||
Gold Fields, Ltd. | 99,010 | 1,080,301 | |||
Growthpoint Properties, Ltd. REIT | 395,140 | 380,533 | |||
Harmony Gold Mining Co., Ltd. | 64,565 | 269,425 | |||
Impala Platinum Holdings, Ltd. | 90,478 | 1,275,536 | |||
Kumba Iron Ore, Ltd. | 6,835 | 197,037 | |||
Mr. Price Group, Ltd. | 28,190 | 352,375 | |||
MTN Group, Ltd. (a) | 190,251 | 2,034,947 | |||
MultiChoice Group, Ltd. | 42,339 | 323,724 | |||
Naspers, Ltd. Class N | 24,221 | 3,751,523 | |||
Nedbank Group, Ltd. | 51,826 | 568,333 | |||
Northam Platinum Holdings, Ltd. (a) | 39,390 | 517,055 | |||
Old Mutual, Ltd. | 529,994 | 435,020 | |||
Pepkor Holdings, Ltd. (a)(b) | 146,861 | 201,428 | |||
Rand Merchant Investment Holdings, Ltd. | 82,441 | 233,325 | |||
Remgro, Ltd. | 60,066 | 493,587 | |||
Sanlam, Ltd. | 208,052 | 773,807 | |||
Sasol, Ltd. (a) | 62,788 | 1,018,928 | |||
Shoprite Holdings, Ltd. | 55,299 | 723,738 | |||
Sibanye Stillwater, Ltd. | 307,091 | 944,747 | |||
SPAR Group, Ltd. | 20,580 | 215,497 | |||
Standard Bank Group, Ltd. | 144,721 | 1,269,573 | |||
Tiger Brands, Ltd. | 20,040 | 227,271 | |||
Vodacom Group, Ltd. | 72,093 | 608,093 | |||
Woolworths Holdings, Ltd. | 113,295 | 368,138 | |||
26,140,311 |
Security Description | Shares | Value | |||
SOUTH KOREA — 12.2% | |||||
Alteogen, Inc. (a) | 2,860 | $ 182,126 | |||
Amorepacific Corp. | 3,518 | 494,222 | |||
AMOREPACIFIC Group | 3,081 | 114,946 | |||
BGF retail Co., Ltd. | 940 | 115,054 | |||
Celltrion Healthcare Co., Ltd. | 9,828 | 663,054 | |||
Celltrion Pharm, Inc. (a) | 1,769 | 185,122 | |||
Celltrion, Inc. | 10,900 | 1,815,521 | |||
Cheil Worldwide, Inc. | 8,082 | 155,351 | |||
CJ CheilJedang Corp. | 889 | 289,790 | |||
CJ Corp. (a) | 1,473 | 103,342 | |||
CJ ENM Co., Ltd. | 1,167 | 136,260 | |||
CJ Logistics Corp. (a) | 922 | 97,726 | |||
Coway Co., Ltd. | 5,985 | 374,582 | |||
DB Insurance Co., Ltd. | 5,288 | 240,212 | |||
Doosan Bobcat, Inc. (a) | 5,233 | 179,386 | |||
Doosan Heavy Industries & Construction Co., Ltd. (a) | 34,502 | 592,085 | |||
Douzone Bizon Co., Ltd. (a) | 2,048 | 125,766 | |||
Ecopro BM Co., Ltd. | 1,226 | 516,493 | |||
E-MART, Inc. (a) | 2,267 | 287,964 | |||
F&F Co., Ltd. (a) | 399 | 317,186 | |||
Green Cross Corp. | 590 | 108,198 | |||
GS Engineering & Construction Corp. | 6,831 | 227,556 | |||
GS Holdings Corp. | 5,345 | 175,806 | |||
Hana Financial Group, Inc. | 33,221 | 1,175,136 | |||
Hankook Tire & Technology Co., Ltd. | 8,385 | 280,029 | |||
Hanmi Pharm Co., Ltd. | 799 | 185,509 | |||
Hanon Systems | 21,522 | 243,509 | |||
Hanwha Solutions Corp. (a) | 13,764 | 411,039 | |||
HLB, Inc. (a) | 9,883 | 289,319 | |||
HMM Co., Ltd. (a) | 29,689 | 671,827 | |||
Hotel Shilla Co., Ltd. | 3,434 | 225,322 | |||
HYBE Co., Ltd. (a) | 1,852 | 543,721 | |||
Hyundai Construction Equipment Co., Ltd. (a) | 4 | 136 | |||
Hyundai Engineering & Construction Co., Ltd. | 8,936 | 334,137 | |||
Hyundai Glovis Co., Ltd. | 2,034 | 287,455 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 5,077 | 229,346 | |||
Hyundai Mobis Co., Ltd. | 7,425 | 1,589,621 | |||
Hyundai Motor Co. | 15,416 | 2,710,363 | |||
Hyundai Motor Co. Preference Shares (f) | 3,991 | 339,088 | |||
Hyundai Motor Co. Preference Shares (f) | 2,436 | 201,847 | |||
Hyundai Steel Co. | 9,959 | 343,486 | |||
Iljin Materials Co., Ltd. | 2,619 | 297,426 | |||
Industrial Bank of Korea (a) | 28,223 | 244,540 | |||
Kakao Corp. (a) | 34,739 | 3,287,603 | |||
Kakao Games Corp. (a) | 3,480 | 266,397 | |||
KakaoBank Corp. (a) | 10,623 | 527,240 | |||
Kangwon Land, Inc. (a) | 10,535 | 213,137 | |||
KB Financial Group, Inc. | 44,066 | 2,038,805 |
Security Description | Shares | Value | |||
Kia Corp. | 29,395 | $ 2,032,613 | |||
Korea Aerospace Industries, Ltd. | 7,851 | 214,313 | |||
Korea Electric Power Corp. (a) | 28,062 | 521,699 | |||
Korea Investment Holdings Co., Ltd. | 4,535 | 307,865 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,292 | 341,555 | |||
Korea Zinc Co., Ltd. | 918 | 394,615 | |||
Korean Air Lines Co., Ltd. (a) | 19,014 | 469,452 | |||
Krafton, Inc. (a)(c) | 2,447 | 946,894 | |||
KT&G Corp. | 12,822 | 852,103 | |||
Kumho Petrochemical Co., Ltd. | 1,984 | 277,051 | |||
L&F Co., Ltd. (a) | 2,521 | 471,647 | |||
LG Chem, Ltd. | 5,090 | 2,633,312 | |||
LG Chem, Ltd. Preference Shares | 883 | 213,183 | |||
LG Corp. | 9,509 | 647,132 | |||
LG Display Co., Ltd. (a) | 25,970 | 537,423 | |||
LG Electronics, Inc. (a) | 11,762 | 1,365,431 | |||
LG Household & Health Care, Ltd. | 1,042 | 961,576 | |||
LG Household & Health Care, Ltd. Preference Shares | 256 | 132,657 | |||
LG Innotek Co., Ltd. | 1,592 | 487,477 | |||
LG Uplus Corp. | 23,983 | 274,380 | |||
Lotte Chemical Corp. | 1,962 | 358,153 | |||
Lotte Shopping Co., Ltd. | 1,368 | 100,349 | |||
Meritz Securities Co., Ltd. | 32,075 | 138,958 | |||
Mirae Asset Securities Co., Ltd. | 31,312 | 227,843 | |||
NAVER Corp. | 13,695 | 4,360,511 | |||
NCSoft Corp. | 1,848 | 999,591 | |||
Netmarble Corp. (b) | 2,279 | 239,642 | |||
NH Investment & Securities Co., Ltd. | 17,388 | 182,839 | |||
Orion Corp/Republic of Korea | 2,607 | 226,982 | |||
Pan Ocean Co., Ltd. | 30,615 | 139,329 | |||
Pearl Abyss Corp. (a) | 3,393 | 394,744 | |||
POSCO | 8,250 | 1,905,047 | |||
POSCO Chemtech Co., Ltd. | 3,391 | 410,771 | |||
S-1 Corp. | 2,014 | 125,203 | |||
Samsung Biologics Co., Ltd. (a)(b) | 1,851 | 1,406,059 | |||
Samsung C&T Corp. | 9,235 | 924,471 | |||
Samsung Electro-Mechanics Co., Ltd. | 6,288 | 1,044,694 | |||
Samsung Electronics Co., Ltd. Preference Shares | 91,435 | 5,476,485 | |||
Samsung Electronics Co., Ltd. | 531,690 | 35,021,095 | |||
Samsung Engineering Co., Ltd. (a) | 17,644 | 339,893 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,387 | 575,541 | |||
Samsung Heavy Industries Co., Ltd. (a) | 72,588 | 346,224 | |||
Samsung Life Insurance Co., Ltd. | 7,673 | 413,745 |
Security Description | Shares | Value | |||
Samsung SDI Co., Ltd. (a) | 6,139 | $ 3,382,583 | |||
Samsung SDS Co., Ltd. | 3,811 | 501,722 | |||
Samsung Securities Co., Ltd. | 7,170 | 270,816 | |||
SD Biosensor, Inc. (a) | 4,110 | 193,269 | |||
Seegene, Inc. | 3,890 | 199,613 | |||
Shin Poong Pharmaceutical Co., Ltd. | 3,319 | 89,205 | |||
Shinhan Financial Group Co., Ltd. | 49,145 | 1,521,376 | |||
SK Biopharmaceuticals Co., Ltd. (a) | 2,912 | 238,104 | |||
SK Bioscience Co., Ltd. (a) | 2,565 | 485,489 | |||
SK Chemicals Co., Ltd. | 1,285 | 161,064 | |||
SK Hynix, Inc. (a) | 60,853 | 6,705,988 | |||
SK IE Technology Co., Ltd. (a)(b) | 2,065 | 291,836 | |||
SK Innovation Co., Ltd. (a) | 5,655 | 1,134,568 | |||
SK Square Co., Ltd. (a) | 1,886 | 105,346 | |||
SK Telecom Co., Ltd. | 2,918 | 142,126 | |||
SK, Inc. | 4,654 | 982,674 | |||
SKC Co., Ltd. | 2,384 | 349,954 | |||
S-Oil Corp. | 4,960 | 357,579 | |||
Woori Financial Group, Inc. | 55,895 | 597,154 | |||
Yuhan Corp. | 5,496 | 287,110 | |||
111,871,909 | |||||
TAIWAN — 15.0% | |||||
Accton Technology Corp. | 56,000 | 526,259 | |||
Acer, Inc. | 328,000 | 360,993 | |||
Advantech Co., Ltd. | 43,002 | 616,268 | |||
ASE Technology Holding Co., Ltd. | 363,307 | 1,398,496 | |||
Asia Cement Corp. | 240,000 | 384,285 | |||
ASMedia Technology, Inc. | 3,000 | 197,347 | |||
Asustek Computer, Inc. | 79,000 | 1,073,626 | |||
AU Optronics Corp. | 897,000 | 742,448 | |||
Catcher Technology Co., Ltd. | 76,000 | 429,898 | |||
Cathay Financial Holding Co., Ltd. | 874,087 | 1,974,570 | |||
Chailease Holding Co., Ltd. | 144,297 | 1,374,282 | |||
Chang Hwa Commercial Bank, Ltd. | 450,413 | 276,756 | |||
Cheng Shin Rubber Industry Co., Ltd. | 203,000 | 264,875 | |||
China Development Financial Holding Corp. | 1,694,826 | 1,072,016 | |||
China Steel Corp. | 1,320,000 | 1,686,558 | |||
Chunghwa Telecom Co., Ltd. | 423,000 | 1,781,165 | |||
Compal Electronics, Inc. | 466,000 | 407,605 | |||
CTBC Financial Holding Co., Ltd. | 2,050,040 | 1,922,816 | |||
Delta Electronics, Inc. | 217,000 | 2,156,902 | |||
E.Sun Financial Holding Co., Ltd. | 1,328,618 | 1,347,010 | |||
Eclat Textile Co., Ltd. | 21,550 | 491,490 | |||
eMemory Technology, Inc. | 7,000 | 554,090 |
Security Description | Shares | Value | |||
Evergreen Marine Corp. Taiwan, Ltd. | 281,252 | $ 1,448,600 | |||
Far Eastern New Century Corp. | 317,000 | 335,710 | |||
Far EasTone Telecommunications Co., Ltd. | 176,000 | 410,944 | |||
Feng TAY Enterprise Co., Ltd. | 49,361 | 413,022 | |||
First Financial Holding Co., Ltd. | 1,163,954 | 1,030,718 | |||
Formosa Chemicals & Fibre Corp. | 390,000 | 1,138,974 | |||
Formosa Petrochemical Corp. | 124,000 | 429,812 | |||
Formosa Plastics Corp. | 425,000 | 1,597,571 | |||
Foxconn Technology Co., Ltd. | 105,830 | 248,251 | |||
Fubon Financial Holding Co., Ltd. | 843,855 | 2,327,182 | |||
Giant Manufacturing Co., Ltd. | 34,000 | 423,971 | |||
Globalwafers Co., Ltd. | 24,000 | 770,304 | |||
Hiwin Technologies Corp. | 29,582 | 327,715 | |||
Hon Hai Precision Industry Co., Ltd. | 1,386,800 | 5,212,969 | |||
Hotai Motor Co., Ltd. | 33,000 | 732,353 | |||
Hua Nan Financial Holdings Co., Ltd. | 942,965 | 722,552 | |||
Innolux Corp. | 1,055,000 | 747,389 | |||
Inventec Corp. | 302,000 | 272,343 | |||
Largan Precision Co., Ltd. | 11,000 | 980,048 | |||
Lite-On Technology Corp. | 231,958 | 534,894 | |||
MediaTek, Inc. | 168,000 | 7,225,937 | |||
Mega Financial Holding Co., Ltd. | 1,218,000 | 1,565,038 | |||
Micro-Star International Co., Ltd. | 76,000 | 440,886 | |||
momo.com, Inc. | 5,000 | 293,671 | |||
Nan Ya Plastics Corp. | 574,000 | 1,771,771 | |||
Nan Ya Printed Circuit Board Corp. | 25,000 | 516,861 | |||
Nanya Technology Corp. | 139,000 | 392,377 | |||
Nien Made Enterprise Co., Ltd. | 18,000 | 268,370 | |||
Novatek Microelectronics Corp. | 65,000 | 1,266,310 | |||
Oneness Biotech Co., Ltd. (a) | 26,000 | 270,177 | |||
Pegatron Corp. | 221,000 | 551,961 | |||
Pou Chen Corp. | 261,000 | 312,725 | |||
President Chain Store Corp. | 64,000 | 632,667 | |||
Quanta Computer, Inc. | 304,000 | 1,040,547 | |||
Realtek Semiconductor Corp. | 51,000 | 1,069,144 | |||
Ruentex Development Co., Ltd. | 134,064 | 309,151 | |||
Shanghai Commercial & Savings Bank, Ltd. | 403,736 | 689,505 | |||
Shin Kong Financial Holding Co., Ltd. | 1,334,741 | 533,086 | |||
SinoPac Financial Holdings Co., Ltd. | 1,112,457 | 649,372 | |||
Synnex Technology International Corp. | 150,700 | 360,586 | |||
Taishin Financial Holding Co., Ltd. | 1,131,363 | 774,906 |
Security Description | Shares | Value | |||
Taiwan Cement Corp. | 579,085 | $ 1,004,666 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,056,864 | 972,176 | |||
Taiwan High Speed Rail Corp. | 230,000 | 246,069 | |||
Taiwan Mobile Co., Ltd. | 184,000 | 665,052 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,742,000 | 60,950,952 | |||
Unimicron Technology Corp. | 134,000 | 1,118,806 | |||
Uni-President Enterprises Corp. | 534,000 | 1,324,047 | |||
United Microelectronics Corp. | 1,309,000 | 3,075,324 | |||
Vanguard International Semiconductor Corp. | 101,000 | 576,788 | |||
Voltronic Power Technology Corp. | 7,000 | 390,899 | |||
Wan Hai Lines, Ltd. | 67,800 | 486,439 | |||
Win Semiconductors Corp. | 38,000 | 514,367 | |||
Winbond Electronics Corp. | 342,000 | 420,284 | |||
Wistron Corp. | 314,101 | 330,937 | |||
Wiwynn Corp. | 9,000 | 362,706 | |||
WPG Holdings, Ltd. | 174,880 | 332,479 | |||
Yageo Corp. (a) | 48,556 | 841,530 | |||
Yang Ming Marine Transport Corp. (a) | 194,000 | 848,448 | |||
Yuanta Financial Holding Co., Ltd. | 1,090,600 | 997,296 | |||
Zhen Ding Technology Holding, Ltd. | 76,000 | 276,069 | |||
137,815,459 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.1% | |||||
AngloGold Ashanti, Ltd. | 46,378 | 955,166 | |||
THAILAND — 1.6% | |||||
Advanced Info Service PCL | 132,500 | 912,289 | |||
Airports of Thailand PCL (a) | 470,900 | 859,898 | |||
Asset World Corp. PCL (a) | 866,500 | 120,358 | |||
B Grimm Power PCL | 85,100 | 103,175 | |||
Bangkok Commercial Asset Management PCL | 187,300 | 121,110 | |||
Bangkok Dusit Medical Services PCL Class F | 1,063,400 | 732,172 | |||
Bangkok Expressway & Metro PCL | 829,899 | 209,928 | |||
Berli Jucker PCL | 128,600 | 119,341 | |||
BTS Group Holdings PCL | 847,484 | 237,209 | |||
Bumrungrad Hospital PCL | 49,900 | 210,624 | |||
Bumrungrad Hospital PCL NVDR | 4,100 | 17,306 | |||
Carabao Group PCL Class F | 30,300 | 108,393 | |||
Central Pattana PCL | 231,300 | 391,212 | |||
Central Retail Corp. PCL | 193,558 | 185,417 | |||
Charoen Pokphand Foods PCL | 433,100 | 330,611 | |||
CP ALL PCL NVDR | 16,600 | 29,319 | |||
CP ALL PCL | 629,200 | 1,111,295 | |||
Delta Electronics Thailand PCL | 35,300 | 435,372 | |||
Electricity Generating PCL | 26,600 | 139,749 |
Security Description | Shares | Value | |||
Electricity Generating PCL NVDR | 3,500 | $ 18,388 | |||
Energy Absolute PCL | 166,319 | 477,971 | |||
Global Power Synergy PCL Class F | 78,400 | 208,292 | |||
Gulf Energy Development PCL | 324,060 | 443,818 | |||
Home Product Center PCL | 655,700 | 284,618 | |||
Indorama Ventures PCL | 180,400 | 233,567 | |||
Intouch Holdings PCL NVDR | 7,500 | 18,018 | |||
Intouch Holdings PCL Class F | 119,000 | 285,878 | |||
Krung Thai Bank PCL | 368,300 | 145,534 | |||
Krungthai Card PCL | 97,100 | 172,225 | |||
Land & Houses PCL | 921,653 | 242,794 | |||
Minor International PCL (a) | 354,995 | 305,526 | |||
Muangthai Capital PCL NVDR | 10,100 | 17,763 | |||
Muangthai Capital PCL | 74,900 | 131,728 | |||
Osotspa PCL | 126,200 | 129,392 | |||
PTT Exploration & Production PCL | 152,500 | 538,692 | |||
PTT Global Chemical PCL | 253,300 | 445,484 | |||
PTT Oil & Retail Business PCL | 344,700 | 278,608 | |||
PTT PCL | 1,105,700 | 1,257,794 | |||
Ratch Group PCL | 85,200 | 114,773 | |||
SCG Packaging PCL | 143,200 | 296,860 | |||
Siam Cement PCL | 86,679 | 1,001,589 | |||
Siam Commercial Bank PCL | 93,600 | 355,851 | |||
Sri Trang Gloves Thailand PCL | 101,400 | 91,823 | |||
Srisawad Corp. PCL | 79,900 | 147,697 | |||
Thai Oil PCL | 119,300 | 176,780 | |||
Thai Union Group PCL Class F | 314,400 | 183,529 | |||
True Corp. PCL (c) | 1,233,437 | 176,495 | |||
14,556,265 | |||||
TURKEY — 0.2% | |||||
Akbank T.A.S. | 362,336 | 196,451 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 80,550 | 126,650 | |||
BIM Birlesik Magazalar A/S | 51,783 | 239,033 | |||
Eregli Demir ve Celik Fabrikalari TAS | 151,859 | 322,021 | |||
Ford Otomotiv Sanayi A/S | 8,083 | 144,925 | |||
KOC Holding A/S | 82,839 | 177,034 | |||
Turkcell Iletisim Hizmetleri A/S | 135,176 | 187,906 | |||
Turkiye Garanti Bankasi A/S | 258,383 | 219,280 | |||
Turkiye Is Bankasi A/S Class C | 168,086 | 91,006 | |||
Turkiye Petrol Rafinerileri AS (a) | 13,756 | 159,937 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 147,597 | 148,711 | |||
2,012,954 | |||||
UNITED ARAB EMIRATES — 1.1% | |||||
Abu Dhabi Commercial Bank PJSC | 304,321 | 706,731 | |||
Abu Dhabi Islamic Bank PJSC | 155,336 | 290,537 | |||
Abu Dhabi National Oil Co. for Distribution PJSC | 281,435 | 327,174 |
Security Description | Shares | Value | |||
Aldar Properties PJSC | 433,581 | $ 470,995 | |||
Dubai Islamic Bank PJSC | 325,160 | 476,269 | |||
Emaar Properties PJSC | 448,256 | 596,772 | |||
Emirates NBD Bank PJSC | 280,740 | 1,035,659 | |||
Emirates Telecommunications Group Co. PJSC | 385,769 | 3,329,352 | |||
First Abu Dhabi Bank PJSC | 486,681 | 2,496,310 | |||
9,729,799 | |||||
UNITED STATES — 0.2% | |||||
JBS SA | 96,700 | 658,844 | |||
Legend Biotech Corp. ADR (a) | 5,200 | 242,372 | |||
Parade Technologies, Ltd. | 9,000 | 688,004 | |||
1,589,220 | |||||
TOTAL COMMON STOCKS (Cost $620,024,452) | 853,589,870 |
PREFERRED STOCKS — 0.0% (e) | |||
TAIWAN — 0.0% (e) | |||
China Development Financial Holding Corp. , Preference Shares (a) (Cost: $49,736) | 167,742 | 58,143 | |
RIGHTS — 0.0% (e) | |||
CHINA — 0.0% (e) | |||
Seazen Group, Ltd. (expiring 01/19/22) (a) | 11,904 | — | |
SOUTH KOREA — 0.0% (e) | |||
Doosan Heavy Industries & Construction Co., Ltd. (expiring 02/11/22) (a) | 4,389 | 16,246 | |
TOTAL RIGHTS (Cost $0) | 16,246 | ||
WARRANTS — 2.3% | |||
CHINA — 0.9% | |||
MSCI CHINA A INCLUSION Net Return USD Index (expiring 8/31/27) (a) | 5,200 | 8,585,741 | |
SWITZERLAND — 1.4% | |||
UBS AG (expiring 11/26/27) | 3,600 | 5,722,387 | |
UBS AG (expiring 5/28/27) | 4,202 | 6,808,379 | |
12,530,766 | |||
THAILAND — 0.0% (e) | |||
BTS Group Holdings PCL (expiring 07/21/22) (a) | 79,518 | 1,523 | |
BTS Group Holdings PCL (expiring 07/22/22) (a) | 159,037 | 2,380 | |
BTS Group Holdings PCL (expiring 09/05/22) (a) | 39,759 | 857 |
Security Description | Shares | Value | ||||
Srisawad Corp. PCL (expiring 8/29/25) (a) | 3,196 | $ 957 | ||||
5,717 | ||||||
TOTAL WARRANTS (Cost $15,894,439) | 21,122,224 | |||||
SHORT-TERM INVESTMENTS — 3.8% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.04% (g) (h) | 31,402,985 | 31,406,126 | ||||
State Street Navigator Securities Lending Portfolio II (i) | 3,735,580 | 3,735,580 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,143,516) | 35,141,706 | |||||
TOTAL INVESTMENTS — 99.1% (Cost $671,112,143) | 909,928,189 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9% | 8,283,637 | |||||
NET ASSETS — 100.0% | $ 918,211,826 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.1% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2021, total aggregate fair value of the security is $79,644, representing 0.00% of the Fund's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(i) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non Voting Depositary Receipt |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 734 | 03/18/2022 | $45,269,602 | $45,005,210 | $(264,392) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $839,054,755 | $14,455,471 | $79,644 | $853,589,870 | ||||
Preferred Stocks | 58,143 | — | — | 58,143 | ||||
Rights | — | 16,246 | — | 16,246 | ||||
Warrants | 5,717 | 21,116,507 | — | 21,122,224 | ||||
Short-Term Investments | 35,141,706 | — | — | 35,141,706 | ||||
TOTAL INVESTMENTS | $874,260,321 | $35,588,224 | $79,644 | $909,928,189 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (264,392) | — | — | (264,392) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (264,392) | $ — | $ — | $ (264,392) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Information Technology | 21.2% | |
Financials | 20.4 | |
Consumer Discretionary | 12.8 | |
Communication Services | 10.2 | |
Materials | 8.0 | |
TOTAL | 72.6% |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 39,695,321 | $39,703,260 | $206,590,775 | $214,886,902 | $1,361 | $(2,368) | 31,402,985 | $31,406,126 | $13,576 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,068,390 | 4,068,390 | 83,202,708 | 83,535,518 | — | — | 3,735,580 | 3,735,580 | 36,961 | ||||||||
Total | $43,771,650 | $289,793,483 | $298,422,420 | $1,361 | $(2,368) | $35,141,706 | $50,537 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $874,786,483 |
Investments in affiliated issuers, at value | 35,141,706 |
Total Investments | 909,928,189 |
Foreign currency, at value | 13,065,553 |
Net cash at broker | 2,683,834 |
Receivable for fund shares sold | 1,177,490 |
Dividends receivable — unaffiliated issuers | 1,533,591 |
Dividends receivable — affiliated issuers | 961 |
Securities lending income receivable — unaffiliated issuers | 15,107 |
Securities lending income receivable — affiliated issuers | 8,413 |
Receivable from Adviser | 106,199 |
Receivable for foreign taxes recoverable | 4,920 |
Prepaid expenses and other assets | 1,503 |
TOTAL ASSETS | 928,525,760 |
LIABILITIES | |
Due to custodian | 2,255 |
Payable upon return of securities loaned | 3,735,580 |
Payable for investments purchased | 2,300,541 |
Payable for fund shares repurchased | 145,098 |
Payable to broker – accumulated variation margin on open futures contracts | 262,368 |
Deferred foreign taxes payable | 3,478,393 |
Advisory fee payable | 107,616 |
Custodian fees payable | 120,749 |
Administration fees payable | 38,436 |
Trustees’ fees and expenses payable | 353 |
Transfer agent fees payable | 4,659 |
Registration and filing fees payable | 22,625 |
Professional fees payable | 33,067 |
Printing and postage fees payable | 23,531 |
Accrued expenses and other liabilities | 38,663 |
TOTAL LIABILITIES | 10,313,934 |
NET ASSETS | $ 918,211,826 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $723,267,940 |
Total distributable earnings (loss)** | 194,943,886 |
NET ASSETS | $ 918,211,826 |
Class K | |
Net Assets | $ 918,211,826 |
Shares Outstanding | 12,086,181 |
Net asset value, offering and redemption price per share | $ 75.97 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $635,968,627 |
Investments in affiliated issuers | 35,143,516 |
Total cost of investments | $ 671,112,143 |
Foreign currency, at cost | $ 13,078,658 |
* Includes investments in securities on loan, at value | $ 12,232,822 |
** Includes deferred foreign taxes | $ 3,478,393 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 21,933,360 |
Dividend income — affiliated issuers | 13,576 |
Unaffiliated securities lending income | 150,267 |
Affiliated securities lending income | 36,961 |
Foreign taxes withheld | (2,635,522) |
TOTAL INVESTMENT INCOME (LOSS) | 19,498,642 |
EXPENSES | |
Advisory fee | 1,248,080 |
Administration fees | 445,743 |
Custodian fees | 602,058 |
Trustees’ fees and expenses | 28,961 |
Transfer agent fees | 36,400 |
Registration and filing fees | 66,340 |
Professional fees | 68,850 |
Printing and postage fees | 27,456 |
Insurance expense | 2,674 |
Interest expense | 482 |
Miscellaneous expenses | 126,688 |
TOTAL EXPENSES | 2,653,732 |
Expenses waived/reimbursed by the Adviser | (1,135,049) |
NET EXPENSES | 1,518,683 |
NET INVESTMENT INCOME (LOSS) | $ 17,979,959 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,835,187 |
Investments — affiliated issuers | 1,361 |
Foreign currency transactions | (441,022) |
Futures contracts | (684,530) |
Net realized gain (loss) | 1,710,996 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | (45,154,071) |
Investments — affiliated issuers | (2,368) |
Foreign currency translations | (59,649) |
Futures contracts | (1,569,669) |
Net change in unrealized appreciation/depreciation | (46,785,757) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (45,074,761) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(27,094,802) |
** Includes foreign deferred taxes | $ (3,478,393) |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 17,979,959 | $ 13,537,693 | |
Net realized gain (loss) | 1,710,996 | (16,951,896) | |
Net change in unrealized appreciation/depreciation | (46,785,757) | 125,015,975 | |
Net increase (decrease) in net assets resulting from operations | (27,094,802) | 121,601,772 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (17,489,086) | (15,918,091) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 317,148,590 | 212,010,838 | |
Reinvestment of distributions | 17,166,090 | 15,713,545 | |
Cost of shares redeemed | (250,814,270) | (197,824,786) | |
Net increase (decrease) in net assets from beneficial interest transactions | 83,500,410 | 29,899,597 | |
Net increase (decrease) in net assets during the period | 38,916,522 | 135,583,278 | |
Net assets at beginning of period | 879,295,304 | 743,712,026 | |
NET ASSETS AT END OF PERIOD | $ 918,211,826 | $ 879,295,304 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K (a) | |||
Shares sold | 3,897,769 | 3,186,016 | |
Reinvestment of distributions | 227,035 | 200,915 | |
Shares redeemed | (3,072,194) | (3,176,084) | |
Net increase (decrease) from share transactions | 1,052,610 | 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 | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.65 | 1.28 | 2.00 | 1.60 | 1.45 | ||||
Net realized and unrealized gain (loss) | (3.89) | 11.18 | 8.85 | (12.30) | 18.60 | ||||
Total from investment operations | (2.24) | 12.46 | 10.85 | (10.70) | 20.05 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.48) | (1.47) | (1.95) | (1.35) | (1.50) | ||||
Net realized gains | — | — | — | (0.45) | (0.35) | ||||
Total distributions | (1.48) | (1.47) | (1.95) | (1.80) | (1.85) | ||||
Net asset value, end of period | $ 75.97 | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | ||||
Total return (c) | (2.80)% | 18.18% | 18.13% | (14.77)% | 37.19% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $918,212 | $879,295 | $743,712 | $580,430 | $607,947 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.30% | 0.31% | 0.33% | 0.33% | 0.34% | ||||
Net expenses | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | ||||
Net investment income (loss) | 2.02% | 1.94% | 3.10% | 2.36% | 2.23% | ||||
Portfolio turnover rate | 11% | 13% | 13% | 7% | 6% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Emerging Markets Equity Index Fund | Class A | Not Commenced | Diversified |
Class I | Not Commenced | Diversified | |
Class K | December 21, 2015 | Diversified |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $262,368 | $— | $262,368 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(684,530) | $— | $(684,530) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (1,569,669) | $— | (1,569,669) |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $171,657,819 | $89,909,979 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $17,489,086 | $— | $17,489,086 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $ 15,918,091 | $ — | $ 15,918,091 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Emerging Markets Equity Index Fund | $557,207 | $(32,247,396) | $— | $226,634,075 | $194,943,886 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Emerging Markets Equity Index Fund | $5,713,380 | $26,534,016 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $679,532,128 | $278,798,741 | $52,145,465 | $226,653,276 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 12,232,822 | $ 3,735,580 | $ 9,203,346 | $ 12,938,926 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 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 | $3,735,580 | $— | $— | $— | $3,735,580 | $3,735,580 |
March 1, 2022
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% | $1,000.00 | $0.86 | $1,024.30 | $0.87 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Emerging Markets Equity Index Fund | $2,413,580 |
Amount | |
State Street Emerging Markets Equity Index Fund | $21,890,255 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
6 | |
7 | |
8 | |
9 | |
10 | |
16 | |
17 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street International Value Spotlight Fund Class K | 3.90% | 6.39% | 8.49% |
MSCI ACWI ex USA Index (1) | 7.82% | 9.61% | 9.34% |
* | Inception date is July 13, 2016. |
(1) | The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries, excluding the U.S., and 23 Emerging Markets countries. The index covers approximately 85% of the global equity opportunity set outside the U.S. Index returns are net of dividend withholding taxes. |
% of Net Assets | |||
Common Stocks | 100.0% | ||
Short-Term Investment | 0.6 | ||
Liabilities in Excess of Other Assets | (0.6) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 100.0% | |||||
CHINA — 21.2% | |||||
China Construction Bank Corp. Class H | 86,000 | $ 59,567 | |||
CITIC Securities Co., Ltd. Class H | 24,000 | 62,645 | |||
Dali Foods Group Co., Ltd. (a) | 105,000 | 54,949 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 11,200 | 65,220 | |||
Haitian International Holdings, Ltd. (b) | 25,000 | 69,424 | |||
Lee & Man Paper Manufacturing, Ltd. | 87,000 | 60,482 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 9,000 | 64,819 | |||
437,106 | |||||
FRANCE — 15.7% | |||||
BNP Paribas SA | 1,017 | 70,283 | |||
Dassault Aviation SA | 603 | 65,145 | |||
Ipsen SA | 597 | 54,652 | |||
Sanofi | 677 | 68,196 | |||
Societe Generale SA | 1,923 | 66,053 | |||
324,329 | |||||
GERMANY — 2.9% | |||||
Bayerische Motoren Werke AG | 598 | 60,177 | |||
HONG KONG — 2.6% | |||||
WH Group, Ltd. (a) | 86,648 | 54,347 | |||
HUNGARY — 2.9% | |||||
Richter Gedeon Nyrt | 2,254 | 60,680 | |||
ITALY — 2.8% | |||||
Leonardo SpA (b) | 8,109 | 58,096 | |||
JAPAN — 17.4% | |||||
Alfresa Holdings Corp. | 4,200 | 55,913 | |||
Komatsu, Ltd. | 2,400 | 56,137 | |||
Mitsubishi UFJ Financial Group, Inc. | 11,200 | 60,778 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 61,633 | |||
TBS Holdings, Inc. | 4,100 | 59,423 | |||
Zeon Corp. | 5,600 | 64,532 | |||
358,416 | |||||
SOUTH KOREA — 9.3% | |||||
Hyundai Mobis Co., Ltd. | 304 | 65,084 | |||
KT&G Corp. | 827 | 54,959 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,195 | 71,574 | |||
191,617 |
Security Description | Shares | Value | |||
SPAIN — 6.0% | |||||
ACS Actividades de Construccion y Servicios SA | 2,366 | $ 63,418 | |||
Banco Bilbao Vizcaya Argentaria SA | 10,196 | 60,873 | |||
124,291 | |||||
SWITZERLAND — 6.2% | |||||
Adecco Group AG | 1,252 | 64,032 | |||
Holcim, Ltd. | 1,272 | 64,732 | |||
128,764 | |||||
TAIWAN — 2.8% | |||||
Catcher Technology Co., Ltd. | 10,000 | 56,566 | |||
UNITED KINGDOM — 6.6% | |||||
Rolls-Royce Holdings PLC (b) | 41,202 | 68,574 | |||
Standard Chartered PLC | 10,981 | 66,692 | |||
135,266 | |||||
UNITED STATES — 3.6% | |||||
Newmont Corp. | 1,190 | 73,898 | |||
TOTAL COMMON STOCKS (Cost $1,917,358) | 2,063,553 |
SHORT-TERM INVESTMENT — 0.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $11,960) | 11,960 | 11,960 | |
TOTAL INVESTMENTS — 100.6% (Cost $1,929,318) | 2,075,513 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | (11,834) | ||
NET ASSETS — 100.0% | $ 2,063,679 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.3% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,063,553 | $— | $— | $2,063,553 | ||||
Short-Term Investment | 11,960 | — | — | 11,960 | ||||
TOTAL INVESTMENTS | $2,075,513 | $— | $— | $2,075,513 |
% of Net Assets | ||
Financials | 27.8% | |
Industrials | 21.5 | |
Materials | 12.8 | |
Health Care | 11.6 | |
Consumer Discretionary | 9.2 | |
Consumer Staples | 8.0 | |
Information Technology | 6.2 | |
Communication Services | 2.9 | |
Short-Term Investment | 0.6 | |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 93,468 | $93,468 | $543,539 | $625,047 | $— | $— | 11,960 | $11,960 | $105 |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,063,553 |
Investments in affiliated issuers, at value | 11,960 |
Total Investments | 2,075,513 |
Foreign currency, at value | 5,120 |
Receivable for investments sold | 41,244 |
Dividends receivable — unaffiliated issuers | 3,759 |
Dividends receivable — affiliated issuers | 2 |
Receivable from Adviser (Note 3) | 1,860 |
Receivable for foreign taxes recoverable | 2,106 |
Prepaid expenses and other assets | 4 |
TOTAL ASSETS | 2,129,608 |
LIABILITIES | |
Payable for investments purchased | 48 |
Advisory fee payable | 1,362 |
Custodian fees payable | 6,149 |
Administration fees payable | 91 |
Transfer agent fees payable | 43 |
Registration and filing fees payable | 1,786 |
Professional fees payable | 41,803 |
Printing and postage fees payable | 11,226 |
Accrued expenses and other liabilities | 3,421 |
TOTAL LIABILITIES | 65,929 |
NET ASSETS | $2,063,679 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,004,459 |
Total distributable earnings (loss) | 59,220 |
NET ASSETS | $2,063,679 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $2,063,679 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $ 10.32 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,917,358 |
Investments in affiliated issuers | 11,960 |
Total cost of investments | $1,929,318 |
Foreign currency, at cost | $ 4,976 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $ 65,084 |
Dividend income — affiliated issuers | 105 |
Dividend income — non-cash transactions | 3,915 |
Foreign taxes withheld | (7,322) |
TOTAL INVESTMENT INCOME (LOSS) | 61,782 |
EXPENSES | |
Advisory fee | 16,588 |
Administration fees | 1,106 |
Custodian fees | 34,863 |
Trustees’ fees and expenses | 21,018 |
Transfer agent fees | 681 |
Registration and filing fees | 29,155 |
Professional fees | 42,866 |
Printing and postage fees | 10,939 |
Insurance expense | 7 |
Miscellaneous expenses | 1,646 |
TOTAL EXPENSES | 158,869 |
Expenses waived/reimbursed by the Adviser | (142,281) |
NET EXPENSES | 16,588 |
NET INVESTMENT INCOME (LOSS) | $ 45,194 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 191,980 |
Foreign currency transactions | (798) |
Net realized gain (loss) | 191,182 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (162,792) |
Foreign currency translations | (361) |
Net change in unrealized appreciation/depreciation | (163,153) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 28,029 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 73,223 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 45,194 | $ 29,479 | |
Net realized gain (loss) | 191,182 | (42,351) | |
Net change in unrealized appreciation/depreciation | (163,153) | 159,951 | |
Net increase (decrease) in net assets resulting from operations | 73,223 | 147,079 | |
Distributions to shareholders | (45,200) | (30,860) | |
Proceeds from shares sold | 161,310 | — | |
Cost of shares redeemed | (156,513) | — | |
Net increase (decrease) in net assets from beneficial interest transactions | 4,797 | — | |
Contribution from Adviser (Note 3) | — | 7,560 | |
Net increase (decrease) in net assets during the period | 32,820 | 123,779 | |
Net assets at beginning of period | 2,030,859 | 1,907,080 | |
NET ASSETS AT END OF PERIOD | $2,063,679 | $2,030,859 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 15,047 | — | |
Shares redeemed | (15,047) | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $10.15 | $ 9.54 | $ 8.08 | $ 12.56 | $ 11.25 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.22 | 0.15 | 0.18 | 0.21 | 0.24 | ||||
Net realized and unrealized gain (loss) | 0.18 | 0.57 | 1.47 | (2.66) | 2.56 | ||||
Total from investment operations | 0.40 | 0.72 | 1.65 | (2.45) | 2.80 | ||||
Voluntary contribution from Adviser | — | 0.04 | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.15) | (0.19) | (0.22) | (0.24) | ||||
Net realized gains | — | — | — | (1.81) | (1.25) | ||||
Total distributions | (0.23) | (0.15) | (0.19) | (2.03) | (1.49) | ||||
Net asset value, end of period | $10.32 | $10.15 | $ 9.54 | $ 8.08 | $12.56 | ||||
Total return (b) | 3.90% | 8.01%(c) | 20.39% | (19.32)% | 25.03% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,064 | $2,031 | $1,907 | $ 1,617 | $2,512 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 7.18% | 11.20% | 12.74% | 7.58% | 7.26% | ||||
Net expenses | 0.75% | 0.75% | 0.75% | 0.75% | 0.75% | ||||
Net investment income (loss) | 2.04% | 1.70% | 2.09% | 1.76% | 1.86% | ||||
Portfolio turnover rate | 40% | 76% | 35% | 63% | 45% |
(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%. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street International Value Spotlight Fund | Class A | Not commenced | Non-diversified |
Class I | Not commenced | Non-diversified | |
Class K | July 14, 2016 | Non-diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street International Value Spotlight Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street International Value Spotlight Fund | $897,870 | $840,936 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $45,200 | $— | $45,200 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $ 30,860 | $ — | $ 30,860 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street International Value Spotlight Fund | $1,193 | $(60,554) | $— | $118,581 | $59,220 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street International Value Spotlight Fund | $60,554 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,957,128 | $241,884 | $123,499 | $118,385 |
March 1, 2022
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% | $972.90 | $3.73 | $1,021.40 | $3.82 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street International Value Spotlight Fund | $5,774 |
Amount | |
State Street International Value Spotlight Fund | $66,528 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Target Retirement Fund |
State Street Target Retirement 2020 Fund |
State Street Target Retirement 2025 Fund |
State Street Target Retirement 2030 Fund |
State Street Target Retirement 2035 Fund |
State Street Target Retirement 2040 Fund |
State Street Target Retirement 2045 Fund |
State Street Target Retirement 2050 Fund |
State Street Target Retirement 2055 Fund |
State Street Target Retirement 2060 Fund |
State Street Target Retirement 2065 Fund |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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Schedules of Investments | |
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(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement Fund Class I | 6.87% | 7.36% | 5.81% |
State Street Target Retirement Fund Class K | 7.92% | 7.56% | 5.94% |
Bloomberg U.S. Aggregate Index (b) | (1.54%) | 3.57% | 3.15% |
State Street Target Retirement Composite Index(c) | 7.93% | 7.52% | 6.06% |
* | Inception date is September 30, 2014. |
(b) | The Bloomberg U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody's Investor Service, Inc., Standard & Poor's, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States. |
(c) | The State Street Target Retirement Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Fixed Income | 46.6% | ||
Domestic Equity | 18.4 | ||
Inflation Linked | 17.9 | ||
International Equity | 11.5 | ||
Real Estate | 5.0 | ||
Short Term Investments | 0.9 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2020 Fund Class I | 8.79% | 9.16% | 7.29% |
State Street Target Retirement 2020 Fund Class K | 9.55% | 9.34% | 7.42% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2020 Composite Index(c) | 9.65% | 9.38% | 7.56% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2020 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Fixed Income | 39.0% | ||
Domestic Equity | 22.7 | ||
Inflation Linked | 17.9 | ||
International Equity | 14.4 | ||
Real Estate | 5.0 | ||
Short Term Investments | 1.5 | ||
Liabilities in Excess of Other Assets | (0.5) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2025 Fund Class I | 10.03% | 10.91% | 8.56% |
State Street Target Retirement 2025 Fund Class K | 10.81% | 11.10% | 8.70% |
S&P 500® Index (a) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2025 Composite Index(c) | 11.01% | 11.17% | 8.87% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2025 Composite Index consists of several indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Fixed Income | 31.6% | ||
Domestic Equity | 30.4 | ||
International Equity | 20.5 | ||
Inflation Linked | 12.9 | ||
Real Estate | 3.5 | ||
Short Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (1.5) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2030 Fund Class I | 10.76% | 12.03% | 9.36% |
State Street Target Retirement 2030 Fund Class K | 11.37% | 12.17% | 9.47% |
S&P 500® Index (a) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2030 Composite Index(c) | 11.56% | 12.25% | 9.62% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2030 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 37.5% | ||
Domestic Fixed Income | 29.1 | ||
International Equity | 27.2 | ||
Inflation Linked | 3.9 | ||
Real Estate | 1.0 | ||
Short Term Investments | 0.5 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2035 Fund Class I | 11.38% | 12.60% | 9.78% |
State Street Target Retirement 2035 Fund Class K | 12.18% | 12.82% | 9.96% |
S&P 500® Index (a) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2035 Composite Index(c) | 12.39% | 12.90% | 10.07% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2035 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 41.9% | ||
International Equity | 31.2 | ||
Domestic Fixed Income | 25.6 | ||
Short Term Investments | 0.5 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2040 Fund Class I | 11.75% | 13.03% | 10.09% |
State Street Target Retirement 2040 Fund Class K | 13.15% | 13.34% | 10.31% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2040 Composite Index(c) | 13.28% | 13.41% | 10.44% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2040 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 45.8% | ||
International Equity | 34.1 | ||
Domestic Fixed Income | 18.7 | ||
Short Term Investments | 1.3 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2045 Fund Class I | 13.08% | 13.59% | 10.49% |
State Street Target Retirement 2045 Fund Class K | 13.83% | 13.76% | 10.61% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2045 Composite Index(c) | 14.12% | 13.86% | 10.77% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2045 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||||
Domestic Equity | 48.7% | ||||
International Equity | 36.2 | ||||
Domestic Fixed Income | 13.7 | ||||
Short Term Investments | 1.4 | ||||
Other Assets in Excess of Liabilities | 0.0* | ||||
TOTAL | 100.0% | ||||
* | Amount shown represents less than 0.05% of net assets. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2050 Fund Class I | 13.12% | 13.66% | 10.51% |
State Street Target Retirement 2050 Fund Class K | 14.37% | 13.96% | 10.70% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2050 Composite Index(c) | 14.57% | 14.05% | 10.90% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2050 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 50.8% | ||
International Equity | 37.8 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 1.3 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2055 Fund Class I | 13.32% | 13.78% | 10.58% |
State Street Target Retirement 2055 Fund Class K | 14.31% | 13.98% | 10.70% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2055 Composite Index(c) | 14.57% | 14.05% | 10.90% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2055 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.0% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 1.7 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2060 Fund Class I | 13.75% | 13.82% | 10.59% |
State Street Target Retirement 2060 Fund Class K | 14.34% | 13.97% | 10.68% |
S&P 500® Index (b) | 28.71% | 18.47% | 15.14% |
State Street Target Retirement 2060 Composite Index(c) | 14.57% | 14.05% | 10.90% |
* | Inception date is September 30, 2014. |
(b) | The S&P 500® Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2060 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.2% | ||
International Equity | 38.1 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 0.5 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Target Retirement 2065 Fund Class I | 14.09% | 32.38% |
State Street Target Retirement 2065 Fund Class K | 14.39% | 32.67% |
S&P 500® Index (b) | 28.71% | 42.61% |
State Street Target Retirement 2065 Composite Index(c) | 14.57% | 35.38% |
* | Inception date is March 30, 2020. |
(b) | The S&P 500® Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2065 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.5% | ||
International Equity | 38.3 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 1.2 | ||
Liabilities in Excess of Other Assets | (0.8) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 18.4% | ||||||
State Street Equity 500 Index II Portfolio | 227,447 | $ 98,277,562 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 58,639 | 18,548,215 | ||||
116,825,777 | ||||||
DOMESTIC FIXED INCOME — 46.6% | ||||||
SPDR Bloomberg High Yield Bond ETF | 408,041 | 44,301,011 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 818,052 | 25,335,070 | ||||
SPDR Portfolio Short Term Treasury ETF | 3,286,367 | 100,004,148 | ||||
State Street Aggregate Bond Index Portfolio | 1,227,873 | 126,986,660 | ||||
296,626,889 | ||||||
INFLATION LINKED — 17.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 5,401,922 | 114,088,593 | ||||
INTERNATIONAL EQUITY — 11.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 594,113 | 73,022,395 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 561,752 | 31,755,841 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $576,556,869) | 632,319,495 | |||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 1,468,715 | 1,468,715 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 4,371,675 | $ 4,371,675 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,840,390) | $ 5,840,390 | ||||
TOTAL INVESTMENTS — 100.3% (Cost $582,397,259) | 638,159,885 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (1,940,085) | ||||
NET ASSETS — 100.0% | $ 636,219,800 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $632,319,495 | $— | $— | $632,319,495 | ||||
Short-Term Investments | 5,840,390 | — | — | 5,840,390 | ||||
TOTAL INVESTMENTS | $638,159,885 | $— | $— | $638,159,885 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 4,412,037 | $ 92,233,634 | $ 45,376,727 | $ 24,593,840 | $ 2,323,902 | $(1,251,830) | 5,401,922 | $ 114,088,593 | $ 4,682,669 | $ — | |||||||||
SPDR Bloomberg High Yield Bond ETF | 329,346 | 35,878,953 | 47,985,268 | 39,461,721 | 2,326,511 | (2,428,000) | 408,041 | 44,301,011 | 1,779,218 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 580,432 | 25,806,007 | 11,650,114 | 13,177,475 | 797,578 | 6,679,617 | 561,752 | 31,755,841 | 966,870 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 651,140 | 20,445,796 | 10,862,671 | 5,643,637 | 192,422 | (522,182) | 818,052 | 25,335,070 | 280,842 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 2,631,962 | 80,827,553 | 45,726,904 | 25,667,097 | 887,585 | (1,770,797) | 3,286,367 | 100,004,148 | 181,298 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 954,590 | 102,360,710 | 53,999,631 | 25,480,713 | 1,782,783 | (5,675,751) | 1,227,873 | 126,986,660 | 2,248,543 | — | |||||||||
State Street Equity 500 Index II Portfolio | 232,684 | 80,222,366 | 35,144,541 | 38,696,110 | 14,777,717 | 6,829,048 | 227,447 | 98,277,562 | 1,435,508 | 1,143,414 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 505,235 | 58,814,413 | 32,750,102 | 22,071,910 | 5,085,306 | (1,555,516) | 594,113 | 73,022,395 | 1,814,511 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,550,043 | 1,550,043 | 221,019,668 | 221,100,996 | — | — | 1,468,715 | 1,468,715 | 784 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 36,692,913 | 36,692,913 | 804,447,354 | 836,768,592 | — | — | 4,371,675 | 4,371,675 | 226,816 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 46,069 | 15,098,214 | 9,032,846 | 5,015,000 | 1,992,584 | (2,560,429) | 58,639 | 18,548,215 | 549,900 | 1,997,946 | |||||||||
Total | $549,930,602 | $1,317,995,826 | $1,257,677,091 | $30,166,388 | $(2,255,840) | $638,159,885 | $14,166,959 | $3,141,360 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.0% (a) | ||||||
DOMESTIC EQUITY — 22.7% | ||||||
State Street Equity 500 Index II Portfolio | 432,762 | $ 186,992,273 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 120,189 | 38,016,902 | ||||
225,009,175 | ||||||
DOMESTIC FIXED INCOME — 39.0% | ||||||
SPDR Bloomberg High Yield Bond ETF | 633,305 | 68,757,924 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 708,367 | 21,938,126 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 2,817,589 | 85,739,233 | ||||
State Street Aggregate Bond Index Portfolio | 2,033,693 | 210,324,489 | ||||
386,759,772 | ||||||
INFLATION LINKED — 17.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 8,385,032 | 177,091,876 | ||||
INTERNATIONAL EQUITY — 14.4% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,162,726 | 142,910,624 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 872,100 | 49,299,813 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $873,333,395) | 981,071,260 | |||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 2,114,207 | 2,114,207 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 12,559,763 | $ 12,559,763 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,673,970) | $ 14,673,970 | ||||
TOTAL INVESTMENTS — 100.5% (Cost $888,007,365) | 995,745,230 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.5)% | (5,362,709) | ||||
NET ASSETS — 100.0% | $ 990,382,521 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $981,071,260 | $— | $— | $981,071,260 | ||||
Short-Term Investments | 14,673,970 | — | — | 14,673,970 | ||||
TOTAL INVESTMENTS | $995,745,230 | $— | $— | $995,745,230 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 7,423,377 | $155,185,696 | $ 48,721,784 | $ 28,508,529 | $ 2,483,248 | $ (790,323) | 8,385,032 | $177,091,876 | $ 7,210,203 | $ — | |||||||||
SPDR Bloomberg High Yield Bond ETF | 553,744 | 60,324,871 | 34,799,598 | 26,171,050 | 494,532 | (690,027) | 633,305 | 68,757,924 | 2,762,174 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 975,660 | 43,377,844 | 11,750,454 | 17,499,034 | 1,686,199 | 9,984,350 | 872,100 | 49,299,813 | 1,483,770 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 486,701 | 15,282,412 | 9,415,024 | 2,498,255 | 35,133 | (296,188) | 708,367 | 21,938,126 | 216,241 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 1,936,201 | 59,460,733 | 43,891,383 | 16,917,318 | 207,869 | (903,434) | 2,817,589 | 85,739,233 | 137,328 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 1,695,732 | 181,833,361 | 68,416,227 | 33,261,239 | 1,528,388 | (8,192,248) | 2,033,693 | 210,324,489 | 3,702,003 | — | |||||||||
State Street Equity 500 Index II Portfolio | 510,053 | 175,850,802 | 45,344,448 | 77,198,713 | 27,253,280 | 15,742,456 | 432,762 | 186,992,273 | 2,761,914 | 2,199,925 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,146,664 | 133,483,175 | 39,760,035 | 38,169,440 | 5,684,542 | 2,152,312 | 1,162,726 | 142,910,624 | 3,590,779 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,639,920 | 2,639,920 | 222,329,497 | 222,855,210 | — | — | 2,114,207 | 2,114,207 | 858 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 46,474,866 | 46,474,866 | 928,279,462 | 962,194,565 | — | — | 12,559,763 | 12,559,763 | 393,767 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 111,145 | 36,425,544 | 12,609,633 | 10,279,436 | 4,547,916 | (5,286,755) | 120,189 | 38,016,902 | 1,145,974 | 4,163,658 | |||||||||
Total | $910,339,224 | $1,465,317,545 | $1,435,552,789 | $43,921,107 | $ 11,720,143 | $995,745,230 | $23,405,011 | $6,363,583 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.9% (a) | ||||||
DOMESTIC EQUITY — 30.4% | ||||||
State Street Equity 500 Index II Portfolio | 999,618 | $ 431,924,946 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 313,498 | 99,162,656 | ||||
531,087,602 | ||||||
DOMESTIC FIXED INCOME — 31.6% | ||||||
SPDR Bloomberg High Yield Bond ETF | 1,047,091 | 113,682,670 | ||||
SPDR Portfolio Intermediate Term Treasury ETF | 484,840 | 15,539,122 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 867,995 | 36,585,989 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 251,469 | 7,787,995 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 905,419 | 27,551,900 | ||||
State Street Aggregate Bond Index Portfolio | 3,378,115 | 349,364,608 | ||||
550,512,284 | ||||||
INFLATION LINKED — 12.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 10,654,819 | 225,029,777 | ||||
INTERNATIONAL EQUITY — 20.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,913,260 | 358,068,741 | ||||
REAL ESTATE — 3.5% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 1,072,800 | 60,645,384 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,532,167,602) | 1,725,343,788 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 4,522,704 | $ 4,522,704 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 39,569,936 | 39,569,936 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $44,092,640) | $ 44,092,640 | |||||
TOTAL INVESTMENTS — 101.5% (Cost $1,576,260,242) | 1,769,436,428 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.5)% | (25,304,856) | |||||
NET ASSETS — 100.0% | $ 1,744,131,572 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $1,725,343,788 | $— | $— | $1,725,343,788 | ||||
Short-Term Investments | 44,092,640 | — | — | 44,092,640 | ||||
TOTAL INVESTMENTS | $1,769,436,428 | $— | $— | $1,769,436,428 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 6,914,446 | $ 144,546,494 | $ 98,182,843 | $ 19,389,310 | $ 1,277,368 | $ 412,382 | 10,654,819 | $ 225,029,777 | $ 8,177,517 | $ — | |||||||||
SPDR Bloomberg High Yield Bond ETF | 754,771 | 82,224,753 | 71,236,829 | 39,459,920 | 535,751 | (854,743) | 1,047,091 | 113,682,670 | 4,231,862 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 872,313 | 38,783,036 | 17,813,583 | 8,137,267 | 855,010 | 11,331,022 | 1,072,800 | 60,645,384 | 1,632,745 | — | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 19,068,657 | 3,498,550 | 20,505 | (51,490) | 484,840 | 15,539,122 | 75,545 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,137,775 | 51,347,786 | 21,940,379 | 32,345,794 | 1,093,630 | (5,450,012) | 867,995 | 36,585,989 | 695,639 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 84,693 | 2,659,360 | 5,603,182 | 399,700 | 14,594 | (89,441) | 251,469 | 7,787,995 | 57,256 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 266,523 | 8,184,921 | 20,846,450 | 1,298,979 | (4,085) | (176,407) | 905,419 | 27,551,900 | 31,662 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 2,365,286 | 253,629,634 | 141,340,356 | 35,819,168 | 2,046,651 | (11,832,865) | 3,378,115 | 349,364,608 | 5,742,970 | — | |||||||||
State Street Equity 500 Index II Portfolio | 983,103 | 338,944,393 | 135,958,705 | 134,150,284 | 46,422,903 | 44,749,229 | 999,618 | 431,924,946 | 6,311,753 | 5,027,450 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,431,053 | 282,998,878 | 124,989,546 | 66,309,780 | 8,758,678 | 7,631,419 | 2,913,260 | 358,068,741 | 8,945,202 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,728,591 | 5,728,591 | 404,693,932 | 405,899,819 | — | — | 4,522,704 | 4,522,704 | 1,821 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 1,703,196 | 1,703,196 | 1,411,267,938 | 1,373,401,198 | — | — | 39,569,936 | 39,569,936 | 555,285 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 242,534 | 79,485,731 | 42,551,264 | 19,435,000 | 7,603,788 | (11,043,127) | 313,498 | 99,162,656 | 2,967,424 | 10,781,511 | |||||||||
Total | $1,290,236,773 | $2,515,493,664 | $2,139,544,769 | $68,624,793 | $ 34,625,967 | $1,769,436,428 | $39,426,681 | $15,808,961 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.7% (a) | ||||||
DOMESTIC EQUITY — 37.5% | ||||||
State Street Equity 500 Index II Portfolio | 1,421,809 | $ 614,349,401 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 506,884 | 160,332,494 | ||||
774,681,895 | ||||||
DOMESTIC FIXED INCOME — 29.1% | ||||||
SPDR Bloomberg High Yield Bond ETF | 1,016,328 | 110,342,731 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,530,102 | 49,039,769 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,636,795 | 111,140,909 | ||||
State Street Aggregate Bond Index Portfolio | 3,198,333 | 330,771,626 | ||||
601,295,035 | ||||||
INFLATION LINKED — 3.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 3,795,986 | 80,171,224 | ||||
INTERNATIONAL EQUITY — 27.2% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,567,098 | 561,341,982 | ||||
REAL ESTATE — 1.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 362,329 | 20,482,458 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,783,374,429) | 2,037,972,594 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 5,876,897 | 5,876,897 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 4,301,775 | $ 4,301,775 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,178,672) | $ 10,178,672 | ||||
TOTAL INVESTMENTS — 99.2% (Cost $1,793,553,101) | 2,048,151,266 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 15,733,528 | ||||
NET ASSETS — 100.0% | $ 2,063,884,794 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $2,037,972,594 | $— | $— | $2,037,972,594 | ||||
Short-Term Investments | 10,178,672 | — | — | 10,178,672 | ||||
TOTAL INVESTMENTS | $2,048,151,266 | $— | $— | $2,048,151,266 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 1,358,366 | $ 28,396,642 | $ 55,382,136 | $ 3,998,180 | $ 230,167 | $ 160,459 | 3,795,986 | $ 80,171,224 | $ 2,332,323 | $ — | |||||||||
SPDR Bloomberg High Yield Bond ETF | 667,628 | 72,731,394 | 79,910,730 | 41,966,859 | 403,741 | (736,275) | 1,016,328 | 110,342,731 | 3,933,422 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 161,817 | 7,194,384 | 11,376,658 | 1,110,671 | 371,965 | 2,650,122 | 362,329 | 20,482,458 | 435,519 | — | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 54,171,887 | 4,993,585 | 41,452 | (179,985) | 1,530,102 | 49,039,769 | 214,913 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,797,054 | 126,231,047 | 53,962,423 | 58,949,887 | 3,803,333 | (13,906,007) | 2,636,795 | 111,140,909 | 1,863,903 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 2,129,289 | 228,323,641 | 137,360,515 | 26,000,000 | 1,110,362 | (10,022,892) | 3,198,333 | 330,771,626 | 5,320,821 | — | |||||||||
State Street Equity 500 Index II Portfolio | 1,287,822 | 444,002,348 | 201,693,116 | 154,659,431 | 52,519,906 | 70,793,462 | 1,421,809 | 614,349,401 | 8,882,307 | 7,074,952 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,503,715 | 407,867,498 | 203,122,480 | 72,025,108 | 9,592,473 | 12,784,639 | 4,567,098 | 561,341,982 | 13,874,143 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,707,162 | 3,707,162 | 452,375,818 | 450,206,083 | — | — | 5,876,897 | 5,876,897 | 2,202 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 1,251,125 | 1,251,125 | 1,266,152,999 | 1,263,102,349 | — | — | 4,301,775 | 4,301,775 | 473,320 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 361,330 | 118,418,561 | 73,911,228 | 25,374,999 | 9,559,694 | (16,181,990) | 506,884 | 160,332,494 | 4,754,872 | 17,275,827 | |||||||||
Total | $1,438,123,802 | $2,589,419,990 | $2,102,387,152 | $77,633,093 | $ 45,361,533 | $2,048,151,266 | $42,087,745 | $24,350,779 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.7% (a) | ||||||
DOMESTIC EQUITY — 41.9% | ||||||
State Street Equity 500 Index II Portfolio | 1,397,204 | $ 603,718,049 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 568,226 | 179,735,652 | ||||
783,453,701 | ||||||
DOMESTIC FIXED INCOME — 25.6% | ||||||
SPDR Bloomberg High Yield Bond ETF | 539,334 | 58,555,492 | ||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,728,318 | 55,392,592 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 3,002,904 | 126,572,404 | ||||
State Street Aggregate Bond Index Portfolio | 2,294,817 | 237,330,020 | ||||
477,850,508 | ||||||
INTERNATIONAL EQUITY — 31.2% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,736,185 | 582,124,442 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,595,095,234) | 1,843,428,651 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 5,901,736 | 5,901,736 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 3,652,721 | $ 3,652,721 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,554,457) | $ 9,554,457 | ||||
TOTAL INVESTMENTS — 99.2% (Cost $1,604,649,691) | 1,852,983,108 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 15,529,944 | ||||
NET ASSETS — 100.0% | $ 1,868,513,052 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $1,843,428,651 | $— | $— | $1,843,428,651 | ||||
Short-Term Investments | 9,554,457 | — | — | 9,554,457 | ||||
TOTAL INVESTMENTS | $1,852,983,108 | $— | $— | $1,852,983,108 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg High Yield Bond ETF | 292,411 | $ 31,855,254 | $ 34,081,311 | $ 7,191,551 | $ (30,364) | $ (159,158) | 539,334 | $ 58,555,492 | $ 1,890,944 | $ — | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 58,864,115 | 3,294,720 | 28,925 | (205,728) | 1,728,318 | 55,392,592 | 227,130 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,739,335 | 123,626,189 | 75,720,357 | 63,331,751 | 4,483,970 | (13,926,361) | 3,002,904 | 126,572,404 | 1,944,961 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 1,407,952 | 150,974,679 | 106,408,759 | 14,100,000 | 641,153 | (6,594,571) | 2,294,817 | 237,330,020 | 3,643,394 | — | |||||||||
State Street Equity 500 Index II Portfolio | 1,225,187 | 422,407,676 | 193,276,661 | 130,444,465 | 44,521,611 | 73,956,566 | 1,397,204 | 603,718,049 | 8,654,325 | 6,893,360 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,473,501 | 404,350,298 | 212,348,693 | 56,807,675 | 8,116,093 | 14,117,033 | 4,736,185 | 582,124,442 | 14,230,349 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,053,164 | 4,053,164 | 379,032,379 | 377,183,807 | — | — | 5,901,736 | 5,901,736 | 2,020 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 299,700 | 299,700 | 860,702,181 | 857,349,160 | — | — | 3,652,721 | 3,652,721 | 280,974 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 392,510 | 128,637,225 | 81,307,151 | 22,350,001 | 6,902,397 | (14,761,120) | 568,226 | 179,735,652 | 5,292,178 | 19,228,013 | |||||||||
Total | $1,266,204,185 | $2,001,741,607 | $1,532,053,130 | $64,663,785 | $ 52,426,661 | $1,852,983,108 | $36,166,275 | $26,121,373 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.6% (a) | ||||||
DOMESTIC EQUITY — 45.8% | ||||||
State Street Equity 500 Index II Portfolio | 1,328,109 | $ 573,862,780 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 622,012 | 196,748,599 | ||||
770,611,379 | ||||||
DOMESTIC FIXED INCOME — 18.7% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,556,661 | 49,890,985 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,703,738 | 113,962,557 | ||||
State Street Aggregate Bond Index Portfolio | 1,449,487 | 149,905,970 | ||||
313,759,512 | ||||||
INTERNATIONAL EQUITY — 34.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,664,600 | 573,325,950 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,419,283,834) | 1,657,696,841 | |||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 4,090,135 | 4,090,135 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 16,622,575 | $ 16,622,575 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $20,712,710) | $ 20,712,710 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $1,439,996,544) | 1,678,409,551 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 2,331,441 | ||||
NET ASSETS — 100.0% | $ 1,680,740,992 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $1,657,696,841 | $— | $— | $1,657,696,841 | ||||
Short-Term Investments | 20,712,710 | — | — | 20,712,710 | ||||
TOTAL INVESTMENTS | $1,678,409,551 | $— | $— | $1,678,409,551 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 53,244,590 | $ 3,194,831 | $ 30,069 | $ (188,843) | 1,556,661 | $ 49,890,985 | $ 203,824 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,444,829 | 110,335,133 | 79,268,111 | 67,038,394 | 731,442 | (9,333,735) | 2,703,738 | 113,962,557 | 1,751,070 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 837,846 | 89,842,189 | 73,190,275 | 9,500,000 | 521,471 | (4,147,965) | 1,449,487 | 149,905,970 | 2,243,150 | — | |||||||||
State Street Equity 500 Index II Portfolio | 1,145,732 | 395,014,109 | 183,982,805 | 116,934,245 | 40,467,904 | 71,332,207 | 1,328,109 | 573,862,780 | 8,219,011 | 6,546,622 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,358,134 | 390,920,341 | 216,784,268 | 55,646,966 | 8,086,754 | 13,181,553 | 4,664,600 | 573,325,950 | 13,978,234 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,613,762 | 4,613,762 | 350,615,793 | 351,139,420 | — | — | 4,090,135 | 4,090,135 | 1,664 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 2,010,200 | 2,010,200 | 398,003,911 | 383,391,536 | — | — | 16,622,575 | 16,622,575 | 12,194 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 421,641 | 138,184,457 | 90,349,574 | 23,075,000 | 7,438,504 | (16,148,936) | 622,012 | 196,748,599 | 5,773,407 | 20,976,463 | |||||||||
Total | $1,130,920,191 | $1,445,439,327 | $1,009,920,392 | $57,276,144 | $ 54,694,281 | $1,678,409,551 | $32,182,554 | $27,523,085 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.6% (a) | ||||||
DOMESTIC EQUITY — 48.7% | ||||||
State Street Equity 500 Index II Portfolio | 1,140,338 | $ 492,728,775 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 615,715 | 194,756,886 | ||||
687,485,661 | ||||||
DOMESTIC FIXED INCOME — 13.7% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,304,458 | 41,807,879 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,268,591 | 95,621,111 | ||||
State Street Aggregate Bond Index Portfolio | 540,191 | 55,866,529 | ||||
193,295,519 | ||||||
INTERNATIONAL EQUITY — 36.2% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,155,971 | 510,810,442 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,189,914,098) | 1,391,591,622 | |||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 4,534,188 | 4,534,188 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 15,777,902 | $ 15,777,902 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $20,312,090) | $ 20,312,090 | ||||
TOTAL INVESTMENTS — 100.0% (Cost $1,210,226,188) | 1,411,903,712 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%(f) | 321,123 | ||||
NET ASSETS — 100.0% | $ 1,412,224,835 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | Investment of cash collateral for securities loaned. |
(f) | 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 | $1,391,591,622 | $— | $— | $1,391,591,622 | ||||
Short-Term Investments | 20,312,090 | — | — | 20,312,090 | ||||
TOTAL INVESTMENTS | $ 1,411,903,712 | $— | $— | $ 1,411,903,712 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 43,946,109 | $ 1,997,766 | $ 16,039 | $ (156,503) | 1,304,458 | $ 41,807,879 | $ 168,613 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,884,220 | 85,034,849 | 66,139,761 | 49,100,554 | 538,210 | (6,991,155) | 2,268,591 | 95,621,111 | 1,430,108 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 242,177 | 25,968,587 | 33,130,343 | 2,129,999 | 158,277 | (1,260,679) | 540,191 | 55,866,529 | 749,709 | — | |||||||||
State Street Equity 500 Index II Portfolio | 900,809 | 310,571,868 | 176,183,945 | 86,732,362 | 29,811,369 | 62,893,955 | 1,140,338 | 492,728,775 | 7,006,020 | 5,580,449 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,752,509 | 320,419,519 | 206,922,580 | 34,051,165 | 4,734,597 | 12,784,911 | 4,155,971 | 510,810,442 | 12,391,358 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,087,329 | 4,087,329 | 325,400,462 | 324,953,603 | — | — | 4,534,188 | 4,534,188 | 1,496 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 244,899,003 | 229,121,101 | — | — | 15,777,902 | 15,777,902 | 7,381 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 384,176 | 125,905,953 | 96,424,495 | 17,810,001 | 5,466,352 | (15,229,913) | 615,715 | 194,756,886 | 5,692,643 | 20,683,023 | |||||||||
Total | $871,988,105 | $1,193,046,698 | $745,896,551 | $40,724,844 | $ 52,040,616 | $1,411,903,712 | $27,447,328 | $26,263,472 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.3% (a) | ||||||
DOMESTIC EQUITY — 50.8% | ||||||
State Street Equity 500 Index II Portfolio | 832,606 | $ 359,760,570 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 507,681 | 160,584,563 | ||||
520,345,133 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 945,686 | 30,309,236 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,640,811 | 69,160,184 | ||||
99,469,420 | ||||||
INTERNATIONAL EQUITY — 37.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,145,193 | 386,575,636 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $865,060,701) | 1,006,390,189 | |||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 2,931,076 | 2,931,076 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 10,141,201 | $ 10,141,201 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,072,277) | $ 13,072,277 | ||||
TOTAL INVESTMENTS — 99.6% (Cost $878,132,978) | 1,019,462,466 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 4,093,041 | ||||
NET ASSETS — 100.0% | $ 1,023,555,507 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $1,006,390,189 | $— | $— | $1,006,390,189 | ||||
Short-Term Investments | 13,072,277 | — | — | 13,072,277 | ||||
TOTAL INVESTMENTS | $1,019,462,466 | $— | $— | $1,019,462,466 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 31,942,444 | $ 1,527,729 | $ 14,513 | $ (119,992) | 945,686 | $ 30,309,236 | $ 120,124 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,325,876 | 59,836,784 | 48,868,190 | 34,974,100 | (610,589) | (3,960,101) | 1,640,811 | 69,160,184 | 1,018,066 | — | |||||||||
State Street Equity 500 Index II Portfolio | 637,545 | 219,806,474 | 134,660,491 | 60,821,842 | 20,430,849 | 45,684,598 | 832,606 | 359,760,570 | 5,111,108 | 4,071,110 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,997,969 | 232,583,582 | 168,032,777 | 26,271,414 | 3,362,146 | 8,868,545 | 3,145,193 | 386,575,636 | 9,350,213 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,538,129 | 2,538,129 | 230,987,189 | 230,594,242 | — | — | 2,931,076 | 2,931,076 | 1,117 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 27,600 | 27,600 | 94,556,188 | 84,442,587 | — | — | 10,141,201 | 10,141,201 | 10,264 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 297,327 | 97,442,759 | 84,209,017 | 12,390,000 | 4,242,504 | (12,919,717) | 507,681 | 160,584,563 | 4,651,701 | 16,900,976 | |||||||||
Total | $612,235,328 | $793,256,296 | $451,021,914 | $27,439,423 | $ 37,553,333 | $1,019,462,466 | $20,262,593 | $20,972,086 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.6% | ||||||
DOMESTIC EQUITY — 51.0% | ||||||
State Street Equity 500 Index II Portfolio | 524,520 | $ 226,639,712 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 319,656 | 101,110,445 | ||||
327,750,157 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (a) | 594,625 | 19,057,731 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,032,875 | 43,535,681 | ||||
62,593,412 | ||||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,981,242 | 243,514,504 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $559,432,170) | 633,858,073 | |||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) | 2,127,140 | 2,127,140 | ||||
State Street Navigator Securities Lending Portfolio II (d)(e) | 8,502,719 | 8,502,719 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,629,859) | $ 10,629,859 | |||||
TOTAL INVESTMENTS — 100.3% (Cost $570,062,029) | 644,487,932 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (1,938,725) | |||||
NET ASSETS — 100.0% | $ 642,549,207 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(d) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(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 | $633,858,073 | $— | $— | $633,858,073 | ||||
Short-Term Investments | 10,629,859 | — | — | 10,629,859 | ||||
TOTAL INVESTMENTS | $644,487,932 | $— | $— | $644,487,932 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 19,939,318 | $ 809,112 | $ 6,854 | $ (79,329) | 594,625 | $ 19,057,731 | $ 72,933 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 720,811 | 32,530,201 | 31,821,400 | 18,417,380 | (892,427) | (1,506,113) | 1,032,875 | 43,535,681 | 607,878 | — | |||||||||
State Street Equity 500 Index II Portfolio | 346,647 | 119,513,323 | 102,592,578 | 34,485,824 | 12,482,971 | 26,536,664 | 524,520 | 226,639,712 | 5,745,346 | 10,581,203 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,085,984 | 126,419,462 | 123,972,855 | 13,279,410 | 1,942,811 | 4,458,786 | 1,981,242 | 243,514,504 | 5,850,891 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,901,285 | 1,901,285 | 163,104,703 | 162,878,848 | — | — | 2,127,140 | 2,127,140 | — | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 57,228,256 | 48,725,537 | — | — | 8,502,719 | 8,502,719 | 8,277 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 161,610 | 52,964,533 | 60,915,816 | 6,420,000 | 2,579,550 | (8,929,454) | 319,656 | 101,110,445 | 365,716 | 2,547,308 | |||||||||
Total | $333,328,804 | $559,574,926 | $ 285,016,111 | $ 16,119,759 | $20,480,554 | $644,487,932 | $12,651,041 | $ 13,128,511 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.1% (a) | ||||||
DOMESTIC EQUITY — 51.2% | ||||||
State Street Equity 500 Index II Portfolio | 258,309 | $ 111,612,877 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 157,214 | 49,728,397 | ||||
161,341,274 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 292,347 | 9,369,721 | ||||
SPDR Portfolio Long Term Treasury ETF | 508,068 | 21,415,066 | ||||
30,784,787 | ||||||
INTERNATIONAL EQUITY — 38.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 975,611 | 119,912,382 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $281,474,228) | 312,038,443 | |||||
SHORT-TERM INVESTMENT — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) (Cost $1,376,883) | 1,376,883 | 1,376,883 | ||||
TOTAL INVESTMENTS — 99.6% (Cost $282,851,111) | 313,415,326 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 1,399,736 | |||||
NET ASSETS — 100.0% | $ 314,815,062 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $312,038,443 | $— | $— | $312,038,443 | ||||
Short-Term Investment | 1,376,883 | — | — | 1,376,883 | ||||
TOTAL INVESTMENTS | $313,415,326 | $— | $— | $313,415,326 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 9,700,036 | $ 289,571 | $ 2,534 | $ (43,278) | 292,347 | $ 9,369,721 | $ 34,207 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 305,095 | 13,768,937 | 15,464,969 | 6,774,559 | (790,686) | (253,595) | 508,068 | 21,415,066 | 282,459 | — | |||||||||
State Street Equity 500 Index II Portfolio | 146,610 | 50,546,808 | 58,884,511 | 15,554,676 | 5,544,892 | 12,191,342 | 258,309 | 111,612,877 | 1,572,405 | 1,252,455 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 459,410 | 53,479,873 | 68,366,550 | 4,350,276 | 872,063 | 1,544,172 | 975,611 | 119,912,382 | 2,876,366 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 755,775 | 755,775 | 89,293,791 | 88,672,683 | — | — | 1,376,883 | 1,376,883 | 362 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 35,030,422 | 35,030,422 | — | — | — | — | 2,127 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 68,264 | 22,372,292 | 33,322,536 | 2,395,000 | 807,810 | (4,379,241) | 157,214 | 49,728,397 | 1,431,497 | 5,201,039 | |||||||||
Total | $140,923,685 | $310,062,815 | $153,067,187 | $6,436,613 | $ 9,059,400 | $313,415,326 | $6,199,423 | $6,453,494 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 51.5% | ||||||
State Street Equity 500 Index II Portfolio | 35,810 | $ 15,473,312 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 21,792 | 6,893,148 | ||||
22,366,460 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 40,583 | 1,300,685 | ||||
SPDR Portfolio Long Term Treasury ETF | 70,046 | 2,952,439 | ||||
4,253,124 | ||||||
INTERNATIONAL EQUITY — 38.3% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 135,249 | 16,623,402 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $43,073,630) | 43,242,986 | |||||
SHORT-TERM INVESTMENT — 1.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (b)(c) (Cost $540,945) | 540,945 | 540,945 | ||||
TOTAL INVESTMENTS — 100.8% (Cost $43,614,575) | 43,783,931 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | (364,950) | |||||
NET ASSETS — 100.0% | $ 43,418,981 |
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 December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $43,242,986 | $— | $— | $43,242,986 | ||||
Short-Term Investment | 540,945 | — | — | 540,945 | ||||
TOTAL INVESTMENTS | $43,783,931 | $— | $— | $43,783,931 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | $ — | $ 1,363,811 | $ 55,110 | $ 338 | $ (8,354) | 40,583 | $ 1,300,685 | $ 3,400 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 8,004 | 361,220 | 3,864,416 | 1,291,970 | (19,857) | 38,630 | 70,046 | 2,952,439 | 24,500 | — | |||||||||
State Street Equity 500 Index II Portfolio | 3,843 | 1,324,993 | 14,604,298 | 1,777,549 | 353,996 | 967,574 | 35,810 | 15,473,312 | 204,461 | 162,858 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,042 | 1,401,751 | 15,977,652 | 610,558 | 120,862 | (266,305) | 135,249 | 16,623,402 | 374,019 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 48,118 | 48,118 | 22,560,983 | 22,068,156 | — | — | 540,945 | 540,945 | 58 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,784 | 584,792 | 7,345,419 | 269,055 | 73,462 | (841,470) | 21,792 | 6,893,148 | 186,178 | 676,440 | |||||||||
Total | $3,720,874 | $65,716,579 | $26,072,398 | $528,801 | $(109,925) | $43,783,931 | $792,616 | $839,298 |
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* | $638,159,885 | $ 995,745,230 | $1,769,436,428 | $2,048,151,266 | |||
Cash | — | — | — | — | |||
Receivable for investments sold | 11,126,549 | 22,919,789 | 43,635,964 | 49,468,805 | |||
Receivable for fund shares sold | 4,186,226 | 9,414,557 | 16,342,133 | 23,903,635 | |||
Dividends receivable — affiliated issuers | 590 | 1,023 | 161 | 132 | |||
Securities lending income receivable — unaffiliated issuers | 2,453 | — | 3,093 | 47,435 | |||
Securities lending income receivable — affiliated issuers | 46,529 | 41,640 | 45,850 | 40,942 | |||
Receivable from Adviser | 32,781 | 116,193 | 171,748 | 155,332 | |||
Prepaid expenses and other assets | 1,039 | 1,629 | 2,694 | 3,130 | |||
TOTAL ASSETS | 653,556,052 | 1,028,240,061 | 1,829,638,071 | 2,121,770,677 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 4,371,675 | 12,559,763 | 39,569,936 | 4,301,775 | |||
Payable for investments purchased | 11,318,528 | 20,396,414 | 40,992,522 | 47,148,565 | |||
Payable for fund shares repurchased | 1,521,047 | 4,741,752 | 4,705,720 | 6,166,631 | |||
Advisory fee payable | 26,442 | 40,780 | 71,565 | 84,403 | |||
Custodian fees payable | 12,262 | 12,186 | 12,183 | 12,083 | |||
Administration fees payable | 26,852 | 41,167 | 71,889 | 84,697 | |||
Trustees’ fees and expenses payable | 229 | 381 | 533 | 584 | |||
Transfer agent fees payable | 11,800 | 10,198 | 15,455 | 17,258 | |||
Sub-transfer agent fee payable | 158 | 83 | 232 | 245 | |||
Registration and filing fees payable | 5,646 | 4,446 | 7,757 | 9,695 | |||
Professional fees payable | 32,977 | 30,019 | 30,343 | 30,481 | |||
Printing and postage fees payable | 8,590 | 16,557 | 23,478 | 25,241 | |||
Accrued expenses and other liabilities | 46 | 3,794 | 4,886 | 4,225 | |||
TOTAL LIABILITIES | 17,336,252 | 37,857,540 | 85,506,499 | 57,885,883 | |||
NET ASSETS | $636,219,800 | $ 990,382,521 | $1,744,131,572 | $2,063,884,794 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $578,522,760 | $ 868,086,346 | $1,519,999,468 | $1,767,385,325 | |||
Total distributable earnings (loss) | 57,697,040 | 122,296,175 | 224,132,104 | 296,499,469 | |||
NET ASSETS | $636,219,800 | $ 990,382,521 | $1,744,131,572 | $2,063,884,794 | |||
Class I | |||||||
Net Assets | $ 905,948 | $ 3,059,114 | $ 5,300,540 | $ 8,838,025 | |||
Shares Outstanding | 75,421 | 245,983 | 392,717 | 618,439 | |||
Net asset value, offering and redemption price per share | $ 12.01 | $ 12.44 | $ 13.50 | $ 14.29 | |||
Class K | |||||||
Net Assets | $635,313,852 | $ 987,323,407 | $1,738,831,032 | $2,055,046,769 | |||
Shares Outstanding | 52,606,113 | 78,919,696 | 127,830,490 | 143,068,954 | |||
Net asset value, offering and redemption price per share | $ 12.08 | $ 12.51 | $ 13.60 | $ 14.36 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 582,397,259 | 888,007,365 | 1,576,260,242 | 1,793,553,101 | |||
* Includes investments in securities on loan, at value | $ 4,666,446 | $ 12,291,965 | $ 41,415,864 | $ 4,210,860 |
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 | ||||||
$1,852,983,108 | $1,678,409,551 | $ 1,411,903,712 | $1,019,462,466 | $644,487,932 | $313,415,326 | $43,783,931 | ||||||
— | 14,161 | — | 7,626 | — | — | — | ||||||
44,600,000 | 39,517,408 | 33,100,000 | 23,300,000 | 14,550,000 | 7,080,000 | 849,000 | ||||||
24,928,478 | 21,621,255 | 19,234,212 | 16,396,955 | 8,008,434 | 2,333,140 | 227,833 | ||||||
150 | 167 | 125 | 98 | 75 | 169 | 53 | ||||||
1,433 | 224 | 354 | — | — | — | — | ||||||
55,609 | 1,972 | 2,014 | 1,133 | 951 | — | — | ||||||
112,337 | 85,123 | 80,546 | 63,173 | 18,376 | 34,539 | — | ||||||
2,753 | 2,495 | 2,033 | 1,453 | 856 | 393 | 35 | ||||||
1,922,683,868 | 1,739,652,356 | 1,464,322,996 | 1,059,232,904 | 667,066,624 | 322,863,567 | 44,860,852 | ||||||
3,652,721 | 16,622,575 | 15,777,902 | 10,141,201 | 8,502,719 | — | — | ||||||
42,953,988 | 37,284,795 | 31,966,815 | 21,698,888 | 13,772,518 | 6,781,437 | 1,299,243 | ||||||
7,313,161 | 4,773,797 | 4,148,491 | 3,671,913 | 2,113,921 | 1,169,150 | 9,742 | ||||||
75,971 | 68,324 | 57,243 | 41,385 | 25,924 | 12,767 | 77,741 | ||||||
12,015 | 11,994 | 12,011 | 12,019 | 12,080 | 12,069 | 12,163 | ||||||
76,196 | 68,527 | 57,370 | 41,448 | 25,987 | 12,831 | 1,660 | ||||||
505 | 447 | 344 | 234 | 124 | 50 | — | ||||||
19,794 | 19,736 | 21,151 | 21,377 | 20,973 | 21,505 | 3,430 | ||||||
— | — | — | — | 71 | 65 | 331 | ||||||
11,205 | 9,583 | 10,597 | 7,977 | 7,470 | 6,017 | 20,168 | ||||||
30,390 | 30,307 | 30,183 | 30,011 | 29,841 | 29,930 | 16,383 | ||||||
21,845 | 19,264 | 15,029 | 10,347 | 5,789 | 2,684 | 1,010 | ||||||
3,025 | 2,015 | 1,025 | 597 | — | — | — | ||||||
54,170,816 | 58,911,364 | 52,098,161 | 35,677,397 | 24,517,417 | 8,048,505 | 1,441,871 | ||||||
$1,868,513,052 | $1,680,740,992 | $1,412,224,835 | $1,023,555,507 | $642,549,207 | $314,815,062 | $43,418,981 | ||||||
$1,577,088,691 | $1,400,310,742 | $1,172,445,469 | $ 854,206,890 | $549,792,754 | $276,161,745 | $42,197,732 | ||||||
291,424,361 | 280,430,250 | 239,779,366 | 169,348,617 | 92,756,453 | 38,653,317 | 1,221,249 | ||||||
$1,868,513,052 | $1,680,740,992 | $1,412,224,835 | $1,023,555,507 | $642,549,207 | $314,815,062 | $43,418,981 | ||||||
$ 4,878,388 | $ 2,990,915 | $ 2,357,317 | $ 1,596,262 | $ 714,920 | $ 633,184 | $ 178,299 | ||||||
326,145 | 196,853 | 149,983 | 102,166 | 44,729 | 39,421 | 11,711 | ||||||
$ 14.96 | $ 15.19 | $ 15.72 | $ 15.62 | $ 15.98 | $ 16.06 | $ 15.22 | ||||||
$1,863,634,664 | $1,677,750,077 | $1,409,867,518 | $1,021,959,245 | $641,834,287 | $314,181,878 | $43,240,682 | ||||||
123,510,031 | 109,209,943 | 89,271,946 | 64,811,893 | 39,967,585 | 19,504,666 | 2,839,617 | ||||||
$ 15.09 | $ 15.36 | $ 15.79 | $ 15.77 | $ 16.06 | $ 16.11 | $ 15.23 | ||||||
1,604,649,691 | 1,439,996,544 | 1,210,226,188 | 878,132,978 | 570,062,029 | 282,851,111 | 43,614,575 | ||||||
$ 3,580,516 | $ 16,291,290 | $ 15,465,950 | $ 9,924,443 | $ 8,320,981 | $ — | $ — |
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 | $13,940,143 | $ 23,011,244 | $ 38,871,396 | $ 41,614,425 | |||
Unaffiliated securities lending income | 57,376 | 4,653 | 44,778 | 92,840 | |||
Affiliated securities lending income | 226,816 | 393,767 | 555,285 | 473,320 | |||
TOTAL INVESTMENT INCOME (LOSS) | 14,224,335 | 23,409,664 | 39,471,459 | 42,180,585 | |||
EXPENSES | |||||||
Advisory fee | 301,176 | 469,961 | 775,356 | 893,879 | |||
Administration fees | 301,176 | 469,961 | 775,356 | 893,878 | |||
Sub-transfer agent fee | |||||||
Class I | 34,159 | 64,236 | 101,422 | 114,836 | |||
Custodian fees | 58,810 | 49,523 | 49,259 | 48,838 | |||
Trustees’ fees and expenses | 26,183 | 29,207 | 33,724 | 35,361 | |||
Transfer agent fees | 122,010 | 118,092 | 169,199 | 193,013 | |||
Registration and filing fees | 52,635 | 44,644 | 50,092 | 51,169 | |||
Professional fees | 40,574 | 39,927 | 44,470 | 46,335 | |||
Printing and postage fees | 25,104 | 30,806 | 48,717 | 54,347 | |||
Insurance expense | 1,812 | 2,911 | 4,450 | 5,029 | |||
Miscellaneous expenses | 1,035 | — | — | — | |||
TOTAL EXPENSES | 964,674 | 1,319,268 | 2,052,045 | 2,336,685 | |||
Expenses waived/reimbursed by the Adviser | (1,084,717) | (1,419,642) | (1,922,610) | (1,731,460) | |||
NET EXPENSES | (120,043) | (100,374) | 129,435 | 605,225 | |||
NET INVESTMENT INCOME (LOSS) | $14,344,378 | $23,510,038 | $ 39,342,024 | $ 41,575,360 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 30,166,388 | 43,921,107 | 68,624,793 | 77,633,093 | |||
Capital gain distributions — affiliated issuers | 3,141,360 | 6,363,583 | 15,808,961 | 24,350,779 | |||
Net realized gain (loss) | 33,307,748 | 50,284,690 | 84,433,754 | 101,983,872 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | (2,255,840) | 11,720,143 | 34,625,967 | 45,361,533 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 31,051,908 | 62,004,833 | 119,059,721 | 147,345,405 | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $45,396,286 | $85,514,871 | $158,401,745 | $188,920,765 |
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 | ||||||
$ 35,885,301 | $ 32,170,360 | $ 27,439,947 | $ 20,252,329 | $12,642,764 | $ 6,197,296 | $ 792,616 | ||||||
6,707 | 265 | 380 | — | 25 | 39 | — | ||||||
280,974 | 12,194 | 7,381 | 10,264 | 8,277 | 2,127 | — | ||||||
36,172,982 | 32,182,819 | 27,447,708 | 20,262,593 | 12,651,066 | 6,199,462 | 792,616 | ||||||
795,783 | 716,612 | 585,911 | 416,862 | 248,221 | 114,697 | 9,683 | ||||||
795,783 | 716,612 | 585,910 | 416,862 | 248,221 | 114,699 | 9,683 | ||||||
82,208 | 83,349 | 39,061 | 39,547 | 15,090 | 5,806 | 318 | ||||||
48,446 | 48,352 | 48,367 | 48,410 | 48,514 | 48,517 | 48,754 | ||||||
33,648 | 32,396 | 30,034 | 27,368 | 24,606 | 22,601 | 21,069 | ||||||
218,724 | 217,762 | 232,953 | 236,272 | 231,485 | 240,080 | 71,787 | ||||||
58,768 | 55,284 | 59,758 | 49,895 | 49,940 | 43,811 | 56,296 | ||||||
44,899 | 43,748 | 41,784 | 39,287 | 35,729 | 33,044 | 19,978 | ||||||
51,087 | 45,025 | 40,224 | 30,153 | 20,605 | 12,997 | 2,489 | ||||||
4,382 | 3,939 | 3,150 | 2,196 | 1,245 | 549 | 37 | ||||||
— | — | — | — | 467 | 1,282 | 1,417 | ||||||
2,133,728 | 1,963,079 | 1,667,152 | 1,306,852 | 924,123 | 638,083 | 241,511 | ||||||
(1,372,153) | (1,133,921) | (1,023,593) | (841,507) | (655,351) | (515,056) | (232,052) | ||||||
761,575 | 829,158 | 643,559 | 465,345 | 268,772 | 123,027 | 9,459 | ||||||
$ 35,411,407 | $ 31,353,661 | $ 26,804,149 | $ 19,797,248 | $12,382,294 | $ 6,076,435 | $ 783,157 | ||||||
64,663,785 | 57,276,144 | 40,724,844 | 27,439,423 | 16,119,759 | 6,436,613 | 528,801 | ||||||
26,121,373 | 27,523,085 | 26,263,472 | 20,972,086 | 13,128,511 | 6,453,494 | 839,298 | ||||||
90,785,158 | 84,799,229 | 66,988,316 | 48,411,509 | 29,248,270 | 12,890,107 | 1,368,099 | ||||||
52,426,661 | 54,694,281 | 52,040,616 | 37,553,333 | 20,480,554 | 9,059,400 | (109,925) | ||||||
143,211,819 | 139,493,510 | 119,028,932 | 85,964,842 | 49,728,824 | 21,949,507 | 1,258,174 | ||||||
$178,623,226 | $170,847,171 | $145,833,081 | $105,762,090 | $ 62,111,118 | $28,025,942 | $2,041,331 |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 14,344,378 | $ 9,157,193 | $ 23,510,038 | $ 16,300,917 | |||
Net realized gain (loss) | 33,307,748 | 4,862,403 | 50,284,690 | 14,052,930 | |||
Net change in unrealized appreciation/depreciation | (2,255,840) | 53,493,534 | 11,720,143 | 51,209,116 | |||
Net increase (decrease) in net assets resulting from operations | 45,396,286 | 67,513,130 | 85,514,871 | 81,562,963 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (108,209) | (345,325) | (196,470) | (1,577,020) | |||
Class K | (40,905,088) | (7,847,441) | (65,052,884) | (31,592,022) | |||
Total distributions to shareholders | (41,013,297) | (8,192,766) | (65,249,354) | (33,169,042) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 4,575,210 | 22,072,370 | 9,501,159 | 39,357,657 | |||
Proceeds from shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 9) | — | 66,884 | — | — | |||
Reinvestment of distributions | 105,000 | 344,568 | 196,470 | 1,577,020 | |||
Cost of shares redeemed | (26,707,898) | (1,368,139) | (50,504,513) | (2,692,400) | |||
Net increase (decrease) from capital share transactions | (22,027,688) | 21,115,683 | (40,806,884) | 38,242,277 | |||
Class K | |||||||
Proceeds from sale of shares sold | 298,463,023 | 171,166,360 | 323,139,305 | 211,425,786 | |||
Proceeds from shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 9) | — | 119,576,117 | — | — | |||
Reinvestment of distributions | 40,808,319 | 7,827,465 | 64,919,140 | 31,548,475 | |||
Cost of shares redeemed | (198,345,752) | (85,211,638) | (239,254,893) | (252,638,819) | |||
Net increase (decrease) from capital share transactions | 140,925,590 | 213,358,304 | 148,803,552 | (9,664,558) | |||
Net increase (decrease) in net assets from beneficial interest transactions | 118,897,902 | 234,473,987 | 107,996,668 | 28,577,719 | |||
Net increase (decrease) in net assets during the period | 123,280,891 | 293,794,351 | 128,262,185 | 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 | $ 636,219,800 | $512,938,909 | $ 990,382,521 | $ 862,120,336 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 368,643 | 1,893,325 | 742,684 | 3,279,118 | |||
Shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 9) | — | 6,596 | — | — | |||
Reinvestment of distributions | 8,743 | 28,762 | 15,806 | 129,264 | |||
Shares redeemed | (2,119,876) | (117,871) | (3,882,844) | (223,781) | |||
Net increase (decrease) from share transactions | (1,742,490) | 1,810,812 | (3,124,354) | 3,184,601 | |||
Class K | |||||||
Shares sold | 24,123,714 | 16,407,034 | 25,262,918 | 18,436,114 | |||
Shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 9) | — | 11,815,879 | — | — | |||
Reinvestment of distributions | 3,380,971 | 654,470 | 5,189,380 | 2,583,823 | |||
Shares redeemed | (15,915,495) | (7,713,029) | (18,658,659) | (22,606,597) | |||
Net increase (decrease) from share transactions | 11,589,190 | 21,164,354 | 11,793,639 | (1,586,660) |
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | |||||
$ 39,342,024 | $ 23,743,388 | $ 41,575,360 | $ 24,501,256 | $ 35,411,407 | $ 20,124,275 | |||||
84,433,754 | 32,260,174 | 101,983,872 | 40,672,761 | 90,785,158 | 29,700,797 | |||||
34,625,967 | 90,346,412 | 45,361,533 | 128,400,822 | 52,426,661 | 127,686,302 | |||||
158,401,745 | 146,349,974 | 188,920,765 | 193,574,839 | 178,623,226 | 177,511,374 | |||||
(321,110) | (2,700,654) | (516,061) | (3,268,395) | (251,103) | (2,145,820) | |||||
(107,647,130) | (55,486,221) | (122,444,951) | (64,236,287) | (98,284,628) | (52,763,736) | |||||
(107,968,240) | (58,186,875) | (122,961,012) | (67,504,682) | (98,535,731) | (54,909,556) | |||||
31,569,633 | 56,424,959 | 29,594,899 | 63,258,080 | 18,340,891 | 45,493,926 | |||||
— | — | — | — | — | — | |||||
321,110 | 2,700,654 | 516,061 | 3,268,395 | 251,102 | 2,145,821 | |||||
(91,417,140) | (2,712,029) | (97,216,655) | (1,700,614) | (68,018,313) | (1,481,320) | |||||
(59,526,397) | 56,413,584 | (67,105,695) | 64,825,861 | (49,426,320) | 46,158,427 | |||||
640,272,702 | 329,308,524 | 775,116,403 | 358,927,216 | 679,606,067 | 319,670,456 | |||||
— | — | — | — | — | — | |||||
107,485,708 | 55,400,772 | 122,031,640 | 64,052,106 | 97,888,598 | 52,565,459 | |||||
(282,626,779) | (278,400,579) | (269,108,353) | (252,053,876) | (204,985,238) | (184,215,092) | |||||
465,131,631 | 106,308,717 | 628,039,690 | 170,925,446 | 572,509,427 | 188,020,823 | |||||
405,605,234 | 162,722,301 | 560,933,995 | 235,751,307 | 523,083,107 | 234,179,250 | |||||
456,038,739 | 250,885,400 | 626,893,748 | 361,821,464 | 603,170,602 | 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 | |||||
$1,744,131,572 | $1,288,092,833 | $2,063,884,794 | $1,436,991,046 | $1,868,513,052 | $1,265,342,450 | |||||
2,293,341 | 4,415,804 | 2,048,544 | 4,752,369 | 1,218,223 | 3,360,339 | |||||
— | — | — | — | — | — | |||||
23,804 | 206,947 | 36,113 | 238,918 | 16,785 | 151,648 | |||||
(6,502,116) | (214,398) | (6,558,848) | (130,145) | (4,406,226) | (109,770) | |||||
(4,184,971) | 4,408,353 | (4,474,191) | 4,861,142 | (3,171,218) | 3,402,217 | |||||
46,465,778 | 27,204,784 | 53,393,276 | 28,912,861 | 44,956,504 | 25,184,188 | |||||
— | — | — | — | — | — | |||||
7,903,362 | 4,238,774 | 8,498,025 | 4,671,926 | 6,486,985 | 3,701,793 | |||||
(20,395,597) | (24,262,408) | (18,483,085) | (21,285,976) | (13,505,914) | (15,506,619) | |||||
33,973,543 | 7,181,150 | 43,408,216 | 12,298,811 | 37,937,575 | 13,379,362 |
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | ||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 31,353,661 | $ 16,995,817 | $ 26,804,149 | $ 12,854,598 | |||
Net realized gain (loss) | 84,799,229 | 29,813,326 | 66,988,316 | 18,590,135 | |||
Net change in unrealized appreciation/depreciation | 54,694,281 | 121,835,590 | 52,040,616 | 106,296,339 | |||
Net increase (decrease) in net assets resulting from operations | 170,847,171 | 168,644,733 | 145,833,081 | 137,741,072 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (158,215) | (2,254,749) | (112,962) | (892,914) | |||
Class K | (90,662,530) | (47,647,713) | (67,714,681) | (32,999,187) | |||
Total distributions to shareholders | (90,820,745) | (49,902,462) | (67,827,643) | (33,892,101) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 12,879,849 | 46,742,899 | 8,985,590 | 21,016,069 | |||
Reinvestment of distributions | 158,215 | 2,254,749 | 95,025 | 892,915 | |||
Cost of shares redeemed | (66,394,108) | (1,703,229) | (32,410,780) | (1,210,540) | |||
Net increase (decrease) from capital share transactions | (53,356,044) | 47,294,419 | (23,330,165) | 20,698,444 | |||
Class K | |||||||
Proceeds from sale of shares sold | 627,103,188 | 278,923,160 | 576,111,860 | 242,253,293 | |||
Reinvestment of distributions | 90,327,195 | 47,515,072 | 67,508,650 | 32,902,700 | |||
Cost of shares redeemed | (191,117,290) | (145,091,691) | (156,483,523) | (117,740,815) | |||
Net increase (decrease) from capital share transactions | 526,313,093 | 181,346,541 | 487,136,987 | 157,415,178 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 472,957,049 | 228,640,960 | 463,806,822 | 178,113,622 | |||
Net increase (decrease) in net assets during the period | 552,983,475 | 347,383,231 | 541,812,260 | 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 | $1,680,740,992 | $1,127,757,517 | $1,412,224,835 | $ 870,412,575 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 839,017 | 3,418,786 | 573,820 | 1,532,464 | |||
Reinvestment of distributions | 10,409 | 157,235 | 6,045 | 61,284 | |||
Shares redeemed | (4,214,620) | (124,559) | (2,011,432) | (87,798) | |||
Net increase (decrease) from share transactions | (3,365,194) | 3,451,462 | (1,431,567) | 1,505,950 | |||
Class K | |||||||
Shares sold | 40,764,812 | 22,215,701 | 36,788,078 | 19,592,095 | |||
Reinvestment of distributions | 5,880,677 | 3,311,155 | 4,272,699 | 2,258,250 | |||
Shares redeemed | (12,399,522) | (12,114,713) | (9,917,543) | (9,911,551) | |||
Net increase (decrease) from share transactions | 34,245,967 | 13,412,143 | 31,143,234 | 11,938,794 |
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/21 | Year Ended 12/31/20 | |||||
$ 19,797,248 | $ 8,949,996 | $ 12,382,294 | $ 4,852,612 | $ 6,076,435 | $ 2,028,581 | |||||
48,411,509 | 12,820,553 | 29,248,270 | 6,412,119 | 12,890,107 | 2,347,811 | |||||
37,553,333 | 75,443,786 | 20,480,554 | 40,048,846 | 9,059,400 | 16,728,742 | |||||
105,762,090 | 97,214,335 | 62,111,118 | 51,313,577 | 28,025,942 | 21,105,134 | |||||
(73,935) | (948,192) | (30,065) | (261,233) | (24,738) | (67,966) | |||||
(48,748,642) | (23,295,939) | (28,019,835) | (9,529,649) | (12,726,460) | (2,725,775) | |||||
(48,822,577) | (24,244,131) | (28,049,900) | (9,790,882) | (12,751,198) | (2,793,741) | |||||
5,044,364 | 22,225,844 | 3,022,394 | 8,179,430 | 1,548,758 | 3,061,050 | |||||
73,935 | 948,192 | 27,968 | 259,902 | 19,386 | 65,517 | |||||
(30,310,706) | (1,090,661) | (12,345,103) | (372,802) | (4,826,851) | (125,458) | |||||
(25,192,407) | 22,083,375 | (9,294,741) | 8,066,530 | (3,258,707) | 3,001,109 | |||||
453,103,035 | 197,996,802 | 336,585,122 | 134,127,162 | 191,745,420 | 76,516,272 | |||||
48,538,463 | 23,204,210 | 27,895,117 | 9,502,968 | 12,681,434 | 2,713,511 | |||||
(121,404,950) | (85,798,218) | (79,612,262) | (56,144,533) | (42,477,673) | (34,228,340) | |||||
380,236,548 | 135,402,794 | 284,867,977 | 87,485,597 | 161,949,181 | 45,001,443 | |||||
355,044,141 | 157,486,169 | 275,573,236 | 95,552,127 | 158,690,474 | 48,002,552 | |||||
411,983,654 | 230,456,373 | 309,634,454 | 137,074,822 | 173,965,218 | 66,313,945 | |||||
611,571,853 | 381,115,480 | 332,914,753 | 195,839,931 | 140,849,844 | 74,535,899 | |||||
$1,023,555,507 | $ 611,571,853 | $642,549,207 | $332,914,753 | $314,815,062 | $140,849,844 | |||||
326,889 | 1,636,647 | 192,568 | 597,938 | 99,197 | 227,030 | |||||
4,730 | 65,483 | 1,749 | 17,656 | 1,206 | 4,460 | |||||
(1,887,454) | (79,668) | (756,819) | (27,401) | (296,327) | (9,164) | |||||
(1,555,835) | 1,622,462 | (562,502) | 588,193 | (195,924) | 222,326 | |||||
28,923,614 | 15,939,478 | 21,161,194 | 10,621,756 | 12,026,643 | 6,170,154 | |||||
3,077,899 | 1,601,395 | 1,736,932 | 646,901 | 787,178 | 184,718 | |||||
(7,731,036) | (7,203,634) | (4,969,215) | (4,681,287) | (2,659,102) | (2,940,767) | |||||
24,270,477 | 10,337,239 | 17,928,911 | 6,587,370 | 10,154,719 | 3,414,105 |
State Street Target Retirement 2065 Fund | |||
Year Ended 12/31/21 | For the Period 3/30/20*- 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 783,157 | $ 50,368 | |
Net realized gain (loss) | 1,368,099 | 179,636 | |
Net change in unrealized appreciation/depreciation | (109,925) | 279,281 | |
Net increase (decrease) in net assets resulting from operations | 2,041,331 | 509,285 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | (4,641) | (6,273) | |
Class K | (1,160,629) | (157,824) | |
Total distributions to shareholders | (1,165,270) | (164,097) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 26,662 | 100,000 | |
Reinvestment of distributions | 645 | — | |
Cost of shares redeemed | (1,537) | — | |
Net increase (decrease) from capital share transactions | 25,770 | 100,000 | |
Class K | |||
Proceeds from sale of shares sold | 42,293,713 | 3,894,813 | |
Reinvestment of distributions | 1,156,326 | 151,366 | |
Cost of shares redeemed | (4,627,119) | (797,137) | |
Net increase (decrease) from capital share transactions | 38,822,920 | 3,249,042 | |
Net increase (decrease) in net assets from beneficial interest transactions | 38,848,690 | 3,349,042 | |
Net increase (decrease) in net assets during the period | 39,724,751 | 3,694,230 | |
Net assets at beginning of period | 3,694,230 | — | |
NET ASSETS AT END OF PERIOD | $43,418,981 | $3,694,230 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 1,769 | 10,000 | |
Reinvestment of distributions | 42 | — | |
Shares redeemed | (100) | — | |
Net increase (decrease) from share transactions | 1,711 | 10,000 | |
Class K | |||
Shares sold | 2,812,786 | 311,069 | |
Reinvestment of distributions | 75,924 | 11,024 | |
Shares redeemed | (308,959) | (62,227) | |
Net increase (decrease) from share transactions | 2,579,751 | 259,866 |
* | For the period March 30, 2020 (commencement of investment operations) through December 31, 2020. (See Note 1) |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 11.99 | $ 11.05 | $10.02 | $10.73 | $10.12 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.17 | 0.38 | 0.29 | 0.28 | 0.19 | ||||
Net realized and unrealized gain (loss) | 0.65 | 0.75 | 1.11 | (0.55) | 0.71 | ||||
Total from investment operations | 0.82 | 1.13 | 1.40 | (0.27) | 0.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.18) | (0.31) | (0.29) | (0.20) | ||||
Net realized gains | (0.52) | (0.01) | (0.06) | (0.15) | (0.09) | ||||
Total distributions | (0.80) | (0.19) | (0.37) | (0.44) | (0.29) | ||||
Net asset value, end of period | $12.01 | $ 11.99 | $ 11.05 | $10.02 | $10.73 | ||||
Total return (b) | 6.87% | 10.25% | 13.98% | (2.50)%(c) | 8.92% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 906 | $21,801 | $ 78 | $ 108 | $ 139 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.42% | 0.24% | 0.24% | 0.25% | 0.36% | ||||
Net expenses (d) | 0.24% | 0.02% | (0.03)%(e) | (0.03)%(e) | (0.05)%(e) | ||||
Net investment income (loss) | 1.36% | 3.26% | 2.64% | 2.62% | 1.78% | ||||
Portfolio turnover rate | 33% | 24% | 26% | 53% | 25% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.30 | 0.26 | 0.32 | 0.29 | 0.28 | ||||
Net realized and unrealized gain (loss) | 0.64 | 0.87 | 1.08 | (0.56) | 0.60 | ||||
Total from investment operations | 0.94 | 1.13 | 1.40 | (0.27) | 0.88 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.31) | (0.18) | (0.31) | (0.29) | (0.20) | ||||
Net realized gains | (0.52) | (0.01) | (0.06) | (0.15) | (0.09) | ||||
Total distributions | (0.83) | (0.19) | (0.37) | (0.44) | (0.29) | ||||
Net asset value, end of period | $ 12.08 | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | ||||
Total return (b) | 7.92% | 10.29% | 14.00% | (2.50)%(c) | 8.83% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $635,314 | $491,138 | $219,066 | $200,840 | $135,420 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.19% | 0.24% | 0.24% | 0.36% | ||||
Net expenses (d) | (0.03)%(e) | (0.03)%(e) | (0.03)%(e) | (0.04)%(e) | (0.02)%(e) | ||||
Net investment income (loss) | 2.40% | 2.29% | 2.92% | 2.69% | 2.61% | ||||
Portfolio turnover rate | 33% | 24% | 26% | 53% | 25% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $12.22 | $ 11.39 | $10.29 | $ 11.34 | $10.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.17 | 0.40 | 0.32 | 0.43 | 0.25 | ||||
Net realized and unrealized gain (loss) | 0.90 | 0.92 | 1.48 | (0.90) | 1.13 | ||||
Total from investment operations | 1.07 | 1.32 | 1.80 | (0.47) | 1.38 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.25) | (0.33) | (0.29) | (0.23) | ||||
Net realized gains | (0.57) | (0.24) | (0.37) | (0.29) | (0.08) | ||||
Total distributions | (0.85) | (0.49) | (0.70) | (0.58) | (0.31) | ||||
Net asset value, end of period | $12.44 | $ 12.22 | $ 11.39 | $10.29 | $ 11.34 | ||||
Total return (b) | 8.79% | 11.57% | 17.53% | (4.17)%(c) | 13.38% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,059 | $41,182 | $ 2,116 | $1,798 | $ 680 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.40% | 0.19% | 0.15% | 0.16% | 0.15% | ||||
Net expenses (d) | 0.24% | 0.03% | 0.01% | 0.02% | 0.01% | ||||
Net investment income (loss) | 1.36% | 3.39% | 2.83% | 3.85% | 2.29% | ||||
Portfolio turnover rate | 27% | 37% | 21% | 22% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (4.17)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.33 | 0.24 | 0.33 | 0.29 | 0.29 | ||||
Net realized and unrealized gain (loss) | 0.84 | 1.08 | 1.48 | (0.76) | 1.08 | ||||
Total from investment operations | 1.17 | 1.32 | 1.81 | (0.47) | 1.37 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.25) | (0.33) | (0.29) | (0.23) | ||||
Net realized gains | (0.57) | (0.24) | (0.37) | (0.29) | (0.08) | ||||
Total distributions | (0.89) | (0.49) | (0.70) | (0.58) | (0.31) | ||||
Net asset value, end of period | $ 12.51 | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | ||||
Total return (b) | 9.55% | 11.68% | 17.55% | (4.16)%(c) | 13.38% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $987,323 | $820,938 | $783,033 | $847,142 | $775,643 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.13% | 0.14% | 0.14% | 0.15% | 0.15% | ||||
Net expenses (d) | (0.02)%(e) | (0.03)%(e) | (0.01)%(e) | 0.01% | 0.02% | ||||
Net investment income (loss) | 2.53% | 2.13% | 2.88% | 2.60% | 2.67% | ||||
Portfolio turnover rate | 27% | 37% | 21% | 22% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (4.16)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $13.06 | $ 11.92 | $10.53 | $ 11.74 | $10.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.15 | 0.50 | 0.37 | 0.23 | 0.26 | ||||
Net realized and unrealized gain (loss) | 1.16 | 1.26 | 1.81 | (0.87) | 1.45 | ||||
Total from investment operations | 1.31 | 1.76 | 2.18 | (0.64) | 1.71 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.25) | (0.33) | (0.29) | (0.23) | ||||
Net realized gains | (0.58) | (0.37) | (0.46) | (0.28) | (0.07) | ||||
Total distributions | (0.87) | (0.62) | (0.79) | (0.57) | (0.30) | ||||
Net asset value, end of period | $13.50 | $ 13.06 | $ 11.92 | $10.53 | $ 11.74 | ||||
Total return (b) | 10.03% | 14.66% | 20.76% | (5.48)%(c) | 16.54% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $5,301 | $59,792 | $2,019 | $1,155 | $2,232 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.38% | 0.19% | 0.15% | 0.15% | 0.15% | ||||
Net expenses (d) | 0.25% | 0.04% | 0.02% | 0.05% | 0.03% | ||||
Net investment income (loss) | 1.11% | 3.96% | 3.10% | 1.98% | 2.36% | ||||
Portfolio turnover rate | 24% | 39% | 27% | 15% | 10% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (5.48)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.36 | 0.27 | 0.33 | 0.31 | 0.30 | ||||
Net realized and unrealized gain (loss) | 1.06 | 1.50 | 1.85 | (0.94) | 1.41 | ||||
Total from investment operations | 1.42 | 1.77 | 2.18 | (0.63) | 1.71 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.25) | (0.33) | (0.29) | (0.23) | ||||
Net realized gains | (0.58) | (0.37) | (0.46) | (0.28) | (0.07) | ||||
Total distributions | (0.91) | (0.62) | (0.79) | (0.57) | (0.30) | ||||
Net asset value, end of period | $ 13.60 | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | ||||
Total return (b) | 10.81% | 14.84% | 20.63% | (5.38)%(c) | 16.52% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,738,831 | $1,228,301 | $1,035,188 | $1,007,169 | $830,080 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.13% | 0.14% | 0.14% | 0.14% | 0.15% | ||||
Net expenses (d) | 0.00%(e) | (0.01)%(f) | 0.01% | 0.04% | 0.04% | ||||
Net investment income (loss) | 2.57% | 2.24% | 2.83% | 2.63% | 2.63% | ||||
Portfolio turnover rate | 24% | 39% | 27% | 15% | 10% |
(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 of less than one year are 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) | Amount is less than 0.005%. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $13.70 | $ 12.26 | $10.67 | $ 11.98 | $10.37 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.11 | 0.53 | 0.38 | 0.29 | 0.25 | ||||
Net realized and unrealized gain (loss) | 1.36 | 1.58 | 2.03 | (1.05) | 1.64 | ||||
Total from investment operations | 1.47 | 2.11 | 2.41 | (0.76) | 1.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.27) | (0.24) | (0.32) | (0.27) | (0.23) | ||||
Net realized gains | (0.61) | (0.43) | (0.50) | (0.28) | (0.05) | ||||
Total distributions | (0.88) | (0.67) | (0.82) | (0.55) | (0.28) | ||||
Net asset value, end of period | $14.29 | $ 13.70 | $12.26 | $10.67 | $ 11.98 | ||||
Total return (b) | 10.76% | 17.26% | 22.55% | (6.24)% | 18.27% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $8,838 | $69,750 | $2,837 | $1,768 | $1,716 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.37% | 0.19% | 0.15% | 0.15% | 0.15% | ||||
Net expenses (c) | 0.27% | 0.08% | 0.04% | 0.07% | 0.06% | ||||
Net investment income (loss) | 0.74% | 4.00% | 3.12% | 2.44% | 2.25% | ||||
Portfolio turnover rate | 22% | 27% | 30% | 12% | 7% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.35 | 0.27 | 0.33 | 0.29 | 0.28 | ||||
Net realized and unrealized gain (loss) | 1.21 | 1.86 | 2.07 | (1.04) | 1.62 | ||||
Total from investment operations | 1.56 | 2.13 | 2.40 | (0.75) | 1.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.31) | (0.25) | (0.32) | (0.28) | (0.23) | ||||
Net realized gains | (0.61) | (0.43) | (0.50) | (0.28) | (0.05) | ||||
Total distributions | (0.92) | (0.68) | (0.82) | (0.56) | (0.28) | ||||
Net asset value, end of period | $ 14.36 | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | ||||
Total return (b) | 11.37% | 17.24% | 22.52% | (6.22)% | 18.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,055,047 | $1,367,241 | $1,072,332 | $960,339 | $778,969 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.12% | 0.14% | 0.14% | 0.14% | 0.15% | ||||
Net expenses (c) | 0.03% | 0.03% | 0.03% | 0.06% | 0.06% | ||||
Net investment income (loss) | 2.37% | 2.13% | 2.75% | 2.43% | 2.46% | ||||
Portfolio turnover rate | 22% | 27% | 30% | 12% | 7% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.16 | $ 12.54 | $10.80 | $12.18 | $10.43 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.56 | 0.36 | 0.30 | 0.13 | ||||
Net realized and unrealized gain (loss) | 1.55 | 1.71 | 2.19 | (1.14) | 1.91 | ||||
Total from investment operations | 1.61 | 2.27 | 2.55 | (0.84) | 2.04 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.26) | (0.24) | (0.30) | (0.26) | (0.22) | ||||
Net realized gains | (0.55) | (0.41) | (0.51) | (0.28) | (0.07) | ||||
Total distributions | (0.81) | (0.65) | (0.81) | (0.54) | (0.29) | ||||
Net asset value, end of period | $14.96 | $ 14.16 | $12.54 | $10.80 | $12.18 | ||||
Total return (b) | 11.38% | 18.05% | 23.62% | (6.88)%(c) | 19.56% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,878 | $49,518 | $1,193 | $ 442 | $ 371 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.38% | 0.20% | 0.21% | 0.16% | 0.17% | ||||
Net expenses (d) | 0.29% | 0.10% | 0.12% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.41% | 4.14% | 2.95% | 2.49% | 1.10% | ||||
Portfolio turnover rate | 19% | 22% | 28% | 13% | 6% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (6.88)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.34 | 0.26 | 0.32 | 0.28 | 0.27 | ||||
Net realized and unrealized gain (loss) | 1.39 | 2.03 | 2.24 | (1.12) | 1.79 | ||||
Total from investment operations | 1.73 | 2.29 | 2.56 | (0.84) | 2.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.24) | (0.31) | (0.26) | (0.22) | ||||
Net realized gains | (0.55) | (0.41) | (0.51) | (0.28) | (0.07) | ||||
Total distributions | (0.85) | (0.65) | (0.82) | (0.54) | (0.29) | ||||
Net asset value, end of period | $ 15.09 | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | ||||
Total return (b) | 12.18% | 18.19% | 23.61% | (6.85)%(c) | 19.73% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,863,635 | $1,215,824 | $907,369 | $796,187 | $584,717 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.13% | 0.14% | 0.15% | 0.15% | 0.17% | ||||
Net expenses (d) | 0.04% | 0.04% | 0.05% | 0.07% | 0.08% | ||||
Net investment income (loss) | 2.26% | 2.03% | 2.60% | 2.30% | 2.34% | ||||
Portfolio turnover rate | 19% | 22% | 28% | 13% | 6% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (6.85)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.35 | $ 12.65 | $10.79 | $12.26 | $10.39 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.02 | 0.58 | 0.29 | 0.31 | 0.24 | ||||
Net realized and unrealized gain (loss) | 1.67 | 1.79 | 2.37 | (1.23) | 1.91 | ||||
Total from investment operations | 1.69 | 2.37 | 2.66 | (0.92) | 2.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.26) | (0.23) | (0.30) | (0.26) | (0.23) | ||||
Net realized gains | (0.59) | (0.44) | (0.50) | (0.29) | (0.05) | ||||
Total distributions | (0.85) | (0.67) | (0.80) | (0.55) | (0.28) | ||||
Net asset value, end of period | $15.19 | $ 14.35 | $12.65 | $10.79 | $12.26 | ||||
Total return (b) | 11.75% | 18.70% | 24.64% | (7.46)%(c) | 20.59% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,991 | $51,116 | $1,398 | $1,247 | $ 912 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39% | 0.20% | 0.17% | 0.19% | 0.17% | ||||
Net expenses (d) | 0.32% | 0.10% | 0.07% | 0.09% | 0.07% | ||||
Net investment income (loss) | 0.12% | 4.25% | 2.33% | 2.50% | 2.14% | ||||
Portfolio turnover rate | 19% | 19% | 32% | 11% | 6% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.46)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.35 | 0.25 | 0.32 | 0.28 | 0.26 | ||||
Net realized and unrealized gain (loss) | 1.54 | 2.12 | 2.35 | (1.21) | 1.89 | ||||
Total from investment operations | 1.89 | 2.37 | 2.67 | (0.93) | 2.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.23) | (0.30) | (0.26) | (0.23) | ||||
Net realized gains | (0.59) | (0.44) | (0.50) | (0.29) | (0.05) | ||||
Total distributions | (0.89) | (0.67) | (0.80) | (0.55) | (0.28) | ||||
Net asset value, end of period | $ 15.36 | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | ||||
Total return (b) | 13.15% | 18.79% | 24.66% | (7.52)%(c) | 20.69% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,677,750 | $1,076,641 | $778,976 | $636,762 | $458,132 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.13% | 0.15% | 0.16% | 0.16% | 0.17% | ||||
Net expenses (d) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.23% | 1.94% | 2.63% | 2.24% | 2.30% | ||||
Portfolio turnover rate | 19% | 19% | 32% | 11% | 6% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.52)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.58 | $ 12.72 | $10.77 | $12.29 | $10.36 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.03 | 0.58 | 0.29 | 0.33 | 0.20 | ||||
Net realized and unrealized gain (loss) | 1.88 | 1.87 | 2.45 | (1.31) | 2.02 | ||||
Total from investment operations | 1.91 | 2.45 | 2.74 | (0.98) | 2.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.22) | (0.30) | (0.26) | (0.24) | ||||
Net realized gains | (0.49) | (0.37) | (0.49) | (0.28) | (0.05) | ||||
Total distributions | (0.77) | (0.59) | (0.79) | (0.54) | (0.29) | ||||
Net asset value, end of period | $15.72 | $ 14.58 | $12.72 | $10.77 | $12.29 | ||||
Total return (b) | 13.08% | 19.26% | 25.45% | (7.96)%(c) | 21.45% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,357 | $23,059 | $ 962 | $ 787 | $ 762 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39% | 0.21% | 0.21% | 0.20% | 0.21% | ||||
Net expenses (d) | 0.30% | 0.10% | 0.09% | 0.08% | 0.06% | ||||
Net investment income (loss) | 0.17% | 4.27% | 2.34% | 2.68% | 1.73% | ||||
Portfolio turnover rate | 17% | 18% | 32% | 11% | 5% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.96)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.37 | 0.25 | 0.32 | 0.28 | 0.28 | ||||
Net realized and unrealized gain (loss) | 1.65 | 2.21 | 2.42 | (1.26) | 1.94 | ||||
Total from investment operations | 2.02 | 2.46 | 2.74 | (0.98) | 2.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.23) | (0.30) | (0.26) | (0.24) | ||||
Net realized gains | (0.49) | (0.37) | (0.49) | (0.28) | (0.05) | ||||
Total distributions | (0.81) | (0.60) | (0.79) | (0.54) | (0.29) | ||||
Net asset value, end of period | $ 15.79 | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | ||||
Total return (b) | 13.83% | 19.28% | 25.49% | (7.94)%(c) | 21.45% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,409,868 | $847,354 | $587,488 | $465,425 | $300,444 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.16% | 0.17% | 0.19% | 0.21% | ||||
Net expenses (d) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.32% | 1.93% | 2.62% | 2.29% | 2.39% | ||||
Portfolio turnover rate | 17% | 18% | 32% | 11% | 5% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.94)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.48 | $ 12.60 | $10.70 | $12.24 | $10.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.00(b) | 0.61 | 0.28 | 0.37 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.90 | 1.87 | 2.47 | (1.37) | 2.06 | ||||
Total from investment operations | 1.90 | 2.48 | 2.75 | (1.00) | 2.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.22) | (0.29) | (0.26) | (0.25) | ||||
Net realized gains | (0.48) | (0.38) | (0.56) | (0.28) | (0.05) | ||||
Total distributions | (0.76) | (0.60) | (0.85) | (0.54) | (0.30) | ||||
Net asset value, end of period | $15.62 | $ 14.48 | $12.60 | $10.70 | $12.24 | ||||
Total return (c) | 13.12% | 19.67% | 25.76% | (8.14)% | 21.30% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,596 | $24,016 | $ 448 | $ 374 | $ 240 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.41% | 0.24% | 0.25% | 0.25% | 0.25% | ||||
Net expenses (d) | 0.31% | 0.10% | 0.09% | 0.08% | 0.06% | ||||
Net investment income (loss) | 0.02% | 4.48% | 2.32% | 3.05% | 1.34% | ||||
Portfolio turnover rate | 17% | 16% | 41% | 11% | 5% |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.38 | 0.25 | 0.34 | 0.28 | 0.27 | ||||
Net realized and unrealized gain (loss) | 1.70 | 2.24 | 2.42 | (1.28) | 1.94 | ||||
Total from investment operations | 2.08 | 2.49 | 2.76 | (1.00) | 2.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.22) | (0.30) | (0.26) | (0.25) | ||||
Net realized gains | (0.48) | (0.38) | (0.56) | (0.28) | (0.05) | ||||
Total distributions | (0.80) | (0.60) | (0.86) | (0.54) | (0.30) | ||||
Net asset value, end of period | $ 15.77 | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | ||||
Total return (b) | 14.37% | 19.76% | 25.81% | (8.13)% | 21.42% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,021,959 | $587,556 | $380,668 | $300,431 | $212,217 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.15% | 0.19% | 0.21% | 0.23% | 0.25% | ||||
Net expenses (c) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.42% | 1.98% | 2.74% | 2.30% | 2.37% | ||||
Portfolio turnover rate | 17% | 16% | 41% | 11% | 5% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.72 | $12.68 | $10.70 | $12.25 | $10.32 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.63 | 0.33 | 0.31 | 0.11 | ||||
Net realized and unrealized gain (loss) | 1.95 | 1.86 | 2.41 | (1.29) | 2.11 | ||||
Total from investment operations | 1.96 | 2.49 | 2.74 | (0.98) | 2.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.22) | (0.30) | (0.25) | (0.24) | ||||
Net realized gains | (0.42) | (0.23) | (0.46) | (0.32) | (0.05) | ||||
Total distributions | (0.70) | (0.45) | (0.76) | (0.57) | (0.29) | ||||
Net asset value, end of period | $15.98 | $14.72 | $12.68 | $10.70 | $12.25 | ||||
Total return (b) | 13.32% | 19.60% | 25.65% | (7.93)%(c) | 21.60% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 715 | $8,940 | $ 241 | $ 130 | $ 105 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.44% | 0.32% | 0.30% | 0.40% | 0.52% | ||||
Net expenses (d) | 0.31% | 0.09% | 0.05% | 0.07% | 0.06% | ||||
Net investment income (loss) | 0.05% | 4.61% | 2.69% | 2.53% | 0.95% | ||||
Portfolio turnover rate | 15% | 18% | 42% | 16% | 7% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.93)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.40 | 0.26 | 0.35 | 0.30 | 0.31 | ||||
Net realized and unrealized gain (loss) | 1.71 | 2.23 | 2.39 | (1.28) | 1.90 | ||||
Total from investment operations | 2.11 | 2.49 | 2.74 | (0.98) | 2.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.22) | (0.30) | (0.25) | (0.24) | ||||
Net realized gains | (0.42) | (0.23) | (0.46) | (0.32) | (0.05) | ||||
Total distributions | (0.75) | (0.45) | (0.76) | (0.57) | (0.29) | ||||
Net asset value, end of period | $ 16.06 | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | ||||
Total return (b) | 14.31% | 19.65% | 25.70% | (7.94)%(c) | 21.53% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $641,834 | $323,975 | $195,598 | $132,520 | $81,529 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.18% | 0.27% | 0.30% | 0.40% | 0.51% | ||||
Net expenses (d) | 0.05% | 0.04% | 0.05% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.52% | 2.05% | 2.86% | 2.49% | 2.67% | ||||
Portfolio turnover rate | 15% | 18% | 42% | 16% | 7% |
(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 of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.94)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $14.69 | $12.53 | $10.28 | $ 11.91 | $10.09 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.05 | 0.59 | 0.29 | 0.30 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.97 | 1.87 | 2.37 | (1.27) | 2.01 | ||||
Total from investment operations | 2.02 | 2.46 | 2.66 | (0.97) | 2.16 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.22) | (0.28) | (0.24) | (0.23) | ||||
Net realized gains | (0.36) | (0.08) | (0.13) | (0.42) | (0.11) | ||||
Total distributions | (0.65) | (0.30) | (0.41) | (0.66) | (0.34) | ||||
Net asset value, end of period | $16.06 | $14.69 | $12.53 | $10.28 | $ 11.91 | ||||
Total return (b) | 13.75% | 19.61% | 25.86% | (8.13)% | 21.45% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 633 | $3,458 | $ 163 | $ 121 | $ 103 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.50% | 0.54% | 0.85% | 1.56% | 3.13% | ||||
Net expenses (c) | 0.28% | 0.09% | 0.04% | 0.06% | 0.06% | ||||
Net investment income (loss) | 0.33% | 4.41% | 2.42% | 2.55% | 1.31% | ||||
Portfolio turnover rate | 13% | 25% | 29% | 38% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Net asset value, beginning of period | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | $ 10.08 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.43 | 0.27 | 0.39 | 0.34 | 0.33 | ||||
Net realized and unrealized gain (loss) | 1.68 | 2.19 | 2.27 | (1.31) | 1.84 | ||||
Total from investment operations | 2.11 | 2.46 | 2.66 | (0.97) | 2.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.22) | (0.28) | (0.24) | (0.23) | ||||
Net realized gains | (0.36) | (0.08) | (0.13) | (0.42) | (0.11) | ||||
Total distributions | (0.69) | (0.30) | (0.41) | (0.66) | (0.34) | ||||
Net asset value, end of period | $ 16.11 | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | ||||
Total return (b) | 14.34% | 19.63% | 25.87% | (8.13)% | 21.57% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $314,182 | $137,392 | $74,373 | $25,829 | $12,141 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.28% | 0.49% | 0.84% | 1.56% | 3.07% | ||||
Net expenses (c) | 0.05% | 0.04% | 0.04% | 0.06% | 0.07% | ||||
Net investment income (loss) | 2.68% | 2.12% | 3.33% | 2.87% | 2.94% | ||||
Portfolio turnover rate | 13% | 25% | 29% | 38% | 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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||
Year Ended 12/31/21 | 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) | 0.31 | 0.19 | |
Net realized and unrealized gain (loss) | 1.62 | 4.13 | |
Total from investment operations | 1.93 | 4.32 | |
Distributions to shareholders from: | |||
Net investment income | (0.26) | (0.23) | |
Net realized gains | (0.14) | (0.40) | |
Total distributions | (0.40) | (0.63) | |
Net asset value, end of period | $15.22 | $13.69 | |
Total return (b) | 14.09% | 43.15% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 178 | $ 137 | |
Ratios to Average Net Assets: | |||
Total expenses (c) | 1.45% | 12.01%(d) | |
Net expenses (c) | 0.25% | 0.22%(d) | |
Net investment income (loss) | 2.05% | 2.08%(d) | |
Portfolio turnover rate | 20% | 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 of the Fund. Total return for periods of less than one year are 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 | |||
Year Ended 12/31/21 | 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) | 0.61 | 0.45 | |
Net realized and unrealized gain (loss) | 1.36 | 3.88 | |
Total from investment operations | 1.97 | 4.33 | |
Distributions to shareholders from: | |||
Net investment income | (0.29) | (0.24) | |
Net realized gains | (0.14) | (0.40) | |
Total distributions | (0.43) | (0.64) | |
Net asset value, end of period | $ 15.23 | $13.69 | |
Total return (b) | 14.39% | 43.34% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $43,241 | $3,557 | |
Ratios to Average Net Assets: | |||
Total expenses (c) | 1.25% | 11.81%(d) | |
Net expenses (c) | 0.05% | 0.02%(d) | |
Net investment income (loss) | 4.06% | 4.70%(d) | |
Portfolio turnover rate | 20% | 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 of the Fund. Total return for periods of less than one year are 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 | $292,528,805 | $199,807,503 | |
State Street Target Retirement 2020 Fund | 314,708,585 | 250,503,014 | |
State Street Target Retirement 2025 Fund | 699,531,793 | 360,243,750 | |
State Street Target Retirement 2030 Fund | 870,891,172 | 389,078,718 | |
State Street Target Retirement 2035 Fund | 762,007,047 | 297,520,163 | |
State Street Target Retirement 2040 Fund | 696,819,623 | 275,389,434 | |
State Street Target Retirement 2045 Fund | 622,747,232 | 191,821,847 | |
State Street Target Retirement 2050 Fund | 467,712,918 | 135,985,083 | |
State Street Target Retirement 2055 Fund | 339,241,967 | 73,411,726 | |
State Street Target Retirement 2060 Fund | 185,738,601 | 29,364,082 | |
State Street Target Retirement 2065 Fund | 43,155,597 | 4,004,243 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $ 15,344,114 | $25,669,183 | $ 41,013,297 | ||
State Street Target Retirement 2020 Fund | 23,425,889 | 41,823,465 | 65,249,354 | ||
State Street Target Retirement 2025 Fund | 39,229,934 | 68,738,306 | 107,968,240 | ||
State Street Target Retirement 2030 Fund | 41,267,313 | 81,693,699 | 122,961,012 | ||
State Street Target Retirement 2035 Fund | 35,054,508 | 63,481,223 | 98,535,731 | ||
State Street Target Retirement 2040 Fund | 30,970,761 | 59,849,984 | 90,820,745 | ||
State Street Target Retirement 2045 Fund | 26,556,265 | 41,271,378 | 67,827,643 | ||
State Street Target Retirement 2050 Fund | 19,592,318 | 29,230,259 | 48,822,577 | ||
State Street Target Retirement 2055 Fund | 12,277,670 | 15,772,230 | 28,049,900 | ||
State Street Target Retirement 2060 Fund | 7,035,864 | 5,715,334 | 12,751,198 | ||
State Street Target Retirement 2065 Fund | 1,083,191 | 82,079 | 1,165,270 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $ 7,750,309 | $ 442,457 | $ 8,192,766 | ||
State Street Target Retirement 2020 Fund | 16,334,210 | 16,834,832 | 33,169,042 | ||
State Street Target Retirement 2025 Fund | 24,848,790 | 33,338,085 | 58,186,875 | ||
State Street Target Retirement 2030 Fund | 24,953,049 | 42,551,633 | 67,504,682 | ||
State Street Target Retirement 2035 Fund | 20,533,229 | 34,376,327 | 54,909,556 | ||
State Street Target Retirement 2040 Fund | 17,075,444 | 32,827,018 | 49,902,462 | ||
State Street Target Retirement 2045 Fund | 12,921,471 | 20,970,630 | 33,892,101 | ||
State Street Target Retirement 2050 Fund | 9,006,515 | 15,237,616 | 24,244,131 | ||
State Street Target Retirement 2055 Fund | 4,994,927 | 4,795,955 | 9,790,882 | ||
State Street Target Retirement 2060 Fund | 2,395,233 | 398,508 | 2,793,741 | ||
State Street Target Retirement 2065 Fund | 164,097 | — | 164,097 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Target Retirement Fund | $ 60,515 | $(2,712,387) | $ 7,872,984 | $ 52,475,928 | $ 57,697,040 | ||||
State Street Target Retirement 2020 Fund | 84,149 | — | 18,925,584 | 103,286,442 | 122,296,175 | ||||
State Street Target Retirement 2025 Fund | 207,535 | — | 34,670,096 | 189,254,473 | 224,132,104 | ||||
State Street Target Retirement 2030 Fund | 382,753 | — | 43,649,660 | 252,467,056 | 296,499,469 | ||||
State Street Target Retirement 2035 Fund | 387,533 | — | 44,647,466 | 246,389,362 | 291,424,361 | ||||
State Street Target Retirement 2040 Fund | 413,825 | — | 44,381,020 | 235,635,405 | 280,430,250 | ||||
State Street Target Retirement 2045 Fund | 264,778 | — | 40,191,236 | 199,323,352 | 239,779,366 | ||||
State Street Target Retirement 2050 Fund | 219,445 | — | 29,842,660 | 139,286,512 | 169,348,617 | ||||
State Street Target Retirement 2055 Fund | 111,479 | — | 19,681,053 | 72,963,921 | 92,756,453 | ||||
State Street Target Retirement 2060 Fund | 8,195 | — | 9,165,500 | 29,479,622 | 38,653,317 | ||||
State Street Target Retirement 2065 Fund | 72,609 | — | 1,020,383 | 128,257 | 1,221,249 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Target Retirement Fund | $117,529 | $2,594,858 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 585,683,957 | $ 53,166,209 | $ 690,281 | $ 52,475,928 | |||
State Street Target Retirement 2020 Fund | 892,458,788 | 103,329,044 | 42,602 | 103,286,442 | |||
State Street Target Retirement 2025 Fund | 1,580,181,955 | 190,489,374 | 1,234,901 | 189,254,473 | |||
State Street Target Retirement 2030 Fund | 1,795,684,210 | 256,736,636 | 4,269,580 | 252,467,056 | |||
State Street Target Retirement 2035 Fund | 1,606,593,746 | 249,431,322 | 3,041,960 | 246,389,362 | |||
State Street Target Retirement 2040 Fund | 1,442,774,146 | 237,582,885 | 1,947,480 | 235,635,405 | |||
State Street Target Retirement 2045 Fund | 1,212,580,360 | 200,823,745 | 1,500,393 | 199,323,352 | |||
State Street Target Retirement 2050 Fund | 880,175,954 | 139,899,292 | 612,780 | 139,286,512 | |||
State Street Target Retirement 2055 Fund | 571,524,011 | 73,243,540 | 279,619 | 72,963,921 | |||
State Street Target Retirement 2060 Fund | 283,935,704 | 29,814,385 | 334,763 | 29,479,622 | |||
State Street Target Retirement 2065 Fund | 43,655,674 | 1,038,728 | 910,471 | 128,257 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 4,666,446 | $ 4,371,675 | $ 396,875 | $ 4,768,550 | ||||
State Street Target Retirement 2020 Fund | 12,291,965 | 12,559,763 | 50,025 | 12,609,788 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Target Retirement 2025 Fund | $41,415,864 | $39,569,936 | $2,730,200 | $42,300,136 | ||||
State Street Target Retirement 2030 Fund | 4,210,860 | 4,301,775 | — | 4,301,775 | ||||
State Street Target Retirement 2035 Fund | 3,580,516 | 3,652,721 | — | 3,652,721 | ||||
State Street Target Retirement 2040 Fund | 16,291,290 | 16,622,575 | — | 16,622,575 | ||||
State Street Target Retirement 2045 Fund | 15,465,950 | 15,777,902 | — | 15,777,902 | ||||
State Street Target Retirement 2050 Fund | 9,924,443 | 10,141,201 | — | 10,141,201 | ||||
State Street Target Retirement 2055 Fund | 8,320,981 | 8,502,719 | — | 8,502,719 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 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 | $ 4,371,675 | $— | $— | $— | $ 4,371,675 | $ 4,371,675 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 12,559,763 | — | — | — | 12,559,763 | 12,559,763 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 39,569,936 | — | — | — | 39,569,936 | 39,569,936 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 4,301,775 | — | — | — | 4,301,775 | 4,301,775 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 3,652,721 | — | — | — | 3,652,721 | 3,652,721 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 16,622,575 | — | — | — | 16,622,575 | 16,622,575 | |||||||
State Street Target Retirement 2045 Fund | Mutual Funds and Exchange Traded Products | 15,777,902 | — | — | — | 15,777,902 | 15,777,902 | |||||||
State Street Target Retirement 2050 Fund | Mutual Funds and Exchange Traded Products | 10,141,201 | — | — | — | 10,141,201 | 10,141,201 | |||||||
State Street Target Retirement 2055 Fund | Mutual Funds and Exchange Traded Products | 8,502,719 | — | — | — | 8,502,719 | 8,502,719 |
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 |
Individual series constituting State Street Institutional Investment Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
State Street Target Retirement Fund State Street Target Retirement 2020 Fund State Street Target Retirement 2025 Fund State Street Target Retirement 2030 Fund State Street Target Retirement 2035 Fund State Street Target Retirement 2040 Fund State Street Target Retirement 2045 Fund State Street Target Retirement 2050 Fund State Street Target Retirement 2055 Fund State Street Target Retirement 2060 Fund | For the year ended December 31, 2021 | For each of the two years in the period ended December 31, 2021 | For each of the five years in the period ended December 31, 2021 |
State Street Target Retirement 2065 Fund | For the year ended December 31, 2021 | For the year ended December 31, 2021 and the period from March 30, 2020 (commencement of operations) through December 31, 2020 | For the year ended December 31, 2021 and the period from March 30, 2020 (commencement of operations) to December 31, 2020 |
March 1, 2022
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 | 0.83% | $1,019.40 | $ 4.22 | $1,021.00 | $ 4.23 | ||||
Class K | (0.02) | 1,028.50 | (0.10) | 1,025.30 | (0.10) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.75 | 1,025.80 | 3.83 | 1,021.40 | 3.82 | ||||
Class K | (0.02) | 1,032.20 | (0.10) | 1,025.30 | (0.10) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.75 | 1,027.90 | 3.83 | 1,021.40 | 3.82 | ||||
Class K | 0.00(c) | 1,034.60 | 0.00(d) | 1,025.20 | 0.00(d) | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.67 | 1,029.40 | 3.43 | 1,021.80 | 3.41 | ||||
Class K | 0.03 | 1,034.50 | 0.15 | 1,025.10 | 0.15 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.80 | 1,028.10 | 4.09 | 1,021.20 | 4.08 | ||||
Class K | 0.05 | 1,034.40 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class I | 1.02 | 1,023.40 | 5.20 | 1,020.10 | 5.19 | ||||
Class K | 0.06 | 1,035.60 | 0.31 | 1,024.90 | 0.31 | ||||
State Street Target Retirement 2045 Fund | |||||||||
Class I | 0.80 | 1,029.20 | 4.09 | 1,021.20 | 4.08 | ||||
Class K | 0.06 | 1,035.40 | 0.31 | 1,024.90 | 0.31 | ||||
State Street Target Retirement 2050 Fund |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | |||||
Class I | 1.00% | $1,025.00 | $ 5.10 | $1,020.20 | $ 5.09 | ||||
Class K | 0.05 | 1,035.80 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.93 | 1,027.20 | 4.75 | 1,020.50 | 4.74 | ||||
Class K | 0.05 | 1,035.30 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.63 | 1,030.80 | 3.22 | 1,022.00 | 3.21 | ||||
Class K | 0.05 | 1,035.60 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2065 Fund | |||||||||
Class I | 0.26 | 1,033.70 | 1.33 | 1,023.90 | 1.33 | ||||
Class K | 0.05 | 1,035.10 | 0.26 | 1,025.00 | 0.26 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
(c) | Amount is less than 0.005%. |
(d) | Amount is less than $0.005 per share. |
Amount | |
State Street Target Retirement Fund | $25,669,183 |
State Street Target Retirement 2020 Fund | 41,823,465 |
State Street Target Retirement 2025 Fund | 68,738,306 |
State Street Target Retirement 2030 Fund | 81,693,699 |
State Street Target Retirement 2035 Fund | 63,481,223 |
State Street Target Retirement 2040 Fund | 59,849,984 |
State Street Target Retirement 2045 Fund | 41,271,378 |
State Street Target Retirement 2050 Fund | 29,230,259 |
State Street Target Retirement 2055 Fund | 15,772,230 |
State Street Target Retirement 2060 Fund | 5,715,334 |
State Street Target Retirement 2065 Fund | 82,079 |
Amount | |
State Street Target Retirement Fund | $126,834 |
State Street Target Retirement 2020 Fund | 250,995 |
State Street Target Retirement 2025 Fund | 625,268 |
State Street Target Retirement 2030 Fund | 969,800 |
State Street Target Retirement 2035 Fund | 994,698 |
State Street Target Retirement 2040 Fund | 977,075 |
State Street Target Retirement 2045 Fund | 866,153 |
State Street Target Retirement 2050 Fund | 653,578 |
Amount | |
State Street Target Retirement 2055 Fund | $408,976 |
State Street Target Retirement 2060 Fund | 201,057 |
State Street Target Retirement 2065 Fund | 26,144 |
Amount | |
State Street Target Retirement Fund | $ 1,757,260 |
State Street Target Retirement 2020 Fund | 3,477,484 |
State Street Target Retirement 2025 Fund | 8,662,967 |
State Street Target Retirement 2030 Fund | 13,436,393 |
State Street Target Retirement 2035 Fund | 13,781,360 |
State Street Target Retirement 2040 Fund | 13,537,200 |
State Street Target Retirement 2045 Fund | 12,000,392 |
State Street Target Retirement 2050 Fund | 9,055,200 |
State Street Target Retirement 2055 Fund | 5,666,287 |
State Street Target Retirement 2060 Fund | 2,785,613 |
State Street Target Retirement 2065 Fund | 362,218 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street China Equity Select Fund |
1 | |
2 | |
4 | |
6 | |
7 | |
8 | |
9 | |
10 | |
16 | |
17 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street China Equity Select Fund Class K | (19.03%) | 15.07% |
MSCI China Index (1) | (21.72%) | 7.16% |
* | Inception date is May 29, 2019. |
(1) | The MSCI China Index captures large and mid-cap representation across China H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs). The index covers about 85% of this China equity universe. Currently, the index also includes Large Cap A shares represented at 5% of their free float adjusted market capitalization. |
% of Net Assets | |||
Common Stocks | 98.0% | ||
Short-Term Investment | 1.5 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Consumer Discretionary | 35.1% | ||
Communication Services | 20.9 | ||
Financials | 17.7 | ||
Health Care | 8.2 | ||
Information Technology | 8.1 | ||
TOTAL | 90.0% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.0% | ||||||
AUTOMOBILES — 6.3% | ||||||
BYD Co., Ltd. Class H | 1,000 | $ 34,196 | ||||
Great Wall Motor Co., Ltd. Class H | 18,500 | 63,594 | ||||
NIO, Inc. ADR (a) | 3,800 | 120,384 | ||||
XPeng, Inc. ADR (a) | 2,800 | 140,924 | ||||
359,098 | ||||||
BANKS — 9.9% | ||||||
China Construction Bank Corp. Class H | 391,000 | 270,821 | ||||
China Merchants Bank Co., Ltd. Class A | 18,000 | 137,879 | ||||
China Merchants Bank Co., Ltd. Class H | 20,600 | 159,990 | ||||
568,690 | ||||||
BEVERAGES — 5.4% | ||||||
Kweichow Moutai Co., Ltd. Class A | 500 | 161,188 | ||||
Wuliangye Yibin Co., Ltd. Class A | 4,200 | 147,061 | ||||
308,249 | ||||||
BIOTECHNOLOGY — 0.9% | ||||||
BeiGene, Ltd. ADR (a) | 190 | 51,477 | ||||
CAPITAL MARKETS — 2.4% | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 2,400 | 140,190 | ||||
ELECTRICAL EQUIPMENT — 1.0% | ||||||
Contemporary Amperex Technology Co., Ltd. Class A | 600 | 55,480 | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.1% | ||||||
Maxscend Microelectronics Co., Ltd. Class A | 2,360 | 121,284 | ||||
ENTERTAINMENT — 3.8% | ||||||
NetEase, Inc. ADR | 1,400 | 142,492 | ||||
NetEase, Inc. | 3,700 | 74,747 | ||||
217,239 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.7% | ||||||
Angelalign Technology, Inc. (a) (b) | 1,000 | 31,990 | ||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 2,000 | 119,766 | ||||
151,756 | ||||||
HOUSEHOLD DURABLES — 3.1% | ||||||
Midea Group Co., Ltd. Class A | 15,100 | 175,267 | ||||
HOUSEHOLD PRODUCTS — 0.9% | ||||||
Blue Moon Group Holdings, Ltd. (b) | 56,400 | 53,533 | ||||
INSURANCE — 5.3% | ||||||
AIA Group, Ltd. | 10,800 | 108,882 | ||||
Ping An Insurance Group Co. of China, Ltd. Class H | 27,100 | 195,178 | ||||
304,060 | ||||||
INTERACTIVE MEDIA & SERVICES — 17.1% | ||||||
Baidu, Inc. ADR (a) | 650 | 96,713 |
Security Description | Shares | Value | ||||
Tencent Holdings, Ltd. | 15,100 | $ 884,738 | ||||
981,451 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 18.9% | ||||||
Alibaba Group Holding, Ltd. ADR (a) | 450 | 53,456 | ||||
Alibaba Group Holding, Ltd. (a) | 25,700 | 391,946 | ||||
JD.com, Inc. ADR (a) | 5,677 | 397,787 | ||||
Meituan Class B (a) (b) | 8,200 | 237,072 | ||||
1,080,261 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 4.7% | ||||||
Pharmaron Beijing Co., Ltd. Class H (b) | 3,200 | 49,377 | ||||
WuXi AppTec Co., Ltd. Class H (b) | 3,152 | 54,580 | ||||
Wuxi Biologics Cayman, Inc. (a) (b) | 14,000 | 166,194 | ||||
270,151 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.7% | ||||||
Longfor Group Holdings, Ltd. (b) | 9,000 | 42,366 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.0% | ||||||
Gigadevice Semiconductor Beijing, Inc. Class A | 1,900 | 52,542 | ||||
SG Micro Corp. Class A | 1,400 | 68,029 | ||||
Sino Wealth Electronic, Ltd. Class A (a) | 10,300 | 109,980 | ||||
230,551 | ||||||
SOFTWARE — 1.9% | ||||||
Venustech Group, Inc. Class A | 24,600 | 110,368 | ||||
TEXTILES, APPAREL & LUXURY GOODS — 6.9% | ||||||
ANTA Sports Products, Ltd. | 11,000 | 164,937 | ||||
Li Ning Co., Ltd. | 13,000 | 142,317 | ||||
Shenzhou International Group Holdings, Ltd. | 4,600 | 88,444 | ||||
395,698 | ||||||
TOTAL COMMON STOCKS (Cost $4,868,072) | 5,617,169 | |||||
SHORT-TERM INVESTMENT — 1.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $87,409) | 87,409 | 87,409 | ||||
TOTAL INVESTMENTS — 99.5% (Cost $4,955,481) | 5,704,578 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 25,835 | |||||
NET ASSETS — 100.0% | $ 5,730,413 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 11.1% of net assets as of December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $5,617,169 | $— | $— | $5,617,169 | ||||
Short-Term Investment | 87,409 | — | — | 87,409 | ||||
TOTAL INVESTMENTS | $5,704,578 | $— | $— | $5,704,578 |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $2,086,476 | $1,999,067 | $— | $— | 87,409 | $87,409 | $73 |
ASSETS | |
Investments in unaffiliated issuers, at value | $5,617,169 |
Investments in affiliated issuers, at value | 87,409 |
Total Investments | 5,704,578 |
Foreign currency, at value | 86,068 |
Dividends receivable — unaffiliated issuers | 665 |
Dividends receivable — affiliated issuers | 6 |
Prepaid expenses and other assets | 14 |
TOTAL ASSETS | 5,791,331 |
LIABILITIES | |
Advisory fee payable | 8,083 |
Custodian fees payable | 6,660 |
Administration fees payable | 278 |
Transfer agent fees payable | 40 |
Registration and filing fees payable | 99 |
Professional fees payable | 32,695 |
Printing and postage fees payable | 13,061 |
Accrued expenses and other liabilities | 2 |
TOTAL LIABILITIES | 60,918 |
NET ASSETS | $5,730,413 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $5,008,192 |
Total distributable earnings (loss) | 722,221 |
NET ASSETS | $5,730,413 |
Class K | |
Net Assets | $5,730,413 |
Shares Outstanding | 500,603 |
Net asset value, offering and redemption price per share | $ 11.45 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,868,072 |
Investments in affiliated issuers | 87,409 |
Total cost of investments | $4,955,481 |
Foreign currency, at cost | $ 85,702 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 69,441 |
Dividend income — affiliated issuers | 73 |
Foreign taxes withheld | (4,896) |
TOTAL INVESTMENT INCOME (LOSS) | 64,618 |
EXPENSES | |
Advisory fee | 70,524 |
Administration fees | 3,918 |
Custodian fees | 38,070 |
Trustees’ fees and expenses | 21,061 |
Transfer agent fees | 702 |
Registration and filing fees | 2,471 |
Professional fees and expenses | 36,217 |
Insurance expense | 26 |
Miscellaneous expenses | 434 |
TOTAL EXPENSES | 173,423 |
Expenses waived/reimbursed by the Adviser | (102,898) |
NET EXPENSES | 70,525 |
NET INVESTMENT INCOME (LOSS) | $ (5,907) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 511,430 |
Foreign currency transactions | 3,072 |
Net realized gain (loss) | 514,502 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (2,048,350) |
Foreign currency translations | (610) |
Net change in unrealized appreciation/depreciation | (2,048,960) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,534,458) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(1,540,365) |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (5,907) | $ 12,503 | |
Net realized gain (loss) | 514,502 | 989,674 | |
Net change in unrealized appreciation/depreciation | (2,048,960) | 1,901,451 | |
Net increase (decrease) in net assets resulting from operations | (1,540,365) | 2,903,628 | |
Distributions to shareholders | (771,268) | (765,600) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 7,647 | — | |
Reinvestment of distributions | 818 | — | |
Net increase (decrease) in net assets from beneficial interest transactions | 8,465 | — | |
Net increase (decrease) in net assets during the period | (2,303,168) | 2,138,028 | |
Net assets at beginning of period | 8,033,581 | 5,895,553 | |
NET ASSETS AT END OF PERIOD | $ 5,730,413 | $8,033,581 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 531 | — | |
Reinvestment of distributions | 72 | — | |
Net increase (decrease) from share transactions | 603 | — |
Class K | |||||
Year Ended 12/31/21 | 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) | (0.01) | 0.03 | 0.09 | ||
Net realized and unrealized gain (loss) | (3.07) | 5.78 | 1.78 | ||
Total from investment operations | (3.08) | 5.81 | 1.87 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.01) | (0.04) | (0.08) | ||
Net realized gains | (1.53) | (1.49) | — | ||
Total distributions | (1.54) | (1.53) | (0.08) | ||
Net asset value, end of period | $ 11.45 | $16.07 | $ 11.79 | ||
Total return (b) | (19.03)% | 49.76% | 18.71% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 5,730 | $8,034 | $5,896 | ||
Ratios to average net assets: | |||||
Total expenses | 2.21% | 3.13% | 5.35%(c) | ||
Net expenses | 0.90% | 0.90% | 0.90%(c) | ||
Net investment income (loss) | (0.08)% | 0.18% | 1.32%(c) | ||
Portfolio turnover rate | 33% | 53% | 18%(d) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street 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 | 99.91% |
Purchases | Sales | ||
State Street China Equity Select Fund | $2,475,279 | $3,221,655 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street China Equity Select Fund | $230,526 | $540,742 | $771,268 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street China Equity Select Fund | $ 450,050 | $ 315,550 | $ 765,600 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street China Equity Select Fund | $— | $— | $— | $747,913 | $(25,692) | $722,221 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $4,957,032 | $1,161,978 | $414,065 | $747,913 |
March 1, 2022
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% | $770.80 | $4.02 | $1,020.70 | $4.58 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street China Equity Select Fund | $540,742 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
3 | |
4 | |
8 | |
9 | |
10 | |
11 | |
12 | |
20 | |
21 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street Hedged International Developed Equity Index Fund Class K | 19.31% | 10.10% | 7.02% |
MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index (1) | 19.43% | 10.17% | 7.32% |
* | Inception date is May 29, 2015. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI EAFE Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 21 developed markets countries and its local performance is calculated in 13 different currencies, including the Euro. |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 96.3% | ||
Short-Term Investment | 4.0 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.3% | ||||||
UNITED STATES — 96.3% | ||||||
State Street International Developed Equity Portfolio, (a) (Cost: $3,285,303,538) | $ 4,346,544,021 | |||||
SHORT-TERM INVESTMENT — 4.0% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.04% (b)(c) (Cost $181,014,890) | 180,990,689 | 181,008,788 | ||||
TOTAL INVESTMENTS — 100.3% (Cost $3,466,318,428) | 4,527,552,809 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (15,490,946) | |||||
NET ASSETS — 100.0% | $ 4,512,061,863 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2021. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank of America, N.A. | USD 2,619,642 | AUD 3,615,000 | 01/05/2022 | $ 8,644 | ||||
Bank of America, N.A. | SEK 4,333,000 | USD 479,920 | 01/05/2022 | 1,335 | ||||
Bank of America, N.A. | AUD 942,000 | USD 676,697 | 01/05/2022 | (8,184) | ||||
Bank of America, N.A. | EUR 3,442,000 | USD 3,880,160 | 01/05/2022 | (34,157) | ||||
Bank of America, N.A. | AUD 1,134,000 | USD 809,888 | 01/05/2022 | (14,587) | ||||
Bank of Montreal | USD 308,610,223 | AUD 424,469,050 | 01/05/2022 | 50 | ||||
Bank of Montreal | USD 454,497,290 | CHF 414,101,571 | 01/05/2022 | (3,421) | ||||
Bank of Montreal | USD 118,915,369 | DKK 777,700,566 | 01/05/2022 | (3,010) | ||||
Bank of Montreal | USD 121,196,213 | HKD 944,882,035 | 01/05/2022 | 144 | ||||
Bank of Montreal | USD 19,073,119 | ILS 59,363,174 | 01/05/2022 | 33 | ||||
Bank of Montreal | USD 30,352,401 | NOK 267,660,520 | 01/05/2022 | (137) | ||||
Bank of Montreal | USD 9,555,399 | NZD 13,954,581 | 01/05/2022 | (1,393) | ||||
Bank of Montreal | USD 173,101,553 | SEK 1,567,209,531 | 01/05/2022 | (1,437) | ||||
Bank of Montreal | USD 47,746,393 | SGD 64,369,299 | 01/05/2022 | (268) | ||||
Bank of Montreal | JPY 59,535,273,805 | USD 524,721,545 | 01/05/2022 | 7,720,340 | ||||
Bank of Montreal | NZD 13,954,581 | USD 9,551,771 | 02/02/2022 | 874 | ||||
Bank of Montreal | AUD 424,469,050 | USD 308,629,324 | 02/02/2022 | (6,433) | ||||
Bank of Montreal | CHF 414,101,571 | USD 454,811,773 | 02/02/2022 | (9,491) | ||||
Bank of Montreal | ILS 59,363,174 | USD 19,072,506 | 02/02/2022 | (2,879) | ||||
Bank of Montreal | NOK 267,660,520 | USD 30,335,991 | 02/02/2022 | (906) | ||||
Bank of Montreal | DKK 777,700,566 | USD 118,969,943 | 02/02/2022 | (13,107) | ||||
Bank of Montreal | SEK 1,567,209,531 | USD 173,127,368 | 02/02/2022 | (11,208) | ||||
Bank of Montreal | HKD 944,882,035 | USD 121,201,343 | 02/04/2022 | (1,710) | ||||
Bank of Montreal | SGD 64,369,299 | USD 47,736,301 | 02/04/2022 | (673) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital PLC | USD 4,334,488 | CHF 3,976,000 | 01/05/2022 | $ 29,339 | ||||
Barclays Capital PLC | USD 3,859,956 | CHF 3,532,000 | 01/05/2022 | 16,562 | ||||
Barclays Capital PLC | USD 1,146,391 | DKK 7,525,000 | 01/05/2022 | 4,200 | ||||
Barclays Capital PLC | USD 5,466,743 | GBP 4,054,000 | 01/05/2022 | 24,198 | ||||
Barclays Capital PLC | USD 7,502,810 | JPY 858,491,000 | 01/05/2022 | (47,719) | ||||
Barclays Capital PLC | USD 9,718,595 | JPY 1,116,272,000 | 01/05/2022 | (24,947) | ||||
Barclays Capital PLC | USD 8,624,244 | JPY 991,513,000 | 01/05/2022 | (13,997) | ||||
BNP Paribas S.A. | DKK 16,432,000 | USD 2,489,887 | 01/05/2022 | (22,607) | ||||
BNP Paribas S.A. | SEK 120,812,000 | USD 13,334,630 | 01/05/2022 | (9,196) | ||||
BNP Paribas S.A. | NOK 14,880,000 | USD 1,632,829 | 01/05/2022 | (54,538) | ||||
BNP Paribas S.A. | JPY 258,573,000 | USD 2,276,814 | 01/05/2022 | 31,379 | ||||
Citibank N.A. | USD 504,714,965 | JPY 58,120,451,805 | 01/05/2022 | — | ||||
Citibank N.A. | JPY 58,120,451,805 | USD 504,796,062 | 02/02/2022 | (21,493) | ||||
Citibank N.A. | CHF 23,474,000 | USD 25,780,731 | 02/02/2022 | (1,529) | ||||
Goldman Sachs Bank USA | EUR 2,861,000 | USD 3,241,055 | 01/05/2022 | (12,537) | ||||
HSBC Bank USA | USD 1,172,136 | HKD 9,143,000 | 01/05/2022 | 602 | ||||
HSBC Bank USA | USD 504,714,965 | JPY 58,120,451,805 | 01/05/2022 | — | ||||
HSBC Bank USA | NZD 15,334,581 | USD 10,403,746 | 01/05/2022 | (95,077) | ||||
HSBC Bank USA | HKD 982,112,035 | USD 125,977,534 | 01/05/2022 | 5,829 | ||||
HSBC Bank USA | CHF 408,130,571 | USD 441,704,533 | 01/05/2022 | (6,235,914) | ||||
HSBC Bank USA | SEK 1,477,941,531 | USD 163,118,302 | 01/05/2022 | (122,060) | ||||
HSBC Bank USA | NOK 252,780,520 | USD 27,739,062 | 01/05/2022 | (925,835) | ||||
HSBC Bank USA | DKK 781,264,566 | USD 118,399,431 | 01/05/2022 | (1,057,872) | ||||
HSBC Bank USA | ILS 54,087,174 | USD 17,187,173 | 01/05/2022 | (190,821) | ||||
HSBC Bank USA | SGD 64,369,299 | USD 46,938,465 | 01/05/2022 | (807,659) | ||||
HSBC Bank USA | AUD 432,039,050 | USD 306,481,157 | 01/05/2022 | (7,632,885) | ||||
HSBC Bank USA | CHF 921,000 | USD 1,001,460 | 01/05/2022 | (9,376) | ||||
HSBC Bank USA | JPY 58,120,451,805 | USD 504,797,377 | 02/02/2022 | (20,177) | ||||
JP Morgan Chase Bank, N.A. | USD 2,267,821 | AUD 3,130,000 | 01/05/2022 | 7,846 | ||||
JP Morgan Chase Bank, N.A. | USD 2,944,712 | AUD 4,070,000 | 01/05/2022 | 14,382 | ||||
JP Morgan Chase Bank, N.A. | USD 1,019,422 | DKK 6,684,000 | 01/05/2022 | 2,578 | ||||
JP Morgan Chase Bank, N.A. | USD 13,997,095 | EUR 12,352,000 | 01/05/2022 | 49,870 | ||||
JP Morgan Chase Bank, N.A. | USD 1,276,857 | SEK 11,600,000 | 01/05/2022 | 4,376 | ||||
JP Morgan Chase Bank, N.A. | USD 1,482,173 | SEK 13,397,000 | 01/05/2022 | (2,458) | ||||
JP Morgan Chase Bank, N.A. | SEK 4,203,000 | USD 459,968 | 01/05/2022 | (4,259) | ||||
JP Morgan Chase Bank, N.A. | GBP 1,271,000 | USD 1,684,151 | 01/05/2022 | (37,355) | ||||
JP Morgan Chase Bank, N.A. | DKK 25,467,000 | USD 3,895,796 | 02/02/2022 | (487) | ||||
JP Morgan Chase Bank, N.A. | SEK 71,720,000 | USD 7,922,405 | 02/02/2022 | (913) | ||||
JP Morgan Chase Bank, N.A. | ILS 2,436,000 | USD 782,781 | 02/02/2022 | 12 | ||||
Morgan Stanley Bank, N.A. | USD 3,331,609 | CHF 3,058,000 | 01/05/2022 | 24,674 | ||||
Morgan Stanley Bank, N.A. | USD 4,708,075 | GBP 3,510,000 | 01/05/2022 | 46,045 | ||||
Morgan Stanley Bank, N.A. | USD 6,132,860 | GBP 4,564,000 | 01/05/2022 | 48,850 | ||||
Morgan Stanley Bank, N.A. | USD 901,606 | HKD 7,032,000 | 01/05/2022 | 361 | ||||
Morgan Stanley Bank, N.A. | GBP 240,335,273 | USD 318,207,506 | 01/05/2022 | (7,314,631) | ||||
Morgan Stanley Bank, N.A. | EUR 649,959,657 | USD 732,624,776 | 01/05/2022 | (6,523,565) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Royal Bank of Canada | USD 1,659,102 | HKD 12,934,000 | 01/05/2022 | $ (107) | ||||
Royal Bank of Canada | USD 6,643,208 | JPY 753,734,000 | 01/05/2022 | (97,822) | ||||
Royal Bank of Canada | USD 936,327 | NZD 1,380,000 | 01/05/2022 | 8,490 | ||||
Royal Bank of Canada | CHF 13,366,000 | USD 14,465,431 | 01/05/2022 | (204,316) | ||||
Royal Bank of Canada | ILS 5,276,000 | USD 1,676,578 | 01/05/2022 | (18,580) | ||||
Royal Bank of Canada | EUR 3,549,000 | USD 4,017,823 | 01/05/2022 | (18,178) | ||||
Standard Chartered Bank | GBP 1,311,000 | USD 1,744,864 | 01/05/2022 | (30,820) | ||||
Standard Chartered Bank | GBP 1,057,000 | USD 1,408,500 | 01/05/2022 | (23,154) | ||||
Standard Chartered Bank | CHF 1,108,000 | USD 1,198,324 | 01/05/2022 | (17,753) | ||||
Toronto Dominion Bank | USD 10,765,600 | EUR 9,499,000 | 01/05/2022 | 36,871 | ||||
Toronto Dominion Bank | USD 12,443,665 | EUR 10,971,000 | 01/05/2022 | 32,796 | ||||
Toronto Dominion Bank | USD 731,381,763 | EUR 643,130,157 | 01/05/2022 | (79) | ||||
Toronto Dominion Bank | USD 321,875,254 | GBP 237,642,773 | 01/05/2022 | 27 | ||||
Toronto Dominion Bank | GBP 240,335,274 | USD 318,221,928 | 01/05/2022 | (7,300,211) | ||||
Toronto Dominion Bank | EUR 649,959,657 | USD 732,641,675 | 01/05/2022 | (6,506,666) | ||||
Toronto Dominion Bank | EUR 46,650,000 | USD 53,080,189 | 02/02/2022 | (799) | ||||
Toronto Dominion Bank | GBP 19,665,000 | USD 26,634,040 | 02/02/2022 | 368 | ||||
Toronto Dominion Bank | EUR 643,130,157 | USD 731,760,567 | 02/02/2022 | (29,027) | ||||
Toronto Dominion Bank | GBP 237,642,773 | USD 321,852,440 | 02/02/2022 | (3,637) | ||||
UBS AG | USD 881,812 | DKK 5,787,000 | 01/05/2022 | 3,035 | ||||
UBS AG | USD 1,041,585 | HKD 8,121,000 | 01/05/2022 | 64 | ||||
UBS AG | USD 1,657,839 | SEK 15,083,000 | 01/05/2022 | 8,096 | ||||
UBS AG | AUD 1,169,000 | USD 829,895 | 01/05/2022 | (20,026) | ||||
UBS AG | JPY 320,729,000 | USD 2,836,500 | 01/05/2022 | 51,306 | ||||
UBS AG | CHF 1,142,000 | USD 1,243,012 | 01/05/2022 | (10,381) | ||||
UBS AG | JPY 311,064,000 | USD 2,724,683 | 01/05/2022 | 23,420 | ||||
Westpac Banking Corp. | USD 731,384,336 | EUR 643,130,157 | 01/05/2022 | (2,652) | ||||
Westpac Banking Corp. | USD 321,875,255 | GBP 237,642,774 | 01/05/2022 | 27 | ||||
Westpac Banking Corp. | JPY 59,535,273,805 | USD 524,721,545 | 01/05/2022 | 7,720,340 | ||||
Westpac Banking Corp. | EUR 9,311,000 | USD 10,496,030 | 01/05/2022 | (92,643) | ||||
Westpac Banking Corp. | GBP 3,104,000 | USD 4,109,982 | 01/05/2022 | (94,232) | ||||
Westpac Banking Corp. | EUR 643,130,157 | USD 731,778,575 | 02/02/2022 | (11,019) | ||||
Westpac Banking Corp. | GBP 237,642,774 | USD 321,849,352 | 02/02/2022 | (6,727) | ||||
Westpac Banking Corp. | AUD 14,457,000 | USD 10,512,017 | 02/02/2022 | 186 | ||||
Westpac Banking Corp. | JPY 2,689,991,000 | USD 23,363,271 | 02/02/2022 | (1,218) | ||||
Westpac Banking Corp. | USD 890,126 | HKD 6,939,000 | 02/04/2022 | (38) | ||||
Westpac Banking Corp. | USD 712,715 | SGD 961,000 | 02/04/2022 | (26) | ||||
Total | $(29,865,470) | |||||||
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 1,410 | 03/18/2022 | $161,231,109 | $163,686,900 | $2,455,791 |
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 | $4,346,544,021 | $ — | $— | $4,346,544,021 | ||||
Short-Term Investment | 181,008,788 | — | — | 181,008,788 | ||||
TOTAL INVESTMENTS | $4,527,552,809 | $ — | $— | $4,527,552,809 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | 15,927,549 | — | 15,927,549 | ||||
Futures Contracts | 2,455,791 | — | — | 2,455,791 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ 2,455,791 | $ 15,927,549 | $— | $ 18,383,340 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,530,008,600 | $ 15,927,549 | $— | $4,545,936,149 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | (45,793,019) | — | (45,793,019) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ — | $(45,793,019) | $— | $ (45,793,019) |
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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 115,888,798 | $115,911,975 | $577,148,833 | $512,024,112 | $(7,734) | $(20,174) | 180,990,689 | $181,008,788 | $71,545 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $4,346,544,021 |
Investment in affiliated issuers, at value | 181,008,788 |
Total Investments | 4,527,552,809 |
Foreign currency, at value | 201 |
Net cash at broker | 7,533,121 |
Receivable from broker — accumulated variation margin on futures contracts | 2,459,820 |
Receivable for fund shares sold | 5,222,448 |
Unrealized appreciation on forward foreign currency exchange contracts | 15,927,549 |
Dividends receivable — affiliated issuers | 7,482 |
Receivable from Adviser | 442,934 |
Receivable for foreign taxes recoverable | 103,230 |
Prepaid expenses and other assets | 427,964 |
TOTAL ASSETS | 4,559,677,558 |
LIABILITIES | |
Payable for fund shares repurchased | 815,190 |
Unrealized depreciation on forward foreign currency exchange contracts | 45,793,019 |
Advisory fee payable | 535,707 |
Custodian fees payable | 37,297 |
Administration fees payable | 191,335 |
Transfer agent fees payable | 5,509 |
Registration and filing fees payable | 4,707 |
Professional fees payable | 28,727 |
Printing and postage fees payable | 32,222 |
Accrued expenses and other liabilities | 171,982 |
TOTAL LIABILITIES | 47,615,695 |
NET ASSETS | $4,512,061,863 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,530,591,532 |
Total distributable earnings (loss) | 981,470,331 |
NET ASSETS | $4,512,061,863 |
Class K | |
Net Assets | $4,512,061,863 |
Shares Outstanding | 37,120,518 |
Net asset value, offering and redemption price per share | $ 121.55 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $3,285,303,538 |
Investment in affiliated issuers | 181,014,890 |
Total cost of investments | $3,466,318,428 |
Foreign currency, at cost | $ 203 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $122,095,299 |
Dividend income — affiliated issuers | 71,545 |
Securities Lending income allocated from affiliated Portfolio | 419,736 |
Expenses allocated from affiliated Portfolio | (5,563,840) |
Foreign taxes withheld allocated from affiliated Portfolio | (10,246,712) |
TOTAL INVESTMENT INCOME (LOSS) | 106,776,028 |
EXPENSES | |
Advisory fee | 5,825,774 |
Administration fees | 2,080,634 |
Custodian fees | 175,931 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 35,720 |
Registration and filing fees | 73,852 |
Professional fees and expenses | 46,490 |
Printing and postage fees | 65,465 |
Insurance expense | 13,118 |
Miscellaneous expenses | 825,056 |
TOTAL EXPENSES | 9,163,040 |
Expenses waived/reimbursed by the Adviser | (6,373,153) |
NET EXPENSES | 2,789,887 |
NET INVESTMENT INCOME (LOSS) | $103,986,141 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 5,385,854 |
Foreign currency transactions allocated from affiliated Portfolio | (842,356) |
Futures contracts allocated from affiliated Portfolio | 12,116,673 |
Investments - affiliated issuers | (7,734) |
Forward foreign currency exchange contracts | 242,464,172 |
Foreign currency transactions | 4,177 |
Futures contracts | 15,745,180 |
Net realized gain (loss) | 274,865,966 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 291,094,453 |
Foreign currency transactions allocated from affiliated Portfolio | (807,636) |
Future contracts allocated from affiliated Portfolio | (1,279,132) |
Investments - affiliated issuers | (20,174) |
Forward foreign currency exchange contracts | 46,421,909 |
Foreign currency translations | (17,781) |
Futures contracts | 2,523,417 |
Net change in unrealized appreciation/depreciation | 337,915,056 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 612,781,022 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $716,767,163 |
Year Ended 12/31/21 | Year Ended 12/31/20(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 103,986,141 | $ 77,153,536 | |
Net realized gain (loss) | 274,865,966 | (284,824,338) | |
Net change in unrealized appreciation/depreciation | 337,915,056 | 264,915,530 | |
Net increase (decrease) in net assets resulting from operations | 716,767,163 | 57,244,728 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (129,203,406) | (73,489,711) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 935,468,417 | 1,036,070,604 | |
Reinvestment of distributions | 128,063,509 | 72,834,788 | |
Cost of shares redeemed | (823,242,926) | (1,181,194,756) | |
Net increase (decrease) in net assets from beneficial interest transactions | 240,289,000 | (72,289,364) | |
Net increase (decrease) in net assets during the period | 827,852,757 | (88,534,347) | |
Net assets at beginning of period | 3,684,209,106 | 3,772,743,453 | |
NET ASSETS AT END OF PERIOD | $4,512,061,863 | $ 3,684,209,106 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 8,028,100 | 11,157,983 | |
Reinvestment of distributions | 1,048,670 | 688,289 | |
Shares redeemed | (7,093,667) | (12,869,024) | |
Net increase (decrease) from share transactions | 1,983,103 | (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. |
Class K | |||||||||
Year Ended 12/31/21 | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | |||||
Net asset value, beginning of period | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.93 | 2.15 | 3.10 | 2.90 | 2.70 | ||||
Net realized and unrealized gain (loss) | 17.33 | 0.53 | 18.60 | (12.60) | 12.70 | ||||
Total from investment operations | 20.26 | 2.68 | 21.70 | (9.70) | 15.40 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.56) | (2.13) | (3.20) | (5.00) | — | ||||
Net realized gains | — | — | (2.10) | (1.40) | (3.20) | ||||
Total distributions | (3.56) | (2.13) | (5.30) | (6.40) | (3.20) | ||||
Net asset value, end of period | $ 121.55 | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | ||||
Total return (c) | 19.31% | 2.45% | 24.82% | (9.25)% | 16.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,512,062 | $3,684,209 | $3,772,743 | $2,922,844 | $2,894,400 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.35% | 0.36% | 0.36% | 0.36% | 0.35% | ||||
Net expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 2.50% | 2.23% | 3.08% | 2.85% | 2.69% | ||||
Portfolio turnover rate (d) | 7% | 8% | 3% | 14% | 4% |
(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. |
(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 of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Portfolio turnover rate is from the corresponding affiliated Portfolio. |
Fund | Classes | Commencement of Operations: | Diversification Classification |
State Street Hedged International Developed Equity Index Fund | Class K | May 29, 2015 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $15,927,549 | $— | $ — | $— | $15,927,549 | |||||
Futures Contracts | — | — | — | 2,459,820 | — | 2,459,820 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $45,793,019 | $— | $— | $— | $45,793,019 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $242,464,172 | $— | $ — | $— | $242,464,172 | |||||
Futures Contracts | — | — | — | 15,745,180 | — | 15,745,180 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $46,421,909 | $— | $ — | $— | $46,421,909 | |||||
Futures Contracts | — | — | — | 2,523,417 | — | 2,523,417 |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of America, N.A. | $ 9,979 | $ (9,979) | $— | $ — | ||||
Bank of Montreal | 7,721,441 | (56,073) | — | 7,665,368 | ||||
Barclays Capital PLC | 74,299 | (74,299) | — | — | ||||
BNP Paribas S.A. | 31,379 | (31,379) | — | — | ||||
Citibank N.A. | 0 | — | — | — | ||||
HSBC Bank USA | 6,431 | (6,431) | — | — | ||||
JP Morgan Chase Bank, N.A. | 79,064 | (45,472) | — | 33,592 | ||||
Morgan Stanley Bank, N.A. | 119,930 | (119,930) | — | — |
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 | ||||
Royal Bank of Canada | $ 8,490 | $ (8,490) | $— | $ — | ||||
Toronto Dominion Bank | 70,062 | (70,062) | — | — | ||||
UBS AG | 85,921 | (30,407) | — | 55,514 | ||||
Westpac Banking Corp. | 7,720,553 | (208,555) | — | 7,511,998 | ||||
$15,927,549 | $(661,077) | $— | $15,266,472 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of America, N.A. | $ (56,928) | $ 9,979 | $— | $ (46,949) | ||||
Bank of Montreal | (56,073) | 56,073 | — | — | ||||
Barclays Capital PLC | (86,663) | 74,299 | — | (12,364) | ||||
BNP Paribas S.A. | (86,341) | 31,379 | — | (54,962) | ||||
Citibank N.A. | (23,022) | — | — | (23,022) | ||||
Goldman Sachs Capital Markets L.P | (12,537) | — | — | (12,537) | ||||
HSBC Bank USA | (17,097,676) | 6,431 | — | (17,091,245) | ||||
JP Morgan Chase Bank, N.A. | (45,472) | 45,472 | — | — | ||||
Morgan Stanley Bank, N.A. | (13,838,196) | 119,930 | — | (13,718,266) | ||||
Royal Bank of Canada | (339,003) | 8,490 | — | (330,513) | ||||
Standard Chartered Bank | (71,727) | — | — | (71,727) | ||||
Toronto Dominion Bank | (13,840,419) | 70,062 | — | (13,770,357) | ||||
UBS AG | (30,407) | 30,407 | — | — | ||||
Westpac Banking Corp. | (208,555) | 208,555 | — | — | ||||
$(45,793,019) | $661,077 | $— | $(45,131,942) |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $129,203,406 | $— | $129,203,406 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $ 73,489,711 | $ — | $ 73,489,711 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Hedged International Developed Equity Index Fund | $22,088,047 | $— | $— | $959,382,284 | $981,470,331 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,539,531,653 | $1,094,041,041 | $132,950,267 | $961,090,774 |
March 1, 2022
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% | $1,056.20 | $1.04 | $1,024.20 | $1.02 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Hedged International Developed Equity Index Fund | $6,364,907 |
Amount | |
State Street Hedged International Developed Equity Index Fund | $122,153,116 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
3 | |
4 | |
15 | |
16 | |
17 | |
18 | |
19 | |
26 | |
27 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2021 | Average Annual Total Return Five Years Ended December 31, 2021 | Total Return Inception Date* to December 31, 2021 | |
State Street International Developed Equity Index Portfolio | 11.25% | 9.62% | 8.62% |
MSCI EAFE (Europe, Australasia, Far East) Index (1) | 11.26% | 9.55% | 8.60% |
* | Inception date is April 28, 2016. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization index that is designed to capture large and mid-cap securities in developed market countries, excluding the United States and Canada. |
Description | Market Value | % of Net Assets | ||
Nestle SA | 96,702,364 | 2.2% | ||
ASML Holding NV | 81,565,768 | 1.9 | ||
Roche Holding AG | 71,762,093 | 1.6 | ||
LVMH Moet Hennessy Louis Vuitton SE | 56,317,816 | 1.3 | ||
Toyota Motor Corp. | 47,560,476 | 1.1 | ||
TOTAL | 353,908,517 | 8.1% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.8% | |||||
AUSTRALIA — 7.7% | |||||
Afterpay, Ltd. (a) | 53,633 | $ 3,236,882 | |||
Ampol, Ltd. | 61,856 | 1,333,882 | |||
APA Group Stapled Security | 306,517 | 2,241,903 | |||
Aristocrat Leisure, Ltd. | 145,868 | 4,620,744 | |||
ASX, Ltd. | 47,300 | 3,194,782 | |||
Aurizon Holdings, Ltd. | 422,789 | 1,072,787 | |||
AusNet Services, Ltd. | 464,708 | 868,316 | |||
Australia & New Zealand Banking Group, Ltd. | 704,022 | 14,081,249 | |||
BHP Group PLC | 515,067 | 15,344,428 | |||
BHP Group, Ltd. (b) | 721,293 | 21,763,271 | |||
BlueScope Steel, Ltd. | 121,862 | 1,851,735 | |||
Brambles, Ltd. | 344,056 | 2,659,052 | |||
Cochlear, Ltd. | 16,823 | 2,643,399 | |||
Coles Group, Ltd. | 324,433 | 4,231,670 | |||
Commonwealth Bank of Australia | 434,554 | 31,910,196 | |||
Computershare, Ltd. | 133,268 | 1,937,850 | |||
Crown Resorts, Ltd. (a)(b) | 91,949 | 799,544 | |||
CSL, Ltd. | 117,004 | 24,730,903 | |||
Dexus REIT | 270,593 | 2,187,690 | |||
Domino's Pizza Enterprises, Ltd. | 15,336 | 1,316,039 | |||
Endeavour Group, Ltd. | 333,557 | 1,634,535 | |||
Evolution Mining, Ltd. | 418,777 | 1,236,156 | |||
Fortescue Metals Group, Ltd. | 418,780 | 5,848,946 | |||
Glencore PLC (a) | 2,430,363 | 12,342,625 | |||
Goodman Group REIT | 413,059 | 7,958,337 | |||
GPT Group REIT | 477,245 | 1,880,637 | |||
IDP Education, Ltd. (a) | 55,969 | 1,409,987 | |||
Insurance Australia Group, Ltd. | 608,945 | 1,886,045 | |||
LendLease Corp., Ltd. Stapled Security | 174,907 | 1,359,406 | |||
Macquarie Group, Ltd. | 86,987 | 12,990,299 | |||
Magellan Financial Group, Ltd. (b) | 31,569 | 487,506 | |||
Medibank Pvt, Ltd. | 647,264 | 1,576,488 | |||
Mirvac Group REIT | 952,806 | 2,015,867 | |||
National Australia Bank, Ltd. | 803,763 | 16,853,403 | |||
Newcrest Mining, Ltd. | 199,760 | 3,555,366 | |||
Northern Star Resources, Ltd. | 278,756 | 1,907,121 | |||
Orica, Ltd. | 92,163 | 917,327 | |||
Origin Energy, Ltd. | 465,050 | 1,771,721 | |||
Qantas Airways, Ltd. (a) | 205,549 | 748,717 | |||
QBE Insurance Group, Ltd. | 371,020 | 3,061,664 | |||
Ramsay Health Care, Ltd. | 47,224 | 2,454,896 | |||
REA Group, Ltd. | 13,455 | 1,639,932 | |||
Reece, Ltd. | 78,827 | 1,549,121 | |||
Rio Tinto PLC | 277,242 | 18,369,972 | |||
Rio Tinto, Ltd. | 89,515 | 6,515,348 | |||
Santos, Ltd. | 763,763 | 3,503,905 | |||
Scentre Group REIT | 1,323,926 | 3,041,691 |
Security Description | Shares | Value | |||
SEEK, Ltd. | 86,780 | $ 2,068,202 | |||
Sonic Healthcare, Ltd. | 110,337 | 3,740,683 | |||
South32, Ltd. | 1,131,824 | 3,299,800 | |||
Stockland REIT | 629,374 | 1,940,167 | |||
Suncorp Group, Ltd. | 313,883 | 2,526,270 | |||
Sydney Airport Stapled Security (a) | 343,436 | 2,167,354 | |||
Tabcorp Holdings, Ltd. | 553,979 | 2,021,908 | |||
Telstra Corp., Ltd. | 1,059,376 | 3,219,517 | |||
Transurban Group Stapled Security | 749,715 | 7,533,011 | |||
Treasury Wine Estates, Ltd. | 174,633 | 1,571,851 | |||
Vicinity Centres REIT | 995,722 | 1,223,458 | |||
Washington H Soul Pattinson & Co., Ltd. | 55,640 | 1,197,815 | |||
Wesfarmers, Ltd. (a) | 275,858 | 11,893,362 | |||
Westpac Banking Corp. | 893,907 | 13,875,689 | |||
WiseTech Global, Ltd. | 35,073 | 1,493,780 | |||
Woodside Petroleum, Ltd. | 238,313 | 3,799,712 | |||
Woolworths Group, Ltd. | 311,497 | 8,608,274 | |||
332,724,193 | |||||
AUSTRIA — 0.3% | |||||
Erste Group Bank AG | 86,674 | 4,075,690 | |||
Mondi PLC | 122,267 | 3,023,939 | |||
OMV AG | 33,980 | 1,930,170 | |||
Raiffeisen Bank International AG | 34,387 | 1,012,035 | |||
Verbund AG | 17,574 | 1,976,531 | |||
Voestalpine AG | 26,238 | 954,811 | |||
12,973,176 | |||||
BELGIUM — 0.8% | |||||
Ageas SA/NV | 42,254 | 2,188,734 | |||
Anheuser-Busch InBev SA/NV (a) | 187,649 | 11,346,180 | |||
Elia Group SA | 6,832 | 898,914 | |||
Etablissements Franz Colruyt NV | 12,414 | 526,007 | |||
Groupe Bruxelles Lambert SA | 27,148 | 3,030,464 | |||
KBC Group NV | 61,949 | 5,316,035 | |||
Proximus SADP | 40,640 | 792,139 | |||
Sofina SA | 3,768 | 1,851,106 | |||
Solvay SA (b) | 17,518 | 2,035,974 | |||
UCB SA | 31,919 | 3,642,532 | |||
Umicore SA | 46,251 | 1,880,329 | |||
33,508,414 | |||||
BRAZIL — 0.0% (c) | |||||
Yara International ASA | 40,982 | 2,068,084 | |||
CHILE — 0.0% (c) | |||||
Antofagasta PLC | 91,520 | 1,659,195 | |||
CHINA — 0.7% | |||||
BOC Hong Kong Holdings, Ltd. | 910,000 | 2,982,248 |
Security Description | Shares | Value | |||
Budweiser Brewing Co. APAC, Ltd. (b)(d) | 393,700 | $ 1,032,690 | |||
Chow Tai Fook Jewellery Group, Ltd. | 530,400 | 953,812 | |||
ESR Cayman, Ltd. (a)(d) | 507,600 | 1,715,591 | |||
Futu Holdings, Ltd. ADR (a)(b) | 13,300 | 575,890 | |||
Prosus NV (a) | 227,905 | 19,057,028 | |||
SITC International Holdings Co., Ltd. | 315,000 | 1,139,387 | |||
Wilmar International, Ltd. | 491,200 | 1,508,414 | |||
28,965,060 | |||||
DENMARK — 2.6% | |||||
Ambu A/S Class B (b) | 37,433 | 990,162 | |||
AP Moller - Maersk A/S Class A | 734 | 2,444,329 | |||
AP Moller - Maersk A/S Class B | 1,421 | 5,094,981 | |||
Carlsberg AS Class B | 23,945 | 4,135,297 | |||
Chr. Hansen Holding A/S | 27,196 | 2,143,163 | |||
Coloplast A/S Class B | 29,374 | 5,169,447 | |||
Danske Bank A/S | 175,551 | 3,031,763 | |||
Demant A/S (a) | 26,480 | 1,356,744 | |||
DSV A/S | 50,694 | 11,839,774 | |||
Genmab A/S (a) | 16,076 | 6,464,566 | |||
GN Store Nord A/S (b) | 32,214 | 2,025,858 | |||
Novo Nordisk A/S Class B | 412,986 | 46,411,790 | |||
Novozymes A/S Class B | 49,593 | 4,073,447 | |||
Orsted A/S (d) | 46,435 | 5,929,821 | |||
Pandora A/S | 24,006 | 2,992,927 | |||
ROCKWOOL International A/S Class B | 1,854 | 810,740 | |||
Tryg A/S | 84,592 | 2,088,851 | |||
Vestas Wind Systems A/S | 248,890 | 7,611,024 | |||
114,614,684 | |||||
FINLAND — 1.2% | |||||
Elisa Oyj | 33,812 | 2,080,968 | |||
Fortum Oyj | 111,590 | 3,425,034 | |||
Kesko Oyj Class B | 71,347 | 2,380,524 | |||
Kone Oyj Class B | 83,530 | 5,988,188 | |||
Neste Oyj | 103,954 | 5,125,866 | |||
Nokia Oyj (a) | 1,319,365 | 8,363,127 | |||
Nordea Bank Abp | 797,442 | 9,732,582 | |||
Orion Oyj Class B | 25,941 | 1,077,344 | |||
Sampo Oyj Class A | 120,123 | 6,018,765 | |||
Stora Enso Oyj Class R | 147,314 | 2,703,861 | |||
UPM-Kymmene Oyj | 132,401 | 5,037,951 | |||
Wartsila OYJ Abp | 115,743 | 1,626,859 | |||
53,561,069 | |||||
FRANCE — 10.4% | |||||
Accor SA (a) | 42,276 | 1,367,770 | |||
Adevinta ASA (a) | 60,938 | 810,590 | |||
Aeroports de Paris (a) | 6,603 | 850,762 | |||
Air Liquide SA | 115,774 | 20,185,829 | |||
Airbus SE (a) | 143,985 | 18,397,793 |
Security Description | Shares | Value | |||
Alstom SA | 81,850 | $ 2,905,951 | |||
Amundi SA (d) | 13,764 | 1,135,583 | |||
Arkema SA | 15,010 | 2,114,041 | |||
AXA SA | 480,130 | 14,297,107 | |||
BioMerieux | 10,678 | 1,516,663 | |||
BNP Paribas SA | 274,773 | 18,988,910 | |||
Bollore SA | 207,655 | 1,161,834 | |||
Bouygues SA | 56,425 | 2,020,603 | |||
Bureau Veritas SA | 70,855 | 2,351,216 | |||
Capgemini SE | 38,913 | 9,536,274 | |||
Carrefour SA | 161,546 | 2,958,651 | |||
Cie de Saint-Gobain | 122,602 | 8,626,099 | |||
Cie Generale des Etablissements Michelin SCA | 41,718 | 6,838,721 | |||
CNP Assurances | 44,447 | 1,099,356 | |||
Covivio REIT | 11,839 | 972,051 | |||
Credit Agricole SA | 312,953 | 4,466,420 | |||
Danone SA | 158,595 | 9,845,535 | |||
Dassault Aviation SA | 6,050 | 653,606 | |||
Dassault Systemes SE | 163,312 | 9,714,928 | |||
Edenred | 58,603 | 2,703,719 | |||
Eiffage SA | 20,101 | 2,067,812 | |||
Electricite de France SA | 125,210 | 1,470,876 | |||
Engie SA | 450,272 | 6,663,808 | |||
EssilorLuxottica SA | 70,015 | 14,908,243 | |||
Eurazeo SE | 10,324 | 901,667 | |||
Faurecia SE (e) | 27,851 | 1,324,846 | |||
Gecina SA REIT | 11,417 | 1,595,661 | |||
Getlink SE | 103,374 | 1,711,628 | |||
Hermes International | 7,864 | 13,736,354 | |||
Ipsen SA | 9,549 | 874,159 | |||
Kering SA | 18,286 | 14,699,868 | |||
Klepierre SA REIT (a) | 54,087 | 1,282,436 | |||
La Francaise des Jeux SAEM (d) | 25,673 | 1,136,866 | |||
Legrand SA | 65,519 | 7,666,893 | |||
L'Oreal SA | 61,449 | 29,136,377 | |||
LVMH Moet Hennessy Louis Vuitton SE | 68,120 | 56,317,816 | |||
Orange SA | 500,233 | 5,354,725 | |||
Orpea SA | 12,027 | 1,204,953 | |||
Pernod Ricard SA | 51,657 | 12,424,425 | |||
Publicis Groupe SA | 57,914 | 3,898,899 | |||
Remy Cointreau SA | 5,726 | 1,393,484 | |||
Renault SA (a) | 45,160 | 1,568,667 | |||
Safran SA | 83,001 | 10,161,889 | |||
Sanofi | 278,376 | 28,041,692 | |||
Sartorius Stedim Biotech | 6,567 | 3,602,559 | |||
SEB SA | 6,154 | 958,071 | |||
Societe Generale SA | 198,990 | 6,835,131 | |||
Sodexo SA | 20,862 | 1,828,192 | |||
Suez SA | 82,614 | 1,861,122 | |||
Teleperformance | 14,761 | 6,580,192 | |||
Thales SA | 25,512 | 2,170,116 | |||
TotalEnergies SE | 614,402 | 31,182,883 |
Security Description | Shares | Value | |||
Ubisoft Entertainment SA (a) | 21,613 | $ 1,058,587 | |||
Unibail-Rodamco-Westfield REIT (a) | 30,212 | 2,117,083 | |||
Valeo | 53,270 | 1,610,180 | |||
Veolia Environnement SA | 160,268 | 5,879,602 | |||
Vinci SA | 131,047 | 13,846,063 | |||
Vivendi SE | 200,383 | 2,709,440 | |||
Wendel SE | 6,806 | 815,773 | |||
Worldline SA (a)(d) | 59,200 | 3,299,462 | |||
451,418,512 | |||||
GERMANY — 8.5% | |||||
Adidas AG | 46,382 | 13,355,185 | |||
Allianz SE | 100,856 | 23,816,088 | |||
Aroundtown SA | 242,928 | 1,469,691 | |||
BASF SE | 226,798 | 15,933,966 | |||
Bayer AG | 239,216 | 12,785,710 | |||
Bayerische Motoren Werke AG | 81,502 | 8,201,612 | |||
Bayerische Motoren Werke AG Preference Shares | 14,105 | 1,175,747 | |||
Bechtle AG | 18,849 | 1,349,124 | |||
Beiersdorf AG | 24,240 | 2,491,390 | |||
Brenntag SE | 38,472 | 3,481,653 | |||
Carl Zeiss Meditec AG | 9,991 | 2,100,222 | |||
Commerzbank AG (a) | 260,638 | 1,982,603 | |||
Continental AG (a) | 27,882 | 2,952,276 | |||
Covestro AG (d) | 46,674 | 2,876,809 | |||
Daimler AG | 208,864 | 16,053,983 | |||
Daimler Truck Holding AG (a) | 106,322 | 3,904,163 | |||
Deutsche Bank AG (a) | 498,276 | 6,243,232 | |||
Deutsche Boerse AG | 47,562 | 7,956,270 | |||
Deutsche Lufthansa AG (a) | 146,150 | 1,027,127 | |||
Deutsche Post AG | 244,834 | 15,742,159 | |||
Deutsche Telekom AG | 812,850 | 15,067,277 | |||
E.ON SE | 549,890 | 7,624,081 | |||
Evonik Industries AG | 47,616 | 1,541,619 | |||
Fresenius Medical Care AG & Co. KGaA | 49,013 | 3,184,845 | |||
Fresenius SE & Co. KGaA | 101,708 | 4,094,446 | |||
FUCHS PETROLUB SE Preference Shares | 15,262 | 692,849 | |||
GEA Group AG | 39,849 | 2,179,260 | |||
Hannover Rueck SE | 15,409 | 2,928,988 | |||
HeidelbergCement AG | 36,276 | 2,455,382 | |||
HelloFresh SE (a) | 41,521 | 3,189,081 | |||
Henkel AG & Co. KGaA Preference Shares | 44,191 | 3,575,069 | |||
Henkel AG & Co. KGaA | 26,082 | 2,037,672 | |||
Infineon Technologies AG | 322,543 | 14,950,597 | |||
KION Group AG | 17,206 | 1,887,791 | |||
Knorr-Bremse AG | 17,095 | 1,689,373 | |||
LANXESS AG | 20,037 | 1,241,841 | |||
LEG Immobilien SE | 17,450 | 2,434,875 | |||
Merck KGaA | 31,671 | 8,175,689 | |||
MTU Aero Engines AG | 13,025 | 2,657,278 |
Security Description | Shares | Value | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 34,025 | $ 10,079,584 | |||
Nemetschek SE | 14,120 | 1,811,259 | |||
Porsche Automobil Holding SE Preference Shares | 38,318 | 3,635,916 | |||
Puma SE | 25,814 | 3,155,735 | |||
Rational AG | 1,178 | 1,206,195 | |||
RWE AG | 154,804 | 6,288,258 | |||
SAP SE | 255,905 | 36,347,786 | |||
Sartorius AG Preference Shares | 6,631 | 4,488,267 | |||
Scout24 SE (d) | 22,039 | 1,539,354 | |||
Siemens AG | 187,399 | 32,537,649 | |||
Siemens Energy AG (a) | 99,119 | 2,535,030 | |||
Siemens Healthineers AG (d) | 70,022 | 5,241,181 | |||
Symrise AG | 32,286 | 4,784,047 | |||
Telefonica Deutschland Holding AG | 255,715 | 709,840 | |||
Uniper SE | 20,430 | 971,139 | |||
United Internet AG | 23,175 | 920,830 | |||
Volkswagen AG | 8,417 | 2,473,356 | |||
Volkswagen AG Preference Shares | 45,553 | 9,193,972 | |||
Vonovia SE | 182,804 | 10,082,406 | |||
Zalando SE (a)(d) | 54,941 | 4,444,748 | |||
368,953,575 | |||||
HONG KONG — 2.3% | |||||
AIA Group, Ltd. | 2,962,400 | 29,866,044 | |||
CK Asset Holdings, Ltd. | 512,899 | 3,233,455 | |||
CK Infrastructure Holdings, Ltd. | 153,000 | 974,366 | |||
CLP Holdings, Ltd. | 411,000 | 4,151,489 | |||
Hang Lung Properties, Ltd. | 527,000 | 1,084,243 | |||
Hang Seng Bank, Ltd. | 181,200 | 3,316,604 | |||
Henderson Land Development Co., Ltd. | 368,436 | 1,568,959 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 586,990 | 575,975 | |||
HKT Trust & HKT, Ltd. Stapled Security | 919,000 | 1,235,345 | |||
Hong Kong & China Gas Co., Ltd. | 2,786,995 | 4,339,766 | |||
Hong Kong Exchanges & Clearing, Ltd. | 297,230 | 17,361,895 | |||
Hongkong Land Holdings, Ltd. | 306,400 | 1,593,280 | |||
Jardine Matheson Holdings, Ltd. | 55,100 | 3,031,051 | |||
Link REIT | 528,010 | 4,649,370 | |||
Melco Resorts & Entertainment, Ltd. ADR (a) | 52,823 | 537,738 | |||
MTR Corp., Ltd. | 385,101 | 2,067,196 | |||
New World Development Co., Ltd. | 384,269 | 1,520,555 |
Security Description | Shares | Value | |||
Power Assets Holdings, Ltd. | 345,500 | $ 2,153,752 | |||
Sino Land Co., Ltd. | 864,759 | 1,077,025 | |||
Sun Hung Kai Properties, Ltd. | 325,000 | 3,943,537 | |||
Swire Pacific, Ltd. Class A | 113,500 | 645,656 | |||
Swire Properties, Ltd. | 294,600 | 738,361 | |||
Techtronic Industries Co., Ltd. | 340,500 | 6,778,292 | |||
WH Group, Ltd. (d) | 1,965,266 | 1,232,655 | |||
Wharf Real Estate Investment Co., Ltd. | 417,000 | 2,118,082 | |||
Xinyi Glass Holdings, Ltd. | 457,000 | 1,143,042 | |||
100,937,733 | |||||
IRELAND — 0.7% | |||||
CRH PLC | 193,806 | 10,252,828 | |||
Flutter Entertainment PLC (a) | 40,697 | 6,433,006 | |||
Kerry Group PLC Class A | 39,185 | 5,046,552 | |||
Kingspan Group PLC | 38,778 | 4,630,325 | |||
Smurfit Kappa Group PLC | 60,634 | 3,340,082 | |||
29,702,793 | |||||
ISRAEL — 0.6% | |||||
Azrieli Group, Ltd. | 9,439 | 900,714 | |||
Bank Hapoalim BM | 274,678 | 2,832,915 | |||
Bank Leumi Le-Israel BM | 345,583 | 3,714,096 | |||
Check Point Software Technologies, Ltd. (a) | 25,910 | 3,020,070 | |||
Elbit Systems, Ltd. | 6,111 | 1,058,292 | |||
ICL Group, Ltd. | 187,913 | 1,811,871 | |||
Israel Discount Bank, Ltd. Class A | 304,757 | 2,050,383 | |||
Kornit Digital, Ltd. (a) | 12,100 | 1,842,225 | |||
Mizrahi Tefahot Bank, Ltd. | 33,833 | 1,304,447 | |||
Nice, Ltd. (a) | 15,697 | 4,799,780 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a) | 191,928 | 1,537,343 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 71,135 | 615,952 | |||
Wix.com, Ltd. (a) | 13,200 | 2,082,828 | |||
27,570,916 | |||||
ITALY — 2.0% | |||||
Amplifon SpA | 28,656 | 1,546,281 | |||
Assicurazioni Generali SpA (b) | 266,167 | 5,639,022 | |||
Atlantia SpA (a) | 115,499 | 2,292,635 | |||
Davide Campari-Milano NV | 126,872 | 1,854,704 | |||
DiaSorin SpA | 5,764 | 1,097,605 | |||
Enel SpA | 2,008,367 | 16,092,461 | |||
Eni SpA | 611,614 | 8,499,343 | |||
Ferrari NV | 31,503 | 8,150,234 | |||
FinecoBank Banca Fineco SpA | 147,593 | 2,590,652 | |||
Infrastrutture Wireless Italiane SpA (d) | 77,345 | 939,378 | |||
Intesa Sanpaolo SpA | 4,012,363 | 10,375,940 |
Security Description | Shares | Value | |||
Mediobanca Banca di Credito Finanziario SpA | 157,610 | $ 1,812,056 | |||
Moncler SpA | 50,244 | 3,657,940 | |||
Nexi SpA (a)(d) | 122,951 | 1,956,080 | |||
Poste Italiane SpA (d) | 121,311 | 1,591,999 | |||
Prysmian SpA | 60,742 | 2,287,099 | |||
Recordati Industria Chimica e Farmaceutica SpA | 26,064 | 1,674,659 | |||
Snam SpA | 519,578 | 3,131,579 | |||
Telecom Italia SpA (e) | 2,694,816 | 1,330,625 | |||
Terna - Rete Elettrica Nazionale | 330,214 | 2,671,444 | |||
UniCredit SpA | 522,098 | 8,041,475 | |||
87,233,211 | |||||
JAPAN — 22.1% | |||||
Advantest Corp. | 47,800 | 4,524,510 | |||
Aeon Co., Ltd. (b) | 157,600 | 3,707,511 | |||
AGC, Inc. | 49,900 | 2,378,976 | |||
Aisin Corp. | 37,200 | 1,424,619 | |||
Ajinomoto Co., Inc. | 118,400 | 3,595,543 | |||
ANA Holdings, Inc. (a) | 39,200 | 818,518 | |||
Asahi Group Holdings, Ltd. (b) | 112,700 | 4,378,618 | |||
Asahi Intecc Co., Ltd. | 51,900 | 1,113,672 | |||
Asahi Kasei Corp. | 313,700 | 2,944,811 | |||
Astellas Pharma, Inc. | 455,300 | 7,395,586 | |||
Azbil Corp. | 28,400 | 1,292,310 | |||
Bandai Namco Holdings, Inc. | 48,700 | 3,803,637 | |||
Benefit One, Inc. | 22,200 | 951,387 | |||
Bridgestone Corp. | 143,600 | 6,171,477 | |||
Brother Industries, Ltd. | 53,900 | 1,034,891 | |||
Canon, Inc. (b) | 246,900 | 6,005,531 | |||
Capcom Co., Ltd. | 40,600 | 954,755 | |||
Central Japan Railway Co. | 35,700 | 4,757,210 | |||
Chiba Bank, Ltd. | 135,500 | 775,429 | |||
Chubu Electric Power Co., Inc. | 153,000 | 1,610,317 | |||
Chugai Pharmaceutical Co., Ltd. | 164,900 | 5,348,456 | |||
Concordia Financial Group, Ltd. | 242,100 | 878,796 | |||
Cosmos Pharmaceutical Corp. (b) | 5,300 | 779,202 | |||
CyberAgent, Inc. | 101,600 | 1,688,701 | |||
Dai Nippon Printing Co., Ltd. | 59,100 | 1,484,749 | |||
Daifuku Co., Ltd. | 25,200 | 2,057,054 | |||
Dai-ichi Life Holdings, Inc. | 252,500 | 5,099,116 | |||
Daiichi Sankyo Co., Ltd. | 426,000 | 10,820,633 | |||
Daikin Industries, Ltd. | 60,700 | 13,752,447 | |||
Daito Trust Construction Co., Ltd. | 17,300 | 1,978,559 | |||
Daiwa House Industry Co., Ltd. | 136,700 | 3,926,912 | |||
Daiwa House REIT Investment Corp. | 557 | 1,685,680 | |||
Daiwa Securities Group, Inc. | 370,200 | 2,085,439 |
Security Description | Shares | Value | |||
Denso Corp. | 106,200 | $ 8,787,980 | |||
Dentsu Group, Inc. (b) | 53,400 | 1,901,264 | |||
Disco Corp. | 7,200 | 2,197,734 | |||
East Japan Railway Co. | 73,400 | 4,508,343 | |||
Eisai Co., Ltd. | 59,900 | 3,397,220 | |||
ENEOS HoldingS, Inc. | 756,400 | 2,826,442 | |||
FANUC Corp. | 47,100 | 9,971,760 | |||
Fast Retailing Co., Ltd. | 14,500 | 8,223,655 | |||
Fuji Electric Co., Ltd. | 30,600 | 1,668,777 | |||
FUJIFILM Holdings Corp. | 88,200 | 6,530,270 | |||
Fujitsu, Ltd. | 48,400 | 8,292,580 | |||
GLP J-Reit | 1,127 | 1,946,596 | |||
GMO Payment Gateway, Inc. | 9,800 | 1,221,224 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 923,434 | |||
Hamamatsu Photonics KK | 36,200 | 2,307,394 | |||
Hankyu Hanshin Holdings, Inc. | 53,900 | 1,528,232 | |||
Hikari Tsushin, Inc. | 4,800 | 738,205 | |||
Hino Motors, Ltd. | 63,000 | 518,640 | |||
Hirose Electric Co., Ltd. | 8,710 | 1,462,823 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 716,078 | |||
Hitachi Metals, Ltd. (a) | 53,700 | 993,745 | |||
Hitachi, Ltd. | 240,500 | 13,011,289 | |||
Honda Motor Co., Ltd. | 405,900 | 11,385,150 | |||
Hoshizaki Corp. | 13,900 | 1,044,114 | |||
Hoya Corp. | 91,800 | 13,639,859 | |||
Hulic Co., Ltd. (b) | 105,600 | 1,001,391 | |||
Ibiden Co., Ltd. | 26,100 | 1,550,293 | |||
Idemitsu Kosan Co., Ltd. | 47,840 | 1,220,147 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 834,253 | |||
Inpex Corp. (b) | 258,400 | 2,248,420 | |||
Isuzu Motors, Ltd. | 137,000 | 1,702,462 | |||
Ito En, Ltd. | 11,600 | 608,432 | |||
ITOCHU Corp. | 291,600 | 8,908,417 | |||
Itochu Techno-Solutions Corp. | 22,200 | 713,299 | |||
Japan Airlines Co., Ltd. (a) | 39,300 | 749,449 | |||
Japan Exchange Group, Inc. | 131,700 | 2,879,776 | |||
Japan Metropolitan Fund Invest REIT | 1,658 | 1,426,840 | |||
Japan Post Bank Co., Ltd. | 94,700 | 867,600 | |||
Japan Post Holdings Co., Ltd. | 598,800 | 4,663,313 | |||
Japan Post Insurance Co., Ltd. | 55,900 | 898,050 | |||
Japan Real Estate Investment Corp. REIT | 326 | 1,848,621 | |||
Japan Tobacco, Inc. (b) | 297,300 | 5,996,086 | |||
JFE Holdings, Inc. | 117,800 | 1,500,696 | |||
JSR Corp. | 50,500 | 1,918,610 | |||
Kajima Corp. | 114,800 | 1,316,928 | |||
Kakaku.com, Inc. | 33,100 | 882,437 | |||
Kansai Electric Power Co., Inc. | 184,700 | 1,722,616 | |||
Kansai Paint Co., Ltd. | 46,200 | 1,002,996 | |||
Kao Corp. | 118,900 | 6,214,746 |
Security Description | Shares | Value | |||
KDDI Corp. | 401,300 | $ 11,716,127 | |||
Keio Corp. | 27,500 | 1,210,759 | |||
Keisei Electric Railway Co., Ltd. | 34,100 | 920,941 | |||
Keyence Corp. | 47,700 | 29,940,133 | |||
Kikkoman Corp. | 35,900 | 3,014,659 | |||
Kintetsu Group Holdings Co., Ltd. (a) | 38,900 | 1,086,045 | |||
Kirin Holdings Co., Ltd. (b) | 200,000 | 3,207,850 | |||
Kobayashi Pharmaceutical Co., Ltd. | 14,100 | 1,106,891 | |||
Kobe Bussan Co., Ltd. | 36,800 | 1,423,681 | |||
Koei Tecmo Holdings Co., Ltd. (b) | 13,520 | 531,267 | |||
Koito Manufacturing Co., Ltd. | 26,200 | 1,385,593 | |||
Komatsu, Ltd. | 216,500 | 5,063,981 | |||
Konami Holdings Corp. | 22,800 | 1,092,927 | |||
Kose Corp. | 8,100 | 917,937 | |||
Kubota Corp. | 253,000 | 5,610,139 | |||
Kurita Water Industries, Ltd. | 23,800 | 1,128,462 | |||
Kyocera Corp. | 76,900 | 4,799,447 | |||
Kyowa Kirin Co., Ltd. | 63,500 | 1,728,735 | |||
Lasertec Corp. | 18,900 | 5,792,028 | |||
Lawson, Inc. | 12,000 | 567,930 | |||
Lion Corp. | 53,300 | 711,407 | |||
Lixil Corp. | 66,100 | 1,759,337 | |||
M3, Inc. | 108,900 | 5,478,335 | |||
Makita Corp. | 56,200 | 2,383,089 | |||
Marubeni Corp. | 392,800 | 3,818,676 | |||
Mazda Motor Corp. | 152,300 | 1,170,470 | |||
McDonald's Holdings Co. Japan, Ltd. (b) | 21,100 | 932,647 | |||
Medipal Holdings Corp. | 46,900 | 877,682 | |||
MEIJI Holdings Co., Ltd. | 30,600 | 1,822,900 | |||
Mercari, Inc. (a) | 26,400 | 1,343,441 | |||
MINEBEA MITSUMI, Inc. | 87,400 | 2,478,060 | |||
MISUMI Group, Inc. | 69,000 | 2,828,188 | |||
Mitsubishi Chemical Holdings Corp. | 311,100 | 2,301,743 | |||
Mitsubishi Corp. | 306,600 | 9,723,444 | |||
Mitsubishi Electric Corp. | 454,900 | 5,761,553 | |||
Mitsubishi Estate Co., Ltd. | 288,000 | 3,987,808 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 607,296 | |||
Mitsubishi HC Capital, Inc. | 165,100 | 815,787 | |||
Mitsubishi Heavy Industries, Ltd. | 83,400 | 1,925,757 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,026,200 | 16,421,974 | |||
Mitsui & Co., Ltd. | 388,600 | 9,190,674 | |||
Mitsui Chemicals, Inc. | 49,100 | 1,317,520 | |||
Mitsui Fudosan Co., Ltd. | 226,800 | 4,487,550 | |||
Miura Co., Ltd. | 19,600 | 674,013 | |||
Mizuho Financial Group, Inc. | 591,740 | 7,517,829 | |||
MonotaRO Co., Ltd. | 57,200 | 1,029,704 | |||
MS&AD Insurance Group Holdings, Inc. | 110,100 | 3,393,208 |
Security Description | Shares | Value | |||
Murata Manufacturing Co., Ltd. | 139,700 | $ 11,108,792 | |||
NEC Corp. | 60,100 | 2,771,317 | |||
Nexon Co., Ltd. | 116,800 | 2,255,770 | |||
NGK Insulators, Ltd. | 63,900 | 1,078,734 | |||
Nidec Corp. | 108,900 | 12,785,619 | |||
Nihon M&A Center Holdings, Inc. | 77,900 | 1,908,349 | |||
Nintendo Co., Ltd. | 27,800 | 12,951,848 | |||
Nippon Building Fund, Inc. REIT (b) | 387 | 2,251,661 | |||
Nippon Express Co., Ltd. | 20,700 | 1,225,049 | |||
Nippon Paint Holdings Co., Ltd. (b) | 186,200 | 2,027,657 | |||
Nippon Prologis REIT, Inc. (a) | 499 | 1,763,649 | |||
Nippon Sanso Holdings Corp. | 34,900 | 761,614 | |||
Nippon Shinyaku Co., Ltd. | 11,200 | 779,054 | |||
Nippon Steel Corp. | 218,900 | 3,570,871 | |||
Nippon Telegraph & Telephone Corp. | 315,500 | 8,630,324 | |||
Nippon Yusen KK | 39,400 | 2,997,212 | |||
Nissan Chemical Corp. | 28,900 | 1,676,453 | |||
Nissan Motor Co., Ltd. (a) | 568,700 | 2,744,852 | |||
Nisshin Seifun Group, Inc. | 46,800 | 673,826 | |||
Nissin Foods Holdings Co., Ltd. | 15,300 | 1,114,732 | |||
Nitori Holdings Co., Ltd. | 19,700 | 2,946,746 | |||
Nitto Denko Corp. | 36,000 | 2,779,211 | |||
Nomura Holdings, Inc. | 753,400 | 3,282,365 | |||
Nomura Real Estate Holdings, Inc. | 30,100 | 691,891 | |||
Nomura Real Estate Master Fund, Inc. REIT (a) | 1,117 | 1,569,455 | |||
Nomura Research Institute, Ltd. | 82,000 | 3,514,133 | |||
NTT Data Corp. | 159,800 | 3,422,056 | |||
Obayashi Corp. | 172,700 | 1,334,749 | |||
Obic Co., Ltd. | 17,000 | 3,188,746 | |||
Odakyu Electric Railway Co., Ltd. | 71,700 | 1,329,957 | |||
Oji Holdings Corp. | 182,000 | 880,327 | |||
Olympus Corp. | 276,800 | 6,368,647 | |||
Omron Corp. | 47,000 | 4,677,348 | |||
Ono Pharmaceutical Co., Ltd. | 91,500 | 2,269,324 | |||
Open House Co., Ltd. | 22,200 | 1,160,558 | |||
Oracle Corp. Japan | 10,800 | 819,695 | |||
Oriental Land Co., Ltd. | 48,500 | 8,168,621 | |||
ORIX Corp. | 301,600 | 6,148,287 | |||
Orix JREIT, Inc. | 644 | 1,005,525 | |||
Osaka Gas Co., Ltd. | 99,000 | 1,634,310 | |||
Otsuka Corp. | 28,200 | 1,344,431 | |||
Otsuka Holdings Co., Ltd. (b) | 96,600 | 3,497,246 | |||
Pan Pacific International Holdings Corp. | 99,300 | 1,368,496 | |||
Panasonic Corp. | 549,200 | 6,033,068 | |||
Persol Holdings Co., Ltd. | 41,200 | 1,194,981 | |||
Pola Orbis Holdings, Inc. | 20,800 | 346,260 |
Security Description | Shares | Value | |||
Rakuten Group, Inc. | 212,000 | $ 2,124,510 | |||
Recruit Holdings Co., Ltd. | 331,600 | 20,076,551 | |||
Renesas Electronics Corp. (a) | 315,700 | 3,901,186 | |||
Resona Holdings, Inc. | 526,500 | 2,045,557 | |||
Ricoh Co., Ltd. | 167,600 | 1,558,765 | |||
Rinnai Corp. | 8,800 | 793,227 | |||
Rohm Co., Ltd. | 20,800 | 1,891,155 | |||
Ryohin Keikaku Co., Ltd. | 61,800 | 941,316 | |||
Santen Pharmaceutical Co., Ltd. | 88,100 | 1,076,434 | |||
SBI Holdings, Inc. | 59,800 | 1,628,006 | |||
SCSK Corp. | 38,200 | 759,323 | |||
Secom Co., Ltd. | 53,100 | 3,682,485 | |||
Seiko Epson Corp. | 75,200 | 1,352,431 | |||
Sekisui Chemical Co., Ltd. | 93,700 | 1,563,904 | |||
Sekisui House, Ltd. | 145,700 | 3,123,905 | |||
Seven & i Holdings Co., Ltd. | 187,500 | 8,232,382 | |||
SG Holdings Co., Ltd. | 83,500 | 1,952,720 | |||
Sharp Corp. | 52,900 | 606,842 | |||
Shimadzu Corp. | 57,700 | 2,432,665 | |||
Shimano, Inc. | 18,700 | 4,978,872 | |||
Shimizu Corp. | 125,300 | 775,814 | |||
Shin-Etsu Chemical Co., Ltd. | 87,900 | 15,205,315 | |||
Shionogi & Co., Ltd. | 64,800 | 4,572,098 | |||
Shiseido Co., Ltd. | 98,000 | 5,458,486 | |||
Shizuoka Bank, Ltd. (b) | 103,100 | 735,949 | |||
SMC Corp. | 14,200 | 9,567,783 | |||
Softbank Corp. | 710,300 | 8,971,659 | |||
SoftBank Group Corp. | 293,800 | 13,864,002 | |||
Sohgo Security Services Co., Ltd. | 15,800 | 627,033 | |||
Sompo Holdings, Inc. | 79,700 | 3,362,966 | |||
Sony Group Corp. | 309,100 | 38,853,914 | |||
Square Enix Holdings Co., Ltd. | 21,000 | 1,075,941 | |||
Stanley Electric Co., Ltd. | 30,600 | 765,033 | |||
Subaru Corp. | 149,100 | 2,663,355 | |||
SUMCO Corp. (b) | 87,500 | 1,784,877 | |||
Sumitomo Chemical Co., Ltd. | 354,200 | 1,667,113 | |||
Sumitomo Corp. | 273,700 | 4,041,742 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 43,800 | 503,973 | |||
Sumitomo Electric Industries, Ltd. | 193,500 | 2,519,676 | |||
Sumitomo Metal Mining Co., Ltd. | 61,200 | 2,311,841 | |||
Sumitomo Mitsui Financial Group, Inc. | 322,300 | 11,035,812 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 82,000 | 2,736,538 | |||
Sumitomo Realty & Development Co., Ltd. | 73,200 | 2,150,455 | |||
Suntory Beverage & Food, Ltd. | 35,300 | 1,275,220 | |||
Suzuki Motor Corp. | 92,100 | 3,542,277 | |||
Sysmex Corp. | 40,800 | 5,509,444 |
Security Description | Shares | Value | |||
T&D Holdings, Inc. | 135,400 | $ 1,730,787 | |||
Taisei Corp. | 44,200 | 1,341,488 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 372,098 | |||
Takeda Pharmaceutical Co., Ltd. | 384,517 | 10,474,837 | |||
TDK Corp. | 97,800 | 3,813,313 | |||
Terumo Corp. | 159,200 | 6,718,875 | |||
TIS, Inc. | 59,100 | 1,757,783 | |||
Tobu Railway Co., Ltd. | 46,100 | 1,049,665 | |||
Toho Co., Ltd. | 29,100 | 1,244,562 | |||
Tokio Marine Holdings, Inc. | 155,600 | 8,637,013 | |||
Tokyo Century Corp. | 9,800 | 474,873 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 351,200 | 905,791 | |||
Tokyo Electron, Ltd. (b) | 36,500 | 21,008,380 | |||
Tokyo Gas Co., Ltd. | 88,000 | 1,575,754 | |||
Tokyu Corp. | 126,300 | 1,675,884 | |||
TOPPAN, INC. | 59,400 | 1,112,122 | |||
Toray Industries, Inc. | 339,400 | 2,009,491 | |||
Toshiba Corp. | 101,800 | 4,181,442 | |||
Tosoh Corp. | 67,700 | 1,002,963 | |||
TOTO, Ltd. | 35,000 | 1,607,833 | |||
Toyo Suisan Kaisha, Ltd. | 21,900 | 927,120 | |||
Toyota Industries Corp. | 37,200 | 2,968,764 | |||
Toyota Motor Corp. | 2,601,200 | 47,560,476 | |||
Toyota Tsusho Corp. | 52,700 | 2,425,513 | |||
Trend Micro, Inc. | 32,100 | 1,781,243 | |||
Tsuruha Holdings, Inc. | 10,100 | 968,295 | |||
Unicharm Corp. | 100,800 | 4,375,834 | |||
USS Co., Ltd. | 53,400 | 832,846 | |||
Welcia Holdings Co., Ltd. | 21,000 | 654,683 | |||
West Japan Railway Co. | 53,600 | 2,238,861 | |||
Yakult Honsha Co., Ltd. | 34,100 | 1,776,736 | |||
Yamaha Corp. | 31,400 | 1,546,073 | |||
Yamaha Motor Co., Ltd. (b) | 69,900 | 1,674,735 | |||
Yamato Holdings Co., Ltd. | 74,000 | 1,736,981 | |||
Yaskawa Electric Corp. (b) | 61,600 | 3,017,012 | |||
Yokogawa Electric Corp. | 54,700 | 985,175 | |||
Z Holdings Corp. | 672,400 | 3,897,006 | |||
ZOZO, Inc. | 27,700 | 863,558 | |||
959,929,595 | |||||
JORDAN — 0.0% (c) | |||||
Hikma Pharmaceuticals PLC | 40,663 | 1,222,136 | |||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal SA | 161,163 | 5,158,262 | |||
Eurofins Scientific SE | 32,309 | 3,997,506 | |||
9,155,768 | |||||
MACAU — 0.1% | |||||
Galaxy Entertainment Group, Ltd. (a) | 554,000 | 2,870,798 | |||
Sands China, Ltd. (a) | 608,800 | 1,418,084 | |||
4,288,882 |
Security Description | Shares | Value | |||
NETHERLANDS — 5.4% | |||||
ABN AMRO Bank NV (d) | 107,921 | $ 1,585,151 | |||
Adyen NV (a)(d) | 4,820 | 12,670,031 | |||
Aegon NV | 425,464 | 2,125,498 | |||
Akzo Nobel NV | 46,981 | 5,155,684 | |||
Argenx SE (a) | 11,605 | 4,161,078 | |||
ASM International NV | 11,809 | 5,219,927 | |||
ASML Holding NV | 101,493 | 81,565,768 | |||
Euronext NV (d) | 22,272 | 2,311,154 | |||
EXOR NV | 25,247 | 2,267,011 | |||
Heineken Holding NV | 28,317 | 2,613,199 | |||
Heineken NV | 64,654 | 7,268,633 | |||
IMCD NV | 14,553 | 3,222,220 | |||
ING Groep NV | 964,928 | 13,433,341 | |||
JDE Peet's NV (b) | 29,018 | 894,280 | |||
Koninklijke Ahold Delhaize NV | 256,300 | 8,783,277 | |||
Koninklijke DSM NV | 43,397 | 9,771,509 | |||
Koninklijke KPN NV | 825,960 | 2,564,239 | |||
Koninklijke Philips NV | 222,178 | 8,278,430 | |||
NN Group NV | 64,960 | 3,517,070 | |||
Randstad NV | 28,859 | 1,970,420 | |||
Royal Dutch Shell PLC Class A | 1,002,847 | 22,029,011 | |||
Royal Dutch Shell PLC Class B | 899,743 | 19,771,491 | |||
Universal Music Group NV | 176,230 | 4,966,128 | |||
Wolters Kluwer NV | 65,993 | 7,774,892 | |||
233,919,442 | |||||
NEW ZEALAND — 0.3% | |||||
Auckland International Airport, Ltd. (a) | 294,984 | 1,555,099 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 147,016 | 3,297,442 | |||
Mercury NZ, Ltd. | 166,846 | 699,095 | |||
Meridian Energy, Ltd. | 313,899 | 1,042,318 | |||
Ryman Healthcare, Ltd. | 94,456 | 792,199 | |||
Spark New Zealand, Ltd. | 432,285 | 1,337,757 | |||
Xero, Ltd. (a) | 34,102 | 3,506,844 | |||
12,230,754 | |||||
NORWAY — 0.6% | |||||
Aker BP ASA | 34,929 | 1,075,799 | |||
DNB Bank ASA | 229,012 | 5,245,957 | |||
Equinor ASA | 235,684 | 6,304,827 | |||
Gjensidige Forsikring ASA | 48,901 | 1,186,716 | |||
Mowi ASA | 106,355 | 2,517,071 | |||
Norsk Hydro ASA | 314,583 | 2,480,048 | |||
Orkla ASA | 199,014 | 1,994,135 | |||
Schibsted ASA Class A | 17,399 | 671,036 | |||
Schibsted ASA Class B | 24,544 | 826,641 | |||
Telenor ASA | 169,001 | 2,656,242 | |||
24,958,472 | |||||
POLAND — 0.0% (c) | |||||
InPost SA (a) | 44,483 | 536,111 |
Security Description | Shares | Value | |||
PORTUGAL — 0.1% | |||||
EDP - Energias de Portugal SA | 681,073 | $ 3,742,462 | |||
Galp Energia SGPS SA | 117,766 | 1,141,028 | |||
Jeronimo Martins SGPS SA | 75,241 | 1,719,837 | |||
6,603,327 | |||||
RUSSIA — 0.1% | |||||
Coca-Cola HBC AG (a) | 48,907 | 1,692,485 | |||
Evraz PLC | 126,311 | 1,029,229 | |||
2,721,714 | |||||
SAUDI ARABIA — 0.1% | |||||
Delivery Hero SE (a)(d) | 40,147 | 4,474,205 | |||
SINGAPORE — 1.2% | |||||
Ascendas Real Estate Investment Trust | 836,915 | 1,831,324 | |||
CapitaLand Integrated Commercial Trust REIT | 1,240,389 | 1,876,938 | |||
Capitaland Investment, Ltd. (a) | 615,482 | 1,556,795 | |||
City Developments, Ltd. | 96,600 | 487,962 | |||
DBS Group Holdings, Ltd. | 446,457 | 10,815,774 | |||
Genting Singapore, Ltd. (a) | 1,636,500 | 940,761 | |||
Keppel Corp., Ltd. | 337,300 | 1,280,997 | |||
Mapletree Commercial Trust REIT | 493,800 | 732,559 | |||
Mapletree Logistics Trust REIT | 814,804 | 1,148,335 | |||
Oversea-Chinese Banking Corp., Ltd. | 832,166 | 7,036,823 | |||
Singapore Airlines, Ltd. (a)(b) | 347,449 | 1,286,037 | |||
Singapore Exchange, Ltd. | 205,500 | 1,417,609 | |||
Singapore Technologies Engineering, Ltd. | 410,500 | 1,144,887 | |||
Singapore Telecommunications, Ltd. | 2,082,300 | 3,583,382 | |||
STMicroelectronics NV | 169,157 | 8,342,883 | |||
United Overseas Bank, Ltd. | 289,990 | 5,786,249 | |||
UOL Group, Ltd. | 136,932 | 720,133 | |||
Venture Corp., Ltd. | 73,700 | 1,000,962 | |||
50,990,410 | |||||
SOUTH AFRICA — 0.3% | |||||
Anglo American PLC | 318,003 | 12,990,491 | |||
SPAIN — 2.2% | |||||
ACS Actividades de Construccion y Servicios SA | 60,986 | 1,634,656 | |||
Aena SME SA (a)(d) | 19,059 | 3,008,336 | |||
Amadeus IT Group SA (a) | 110,199 | 7,473,982 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,634,634 | 9,759,253 | |||
Banco Santander SA | 4,283,143 | 14,322,555 | |||
CaixaBank SA | 1,090,667 | 2,994,099 | |||
Cellnex Telecom SA (d) | 124,545 | 7,248,753 | |||
EDP Renovaveis SA | 73,427 | 1,828,676 |
Security Description | Shares | Value | |||
Enagas SA (b) | 57,883 | $ 1,342,820 | |||
Endesa SA | 84,066 | 1,931,117 | |||
Ferrovial SA | 118,164 | 3,703,404 | |||
Grifols SA | 75,201 | 1,443,126 | |||
Iberdrola SA | 1,398,092 | 16,550,962 | |||
Industria de Diseno Textil SA | 269,729 | 8,751,171 | |||
Naturgy Energy Group SA | 47,415 | 1,543,739 | |||
Red Electrica Corp. SA (b) | 102,455 | 2,216,637 | |||
Repsol SA | 360,932 | 4,283,475 | |||
Siemens Gamesa Renewable Energy SA (a) | 58,290 | 1,396,675 | |||
Telefonica SA (b) | 1,267,215 | 5,551,027 | |||
96,984,463 | |||||
SWEDEN — 3.6% | |||||
Alfa Laval AB | 74,220 | 2,987,212 | |||
Assa Abloy AB Class B | 249,777 | 7,619,787 | |||
Atlas Copco AB Class A | 163,306 | 11,287,673 | |||
Atlas Copco AB Class B | 96,247 | 5,657,555 | |||
Boliden AB (a) | 70,457 | 2,723,698 | |||
Electrolux AB Class B (a)(b) | 52,990 | 1,284,680 | |||
Embracer Group AB (a) | 114,080 | 1,216,042 | |||
Epiroc AB Class A | 164,399 | 4,161,793 | |||
Epiroc AB Class B | 92,670 | 1,962,131 | |||
EQT AB | 72,345 | 3,939,328 | |||
Essity AB Class B | 151,078 | 4,929,222 | |||
Evolution AB (d) | 41,406 | 5,882,182 | |||
Fastighets AB Balder Class B (a) | 26,989 | 1,942,978 | |||
Getinge AB Class B | 59,119 | 2,579,888 | |||
H & M Hennes & Mauritz AB Class B (b) | 175,404 | 3,450,018 | |||
Hexagon AB Class B | 482,129 | 7,649,545 | |||
Husqvarna AB Class B | 101,271 | 1,620,206 | |||
Industrivarden AB Class A | 30,204 | 962,114 | |||
Industrivarden AB Class C | 42,571 | 1,335,832 | |||
Investment AB Latour Class B | 36,812 | 1,499,095 | |||
Investor AB Class A | 127,741 | 3,366,413 | |||
Investor AB Class B | 449,769 | 11,313,959 | |||
Kinnevik AB Class B (a) | 60,470 | 2,155,624 | |||
L E Lundbergforetagen AB Class B | 17,802 | 998,848 | |||
Lifco AB Class B | 61,729 | 1,845,628 | |||
Lundin Energy AB | 50,833 | 1,821,911 | |||
Nibe Industrier AB Class B | 356,320 | 5,381,883 | |||
Sagax AB Class B | 42,668 | 1,437,371 | |||
Sandvik AB | 278,080 | 7,758,358 | |||
Securitas AB Class B | 76,709 | 1,056,101 | |||
Sinch AB (a)(d) | 120,870 | 1,536,599 | |||
Skandinaviska Enskilda Banken AB Class A | 400,228 | 5,563,235 | |||
Skanska AB Class B | 83,097 | 2,149,507 | |||
SKF AB Class B | 89,660 | 2,124,187 | |||
Svenska Cellulosa AB SCA Class B | 156,974 | 2,787,054 |
Security Description | Shares | Value | |||
Svenska Handelsbanken AB Class A | 366,904 | $ 3,965,741 | |||
Swedbank AB Class A | 220,886 | 4,442,678 | |||
Swedish Match AB | 395,724 | 3,147,837 | |||
Tele2 AB Class B | 117,668 | 1,677,843 | |||
Telefonaktiebolaget LM Ericsson Class B | 706,188 | 7,783,484 | |||
Telia Co. AB | 632,159 | 2,472,052 | |||
Volvo AB Class A | 44,538 | 1,045,829 | |||
Volvo AB Class B | 355,562 | 8,233,356 | |||
158,756,477 | |||||
SWITZERLAND — 10.1% | |||||
ABB, Ltd. | 407,239 | 15,598,574 | |||
Adecco Group AG | 37,142 | 1,899,596 | |||
Alcon, Inc. | 123,500 | 10,943,741 | |||
Bachem Holding AG Class B | 1,690 | 1,328,036 | |||
Baloise Holding AG | 10,935 | 1,789,396 | |||
Barry Callebaut AG | 838 | 2,038,093 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 266 | 3,687,187 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 26 | 3,487,022 | |||
Cie Financiere Richemont SA | 127,523 | 19,167,288 | |||
Clariant AG (a) | 53,896 | 1,123,881 | |||
Credit Suisse Group AG | 664,188 | 6,467,295 | |||
EMS-Chemie Holding AG | 1,712 | 1,918,402 | |||
Geberit AG | 8,666 | 7,087,640 | |||
Givaudan SA | 2,247 | 11,817,620 | |||
Holcim, Ltd. (a) | 128,478 | 6,558,209 | |||
Julius Baer Group, Ltd. | 53,647 | 3,602,177 | |||
Kuehne + Nagel International AG | 13,509 | 4,364,868 | |||
Logitech International SA | 43,223 | 3,647,022 | |||
Lonza Group AG | 18,161 | 15,180,176 | |||
Nestle SA | 691,387 | 96,702,364 | |||
Novartis AG | 537,382 | 47,347,887 | |||
Partners Group Holding AG | 5,659 | 9,393,884 | |||
Roche Holding AG Bearer Shares | 7,587 | 3,404,012 | |||
Roche Holding AG | 172,477 | 71,762,093 | |||
Schindler Holding AG (e) | 9,755 | 2,628,384 | |||
Schindler Holding AG (e) | 4,860 | 1,303,610 | |||
SGS SA | 1,457 | 4,872,391 | |||
Sika AG | 34,560 | 14,421,020 | |||
Sonova Holding AG | 13,554 | 5,322,528 | |||
Straumann Holding AG | 2,566 | 5,455,021 | |||
Swatch Group AG (e) | 7,490 | 2,293,486 | |||
Swatch Group AG (e) | 13,415 | 786,952 | |||
Swiss Life Holding AG | 7,546 | 4,629,549 | |||
Swiss Prime Site AG | 18,629 | 1,832,947 | |||
Swisscom AG | 6,276 | 3,544,564 | |||
Temenos AG | 16,752 | 2,317,499 | |||
UBS Group AG | 871,616 | 15,707,551 | |||
VAT Group AG (d) | 6,883 | 3,432,624 | |||
Vifor Pharma AG | 11,271 | 2,007,046 |
Security Description | Shares | Value | |||
Zurich Insurance Group AG | 36,713 | $ 16,133,332 | |||
437,004,967 | |||||
TAIWAN — 0.2% | |||||
Sea, Ltd. ADR (a) | 34,300 | 7,673,253 | |||
UNITED KINGDOM — 11.9% | |||||
3i Group PLC | 236,357 | 4,638,738 | |||
Abrdn PLC | 508,523 | 1,659,245 | |||
Admiral Group PLC | 46,217 | 1,976,238 | |||
Ashtead Group PLC | 111,453 | 8,969,896 | |||
Associated British Foods PLC | 88,706 | 2,412,569 | |||
AstraZeneca PLC | 379,873 | 44,649,961 | |||
Auto Trader Group PLC (d) | 241,660 | 2,422,141 | |||
AVEVA Group PLC | 28,303 | 1,304,923 | |||
Aviva PLC | 938,792 | 5,218,429 | |||
BAE Systems PLC | 792,534 | 5,901,816 | |||
Barclays PLC | 4,176,426 | 10,578,142 | |||
Barratt Developments PLC | 264,661 | 2,681,357 | |||
Berkeley Group Holdings PLC (a) | 28,426 | 1,838,451 | |||
BP PLC | 4,920,232 | 22,025,210 | |||
British American Tobacco PLC | 532,653 | 19,720,888 | |||
British Land Co. PLC REIT | 225,039 | 1,618,510 | |||
BT Group PLC (b) | 2,225,556 | 5,110,923 | |||
Bunzl PLC | 85,643 | 3,346,576 | |||
Burberry Group PLC | 103,696 | 2,552,698 | |||
CK Hutchison Holdings, Ltd. | 668,000 | 4,309,788 | |||
CNH Industrial NV | 253,480 | 4,920,554 | |||
Coca-Cola Europacific Partners PLC (e) | 24,266 | 1,354,377 | |||
Coca-Cola European Partners PLC (e) | 28,200 | 1,577,226 | |||
Compass Group PLC (a) | 432,983 | 9,682,353 | |||
Croda International PLC | 33,885 | 4,644,629 | |||
DCC PLC | 23,338 | 1,912,414 | |||
Diageo PLC | 571,627 | 31,248,337 | |||
Entain PLC (a) | 138,378 | 3,154,381 | |||
Experian PLC | 224,080 | 11,023,308 | |||
GlaxoSmithKline PLC | 1,231,573 | 26,799,762 | |||
Halma PLC | 90,345 | 3,915,769 | |||
Hargreaves Lansdown PLC | 90,128 | 1,654,101 | |||
HSBC Holdings PLC (a) | 5,002,228 | 30,397,241 | |||
Imperial Brands PLC | 234,471 | 5,133,669 | |||
Informa PLC (a) | 351,207 | 2,457,427 | |||
InterContinental Hotels Group PLC (a) | 46,614 | 3,018,548 | |||
Intertek Group PLC | 39,105 | 2,981,973 | |||
J Sainsbury PLC | 424,217 | 1,584,694 | |||
JD Sports Fashion PLC (a) | 647,470 | 1,910,032 | |||
Johnson Matthey PLC | 46,740 | 1,295,261 | |||
Just Eat Takeaway.com NV (a)(d) | 45,155 | 2,488,947 | |||
Kingfisher PLC | 521,819 | 2,391,029 | |||
Land Securities Group PLC REIT | 168,381 | 1,770,686 |
Security Description | Shares | Value | |||
Legal & General Group PLC | 1,478,552 | $ 5,957,809 | |||
Lloyds Banking Group PLC | 17,255,712 | 11,171,817 | |||
London Stock Exchange Group PLC | 79,540 | 7,465,894 | |||
M&G PLC | 657,048 | 1,775,428 | |||
Melrose Industries PLC | 1,060,342 | 2,296,452 | |||
National Grid PLC | 865,517 | 12,424,031 | |||
Natwest Group PLC | 1,442,359 | 4,409,283 | |||
Next PLC | 33,607 | 3,709,799 | |||
Ocado Group PLC (a) | 117,549 | 2,671,615 | |||
Pearson PLC | 177,492 | 1,474,158 | |||
Persimmon PLC | 78,432 | 3,033,993 | |||
Phoenix Group Holdings PLC | 160,128 | 1,416,695 | |||
Prudential PLC | 635,815 | 10,975,735 | |||
Reckitt Benckiser Group PLC | 176,297 | 15,143,776 | |||
RELX PLC (e) | 370,342 | 12,048,667 | |||
RELX PLC (e) | 107,309 | 3,480,346 | |||
Rentokil Initial PLC | 469,049 | 3,710,172 | |||
Rolls-Royce Holdings PLC (a) | 2,047,379 | 3,407,552 | |||
Sage Group PLC | 253,546 | 2,927,960 | |||
Schroders PLC | 29,656 | 1,429,966 | |||
Segro PLC REIT | 298,484 | 5,807,506 | |||
Severn Trent PLC | 65,013 | 2,595,036 | |||
Smith & Nephew PLC | 220,194 | 3,857,758 | |||
Smiths Group PLC | 103,073 | 2,205,096 | |||
Spirax-Sarco Engineering PLC | 18,806 | 4,088,222 | |||
SSE PLC | 250,762 | 5,600,740 | |||
St James's Place PLC | 137,616 | 3,137,943 | |||
Standard Chartered PLC | 660,921 | 4,014,007 | |||
Taylor Wimpey PLC | 957,030 | 2,274,918 | |||
Tesco PLC | 1,920,205 | 7,539,783 | |||
Unilever PLC | 635,821 | 33,978,166 | |||
United Utilities Group PLC | 163,464 | 2,411,088 | |||
Vodafone Group PLC | 6,886,434 | 10,470,862 | |||
Whitbread PLC (a) | 47,598 | 1,930,850 | |||
WPP PLC | 293,145 | 4,444,978 | |||
515,541,318 | |||||
UNITED STATES — 1.5% | |||||
CyberArk Software, Ltd. (a) | 9,700 | 1,680,816 | |||
Ferguson PLC | 55,303 | 9,816,321 | |||
Fiverr International, Ltd. (a) | 8,000 | 909,600 | |||
Inmode, Ltd. (a) | 13,700 | 966,946 | |||
James Hardie Industries PLC CDI | 110,760 | 4,453,202 | |||
QIAGEN NV (a) | 56,343 | 3,138,948 | |||
Schneider Electric SE | 133,560 | 26,193,983 | |||
Stellantis NV (e) | 201,298 | 3,817,862 |
Security Description | Shares | Value | |||
Stellantis NV (e) | 298,712 | $ 5,668,154 | |||
Swiss Re AG | 74,938 | 7,423,480 | |||
Tenaris SA | 115,458 | 1,209,262 | |||
65,278,574 | |||||
TOTAL COMMON STOCKS (Cost $3,189,906,269) | 4,251,150,974 |
SHORT-TERM INVESTMENTS — 1.1% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.04% (f) (g) | 24,646,528 | 24,648,993 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 21,854,737 | 21,854,737 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $46,503,730) | 46,503,730 | ||
TOTAL INVESTMENTS — 98.9% (Cost $3,236,409,999) | 4,297,654,704 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% | 48,905,299 | ||
NET ASSETS — 100.0% | $ 4,346,560,003 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.9% of net assets as of December 31, 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) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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) | 789 | 03/18/2022 | $91,068,228 | $91,595,010 | $526,782 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $4,251,150,974 | $— | $— | $4,251,150,974 | ||||
Short-Term Investments | 46,503,730 | — | — | 46,503,730 | ||||
TOTAL INVESTMENTS | $4,297,654,704 | $— | $— | $4,297,654,704 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 526,782 | — | — | 526,782 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 526,782 | $— | $— | $ 526,782 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,298,181,486 | $— | $— | $4,298,181,486 |
% of Net Assets | ||
Financials | 16.6% | |
Industrials | 15.8 | |
Health Care | 12.5 | |
Consumer Discretionary | 12.2 | |
Consumer Staples | 10.1 | |
Information Technology | 9.4 | |
Materials | 7.4 | |
Communication Services | 4.4 | |
Utilities | 3.3 | |
Energy | 3.3 | |
Real Estate | 2.8 | |
Short-Term Investments | 1.1 | |
Other Assets in Excess of Liabilities | 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 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 66,248,210 | $66,261,459 | $ 650,714,412 | $ 692,323,488 | $(3,390) | $— | 24,646,528 | $24,648,993 | $ 34,799 | ||||||||
State Street Navigator Securities Lending Portfolio II | 23,014,357 | 23,014,357 | 417,516,576 | 418,676,196 | — | — | 21,854,737 | 21,854,737 | 251,890 | ||||||||
Total | $89,275,816 | $1,068,230,988 | $1,110,999,684 | $(3,390) | $— | $46,503,730 | $286,689 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $4,251,150,974 |
Investments in affiliated issuers, at value | 46,503,730 |
Total Investments | 4,297,654,704 |
Foreign currency, at value | 11,585,056 |
Net cash at broker | 4,200,501 |
Receivable from broker — accumulated variation margin on futures contracts | 528,810 |
Receivable for investments sold | 40,440,705 |
Dividends receivable — unaffiliated issuers | 3,014,336 |
Dividends receivable — affiliated issuers | 1,786 |
Securities lending income receivable — unaffiliated issuers | 63,915 |
Securities lending income receivable — affiliated issuers | 11,009 |
Receivable for foreign taxes recoverable | 12,094,736 |
Prepaid expenses and other assets | 540 |
TOTAL ASSETS | 4,369,596,098 |
LIABILITIES | |
Payable upon return of securities loaned | 21,854,737 |
Payable for investments purchased | 459,707 |
Advisory fee payable | 541,758 |
Custodian fees payable | 116,315 |
Trustees’ fees and expenses payable | 1,689 |
Professional fees payable | 43,189 |
Printing and postage fees payable | 12,904 |
Accrued expenses and other liabilities | 5,796 |
TOTAL LIABILITIES | 23,036,095 |
NET ASSETS | $4,346,560,003 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,189,906,269 |
Investments in affiliated issuers | 46,503,730 |
Total cost of investments | $3,236,409,999 |
Foreign currency, at cost | $ 11,533,615 |
* Includes investments in securities on loan, at value | $ 60,960,522 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $122,081,927 |
Dividend income — affiliated issuers | 34,799 |
Unaffiliated securities lending income | 167,847 |
Affiliated securities lending income | 251,890 |
Foreign taxes withheld | (10,200,571) |
TOTAL INVESTMENT INCOME (LOSS) | 112,335,892 |
EXPENSES | |
Advisory fee | 4,890,604 |
Custodian fees | 486,275 |
Trustees’ fees and expenses | 55,594 |
Professional fees and expenses | 77,343 |
Printing and postage fees | 22,374 |
Insurance expense | 996 |
Miscellaneous expenses | 30,675 |
TOTAL EXPENSES | 5,563,861 |
NET INVESTMENT INCOME (LOSS) | $106,772,031 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,389,265 |
Investments — affiliated issuers | (3,390) |
Foreign currency transactions | (842,360) |
Futures contracts | 12,116,721 |
Net realized gain (loss) | 16,660,236 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 291,095,595 |
Foreign currency translations | (807,636) |
Futures contracts | (1,279,138) |
Net change in unrealized appreciation/depreciation | 289,008,821 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 305,669,057 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $412,441,088 |
Year Ended 12/31/21 | Year Ended 12/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 106,772,031 | $ 79,376,253 | |
Net realized gain (loss) | 16,660,236 | (107,404,189) | |
Net change in unrealized appreciation/depreciation | 289,008,821 | 278,860,646 | |
Net increase (decrease) in net assets resulting from operations | 412,441,088 | 250,832,710 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 673,180,166 | 768,794,916 | |
Withdrawals | (394,883,626) | (1,090,211,334) | |
Net increase (decrease) in net assets from capital transactions | 278,296,540 | (321,416,418) | |
Net increase (decrease) in net assets during the period | 690,737,628 | (70,583,708) | |
Net assets at beginning of period | 3,655,822,375 | 3,726,406,083 | |
NET ASSETS AT END OF PERIOD | $4,346,560,003 | $ 3,655,822,375 |
Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | |||||
Total return (a) | 11.25% | 7.96% | 22.11% | (13.83)% | 25.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,346,560 | $3,655,822 | $3,726,406 | $2,809,510 | $2,855,669 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.14% | 0.14% | 0.15% | 0.15% | 0.14% | ||||
Net investment income (loss) | 2.67% | 2.35% | 3.17% | 2.96% | 2.80% | ||||
Portfolio turnover rate | 7% | 8% | 3% | 14% | 4% |
(a) | Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results. |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $528,810 | $— | $528,810 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | 12,116,721 | $— | 12,116,721 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (1,279,138) | $— | (1,279,138) |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $659,182,689 | $252,156,122 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,336,946,266 | $1,256,321,699 | $295,086,479 | $961,235,220 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 60,960,522 | $ 21,854,737 | $ 42,059,870 | $ 63,914,607 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 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 | $21,854,737 | $— | $— | $— | $21,854,737 | $21,854,737 |
March 1, 2022
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% | $1,021.90 | $0.71 | $1,024.50 | $0.71 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 63 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 - 2017); Director, The Taiwan Fund, Inc. (2007 - 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 63 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 63 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 63 | 1998 to December 2008, Chairman, Board Member and December 2008 to present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 63 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - present) and Accounting Professor (1987 - present) at Fordham University. | 63 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Interested Trustee(1) | |||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 63 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). |
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | |||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | |||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | |||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Controller at GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 7/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
TIMOTHY COLLINS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Assistant Secretary | Term: Indefinite Elected: 9/21 | Vice President and Senior Counsel, State Street Global Advisors (August 2021 - present); Vice President and Managing Counsel, State Street Corporation (March 2020 - August 2021) and Vice President and Senior Counsel (April 2018 - March 2020); Counsel, Sutton Place Investments (January 2010 - March 2018). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
(b) | Not Applicable to Registrant. |
Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $640,695 and $639,882, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended December 31, 2021 and December 31, 2020, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $178,244 and $269,028, respectively.
(d) | All Other Fees |
For the fiscal years ended December 31, 2021 and December 31, 2020, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $8,904,469 and $7,019,005, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Trust’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust’s, if the engagement relates directly to the operations and financial reporting of the Trust’s; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentage of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $38,000,000 and $36,534,447, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
(i) | Not applicable to the Registrant. |
(j) | Not applicable to the Registrant. |
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.
Item 11. Controls and Procedures.
(a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management |
Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | March 9, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | March 9, 2022 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | March 9, 2022 |