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 General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
State Street Equity 500 Index Fund | |
1 | |
2 | |
3 | |
5 | |
State Street Equity 500 Index II Portfolio | |
11 | |
12 | |
19 | |
20 | |
21 | |
22 | |
23 | |
30 |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $3,085,058,158 |
Receivable for investments sold | 4,672,935 |
Receivable for fund shares sold | 2,089,063 |
Receivable from Adviser | 1,486,547 |
TOTAL ASSETS | 3,093,306,703 |
LIABILITIES | |
Payable for fund shares repurchased | 6,753,661 |
Advisory fee payable | 51,863 |
Custodian fees payable | 23,506 |
Distribution fees payable | 54,344 |
Trustees’ fees and expenses payable | 6 |
Transfer agent fees payable | 41,645 |
Sub-transfer agent fee payable | 138,127 |
Registration and filing fees payable | 95,849 |
Professional fees payable | 19,556 |
Printing and postage fees payable | 26,013 |
Accrued expenses and other liabilities | 6,309 |
TOTAL LIABILITIES | 7,210,879 |
NET ASSETS | $3,086,095,824 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,614,076,312 |
Total distributable earnings (loss) | 472,019,512 |
NET ASSETS | $3,086,095,824 |
Administrative Shares | |
Net Assets | $ 173,066,952 |
Shares Outstanding | 603,056 |
Net asset value, offering and redemption price per share | $ 286.98 |
Service Shares | |
Net Assets | $ 6,092,187 |
Shares Outstanding | 21,259 |
Net asset value, offering and redemption price per share | $ 286.57 |
Class R Shares | |
Net Assets | $ 28,521,477 |
Shares Outstanding | 99,668 |
Net asset value, offering and redemption price per share | $ 286.16 |
Class A Shares | |
Net Assets | $ 74,360,451 |
Shares Outstanding | 259,470 |
Net asset value, offering and redemption price per share | $ 286.59 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 302.47 |
Class I Shares | |
Net Assets | $ 32,815,100 |
Shares Outstanding | 114,333 |
Net asset value, offering and redemption price per share | $ 287.01 |
Class K Shares | |
Net Assets | $2,771,239,657 |
Shares Outstanding | 9,645,587 |
Net asset value, offering and redemption price per share | $ 287.31 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $2,622,984,024 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 8,923,058 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $ — |
EXPENSES | |
Advisory fee | 322,518 |
Administration fees | 806,296 |
Sub-transfer agent fee | |
Class A Shares | 84,815 |
Class I Shares | 36,922 |
Distribution fees | |
Administrative Shares | 151,255 |
Service Shares | 8,807 |
Class R Shares | 100,308 |
Class A Shares | 106,019 |
Custodian fees | 23,641 |
Trustees’ fees and expenses | 10,517 |
Transfer agent fees | 101,028 |
Registration and filing fees | 63,611 |
Professional fees | 16,505 |
Printing and postage fees | 8,947 |
Insurance expense | 4,872 |
Miscellaneous expenses | 12,770 |
TOTAL EXPENSES | 1,858,831 |
Expenses waived/reimbursed by the Adviser | (1,342,294) |
NET EXPENSES | 516,537 |
NET INVESTMENT INCOME (LOSS) | $ (516,537) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (10,215,917) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (715,690,172) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (725,906,089) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(726,422,626) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (516,537) | $ 43,575,105 | |
Net realized gain (loss) | (10,215,917) | 35,705,091 | |
Net change in unrealized appreciation/depreciation | (715,690,172) | 612,889,016 | |
Net increase (decrease) in net assets resulting from operations | (726,422,626) | 692,169,212 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | — | (5,886,900) | |
Service Shares | — | (198,578) | |
Class R Shares | — | (828,145) | |
Class A Shares | — | (2,111,087) | |
Class I Shares | — | (952,396) | |
Class K Shares | — | (78,793,757) | |
Total distributions to shareholders | — | (88,770,863) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from shares sold | 6,357,934 | 15,051,512 | |
Reinvestment of distributions | — | 5,886,900 | |
Cost of shares redeemed | (19,604,816) | (91,642,106) | |
Net increase (decrease) from capital share transactions | (13,246,882) | (70,703,694) | |
Service Shares | |||
Proceeds from shares sold | 607,457 | 4,479,330 | |
Reinvestment of distributions | — | 198,577 | |
Cost of shares redeemed | (1,078,997) | (24,489,397) | |
Net increase (decrease) from capital share transactions | (471,540) | (19,811,490) | |
Class R Shares | |||
Proceeds from shares sold | 2,135,499 | 3,786,593 | |
Reinvestment of distributions | — | 828,145 | |
Cost of shares redeemed | (5,342,344) | (9,563,838) | |
Net increase (decrease) from capital share transactions | (3,206,845) | (4,949,100) | |
Class A Shares | |||
Proceeds from shares sold | 6,593,421 | 17,647,656 | |
Reinvestment of distributions | — | 2,107,809 | |
Cost of shares redeemed | (8,343,656) | (10,182,286) | |
Net increase (decrease) from capital share transactions | (1,750,235) | 9,573,179 | |
Class I Shares | |||
Proceeds from shares sold | 14,900,509 | 14,432,402 | |
Reinvestment of distributions | — | 952,395 | |
Cost of shares redeemed | (12,079,390) | (5,273,666) | |
Net increase (decrease) from capital share transactions | 2,821,119 | 10,111,131 | |
Class K Shares | |||
Proceeds from shares sold | 647,295,665 | 1,129,718,594 | |
Reinvestment of distributions | — | 78,793,757 | |
Cost of shares redeemed | (183,057,758) | (546,574,592) | |
Net increase (decrease) from capital share transactions | 464,237,907 | 661,937,759 | |
Net increase (decrease) in net assets from beneficial interest transactions | 448,383,524 | 586,157,785 | |
Contribution from Adviser | |||
Contribution from Affiliate (Note 4) | 1,381,224 | — | |
Net increase (decrease) in net assets during the period | (276,657,878) | 1,189,556,134 | |
Net assets at beginning of period | 3,362,753,702 | 2,173,197,568 | |
NET ASSETS AT END OF PERIOD | $3,086,095,824 | $3,362,753,702 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 19,429 | 49,188 | |
Reinvestment of distributions | — | 16,341 | |
Shares redeemed | (60,432) | (279,669) | |
Net increase (decrease) from share transactions | (41,003) | (214,140) | |
Service Shares | |||
Shares sold | 1,864 | 14,110 | |
Reinvestment of distributions | — | 552 | |
Shares redeemed | (3,297) | (72,213) | |
Net increase (decrease) from share transactions | (1,433) | (57,551) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Class R Shares | |||
Shares sold | 6,517 | 11,668 | |
Reinvestment of distributions | — | 2,300 | |
Shares redeemed | (16,619) | (29,213) | |
Net increase (decrease) from share transactions | (10,102) | (15,245) | |
Class A Shares | |||
Shares sold | 20,590 | 55,842 | |
Reinvestment of distributions | — | 5,850 | |
Shares redeemed | (26,368) | (31,121) | |
Net increase (decrease) from share transactions | (5,778) | 30,571 | |
Class I Shares | |||
Shares sold | 44,804 | 45,037 | |
Reinvestment of distributions | — | 2,643 | |
Shares redeemed | (36,799) | (15,804) | |
Net increase (decrease) from share transactions | 8,005 | 31,876 | |
Class K Shares | |||
Shares sold | 1,994,068 | 3,505,394 | |
Reinvestment of distributions | — | 218,635 | |
Shares redeemed | (569,979) | (1,703,542) | |
Net increase (decrease) from share transactions | 1,424,089 | 2,020,487 |
Administrative Shares | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 358.78 | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.24) | 3.57 | 3.58 | 3.90 | 3.40 | 3.80 | |||||
Net realized and unrealized gain (loss) | (71.70) | 77.70 | 41.19 | 57.30 | (13.30) | 36.60 | |||||
Total from investment operations | (71.94) | 81.27 | 44.77 | 61.20 | (9.90) | 40.40 | |||||
Contribution from Adviser (Note 4) | 0.14 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||
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 | $ 286.98 | $ 358.78 | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | |||||
Total return (c) | (20.01)%(d) | 28.32% | 18.14% | 31.14% | (4.56)% | 21.43% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $173,067 | $231,075 | $246,181 | $241,794 | $213,270 | $274,650 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.23%(f) | 0.25% | 0.26% | 0.27% | 0.27% | 0.26% | |||||
Net expenses (e) | 0.15%(f) | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | |||||
Net investment income (loss) | (0.15)%(f) | 1.09% | 1.45% | 1.68% | 1.51% | 1.83% | |||||
Portfolio turnover rate (g) | 0%(h)(i) | 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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.05)%. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Amount is less than 0.50%. |
(i) | Not annualized. |
Service Shares | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $358.44 | $286.59 | $246.70 | $196.20 | $216.00 | $188.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.40) | 0.94 | 3.33 | 3.10 | 3.20 | 1.50 | |||||
Net realized and unrealized gain (loss) | (71.61) | 79.89 | 41.18 | 57.70 | (13.30) | 38.70 | |||||
Total from investment operations | (72.01) | 80.83 | 44.51 | 60.80 | (10.10) | 40.20 | |||||
Contribution from Adviser (Note 4) | 0.14 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||
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 | $286.57 | $358.44 | $286.59 | $246.70 | $196.20 | $216.00 | |||||
Total return (c) | (20.05)%(d) | 28.19% | 18.06% | 30.99% | (4.66)% | 21.33% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 6,092 | $ 8,134 | $22,997 | $20,457 | $20,897 | $27,876 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.33%(f) | 0.35% | 0.36% | 0.37% | 0.37% | 0.36% | |||||
Net expenses (e) | 0.25%(f) | 0.27% | 0.27% | 0.27% | 0.27% | 0.28% | |||||
Net investment income (loss) | (0.25)%(f) | 0.29% | 1.35% | 1.36% | 1.44% | 0.73% | |||||
Portfolio turnover rate (g) | 0%(h)(i) | 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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.09)%. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Amount is less than 0.50%. |
(i) | Not annualized. |
Class R Shares | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $358.56 | $286.68 | $246.80 | $196.20 | $216.10 | $188.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.97) | 2.52 | 2.41 | 2.90 | 2.40 | 2.90 | |||||
Net realized and unrealized gain (loss) | (71.57) | 77.04 | 41.07 | 57.10 | (13.30) | 36.60 | |||||
Total from investment operations | (72.54) | 79.56 | 43.48 | 60.00 | (10.90) | 39.50 | |||||
Contribution from Adviser (Note 4) | 0.14 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||
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 | $286.16 | $358.56 | $286.68 | $246.80 | $196.20 | $216.10 | |||||
Total return (c) | (20.19)%(d) | 27.74% | 17.63% | 30.58% | (5.04)% | 20.96% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $28,521 | $39,359 | $35,839 | $37,222 | $32,099 | $42,249 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.68%(f) | 0.70% | 0.71% | 0.72% | 0.72% | 0.71% | |||||
Net expenses (e) | 0.60%(f) | 0.62% | 0.62% | 0.62% | 0.62% | 0.63% | |||||
Net investment income (loss) | (0.60)%(f) | 0.78% | 0.98% | 1.27% | 1.06% | 1.41% | |||||
Portfolio turnover rate (g) | 0%(h)(i) | 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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.23)%. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Amount is less than 0.50%. |
(i) | Not annualized. |
Class A Shares | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $358.82 | $286.88 | $247.00 | $196.40 | $216.30 | $188.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.73) | 3.49 | 3.20 | 4.20 | 6.40 | 1.60 | |||||
Net realized and unrealized gain (loss) | (71.64) | 76.69 | 40.72 | 56.30 | (16.60) | 38.20 | |||||
Total from investment operations | (72.37) | 80.18 | 43.92 | 60.50 | (10.20) | 39.80 | |||||
Contribution from Adviser (Note 4) | 0.14 | — | — | — | — | — | |||||
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 | $286.59 | $358.82 | $286.88 | $247.00 | $196.40 | $216.30 | |||||
Total return (c) | (20.13)%(d) | 27.94% | 17.79% | 30.78% | (4.72)% | 21.12% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $74,360 | $95,176 | $67,324 | $55,604 | $31,766 | $ 6,293 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.53%(f) | 0.55% | 0.56% | 0.57% | 0.38% | 0.56% | |||||
Net expenses (e) | 0.45%(f) | 0.47% | 0.47% | 0.47% | 0.28% | 0.48% | |||||
Net investment income (loss) | (0.45)%(f) | 1.07% | 1.29% | 1.81% | 2.89% | 0.79% | |||||
Portfolio turnover rate (g) | 0%(h)(i) | 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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.17)%. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Amount is less than 0.50%. |
(i) | Not annualized. |
Class I Shares | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $358.91 | $286.96 | $247.10 | $196.50 | $216.30 | $188.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.32) | 4.85 | 4.39 | 3.20 | 4.40 | 8.90 | |||||
Net realized and unrealized gain (loss) | (71.72) | 76.26 | 40.24 | 58.10 | (14.10) | 31.40 | |||||
Total from investment operations | (72.04) | 81.11 | 44.63 | 61.30 | (9.70) | 40.30 | |||||
Contribution from Adviser (Note 4) | 0.14 | — | — | — | — | — | |||||
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 | $287.01 | $358.91 | $286.96 | $247.10 | $196.50 | $216.30 | |||||
Total return (c) | (20.03)%(d) | 28.25% | 18.07% | 31.17% | (4.45)% | 21.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $32,815 | $38,162 | $21,365 | $14,478 | $14,496 | $16,084 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.28%(f) | 0.30% | 0.31% | 0.24% | 0.15% | 0.31% | |||||
Net expenses (e) | 0.20%(f) | 0.22% | 0.22% | 0.15% | 0.05% | 0.23% | |||||
Net investment income (loss) | (0.20)%(f) | 1.47% | 1.75% | 1.38% | 1.98% | 4.21% | |||||
Portfolio turnover rate (g) | 0%(h)(i) | 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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (20.07)%. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Amount is less than 0.50%. |
(i) | Not annualized. |
Class K Shares | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 358.92 | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.00)(c) | 5.43 | 5.92 | 5.10 | 4.70 | 4.40 | |||||
Net realized and unrealized gain (loss) | (71.75) | 76.42 | 39.30 | 56.60 | (14.30) | 36.40 | |||||
Total from investment operations | (71.75) | 81.85 | 45.22 | 61.70 | (9.60) | 40.80 | |||||
Contribution from Adviser (Note 4) | 0.14 | — | — | — | — | — | |||||
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 | $ 287.31 | $ 358.92 | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | |||||
Total return (d) | (19.95)%(e) | 28.51% | 18.32% | 31.39% | (4.42)% | 21.61% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,771,240 | $2,950,849 | $1,779,491 | $827,654 | $485,040 | $412,903 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (f) | 0.08%(g)(h) | 0.10% | 0.11% | 0.12% | 0.12% | 0.11% | |||||
Net expenses (f) | 0.00%(g)(h) | 0.02% | 0.02% | 0.02% | 0.02% | 0.03% | |||||
Net investment income (loss) | 0.00%(g)(h) | 1.65% | 2.37% | 2.22% | 2.08% | 2.14% | |||||
Portfolio turnover rate (i) | 0%(g)(j) | 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) | 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 the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (19.99)%. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | Amount is less than 0.50%. |
(h) | Annualized. |
(i) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(j) | Not annualized. |
% of Net Assets | |||
Common Stocks | 97.0% | ||
Short-Term Investments | 3.2 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 26.0% | ||
Health Care | 14.7 | ||
Financials | 10.5 | ||
Consumer Discretionary | 10.2 | ||
Communication Services | 8.6 | ||
TOTAL | 70.0% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.0% | ||||||
COMMUNICATION SERVICES — 8.6% | ||||||
Activision Blizzard, Inc. | 157,300 | $ 12,247,378 | ||||
Alphabet, Inc. Class A (a) | 59,967 | 130,683,684 | ||||
Alphabet, Inc. Class C (a) | 54,987 | 120,281,313 | ||||
AT&T, Inc. | 1,431,440 | 30,002,982 | ||||
Cars.com, Inc. (a) | 1 | 9 | ||||
Charter Communications, Inc. Class A (a) | 23,300 | 10,916,749 | ||||
Comcast Corp. Class A | 893,266 | 35,051,758 | ||||
DISH Network Corp. Class A (a)(b) | 45,918 | 823,310 | ||||
Electronic Arts, Inc. | 57,079 | 6,943,660 | ||||
Fox Corp. Class A | 58,866 | 1,893,131 | ||||
Fox Corp. Class B | 29,300 | 870,210 | ||||
Interpublic Group of Cos., Inc. | 72,066 | 1,983,977 | ||||
Live Nation Entertainment, Inc. (a) | 27,600 | 2,279,208 | ||||
Lumen Technologies, Inc. | 199,078 | 2,171,941 | ||||
Match Group, Inc. (a) | 57,400 | 4,000,206 | ||||
Meta Platforms, Inc. Class A (a) | 457,393 | 73,754,621 | ||||
Netflix, Inc. (a) | 89,204 | 15,599,103 | ||||
News Corp. Class A | 71,188 | 1,109,109 | ||||
News Corp. Class B | 21,600 | 343,224 | ||||
Omnicom Group, Inc. | 38,891 | 2,473,857 | ||||
Paramount Global Class B (b) | 114,581 | 2,827,859 | ||||
Take-Two Interactive Software, Inc. (a) | 31,100 | 3,810,683 | ||||
T-Mobile US, Inc. (a) | 115,975 | 15,603,277 | ||||
Twitter, Inc. (a) | 152,300 | 5,694,497 | ||||
Verizon Communications, Inc. | 838,615 | 42,559,711 | ||||
Walt Disney Co. (a) | 363,964 | 34,358,202 | ||||
Warner Bros Discovery, Inc. (a) | 449,378 | 6,030,653 | ||||
564,314,312 | ||||||
CONSUMER DISCRETIONARY — 10.2% | ||||||
Advance Auto Parts, Inc. | 11,500 | 1,990,535 | ||||
Amazon.com, Inc. (a) | 1,743,200 | 185,145,272 | ||||
Aptiv PLC (a) | 54,219 | 4,829,286 | ||||
AutoZone, Inc. (a) | 3,976 | 8,544,901 | ||||
Bath & Body Works, Inc. | 48,421 | 1,303,493 | ||||
Best Buy Co., Inc. | 40,506 | 2,640,586 | ||||
Booking Holdings, Inc. (a) | 8,124 | 14,208,795 | ||||
BorgWarner, Inc. | 44,077 | 1,470,850 | ||||
Caesars Entertainment, Inc. (a) | 39,100 | 1,497,530 | ||||
CarMax, Inc. (a) | 32,603 | 2,949,919 | ||||
Carnival Corp. (a)(b) | 147,801 | 1,278,479 | ||||
Chipotle Mexican Grill, Inc. (a) | 5,686 | 7,433,080 | ||||
D.R. Horton, Inc. | 64,197 | 4,249,199 | ||||
Darden Restaurants, Inc. | 23,771 | 2,688,976 |
Security Description | Shares | Value | ||||
Dollar General Corp. | 45,413 | $ 11,146,167 | ||||
Dollar Tree, Inc. (a) | 45,626 | 7,110,812 | ||||
Domino's Pizza, Inc. | 7,500 | 2,922,825 | ||||
eBay, Inc. | 108,845 | 4,535,571 | ||||
Etsy, Inc. (a) | 23,200 | 1,698,472 | ||||
Expedia Group, Inc. (a) | 28,534 | 2,705,879 | ||||
Ford Motor Co. | 781,838 | 8,701,857 | ||||
Garmin, Ltd. | 28,740 | 2,823,705 | ||||
General Motors Co. (a) | 294,123 | 9,341,346 | ||||
Genuine Parts Co. | 26,889 | 3,576,237 | ||||
Hasbro, Inc. | 27,597 | 2,259,642 | ||||
Hilton Worldwide Holdings, Inc. | 54,900 | 6,118,056 | ||||
Home Depot, Inc. | 206,202 | 56,555,023 | ||||
Las Vegas Sands Corp. (a) | 72,300 | 2,428,557 | ||||
Lennar Corp. Class A | 49,906 | 3,521,866 | ||||
LKQ Corp. | 54,600 | 2,680,314 | ||||
Lowe's Cos., Inc. | 132,350 | 23,117,575 | ||||
Marriott International, Inc. Class A | 55,655 | 7,569,637 | ||||
McDonald's Corp. | 147,710 | 36,466,645 | ||||
MGM Resorts International | 71,300 | 2,064,135 | ||||
Mohawk Industries, Inc. (a) | 10,431 | 1,294,383 | ||||
Newell Brands, Inc. | 69,541 | 1,324,061 | ||||
NIKE, Inc. Class B | 253,806 | 25,938,973 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 84,300 | 937,416 | ||||
NVR, Inc. (a) | 660 | 2,642,732 | ||||
O'Reilly Automotive, Inc. (a) | 13,080 | 8,263,421 | ||||
Penn National Gaming, Inc. (a) | 30,500 | 927,810 | ||||
Pool Corp. | 8,100 | 2,844,963 | ||||
PulteGroup, Inc. | 46,362 | 1,837,326 | ||||
PVH Corp. | 13,049 | 742,488 | ||||
Ralph Lauren Corp. | 8,979 | 804,967 | ||||
Ross Stores, Inc. | 70,056 | 4,920,033 | ||||
Royal Caribbean Cruises, Ltd. (a) | 42,300 | 1,476,693 | ||||
Starbucks Corp. | 230,030 | 17,571,992 | ||||
Tapestry, Inc. | 50,528 | 1,542,115 | ||||
Target Corp. | 92,472 | 13,059,821 | ||||
Tesla, Inc. (a) | 167,300 | 112,663,166 | ||||
TJX Cos., Inc. | 230,874 | 12,894,313 | ||||
Tractor Supply Co. | 21,926 | 4,250,355 | ||||
Ulta Beauty, Inc. (a) | 10,600 | 4,086,088 | ||||
VF Corp. | 65,244 | 2,881,827 | ||||
Whirlpool Corp. | 11,102 | 1,719,367 | ||||
Wynn Resorts, Ltd. (a) | 19,341 | 1,102,050 | ||||
Yum! Brands, Inc. | 56,802 | 6,447,595 | ||||
669,749,177 | ||||||
CONSUMER STAPLES — 6.8% | ||||||
Altria Group, Inc. | 363,529 | 15,184,606 | ||||
Archer-Daniels-Midland Co. | 113,732 | 8,825,603 | ||||
Brown-Forman Corp. Class B | 38,452 | 2,697,792 | ||||
Campbell Soup Co. | 37,182 | 1,786,595 | ||||
Church & Dwight Co., Inc. | 47,800 | 4,429,148 |
Security Description | Shares | Value | ||||
Clorox Co. | 23,264 | $ 3,279,759 | ||||
Coca-Cola Co. | 778,800 | 48,994,308 | ||||
Colgate-Palmolive Co. | 168,423 | 13,497,419 | ||||
Conagra Brands, Inc. | 90,624 | 3,102,966 | ||||
Constellation Brands, Inc. Class A | 32,950 | 7,679,327 | ||||
Costco Wholesale Corp. | 88,555 | 42,442,640 | ||||
Estee Lauder Cos., Inc. Class A | 46,141 | 11,750,728 | ||||
General Mills, Inc. | 119,442 | 9,011,899 | ||||
Hershey Co. | 29,667 | 6,383,152 | ||||
Hormel Foods Corp. | 59,602 | 2,822,751 | ||||
J.M. Smucker Co. | 21,505 | 2,752,855 | ||||
Kellogg Co. | 48,328 | 3,447,720 | ||||
Keurig Dr. Pepper, Inc. | 143,400 | 5,074,926 | ||||
Kimberly-Clark Corp. | 68,027 | 9,193,849 | ||||
Kraft Heinz Co. | 144,718 | 5,519,544 | ||||
Kroger Co. | 129,042 | 6,107,558 | ||||
Lamb Weston Holdings, Inc. | 26,800 | 1,915,128 | ||||
McCormick & Co., Inc. | 48,384 | 4,027,968 | ||||
Molson Coors Beverage Co. Class B | 34,653 | 1,888,935 | ||||
Mondelez International, Inc. Class A | 274,115 | 17,019,800 | ||||
Monster Beverage Corp. (a) | 76,235 | 7,066,984 | ||||
PepsiCo, Inc. | 276,016 | 46,000,827 | ||||
Philip Morris International, Inc. | 309,912 | 30,600,711 | ||||
Procter & Gamble Co. | 478,626 | 68,821,633 | ||||
Sysco Corp. | 100,974 | 8,553,508 | ||||
Tyson Foods, Inc. Class A | 57,444 | 4,943,631 | ||||
Walgreens Boots Alliance, Inc. | 145,905 | 5,529,799 | ||||
Walmart, Inc. | 280,603 | 34,115,713 | ||||
444,469,782 | ||||||
ENERGY — 4.3% | ||||||
APA Corp. | 72,355 | 2,525,190 | ||||
Baker Hughes Co. | 190,579 | 5,502,016 | ||||
ChampionX Corp. | 1 | 20 | ||||
Chevron Corp. | 392,017 | 56,756,221 | ||||
ConocoPhillips | 258,935 | 23,254,952 | ||||
Coterra Energy, Inc. | 157,078 | 4,051,042 | ||||
Devon Energy Corp. | 120,173 | 6,622,734 | ||||
Diamondback Energy, Inc. | 32,200 | 3,901,030 | ||||
EOG Resources, Inc. | 115,571 | 12,763,661 | ||||
Exxon Mobil Corp. | 840,175 | 71,952,587 | ||||
Halliburton Co. | 183,567 | 5,756,661 | ||||
Hess Corp. | 56,357 | 5,970,461 | ||||
Kinder Morgan, Inc. | 395,850 | 6,634,446 | ||||
Marathon Oil Corp. | 146,988 | 3,304,290 | ||||
Marathon Petroleum Corp. | 109,241 | 8,980,703 | ||||
Occidental Petroleum Corp. | 176,073 | 10,367,178 | ||||
ONEOK, Inc. | 91,196 | 5,061,378 | ||||
Phillips 66 | 95,773 | 7,852,428 | ||||
Pioneer Natural Resources Co. | 44,076 | 9,832,474 |
Security Description | Shares | Value | ||||
Schlumberger NV | 282,150 | $ 10,089,684 | ||||
Valero Energy Corp. | 80,123 | 8,515,473 | ||||
Williams Cos., Inc. | 238,958 | 7,457,879 | ||||
277,152,508 | ||||||
FINANCIALS — 10.5% | ||||||
Aflac, Inc. | 117,906 | 6,523,739 | ||||
Allstate Corp. | 55,239 | 7,000,438 | ||||
American Express Co. | 122,312 | 16,954,889 | ||||
American International Group, Inc. | 160,201 | 8,191,077 | ||||
Ameriprise Financial, Inc. | 21,944 | 5,215,650 | ||||
Aon PLC Class A | 41,698 | 11,245,117 | ||||
Arthur J Gallagher & Co. | 41,200 | 6,717,248 | ||||
Assurant, Inc. | 10,485 | 1,812,332 | ||||
Bank of America Corp. | 1,415,605 | 44,067,784 | ||||
Bank of New York Mellon Corp. | 146,294 | 6,101,923 | ||||
Berkshire Hathaway, Inc. Class B (a) | 360,684 | 98,473,946 | ||||
BlackRock, Inc. | 28,516 | 17,367,385 | ||||
Brown & Brown, Inc. | 47,700 | 2,782,818 | ||||
Capital One Financial Corp. | 79,495 | 8,282,584 | ||||
Cboe Global Markets, Inc. | 22,300 | 2,524,137 | ||||
Charles Schwab Corp. | 298,304 | 18,846,847 | ||||
Chubb, Ltd. | 83,453 | 16,405,191 | ||||
Cincinnati Financial Corp. | 28,309 | 3,368,205 | ||||
Citigroup, Inc. | 389,327 | 17,905,149 | ||||
Citizens Financial Group, Inc. | 95,900 | 3,422,671 | ||||
CME Group, Inc. | 72,163 | 14,771,766 | ||||
Comerica, Inc. | 24,127 | 1,770,439 | ||||
Discover Financial Services | 56,928 | 5,384,250 | ||||
Everest Re Group, Ltd. | 8,300 | 2,326,324 | ||||
FactSet Research Systems, Inc. | 7,500 | 2,884,275 | ||||
Fifth Third Bancorp | 139,862 | 4,699,363 | ||||
First Republic Bank | 36,600 | 5,277,720 | ||||
Franklin Resources, Inc. | 51,589 | 1,202,540 | ||||
Globe Life, Inc. | 17,212 | 1,677,654 | ||||
Goldman Sachs Group, Inc. | 68,846 | 20,448,639 | ||||
Hartford Financial Services Group, Inc. | 66,667 | 4,362,022 | ||||
Huntington Bancshares, Inc. | 287,891 | 3,463,329 | ||||
Intercontinental Exchange, Inc. | 112,485 | 10,578,089 | ||||
Invesco, Ltd. | 62,711 | 1,011,528 | ||||
JPMorgan Chase & Co. | 585,843 | 65,971,780 | ||||
KeyCorp. | 192,996 | 3,325,321 | ||||
Lincoln National Corp. | 31,082 | 1,453,705 | ||||
Loews Corp. | 36,819 | 2,181,894 | ||||
M&T Bank Corp. | 36,545 | 5,824,908 | ||||
MarketAxess Holdings, Inc. | 7,000 | 1,792,070 | ||||
Marsh & McLennan Cos., Inc. | 100,719 | 15,636,625 | ||||
MetLife, Inc. | 135,570 | 8,512,440 | ||||
Moody's Corp. | 32,432 | 8,820,531 | ||||
Morgan Stanley | 280,227 | 21,314,066 | ||||
MSCI, Inc. | 16,000 | 6,594,400 |
Security Description | Shares | Value | ||||
Nasdaq, Inc. | 22,075 | $ 3,367,320 | ||||
Northern Trust Corp. | 40,396 | 3,897,406 | ||||
PNC Financial Services Group, Inc. | 81,375 | 12,838,534 | ||||
Principal Financial Group, Inc. | 45,165 | 3,016,570 | ||||
Progressive Corp. | 115,349 | 13,411,628 | ||||
Prudential Financial, Inc. | 74,302 | 7,109,215 | ||||
Raymond James Financial, Inc. | 39,000 | 3,486,990 | ||||
Regions Financial Corp. | 188,346 | 3,531,487 | ||||
S&P Global, Inc. | 68,588 | 23,118,271 | ||||
Signature Bank | 12,100 | 2,168,441 | ||||
State Street Corp. (c) | 74,878 | 4,616,229 | ||||
SVB Financial Group (a) | 11,300 | 4,463,387 | ||||
Synchrony Financial | 99,976 | 2,761,337 | ||||
T Rowe Price Group, Inc. | 46,355 | 5,266,392 | ||||
Travelers Cos., Inc. | 47,206 | 7,983,951 | ||||
Truist Financial Corp. | 264,715 | 12,555,432 | ||||
US Bancorp | 271,922 | 12,513,850 | ||||
Wells Fargo & Co. | 757,803 | 29,683,144 | ||||
Willis Towers Watson PLC | 23,045 | 4,548,853 | ||||
WR Berkley Corp. | 42,500 | 2,901,050 | ||||
Zions Bancorp NA | 28,695 | 1,460,575 | ||||
689,194,870 | ||||||
HEALTH CARE — 14.7% | ||||||
Abbott Laboratories | 349,749 | 38,000,229 | ||||
AbbVie, Inc. | 352,680 | 54,016,469 | ||||
ABIOMED, Inc. (a) | 8,400 | 2,079,084 | ||||
Agilent Technologies, Inc. | 59,193 | 7,030,353 | ||||
Align Technology, Inc. (a) | 14,100 | 3,337,047 | ||||
AmerisourceBergen Corp. | 29,034 | 4,107,730 | ||||
Amgen, Inc. | 106,854 | 25,997,578 | ||||
Baxter International, Inc. | 100,279 | 6,440,920 | ||||
Becton Dickinson & Co. | 56,556 | 13,942,751 | ||||
Biogen, Inc. (a) | 28,284 | 5,768,239 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 4,000 | 1,980,000 | ||||
Bio-Techne Corp. | 8,000 | 2,773,120 | ||||
Boston Scientific Corp. (a) | 287,957 | 10,732,157 | ||||
Bristol-Myers Squibb Co. | 425,475 | 32,761,575 | ||||
Cardinal Health, Inc. | 51,633 | 2,698,857 | ||||
Catalent, Inc. (a) | 34,400 | 3,690,776 | ||||
Centene Corp. (a) | 118,004 | 9,984,318 | ||||
Charles River Laboratories International, Inc. (a) | 9,300 | 1,989,921 | ||||
Cigna Corp. | 63,041 | 16,612,564 | ||||
Cooper Cos., Inc. | 9,900 | 3,099,888 | ||||
CVS Health Corp. | 262,394 | 24,313,428 | ||||
Danaher Corp. | 129,294 | 32,778,615 | ||||
DaVita, Inc. (a) | 12,028 | 961,759 | ||||
DENTSPLY SIRONA, Inc. | 40,134 | 1,433,988 | ||||
DexCom, Inc. (a) | 76,800 | 5,723,904 | ||||
Edwards Lifesciences Corp. (a) | 125,130 | 11,898,612 | ||||
Elevance Health, Inc. | 48,219 | 23,269,525 |
Security Description | Shares | Value | ||||
Eli Lilly & Co. | 157,372 | $ 51,024,724 | ||||
Gilead Sciences, Inc. | 251,752 | 15,560,791 | ||||
HCA Healthcare, Inc. | 46,000 | 7,730,760 | ||||
Henry Schein, Inc. (a) | 25,500 | 1,956,870 | ||||
Hologic, Inc. (a) | 50,100 | 3,471,930 | ||||
Humana, Inc. | 24,890 | 11,650,262 | ||||
IDEXX Laboratories, Inc. (a) | 16,800 | 5,892,264 | ||||
Illumina, Inc. (a) | 30,800 | 5,678,288 | ||||
Incyte Corp. (a) | 38,300 | 2,909,651 | ||||
Intuitive Surgical, Inc. (a) | 70,732 | 14,196,620 | ||||
IQVIA Holdings, Inc. (a) | 37,200 | 8,072,028 | ||||
Johnson & Johnson | 524,608 | 93,123,166 | ||||
Laboratory Corp. of America Holdings | 18,975 | 4,446,981 | ||||
McKesson Corp. | 28,852 | 9,411,811 | ||||
Medtronic PLC | 268,493 | 24,097,247 | ||||
Merck & Co., Inc. | 504,872 | 46,029,180 | ||||
Mettler-Toledo International, Inc. (a) | 4,600 | 5,284,342 | ||||
Moderna, Inc. (a) | 68,400 | 9,770,940 | ||||
Molina Healthcare, Inc. (a) | 12,100 | 3,383,281 | ||||
Organon & Co. | 46,067 | 1,554,761 | ||||
PerkinElmer, Inc. | 25,986 | 3,695,729 | ||||
Pfizer, Inc. | 1,119,633 | 58,702,358 | ||||
Quest Diagnostics, Inc. | 22,442 | 2,984,337 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 21,442 | 12,675,009 | ||||
ResMed, Inc. | 29,000 | 6,079,270 | ||||
STERIS PLC | 19,300 | 3,978,695 | ||||
Stryker Corp. | 67,694 | 13,466,367 | ||||
Teleflex, Inc. | 9,800 | 2,409,330 | ||||
Thermo Fisher Scientific, Inc. | 78,212 | 42,491,015 | ||||
UnitedHealth Group, Inc. | 187,074 | 96,086,819 | ||||
Universal Health Services, Inc. Class B | 13,400 | 1,349,514 | ||||
Vertex Pharmaceuticals, Inc. (a) | 50,552 | 14,245,048 | ||||
Viatris, Inc. | 245,014 | 2,565,297 | ||||
Waters Corp. (a) | 11,550 | 3,822,819 | ||||
West Pharmaceutical Services, Inc. | 14,200 | 4,293,654 | ||||
Zimmer Biomet Holdings, Inc. | 40,425 | 4,247,051 | ||||
Zoetis, Inc. | 94,420 | 16,229,854 | ||||
961,991,470 | ||||||
INDUSTRIALS — 7.6% | ||||||
3M Co. | 114,329 | 14,795,316 | ||||
A.O. Smith Corp. | 24,500 | 1,339,660 | ||||
Alaska Air Group, Inc. (a) | 23,100 | 925,155 | ||||
Allegion PLC | 16,496 | 1,614,958 | ||||
American Airlines Group, Inc. (a) | 118,900 | 1,507,652 | ||||
AMETEK, Inc. | 44,399 | 4,879,006 | ||||
Boeing Co. (a) | 109,464 | 14,965,918 | ||||
C.H. Robinson Worldwide, Inc. | 25,879 | 2,623,354 | ||||
Carrier Global Corp. | 166,179 | 5,925,943 |
Security Description | Shares | Value | |||
Caterpillar, Inc. | 106,924 | $ 19,113,734 | |||
Cintas Corp. | 17,366 | 6,486,722 | |||
Copart, Inc. (a) | 41,400 | 4,498,524 | |||
CSX Corp. | 429,665 | 12,486,065 | |||
Cummins, Inc. | 28,214 | 5,460,255 | |||
Deere & Co. | 55,983 | 16,765,229 | |||
Delta Air Lines, Inc. (a) | 123,734 | 3,584,574 | |||
Dover Corp. | 29,750 | 3,609,270 | |||
Eaton Corp. PLC | 80,425 | 10,132,746 | |||
Emerson Electric Co. | 116,379 | 9,256,786 | |||
Equifax, Inc. | 23,588 | 4,311,415 | |||
Expeditors International of Washington, Inc. | 31,976 | 3,116,381 | |||
Fastenal Co. | 117,216 | 5,851,423 | |||
FedEx Corp. | 47,050 | 10,666,706 | |||
Fortive Corp. | 69,949 | 3,803,827 | |||
Fortune Brands Home & Security, Inc. | 24,900 | 1,491,012 | |||
Generac Holdings, Inc. (a) | 12,700 | 2,674,366 | |||
General Dynamics Corp. | 45,172 | 9,994,305 | |||
General Electric Co. | 216,823 | 13,805,120 | |||
Honeywell International, Inc. | 136,278 | 23,686,479 | |||
Howmet Aerospace, Inc. | 70,386 | 2,213,640 | |||
Huntington Ingalls Industries, Inc. | 7,400 | 1,611,868 | |||
IDEX Corp. | 15,400 | 2,797,102 | |||
Illinois Tool Works, Inc. | 55,500 | 10,114,875 | |||
Ingersoll Rand, Inc. | 76,987 | 3,239,613 | |||
Jacobs Engineering Group, Inc. | 25,943 | 3,298,134 | |||
JB Hunt Transport Services, Inc. | 17,000 | 2,676,990 | |||
Johnson Controls International PLC | 141,108 | 6,756,251 | |||
L3Harris Technologies, Inc. | 38,121 | 9,213,846 | |||
Leidos Holdings, Inc. | 27,800 | 2,799,738 | |||
Lockheed Martin Corp. | 47,471 | 20,410,631 | |||
Masco Corp. | 44,684 | 2,261,010 | |||
Nielsen Holdings PLC | 66,225 | 1,537,745 | |||
Nordson Corp. | 9,900 | 2,004,156 | |||
Norfolk Southern Corp. | 46,887 | 10,656,946 | |||
Northrop Grumman Corp. | 29,325 | 14,034,065 | |||
Old Dominion Freight Line, Inc. | 18,750 | 4,805,250 | |||
Otis Worldwide Corp. | 81,889 | 5,787,096 | |||
PACCAR, Inc. | 70,739 | 5,824,649 | |||
Parker-Hannifin Corp. | 26,089 | 6,419,199 | |||
Pentair PLC | 30,404 | 1,391,591 | |||
Quanta Services, Inc. | 29,707 | 3,723,475 | |||
Raytheon Technologies Corp. | 297,501 | 28,592,821 | |||
Republic Services, Inc. | 40,389 | 5,285,708 | |||
Robert Half International, Inc. | 20,466 | 1,532,699 | |||
Rockwell Automation, Inc. | 22,426 | 4,469,726 | |||
Rollins, Inc. | 41,625 | 1,453,545 | |||
Snap-on, Inc. | 9,840 | 1,938,775 | |||
Southwest Airlines Co. (a) | 114,459 | 4,134,259 | |||
Stanley Black & Decker, Inc. | 30,757 | 3,225,179 |
Security Description | Shares | Value | ||||
Textron, Inc. | 43,633 | $ 2,664,667 | ||||
Trane Technologies PLC | 46,184 | 5,997,916 | ||||
TransDigm Group, Inc. (a) | 10,000 | 5,366,700 | ||||
Union Pacific Corp. | 125,598 | 26,787,542 | ||||
United Airlines Holdings, Inc. (a) | 64,000 | 2,266,880 | ||||
United Parcel Service, Inc. Class B | 146,891 | 26,813,483 | ||||
United Rentals, Inc. (a) | 13,700 | 3,327,867 | ||||
Verisk Analytics, Inc. | 31,000 | 5,365,790 | ||||
W.W. Grainger, Inc. | 8,157 | 3,706,786 | ||||
Waste Management, Inc. | 76,935 | 11,769,516 | ||||
Westinghouse Air Brake Technologies Corp. | 35,266 | 2,894,633 | ||||
Xylem, Inc. | 36,458 | 2,850,286 | ||||
493,394,549 | ||||||
INFORMATION TECHNOLOGY — 26.0% | ||||||
Accenture PLC Class A | 126,518 | 35,127,723 | ||||
Adobe, Inc. (a) | 94,444 | 34,572,171 | ||||
Advanced Micro Devices, Inc. (a) | 324,294 | 24,798,762 | ||||
Akamai Technologies, Inc. (a) | 30,690 | 2,802,918 | ||||
Amphenol Corp. Class A | 116,440 | 7,496,407 | ||||
Analog Devices, Inc. | 105,061 | 15,348,361 | ||||
ANSYS, Inc. (a) | 16,900 | 4,044,001 | ||||
Apple, Inc. | 3,062,096 | 418,649,765 | ||||
Applied Materials, Inc. | 174,954 | 15,917,315 | ||||
Arista Networks, Inc. (a) | 43,300 | 4,058,942 | ||||
Autodesk, Inc. (a) | 43,006 | 7,395,312 | ||||
Automatic Data Processing, Inc. | 83,752 | 17,591,270 | ||||
Broadcom, Inc. | 81,591 | �� | 39,637,724 | |||
Broadridge Financial Solutions, Inc. | 22,100 | 3,150,355 | ||||
Cadence Design Systems, Inc. (a) | 53,900 | 8,086,617 | ||||
CDW Corp. | 27,700 | 4,364,412 | ||||
Ceridian HCM Holding, Inc. (a) | 25,000 | 1,177,000 | ||||
Cisco Systems, Inc. | 830,090 | 35,395,038 | ||||
Citrix Systems, Inc. (a) | 25,489 | 2,476,766 | ||||
Cognizant Technology Solutions Corp. Class A | 103,241 | 6,967,735 | ||||
Corning, Inc. | 152,326 | 4,799,792 | ||||
DXC Technology Co. (a) | 46,338 | 1,404,505 | ||||
Enphase Energy, Inc. (a) | 27,000 | 5,271,480 | ||||
EPAM Systems, Inc. (a) | 11,800 | 3,478,404 | ||||
F5, Inc. (a) | 11,041 | 1,689,715 | ||||
Fidelity National Information Services, Inc. | 122,991 | 11,274,585 | ||||
Fiserv, Inc. (a) | 115,424 | 10,269,273 | ||||
FleetCor Technologies, Inc. (a) | 15,300 | 3,214,683 | ||||
Fortinet, Inc. (a) | 132,000 | 7,468,560 | ||||
Gartner, Inc. (a) | 15,900 | 3,845,097 | ||||
Global Payments, Inc. | 55,468 | 6,136,980 |
Security Description | Shares | Value | |||
Hewlett Packard Enterprise Co. | 259,453 | $ 3,440,347 | |||
HP, Inc. | 212,053 | 6,951,097 | |||
Intel Corp. | 817,536 | 30,584,022 | |||
International Business Machines Corp. | 179,995 | 25,413,494 | |||
Intuit, Inc. | 56,637 | 21,830,165 | |||
Jack Henry & Associates, Inc. | 13,600 | 2,448,272 | |||
Juniper Networks, Inc. | 59,749 | 1,702,846 | |||
Keysight Technologies, Inc. (a) | 37,200 | 5,128,020 | |||
KLA Corp. | 29,332 | 9,359,255 | |||
Lam Research Corp. | 27,277 | 11,624,094 | |||
Mastercard, Inc. Class A | 171,351 | 54,057,813 | |||
Microchip Technology, Inc. | 109,266 | 6,346,169 | |||
Micron Technology, Inc. | 224,634 | 12,417,768 | |||
Microsoft Corp. | 1,489,458 | 382,537,498 | |||
Monolithic Power Systems, Inc. | 8,700 | 3,341,148 | |||
Motorola Solutions, Inc. | 33,872 | 7,099,571 | |||
NetApp, Inc. | 44,814 | 2,923,665 | |||
NortonLifeLock, Inc. | 118,060 | 2,592,598 | |||
NVIDIA Corp. | 499,376 | 75,700,408 | |||
NXP Semiconductors NV | 52,200 | 7,727,166 | |||
ON Semiconductor Corp. (a) | 84,500 | 4,251,195 | |||
Oracle Corp. | 315,235 | 22,025,469 | |||
Paychex, Inc. | 63,307 | 7,208,768 | |||
Paycom Software, Inc. (a) | 9,100 | 2,549,092 | |||
PayPal Holdings, Inc. (a) | 232,345 | 16,226,975 | |||
PTC, Inc. (a) | 21,500 | 2,286,310 | |||
Qorvo, Inc. (a) | 20,200 | 1,905,264 | |||
QUALCOMM, Inc. | 223,926 | 28,604,307 | |||
Roper Technologies, Inc. | 20,665 | 8,155,442 | |||
Salesforce, Inc. (a) | 198,595 | 32,776,119 | |||
Seagate Technology Holdings PLC | 37,424 | 2,673,571 | |||
ServiceNow, Inc. (a) | 40,200 | 19,115,904 | |||
Skyworks Solutions, Inc. | 33,000 | 3,057,120 | |||
SolarEdge Technologies, Inc. (a) | 10,600 | 2,901,008 | |||
Synopsys, Inc. (a) | 30,900 | 9,384,330 | |||
TE Connectivity, Ltd. | 63,951 | 7,236,056 | |||
Teledyne Technologies, Inc. (a) | 9,190 | 3,447,261 | |||
Teradyne, Inc. (b) | 30,800 | 2,758,140 | |||
Texas Instruments, Inc. | 184,393 | 28,331,984 | |||
Trimble, Inc. (a) | 47,400 | 2,760,102 | |||
Tyler Technologies, Inc. (a) | 8,100 | 2,693,088 | |||
VeriSign, Inc. (a) | 18,201 | 3,045,573 | |||
Visa, Inc. Class A | 328,260 | 64,631,111 | |||
Western Digital Corp. (a) | 59,053 | 2,647,346 | |||
Zebra Technologies Corp. Class A (a) | 10,700 | 3,145,265 | |||
1,704,953,884 |
Security Description | Shares | Value | ||||
MATERIALS — 2.5% | ||||||
Air Products & Chemicals, Inc. | 44,702 | $ 10,749,937 | ||||
Albemarle Corp. | 22,600 | 4,722,948 | ||||
Alcoa Corp. | 1 | 46 | ||||
Amcor PLC | 302,926 | 3,765,370 | ||||
Avery Dennison Corp. | 16,770 | 2,714,560 | ||||
Ball Corp. | 61,132 | 4,204,048 | ||||
Celanese Corp. | 21,800 | 2,563,898 | ||||
CF Industries Holdings, Inc. | 40,520 | 3,473,780 | ||||
Corteva, Inc. | 142,982 | 7,741,045 | ||||
Dow, Inc. | 144,248 | 7,444,639 | ||||
DuPont de Nemours, Inc. | 101,173 | 5,623,195 | ||||
Eastman Chemical Co. | 24,636 | 2,211,574 | ||||
Ecolab, Inc. | 49,000 | 7,534,240 | ||||
FMC Corp. | 25,078 | 2,683,597 | ||||
Freeport-McMoRan, Inc. | 282,740 | 8,272,972 | ||||
International Flavors & Fragrances, Inc. | 51,876 | 6,179,469 | ||||
International Paper Co. | 73,103 | 3,057,898 | ||||
Linde PLC | 100,663 | 28,943,632 | ||||
LyondellBasell Industries NV Class A | 50,758 | 4,439,295 | ||||
Martin Marietta Materials, Inc. | 12,845 | 3,843,738 | ||||
Mosaic Co. | 69,984 | 3,305,344 | ||||
Newmont Corp. | 160,033 | 9,549,169 | ||||
Nucor Corp. | 52,648 | 5,496,978 | ||||
Packaging Corp. of America | 19,200 | 2,640,000 | ||||
PPG Industries, Inc. | 45,754 | 5,231,512 | ||||
Sealed Air Corp. | 27,223 | 1,571,312 | ||||
Sherwin-Williams Co. | 48,227 | 10,798,508 | ||||
Vulcan Materials Co. | 27,371 | 3,889,419 | ||||
Westrock Co. | 49,036 | 1,953,594 | ||||
164,605,717 | ||||||
REAL ESTATE — 2.8% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 29,900 | 4,336,397 | ||||
American Tower Corp. REIT | 93,018 | 23,774,471 | ||||
AvalonBay Communities, Inc. REIT | 28,469 | 5,530,103 | ||||
Boston Properties, Inc. REIT | 26,846 | 2,388,757 | ||||
Camden Property Trust REIT | 22,200 | 2,985,456 | ||||
CBRE Group, Inc. Class A (a) | 64,667 | 4,760,138 | ||||
Crown Castle International Corp. REIT | 85,258 | 14,355,742 | ||||
Digital Realty Trust, Inc. REIT | 55,900 | 7,257,497 | ||||
Duke Realty Corp. REIT | 74,000 | 4,066,300 | ||||
Equinix, Inc. REIT | 18,043 | 11,854,612 | ||||
Equity Residential REIT | 69,919 | 5,049,550 | ||||
Essex Property Trust, Inc. REIT | 12,645 | 3,306,794 | ||||
Extra Space Storage, Inc. REIT | 25,800 | 4,389,096 | ||||
Federal Realty OP LP, REIT | 12,900 | 1,235,046 | ||||
Healthpeak Properties, Inc. REIT | 101,823 | 2,638,234 |
Security Description | Shares | Value | ||||
Host Hotels & Resorts, Inc. REIT | 144,862 | $ 2,271,436 | ||||
Iron Mountain, Inc. REIT | 57,181 | 2,784,143 | ||||
Kimco Realty Corp. REIT | 125,353 | 2,478,229 | ||||
Mid-America Apartment Communities, Inc. REIT | 23,700 | 4,139,679 | ||||
Prologis, Inc. REIT | 148,450 | 17,465,142 | ||||
Public Storage REIT | 30,835 | 9,641,179 | ||||
Realty Income Corp. REIT | 121,600 | 8,300,416 | ||||
Regency Centers Corp. REIT | 28,300 | 1,678,473 | ||||
SBA Communications Corp. REIT | 21,900 | 7,009,095 | ||||
Simon Property Group, Inc. REIT | 64,780 | 6,148,918 | ||||
UDR, Inc. REIT | 58,200 | 2,679,528 | ||||
Ventas, Inc. REIT | 77,497 | 3,985,671 | ||||
VICI Properties, Inc. REIT | 187,200 | 5,576,688 | ||||
Vornado Realty Trust REIT | 29,168 | 833,913 | ||||
Welltower, Inc. REIT | 90,719 | 7,470,710 | ||||
Weyerhaeuser Co. REIT | 143,987 | 4,768,849 | ||||
185,160,262 | ||||||
UTILITIES — 3.0% | ||||||
AES Corp. | 135,036 | 2,837,106 | ||||
Alliant Energy Corp. | 51,100 | 2,994,971 | ||||
Ameren Corp. | 49,604 | 4,482,217 | ||||
American Electric Power Co., Inc. | 101,609 | 9,748,367 | ||||
American Water Works Co., Inc. | 37,100 | 5,519,367 | ||||
Atmos Energy Corp. (b) | 28,800 | 3,228,480 | ||||
CenterPoint Energy, Inc. | 129,676 | 3,835,816 | ||||
CMS Energy Corp. | 56,555 | 3,817,463 | ||||
Consolidated Edison, Inc. | 71,852 | 6,833,125 | ||||
Constellation Energy Corp. | 63,594 | 3,641,392 | ||||
Dominion Energy, Inc. | 160,066 | 12,774,867 | ||||
DTE Energy Co. | 37,445 | 4,746,154 | ||||
Duke Energy Corp. | 154,492 | 16,563,087 | ||||
Edison International | 73,414 | 4,642,701 | ||||
Entergy Corp. | 38,998 | 4,392,735 | ||||
Evergy, Inc. | 45,299 | 2,955,760 | ||||
Eversource Energy | 70,217 | 5,931,230 | ||||
Exelon Corp. | 192,484 | 8,723,375 | ||||
FirstEnergy Corp. | 116,993 | 4,491,361 | ||||
NextEra Energy, Inc. | 392,756 | 30,422,880 | ||||
NiSource, Inc. | 83,704 | 2,468,431 |
Security Description | Shares | Value | |||
NRG Energy, Inc. | 45,002 | $ 1,717,726 | |||
Pinnacle West Capital Corp. | 20,704 | 1,513,877 | |||
PPL Corp. | 146,019 | 3,961,496 | |||
Public Service Enterprise Group, Inc. | 96,688 | 6,118,417 | |||
Sempra Energy | 61,562 | 9,250,922 | |||
Southern Co. | 209,359 | 14,929,390 | |||
WEC Energy Group, Inc. | 64,082 | 6,449,213 | |||
Xcel Energy, Inc. | 108,951 | 7,709,373 | |||
196,701,299 | |||||
TOTAL COMMON STOCKS (Cost $4,933,499,515) | 6,351,687,830 |
SHORT-TERM INVESTMENTS — 3.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (d) (e) | 203,428,509 | 203,428,509 | |
State Street Navigator Securities Lending Portfolio II (c) (f) | 7,766,565 | 7,766,565 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $211,195,074) | 211,195,074 | ||
TOTAL INVESTMENTS — 100.2% (Cost $5,144,694,589) | 6,562,882,904 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (11,915,056) | ||
NET ASSETS — 100.0% | $ 6,550,967,848 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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) | 1,070 | 09/16/2022 | $200,947,112 | $202,738,156 | $1,791,044 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $6,351,687,830 | $— | $— | $6,351,687,830 | ||||
Short-Term Investments | 211,195,074 | — | — | 211,195,074 | ||||
TOTAL INVESTMENTS | $6,562,882,904 | $— | $— | $6,562,882,904 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,791,044 | — | — | 1,791,044 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,791,044 | $— | $— | $ 1,791,044 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $6,564,673,948 | $— | $— | $6,564,673,948 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Corp. | 63,678 | $ 5,922,054 | $ 842,360 | $ — | $— | $(2,148,185) | 74,878 | $ 4,616,229 | $ 81,143 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 233,022,880 | 233,022,880 | 898,457,038 | 928,051,409 | — | — | 203,428,509 | 203,428,509 | 408,408 | ||||||||
State Street Navigator Securities Lending Portfolio II | 6,637,405 | 6,637,405 | 36,069,287 | 34,940,127 | — | — | 7,766,565 | 7,766,565 | 6,286 | ||||||||
Total | $245,582,339 | $935,368,685 | $962,991,536 | $— | $(2,148,185) | $ 215,811,303 | $495,837 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $6,347,071,601 |
Investments in affiliated issuers, at value | 215,811,303 |
Total Investments | 6,562,882,904 |
Net cash at broker | 7,742,729 |
Cash | 403,215 |
Receivable from broker — accumulated variation margin on futures contracts | 1,793,673 |
Receivable for fund shares sold | 90,670,000 |
Dividends receivable — unaffiliated issuers | 4,870,004 |
Dividends receivable — affiliated issuers | 238,208 |
Securities lending income receivable — unaffiliated issuers | 494 |
Securities lending income receivable — affiliated issuers | 1,086 |
TOTAL ASSETS | 6,668,602,313 |
LIABILITIES | |
Payable upon return of securities loaned | 7,766,565 |
Payable for investments purchased | 104,569,592 |
Payable for fund shares repurchased | 4,672,935 |
Administration, custody, and transfer agent fees payable | 445,732 |
Registration and filing fees payable | 5,201 |
Professional fees payable | 44,955 |
Printing and postage fees payable | 23,122 |
Accrued expenses and other liabilities | 106,363 |
TOTAL LIABILITIES | 117,634,465 |
NET ASSETS | $6,550,967,848 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 5,145,904,113 |
Total distributable earnings (loss) | 1,405,063,735 |
NET ASSETS | $6,550,967,848 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 345.74 |
Shares outstanding (unlimited amount authorized, no par value) | 18,947,829 |
Net Assets | $6,550,967,848 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,928,186,334 |
Investments in affiliated issuers | 216,508,255 |
Total cost of investments | $5,144,694,589 |
* Includes investments in securities on loan, at value | $ 8,704,886 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 51,892,431 |
Dividend income — affiliated issuers | 489,551 |
Unaffiliated securities lending income | 2,484 |
Affiliated securities lending income | 6,286 |
Foreign taxes withheld | (12,802) |
TOTAL INVESTMENT INCOME (LOSS) | 52,377,950 |
EXPENSES | |
Administration, custody, and transfer agent fees | 444,020 |
Trustees’ fees and expenses | 36,822 |
Licensing and Registration Fees | 19,534 |
Professional fees | 47,318 |
Printing and postage fees | 12,158 |
Insurance expense | 10,616 |
Miscellaneous expenses | 65,977 |
TOTAL EXPENSES | 636,445 |
NET INVESTMENT INCOME (LOSS) | $ 51,741,505 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,934,318) |
Futures contracts | (44,108,867) |
Net realized gain (loss) | (46,043,185) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (1,537,818,604) |
Investments — affiliated issuers | (2,148,185) |
Futures contracts | 688,480 |
Net change in unrealized appreciation/depreciation | (1,539,278,309) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,585,321,494) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(1,533,579,989) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 51,741,505 | $ 81,847,416 | |
Net realized gain (loss) | (46,043,185) | 103,073,370 | |
Net change in unrealized appreciation/depreciation | (1,539,278,309) | 1,331,068,722 | |
Net increase (decrease) in net assets resulting from operations | (1,533,579,989) | 1,515,989,508 | |
Distributions to shareholders | — | (177,080,594) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 1,251,846,020 | 2,052,984,080 | |
Reinvestment of distributions | — | 177,080,594 | |
Cost of shares redeemed | (245,942,231) | (1,222,576,978) | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,005,903,789 | 1,007,487,696 | |
Net increase (decrease) in net assets during the period | (527,676,200) | 2,346,396,610 | |
Net assets at beginning of period | 7,078,644,048 | 4,732,247,438 | |
NET ASSETS AT END OF PERIOD | $ 6,550,967,848 | $ 7,078,644,048 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 3,183,653 | 5,317,152 | |
Reinvestment of distributions | — | 420,250 | |
Shares redeemed | (618,093) | (3,081,038) | |
Net increase (decrease) from share transactions | 2,565,560 | 2,656,364 |
Six Months Ended 6/30/22(a) (Unaudited) | Year Ended 12/31/21(a) | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | ||||||
Net asset value, beginning of period | $ 432.09 | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 2.92 | 5.30 | 5.44 | 5.60 | 5.20 | 5.00 | |||||
Net realized and unrealized gain (loss) | (89.27) | 92.75 | 49.45 | 68.40 | (17.20) | 44.20 | |||||
Total from investment operations | (86.35) | 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 | $ 345.74 | $ 432.09 | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | |||||
Total return (c) | (19.98)% | 28.52% | 18.30% | 31.41% | (4.42)% | 21.66% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $6,550,968 | $7,078,644 | $4,732,247 | $3,223,997 | $2,634,533 | $2,199,181 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(d) | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% | |||||
Net expenses | 0.02%(d) | 0.02% | 0.02% | 0.02% | 0.02% | 0.03% | |||||
Net investment income (loss) | 1.51%(d) | 1.34% | 1.79% | 2.01% | 1.93% | 1.98% | |||||
Portfolio turnover rate | 0%(e)(f) | 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. |
(d) | Annualized. |
(e) | Amount is less than 0.50%. |
(f) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2022 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 47.11% |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,793,673 | $— | $1,793,673 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (44,108,867) | $— | (44,108,867) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $688,480 | $— | $688,480 |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $944,891,669 | $27,481,649 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $2,638,103,072 | $ 446,955,086 | $ — | $ 446,955,086 | |||
State Street Equity 500 Index II Portfolio | 5,200,232,988 | 1,553,458,358 | 189,017,398 | 1,364,440,960 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 8,704,886 | $ 7,766,565 | $ 1,230,435 | $ 8,997,000 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Equity 500 Index II Portfolio | Common Stocks | $7,766,565 | $— | $— | $— | $7,766,565 | $7,766,565 |
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 | 0.15% | $799.90 | $0.67 | $1,024.10 | $0.75 | ||||
Service Shares | 0.25 | 799.50 | 1.12 | 1,023.60 | 1.25 | ||||
Class R Shares | 0.60 | 798.10 | 2.67 | 1,021.80 | 3.01 | ||||
Class A Shares | 0.45 | 798.70 | 2.01 | 1,022.60 | 2.26 | ||||
Class I Shares | 0.20 | 799.70 | 0.89 | 1,023.80 | 1.00 | ||||
Class K Shares | 0.00 | 800.50 | 0.00 | 1,024.80 | 0.00 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 800.20 | 0.09 | 1,024.70 | 0.10 |
(a) | Expenses are equal to the Fund’s/Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund, which is a feeder fund for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund and Portfolio; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Fund and Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund and Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and Portfolio and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and Portfolio and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund and Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund and Portfolio by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund and Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund and Portfolio, and transfer agent of the Portfolio, and the role of the Adviser in managing the Fund’s and Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund and Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
13 | |
18 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $12,614,653,097 |
Receivable from Adviser | 5,827 |
TOTAL ASSETS | 12,614,658,924 |
LIABILITIES | |
Administration fees payable | 587,914 |
Shareholder servicing fee payable | 166,599 |
Distribution fees payable | 32,756 |
Transfer agent fees payable | 71,679 |
Registration and filing fees payable | 82,226 |
Professional fees payable | 29,032 |
Printing fees payable | 33,826 |
Distribution payable | 2,616,677 |
Accrued expenses and other liabilities | 208,835 |
TOTAL LIABILITIES | 3,829,544 |
NET ASSETS | $12,610,829,380 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 12,615,811,424 |
Total distributable earnings (loss) | (4,982,044) |
NET ASSETS | $12,610,829,380 |
Administration Class | |
Net Assets | $ 720,508,457 |
Shares Outstanding | 720,616,204 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Bancroft Capital Class | |
Net Assets | $ 49,985 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 0.9997 |
Institutional Class | |
Net Assets | $ 126,914,062 |
Shares Outstanding | 126,906,949 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Investment Class | |
Net Assets | $ 6,056 |
Shares Outstanding | 6,056 |
Net asset value, offering and redemption price per share | $ 1.0000 |
Investor Class | |
Net Assets | $ 59,260,857 |
Shares Outstanding | 59,264,766 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Opportunity Class | |
Net Assets | $ 49,987 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 0.9997 |
Premier Class | |
Net Assets | $ 11,209,266,526 |
Shares Outstanding | 11,210,044,151 |
Net asset value, offering and redemption price per share | $ 0.9999 |
Trust Class | |
Net Assets | $ 494,773,450 |
Shares Outstanding | 494,777,014 |
Net asset value, offering and redemption price per share | $ 1.0000 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $12,618,710,478 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $35,954,338 |
Expenses allocated from affiliated Portfolio | (4,190,212) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 31,764,126 |
EXPENSES | |
Administration fees | |
Administration Class | 180,908 |
Bancroft Capital Class | 12 |
Institutional Class | 21,331 |
Investment Class | 2 |
Investor Class | 28,234 |
Opportunity Class | 13 |
Premier Class | 2,950,459 |
Trust Class | 135,244 |
Shareholder servicing fees | |
Administration Class | 723,635 |
Bancroft Capital Class | 7 |
Institutional Class | 12,798 |
Investment Class | 7 |
Investor Class | 45,175 |
Opportunity Class | 7 |
Trust Class | 156,883 |
Distribution fees | |
Administration Class | 180,908 |
Investment Class | 4 |
Custodian fees | 35,478 |
Trustees’ fees and expenses | 10,463 |
Transfer agent fees | 147,584 |
Registration and filing fees | 67,110 |
Professional fees and expenses | 35,806 |
Printing and postage fees | 31,825 |
Insurance expense | 26,331 |
Miscellaneous expenses | 44,731 |
TOTAL EXPENSES | 4,834,955 |
Expenses waived/reimbursed by the Adviser | (262,722) |
NET EXPENSES | 4,572,233 |
NET INVESTMENT INCOME (LOSS) | $27,191,893 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 281,282 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (3,529,868) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,248,586) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $23,943,307 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 27,191,893 | $ 7,596,106 | |
Net realized gain (loss) | 281,282 | 328,885 | |
Net change in unrealized appreciation/depreciation | (3,529,868) | (1,003,186) | |
Net increase (decrease) in net assets resulting from operations | 23,943,307 | 6,921,805 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (1,025,288) | — | |
Bancroft Capital Class (a) | (100) | (1) | |
Institutional Class | (203,008) | (28,289) | |
Investment Class | (6) | — | |
Investor Class | (189,012) | (790) | |
Opportunity Class (b) | (100) | (1) | |
Premier Class | (24,743,160) | (7,534,333) | |
Trust Class | (1,049,488) | (32,775) | |
Total distributions to shareholders | (27,210,162) | (7,596,189) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 2,402,789,907 | 5,957,484,888 | |
Reinvestment of distributions | 377,799 | — | |
Shares redeemed | (2,346,001,278) | (5,861,507,676) | |
Net increase (decrease) from capital share transactions | 57,166,428 | 95,977,212 | |
Bancroft Capital Class (a) | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from capital share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 78,721,386 | 77,199,894 | |
Reinvestment of distributions | 176,729 | 6,990 | |
Shares redeemed | (32,564,911) | (150,369,173) | |
Net increase (decrease) from capital share transactions | 46,333,204 | (73,162,289) | |
Investment Class | |||
Reinvestment of distributions | 6 | — | |
Shares redeemed | (149) | — | |
Net increase (decrease) from capital share transactions | (143) | — | |
Investor Class | |||
Shares sold | 231,874,501 | 408,609,297 | |
Reinvestment of distributions | 124,366 | 381 | |
Shares redeemed | (304,509,663) | (374,710,475) | |
Net increase (decrease) from capital share transactions | (72,510,796) | 33,899,203 | |
Opportunity Class (b) | |||
Shares sold | — | 50,001 | |
Net increase (decrease) from capital share transactions | — | 50,001 | |
Premier Class | |||
Shares sold | 55,289,584,324 | 113,078,030,118 | |
Reinvestment of distributions | 20,345,184 | 6,680,516 | |
Shares redeemed | (55,743,891,712) | (116,292,575,431) | |
Net increase (decrease) from capital share transactions | (433,962,204) | (3,207,864,797) | |
Trust Class | |||
Shares sold | 4,188,443,466 | 7,081,187,234 | |
Reinvestment of distributions | 648,788 | 21,904 | |
Shares redeemed | (4,107,312,554) | (7,120,423,609) | |
Net increase (decrease) from capital share transactions | 81,779,700 | (39,214,471) | |
Net increase (decrease) in net assets from beneficial interest transactions | (321,193,811) | (3,190,265,141) | |
Net increase (decrease) in net assets during the period | (324,460,666) | (3,190,939,525) | |
Net assets at beginning of period | 12,935,290,046 | 16,126,229,571 | |
NET ASSETS AT END OF PERIOD | $ 12,610,829,380 | $ 12,935,290,046 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 2,402,927,265 | 5,956,707,098 | |
Reinvestment of distributions | 377,824 | — | |
Shares redeemed | (2,346,143,764) | (5,860,743,263) | |
Net increase (decrease) from share transactions | 57,161,325 | 95,963,835 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Bancroft Capital Class (a) | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 78,716,640 | 77,170,375 | |
Reinvestment of distributions | 176,705 | 6,987 | |
Shares redeemed | (32,558,434) | (150,309,629) | |
Net increase (decrease) from share transactions | 46,334,911 | (73,132,267) | |
Investment Class | |||
Reinvestment of distributions | 6 | — | |
Shares redeemed | (149) | — | |
Net increase (decrease) from share transactions | (143) | — | |
Investor Class | |||
Shares sold | 231,880,435 | 408,507,253 | |
Reinvestment of distributions | 124,373 | 381 | |
Shares redeemed | (304,512,105) | (374,613,664) | |
Net increase (decrease) from share transactions | (72,507,297) | 33,893,970 | |
Opportunity Class (b) | |||
Shares sold | — | 50,001 | |
Net increase (decrease) from share transactions | — | 50,001 | |
Premier Class | |||
Shares sold | 55,290,401,602 | 113,051,301,766 | |
Reinvestment of distributions | 20,345,573 | 6,678,864 | |
Shares redeemed | (55,745,237,773) | (116,265,052,910) | |
Net increase (decrease) from share transactions | (434,490,598) | (3,207,072,280) | |
Trust Class | |||
Shares sold | 4,188,307,963 | 7,079,718,262 | |
Reinvestment of distributions | 648,758 | 21,899 | |
Shares redeemed | (4,107,288,673) | (7,118,962,285) | |
Net increase (decrease) from share transactions | 81,668,048 | (39,222,124) |
(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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0014 | 0.0000(b) | 0.0039 | 0.0206 | 0.0174 | 0.0080 | |||||
Net realized and unrealized gain (loss) | (0.0002) | (0.0001) | — | (0.0001) | (0.0001) | 0.0000(b) | |||||
Total from investment operations | 0.0012 | (0.0001) | 0.0039 | 0.0205 | 0.0173 | 0.0080 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0013) | — | (0.0039) | (0.0203) | (0.0174) | (0.0080) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0013) | — | (0.0039) | (0.0203) | (0.0174) | (0.0080) | |||||
Net asset value, end of period | $ 0.9999 | $ 1.0000 | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | |||||
Total return (c) | 0.12% | (0.01)% | 0.39% | 2.07% | 1.75% | 0.80% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $720,508 | $663,480 | $567,550 | $613,074 | $956,750 | $831,606 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.37%(d) | 0.37% | 0.37% | 0.38% | 0.37% | 0.37% | |||||
Net expenses | 0.30%(d) | 0.17% | 0.32% | 0.37% | 0.37% | 0.37% | |||||
Net investment income (loss) | 0.28%(d) | 0.00%(e) | 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) | Annualized. |
(e) | Amount is less than 0.005%. |
Bancroft Capital Class (a) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/13/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0020 | 0.0000(b) | |
Net realized and unrealized gain (loss) | (0.0002) | (0.0001) | |
Total from investment operations | 0.0018 | (0.0001) | |
Distributions to shareholders from: | |||
Net investment income | (0.0020) | (0.0000)(b) | |
Net asset value, end of period | $ 0.9997 | $ 0.9999 | |
Total return (c) | 0.18% | (0.01)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(d) | 0.15%(d) | |
Net expenses | 0.14%(d) | 0.15%(d) | |
Net investment income (loss) | 0.41%(d) | 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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0003 | $ 1.0002 | $ 1.0001 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0023 | 0.0001 | 0.0054 | 0.0217 | 0.0108 | ||||
Net realized and unrealized gain (loss) | (0.0005) | 0.0001 | 0.0002 | �� | 0.0009 | 0.0001 | |||
Total from investment operations | 0.0018 | 0.0002 | 0.0056 | 0.0226 | 0.0109 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0020) | (0.0002) | (0.0055) | (0.0225) | (0.0108) | ||||
Net asset value, end of period | $ 1.0001 | $ 1.0003 | $ 1.0003 | $ 1.0002 | $ 1.0001 | ||||
Total return (b) | 0.18% | 0.02% | 0.56% | 2.28% | 1.08% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $126,914 | $ 80,594 | $153,757 | $183,304 | $ 55 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.15%(c) | 0.15% | 0.15% | 0.16% | 0.15%(c) | ||||
Net expenses | 0.15%(c) | 0.15% | 0.15% | 0.15% | 0.15%(c) | ||||
Net investment income (loss) | 0.47%(c) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0010 | 0.0000 | 0.0036 | 0.0201 | 0.0164 | 0.0070 | |||||
Net realized and unrealized gain (loss) | (0.0002) | — | — | (0.0003) | 0.0001 | (0.0001) | |||||
Total from investment operations | 0.0008 | 0.0000(b) | 0.0036 | 0.0198 | 0.0165 | 0.0069 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0010) | — | (0.0036) | (0.0196) | (0.0164) | (0.0070) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0010) | — | (0.0036) | (0.0196) | (0.0164) | (0.0070) | |||||
Net asset value, end of period | $ 1.0000 | $1.0002 | $ 1.0002 | $ 1.0002 | $ 1.0000 | $ 0.9999 | |||||
Total return (c) | 0.08% | 0.00%(d) | 0.37% | 1.99% | 1.67% | 0.69% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 6 | $ 6 | $ 6 | $ 12 | $ 23 | $ 5,547 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.48%(e) | 0.48% | 0.45% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.35%(e) | 0.17% | 0.35% | 0.45% | 0.47% | 0.47% | |||||
Net investment income (loss) | 0.20%(e) | (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%. |
(e) | Annualized. |
Investor Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0017 | 0.0000(b) | 0.0049 | 0.0219 | 0.0191 | 0.0055 | |||||
Net realized and unrealized gain (loss) | (0.0001) | (0.0001) | 0.0002 | 0.0003 | — | (0.0001) | |||||
Total from investment operations | 0.0016 | (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 | (0.0018) | (0.0000)(b) | (0.0050) | (0.0220) | (0.0191) | (0.0055) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0018) | (0.0000)(b) | (0.0050) | (0.0220) | (0.0191) | (0.0055) | |||||
Net asset value, end of period | $ 0.9999 | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | |||||
Total return (c) | 0.16% | (0.01)% | 0.51% | 2.24% | 1.92% | 0.54% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 59,261 | $131,790 | $ 97,898 | $ 36,424 | $ 40,881 | $ 34,361 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.21% | 0.20% | 0.20%(d) | |||||
Net expenses | 0.19%(d) | 0.17% | 0.20% | 0.20% | 0.20% | 0.20%(d) | |||||
Net investment income (loss) | 0.33%(d) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/28/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0020 | 0.0000(b) | |
Net realized and unrealized gain (loss) | (0.0002) | (0.0001) | |
Total from investment operations | 0.0018 | (0.0001) | |
Distributions to shareholders from: | |||
Net investment income | (0.0020) | (0.0000)(b) | |
Net asset value, end of period | $ 0.9997 | $ 0.9999 | |
Total return (c) | 0.18% | (0.01)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(d) | 0.15%(d) | |
Net expenses | 0.14%(d) | 0.15%(d) | |
Net investment income (loss) | 0.40%(d) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0021 | 0.0004 | 0.0058 | 0.0223 | 0.0199 | 0.0105 | |||||
Net realized and unrealized gain (loss) | (0.0002) | — | 0.0001 | 0.0007 | — | (0.0002) | |||||
Total from investment operations | 0.0019 | 0.0004 | 0.0059 | 0.0230 | 0.0199 | 0.0103 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0021) | (0.0005) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0021) | (0.0005) | (0.0058) | (0.0228) | (0.0199) | (0.0105) | |||||
Net asset value, end of period | $ 0.9999 | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | |||||
Total return (c) | 0.19% | 0.04% | 0.59% | 2.32% | 2.00% | 1.05% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $11,209,267 | $11,646,151 | $14,854,601 | $20,188,261 | $9,489,591 | $8,303,222 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.13% | 0.12% | 0.12% | |||||
Net expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.41%(d) | 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. |
(d) | Annualized. |
Trust Class(a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0019 | 0.0001 | 0.0052 | 0.0226 | 0.0193 | 0.0099 | |||||
Net realized and unrealized gain (loss) | (0.0002) | (0.0001) | 0.0001 | (0.0003) | 0.0001 | (0.0001) | |||||
Total from investment operations | 0.0017 | — | 0.0053 | 0.0223 | 0.0194 | 0.0098 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0018) | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0018) | (0.0001) | (0.0052) | (0.0222) | (0.0193) | (0.0099) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0001 | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | |||||
Total return (c) | 0.17% | (0.00)%(d) | 0.53% | 2.26% | 1.96% | 0.99% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $494,773 | $413,169 | $452,418 | $597,353 | $704,123 | $764,391 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.18%(e) | 0.18% | 0.18% | 0.18% | 0.18% | 0.18% | |||||
Net expenses | 0.18%(e) | 0.17% | 0.18% | 0.18% | 0.18% | 0.18% | |||||
Net investment income (loss) | 0.38%(e) | 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%. |
(e) | Annualized. |
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 | |
12/31/2025 | $ 256,835 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $12,618,710,478 | $— | $4,057,381 | $(4,057,381) |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional Liquid Reserves Fund | |||||||||
Administration Class | 0.30% | $1,001.20 | $1.49 | $1,023.30 | $1.51 | ||||
Bancroft Capital Class | 0.13 | 1,001.80 | 0.65 | 1,024.10 | 0.65 | ||||
Institutional Class | 0.15 | 1,001.80 | 0.74 | 1,024.10 | 0.75 | ||||
Investment Class | 0.37 | 1,001.40 | 1.84 | 1,023.00 | 1.86 | ||||
Investor Class | 0.19 | 1,001.60 | 0.94 | 1,023.90 | 0.95 | ||||
Opportunity Class | 0.14 | 1,001.80 | 0.69 | 1,024.10 | 0.70 | ||||
Premier Class | 0.12 | 1,001.90 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.17 | 1,001.70 | 0.84 | 1,024.00 | 0.85 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
17 |
% of Net Assets | |||
Certificates Of Deposit | 31.0% | ||
Other Notes | 28.5 | ||
Financial Company Commercial Paper | 17.2 | ||
Asset Backed Commercial Paper | 11.5 | ||
Other Repurchase Agreements | 7.6 | ||
Treasury Repurchase Agreements | 1.9 | ||
Government Agency Repurchase Agreements | 1.6 | ||
Treasury Debt | 0.6 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 31.8% | ||
2 to 30 Days | 24.3 | ||
31 to 60 Days | 10.5 | ||
61 to 90 Days | 4.9 | ||
Over 90 Days | 28.4 | ||
Total | 99.9% | ||
Average days to maturity | 14 | ||
Weighted average life | 56 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—11.5% | ||||||||||
Anglesea Funding LLC | 1.580% | 07/06/2022 | 07/06/2022 | $ 100,000,000 | $ 99,973,733 | |||||
Antalis SA | 0.380% | 07/06/2022 | 07/06/2022 | 120,110,000 | 120,077,951 | |||||
Barclays Bank PLC | 1.580% | 07/05/2022 | 07/05/2022 | 100,000,000 | 99,977,486 | |||||
Barton Capital SA | 1.580% | 07/01/2022 | 07/01/2022 | 45,000,000 | 44,998,057 | |||||
Barton Capital SA | 1.770% | 09/06/2022 | 09/06/2022 | 75,000,000 | 74,696,975 | |||||
Collateralized Commercial Paper V Co. LLC, SOFR + 0.43% | 1.940% | 07/01/2022 | 11/14/2022 | 152,000,000 | 152,000,000 | |||||
Ionic Capital III Trust | 1.650% | 07/20/2022 | 07/20/2022 | 50,000,000 | 49,954,861 | |||||
Legacy Capital Co. LLC | 1.950% | 10/06/2022 | 10/06/2022 | 140,000,000 | 139,053,701 | |||||
Legacy Capital Co. LLC, SOFR + 0.35%%(a) | 1.860% | 07/01/2022 | 08/12/2022 | 50,000,000 | 50,004,090 | |||||
Legacy Capital Co., LLC | 1.660% | 08/24/2022 | 08/24/2022 | 56,000,000 | 55,825,894 | |||||
LMA-Americas LLC | 2.120% | 11/18/2022 | 11/18/2022 | 41,000,000 | 40,545,871 | |||||
Mackinac Funding Co., LLC | 1.710% | 09/20/2022 | 09/20/2022 | 50,000,000 | 49,742,953 | |||||
Mountcliff Funding LLC | 1.610% | 07/01/2022 | 07/01/2022 | 110,000,000 | 109,995,251 | |||||
Mountcliff Funding LLC, SOFR + 0.19%%(a) | 1.650% | 07/01/2022 | 07/22/2022 | 29,000,000 | 29,000,166 | |||||
Mountcliff Funding LLC, SOFR + 0.50%(a) | 2.020% | 07/01/2022 | 10/03/2022 | 50,000,000 | 50,000,000 | |||||
Mountcliff Funding LLC, SOFR + 0.50%(a) | 2.020% | 07/01/2022 | 10/07/2022 | 95,000,000 | 95,000,000 | |||||
Regatta Funding Co. LLC | 1.250% | 07/22/2022 | 07/22/2022 | 150,000,000 | 149,961,105 | |||||
Ridgefield Funding Co. LLC | 1.680% | 09/12/2022 | 09/12/2022 | 41,000,000 | 40,818,550 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 1,451,626,644 | |||||||||
CERTIFICATES OF DEPOSIT—31.0% | ||||||||||
Bank of Montreal(b) | 0.185% | 07/05/2022 | 07/05/2022 | 100,000,000 | 99,980,641 | |||||
Bank of Montreal, SOFR + 0.15%(c) | 1.660% | 07/01/2022 | 08/02/2022 | 50,000,000 | 49,997,945 | |||||
Bank of Montreal, SOFR + 0.15%(c) | 1.660% | 07/01/2022 | 09/29/2022 | 100,000,000 | 99,953,935 | |||||
Bank of Nova Scotia(b) | 0.200% | 09/28/2022 | 09/28/2022 | 125,000,000 | 124,395,960 | |||||
Bank of Nova Scotia, SOFR + 0.25% | 1.760% | 07/01/2022 | 02/17/2023 | 75,000,000 | 74,864,603 | |||||
Barclays Bank PLC | 2.230% | 12/01/2022 | 12/01/2022 | 150,000,000 | 149,717,073 | |||||
Barclays Bank PLC, SOFR + 0.23% | 1.770% | 07/01/2022 | 10/21/2022 | 125,000,000 | 124,920,204 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.16%% | 1.670% | 07/01/2022 | 08/12/2022 | 100,000,000 | 99,991,300 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.25% | 1.760% | 07/01/2022 | 02/14/2023 | 75,000,000 | 74,870,754 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.30%(c) | 1.810% | 07/01/2022 | 01/06/2023 | 100,000,000 | 99,910,786 | |||||
Citibank NA | 2.670% | 03/03/2023 | 03/03/2023 | 82,500,000 | 82,231,621 | |||||
Cooperatieve Rabobank UA, SOFR + 0.42% | 1.930% | 07/01/2022 | 12/30/2022 | 14,500,000 | 14,494,870 | |||||
Credit Agricole Corporate & Investment Bank SA | 1.560% | 08/12/2022 | 08/12/2022 | 46,750,000 | 46,738,933 | |||||
Credit Agricole Corporate & Investment Bank SA | 1.790% | 09/21/2022 | 09/21/2022 | 100,000,000 | 99,924,419 | |||||
Credit Industriel et Commercial, SOFR + 0.35% | 1.860% | 07/01/2022 | 10/12/2022 | 83,000,000 | 82,995,897 | |||||
Credit Suisse AG | 1.520% | 08/09/2022 | 08/09/2022 | 100,000,000 | 99,968,154 | |||||
Credit Suisse AG | 1.660% | 08/26/2022 | 08/26/2022 | 69,500,000 | 69,468,371 | |||||
Goldman Sachs Bank USA, SOFR + 0.19% | 1.678% | 07/01/2022 | 07/18/2022 | 82,000,000 | 82,001,806 | |||||
Goldman Sachs Bank USA, SOFR + 0.20% | 1.710% | 07/01/2022 | 08/15/2022 | 125,000,000 | 124,992,766 | |||||
KBC Bank NV | 1.560% | 07/01/2022 | 07/01/2022 | 100,000,000 | 100,000,038 | |||||
KBC Bank NV | 1.560% | 07/07/2022 | 07/07/2022 | 75,000,000 | 75,000,000 | |||||
Mizuho Bank Ltd., SOFR + 0.16% | 1.680% | 07/01/2022 | 07/20/2022 | 100,000,000 | 99,999,514 | |||||
Mizuho Bank, Ltd. | 1.200% | 07/21/2022 | 07/21/2022 | 100,000,000 | 99,974,076 | |||||
MUFG Bank Ltd., SOFR + 0.19% | 1.710% | 07/01/2022 | 07/28/2022 | 125,000,000 | 124,998,725 | |||||
MUFG Bank, Ltd.(b) | 0.320% | 08/08/2022 | 08/08/2022 | 125,000,000 | 124,802,026 | |||||
MUFG Bank, Ltd., SOFR + 0.40%% | 1.920% | 07/01/2022 | 10/06/2022 | 24,100,000 | 24,101,746 | |||||
MUFG Bank, Ltd., SOFR + 0.40%% | 1.920% | 07/01/2022 | 10/07/2022 | 33,200,000 | 33,202,239 | |||||
MUFG Bank, Ltd., SOFR + 0.45% | 1.960% | 07/01/2022 | 11/21/2022 | 150,000,000 | 150,004,101 | |||||
Natixis SA, SOFR + 0.46%% | 1.970% | 07/01/2022 | 12/29/2022 | 41,000,000 | 40,995,874 | |||||
Nordea Bank Abp, SOFR + 0.16% | 1.680% | 07/01/2022 | 08/15/2022 | 50,000,000 | 49,995,513 | |||||
Nordea Bank Abp, SOFR + 0.42% | 1.960% | 07/01/2022 | 12/01/2022 | 45,000,000 | 44,989,655 | |||||
Nordea Bank Abp, SOFR + 0.42% | 1.960% | 07/01/2022 | 12/07/2022 | 125,000,000 | 124,966,793 | |||||
Norinchukin BK NY BR, SOFR + 0.29% | 1.800% | 07/01/2022 | 07/28/2022 | 91,250,000 | 91,255,658 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Standard Chartered Bank, SOFR + 0.40% | 1.910% | 07/01/2022 | 10/21/2022 | $ 55,500,000 | $ 55,501,411 | |||||
Sumitomo Mitsui Banking Corp. | 1.150% | 07/18/2022 | 07/18/2022 | 75,000,000 | 74,982,789 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.16% | 1.670% | 07/01/2022 | 07/11/2022 | 57,500,000 | 57,501,472 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.18% | 1.720% | 07/01/2022 | 08/05/2022 | 100,000,000 | 99,997,575 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.21% | 1.720% | 07/01/2022 | 10/11/2022 | 57,500,000 | 57,475,382 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.45% | 1.960% | 07/01/2022 | 12/05/2022 | 145,000,000 | 144,956,293 | |||||
Sumitomo Mitsui Trust Bank Ltd. | 1.550% | 07/07/2022 | 07/07/2022 | 150,000,000 | 150,000,000 | |||||
Svenska Handelsbanken, SOFR + 0.45% | 1.970% | 07/01/2022 | 04/04/2023 | 75,250,000 | 75,143,770 | |||||
Swedbank AB | 1.590% | 09/06/2022 | 09/06/2022 | 75,000,000 | 74,945,678 | |||||
Toronto-Dominion Bank | 2.000% | 07/01/2022 | 02/28/2023 | 80,000,000 | 79,965,374 | |||||
Westpac Banking Corp., SOFR + 0.13%(c) | 1.670% | 07/01/2022 | 07/15/2022 | 31,000,000 | 31,000,058 | |||||
Westpac Banking Corp., SOFR + 0.20% | 1.740% | 07/01/2022 | 01/20/2023 | 125,000,000 | 124,762,108 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 3,911,937,906 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—17.2% | ||||||||||
Australia & New Zealand Banking Group, Ltd., SOFR + 0.36%(a) | 1.870% | 07/01/2022 | 10/27/2022 | 49,250,000 | 49,255,038 | |||||
Australia & New Zealand Banking Group, Ltd., SOFR + 0.40%(a) | 1.910% | 07/01/2022 | 12/01/2022 | 50,000,000 | 49,991,084 | |||||
Bank of Montreal | 1.630% | 07/19/2022 | 07/19/2022 | 125,000,000 | 124,895,302 | |||||
Bank of Nova Scotia, SOFR + 0.16%%(a) | 1.670% | 07/01/2022 | 08/11/2022 | 150,000,000 | 149,988,061 | |||||
Barclays Bank UK PLC | 1.600% | 07/07/2022 | 07/07/2022 | 50,000,000 | 49,984,542 | |||||
BNG Bank NV | 1.570% | 07/01/2022 | 07/01/2022 | 25,000,000 | 24,998,928 | |||||
BNP Paribas SA, SOFR + 0.40%% | 1.910% | 07/01/2022 | 11/04/2022 | 75,000,000 | 75,015,229 | |||||
HSBC Bank PLC, SOFR + 0.21%(a) | 1.730% | 07/01/2022 | 10/14/2022 | 105,000,000 | 105,000,000 | |||||
HSBC Bank PLC, SOFR + 0.25%(a) | 1.770% | 07/01/2022 | 02/10/2023 | 27,000,000 | 26,951,403 | |||||
ING U.S. Funding LLC | 1.080% | 07/28/2022 | 07/28/2022 | 75,000,000 | 74,901,417 | |||||
Lloyds Bank PLC | 1.340% | 07/25/2022 | 07/25/2022 | 111,750,000 | 111,620,091 | |||||
Macquarie Bank, Ltd., SOFR + 0.23%%(a) | 1.750% | 07/01/2022 | 08/02/2022 | 100,000,000 | 100,002,553 | |||||
National Australia Bank Ltd., SOFR + 0.37%(a) | 1.880% | 07/01/2022 | 10/03/2022 | 72,250,000 | 72,255,119 | |||||
National Australia Bank, Ltd, SOFR + 0.42%(a) | 1.930% | 07/01/2022 | 12/08/2022 | 33,000,000 | 32,994,554 | |||||
Oversea-Chinese Banking Corp. Ltd., SOFR + 0.20%%(a) | 1.710% | 07/01/2022 | 10/20/2022 | 75,000,000 | 74,945,522 | |||||
Royal Bank of Canada, SOFR + 0.45%%(a) | 1.960% | 07/01/2022 | 04/03/2023 | 125,000,000 | 124,860,015 | |||||
Skandinaviska Enskilda Banken AB | 1.830% | 10/05/2022 | 10/05/2022 | 90,000,000 | 89,468,197 | |||||
Skandinaviska Enskilda Banken AB, SOFR + 0.50%%(a) | 2.020% | 07/01/2022 | 10/24/2022 | 37,500,000 | 37,509,975 | |||||
Swedbank AB | 1.070% | 07/27/2022 | 07/27/2022 | 63,000,000 | 62,925,581 | |||||
Toronto Dominion Bank | 1.710% | 07/01/2022 | 11/01/2022 | 100,000,000 | 99,957,574 | |||||
Toronto Dominion Bank | 2.000% | 07/01/2022 | 03/29/2023 | 50,000,000 | 49,969,705 | |||||
Toyota Finance Australia, Ltd. | 1.780% | 09/06/2022 | 09/06/2022 | 112,750,000 | 112,315,750 | |||||
UBS AG, SOFR + 0.19%(a),(c) | 1.700% | 07/01/2022 | 07/13/2022 | 125,000,000 | 125,001,261 | |||||
UBS AG, SOFR + 0.51%(a) | 1.764% | 07/01/2022 | 02/17/2023 | 56,500,000 | 56,469,052 | |||||
Westpac Banking Corp. | 1.030% | 07/19/2022 | 07/19/2022 | 70,000,000 | 69,939,707 | |||||
Westpac Banking Corp. | 1.090% | 07/27/2022 | 07/27/2022 | 69,500,000 | 69,413,108 | |||||
Westpac Banking Corp., SOFR + 0.40%(a) | 1.910% | 07/01/2022 | 11/23/2022 | 40,000,000 | 39,996,914 | |||||
Westpac Banking Corp., SOFR + 0.50%(a) | 2.010% | 07/01/2022 | 03/21/2023 | 55,000,000 | 54,970,373 | |||||
Westpac Banking Corp., SOFR + 0.50%(a) | 2.010% | 07/01/2022 | 03/24/2023 | 50,000,000 | 49,971,667 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 2,165,567,722 | |||||||||
OTHER NOTES—28.5% | ||||||||||
ABN AMRO Bank NV | 1.580% | 06/29/2022 | 07/06/2022 | 100,000,000 | 100,000,000 | |||||
ABN AMRO Bank NV | 1.580% | 06/30/2022 | 07/07/2022 | 150,000,000 | 150,000,000 | |||||
Abu Dhabi International Bank | 1.570% | 06/30/2022 | 07/01/2022 | 440,069,000 | 440,069,000 | |||||
Australia & New Zealand Banking Group Ltd. | 1.570% | 06/30/2022 | 07/01/2022 | 358,000,000 | 358,000,000 | |||||
Bank of Montreal | 1.580% | 06/30/2022 | 07/07/2022 | 150,000,000 | 150,000,000 | |||||
BNP Paribas Securities Corp. | 1.550% | 06/30/2022 | 07/01/2022 | 200,000,000 | 200,000,000 | |||||
Citibank NA | 1.560% | 06/30/2022 | 07/01/2022 | 175,001,000 | 175,001,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Credit Agricole Corporate & Investment Bank SA | 1.560% | 06/30/2022 | 07/01/2022 | $ 25,000,000 | $ 25,000,000 | |||||
ING Bank NV | 1.590% | 06/24/2022 | 07/01/2022 | 50,000,000 | 50,000,000 | |||||
ING Bank NV | 1.590% | 06/28/2022 | 07/05/2022 | 100,000,000 | 100,000,000 | |||||
KBC Bank NV | 1.570% | 06/30/2022 | 07/01/2022 | 400,000,000 | 400,000,000 | |||||
Mizuho Bank Ltd. | 1.570% | 06/30/2022 | 07/01/2022 | 400,000,000 | 400,000,000 | |||||
Royal Bank of Canada | 1.570% | 06/30/2022 | 07/01/2022 | 375,000,000 | 375,000,000 | |||||
Skandinaviska Enskilda Banken AB | 1.560% | 06/30/2022 | 07/01/2022 | 475,000,000 | 475,000,000 | |||||
Toronto-Dominion Bank | 1.580% | 06/29/2022 | 07/06/2022 | 50,000,000 | 50,000,000 | |||||
Toronto-Dominion Bank | 1.580% | 06/30/2022 | 07/07/2022 | 100,000,000 | 100,000,000 | |||||
Toyota Motor Credit Corp., SOFR + 0.28%(c) | 1.800% | 07/01/2022 | 12/14/2022 | 50,000,000 | 49,917,615 | |||||
TOTAL OTHER NOTES | 3,597,987,615 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—1.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 8.676% due 04/25/2024 – 05/25/2057, valued at $214,920,000); expected proceeds $199,008,844 | 1.600% | 07/01/2022 | 07/01/2022 | 199,000,000 | 199,000,000 | |||||
TREASURY REPURCHASE AGREEMENTS—1.9% | ||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2022 (collateralized by a U.S. Treasury Bill, 0.000% due 10/06/2022, a U.S. Treasury Bond, 3.000% due 02/15/2049, U.S. Treasury Notes, 0.625% – 1.125% due 02/29/2028 – 05/15/2030, U.S. Treasury Strips, 0.000% due 02/15/2027 – 05/15/2032, and various Corporate Bonds, 0.000% – 8.000% due 09/06/2022 – 01/01/2999, valued at $153,588,480); expected proceeds $148,046,908 | 1.630% | 07/06/2022 | 07/06/2022 | 148,000,000 | 148,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 2.250% due 03/31/2023 – 11/15/2025, valued at $102,000,006); expected proceeds $100,002,778 | 1.000% | 07/01/2022 | 07/01/2022 | 100,000,000 | 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 248,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—7.6% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 04/07/2021 (collateralized by various Corporate Bonds, 0.300% – 10.875% due 11/01/2022 – 06/15/2052, valued at $109,297,185); expected proceeds $102,150,000 | 1.720% | 07/01/2022 | 07/01/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/17/2022 (collateralized by various Corporate Bonds, 0.000% – 10.500% due 08/01/2024 – 02/01/2032, valued at $143,750,354); expected proceeds $125,404,167 | 1.940% | 07/01/2022 | 08/16/2022 | 125,000,000 | 125,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Common Stocks, valued at $99,963,209); expected proceeds $91,004,348 | 1.720% | 07/01/2022 | 07/01/2022 | 91,000,000 | 91,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2022 (collateralized by a Federal Home Loan Mortgage Corporation, 2.500% due 05/25/2060, a Federal National Mortgage Association, 1.844% due 07/25/2032, Government National Mortgage Associations, 1.221% – 3.000% due 02/20/2051 – 05/20/2072, and various Corporate Bonds, 1.625% – 2.125% due 02/13/2023 – 03/15/2024, valued at $41,067,615); expected proceeds $40,182,000 | 1.820% | 07/01/2022 | 09/08/2022 | $ 40,000,000 | $ 40,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2022 (collateralized by a U.S. Treasury Bond, 2.500% due 02/15/2045, and various Corporate Bonds, 0.000% – 8.000% due 07/01/2023 – 02/01/2029, valued at $80,300,045); expected proceeds $73,487,437 | 2.020% | 07/01/2022 | 10/07/2022 | 73,000,000 | 73,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2022 (collateralized by a U.S. Treasury Note, 0.125% due 03/31/2023, a Common Stock, and various Corporate Bonds, 0.975% – 10.625% due 01/17/2023 – 01/01/2999, valued at $214,392,847); expected proceeds $200,063,389 | 1.630% | 07/01/2022 | 07/01/2022 | 200,000,000 | 200,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2022 (collateralized by a U.S. Treasury Bill, 0.000% due 10/06/2022, a U.S. Treasury Note, 0.625% due 05/15/2030, U.S. Treasury Strips, 0.000% due 08/15/2028 – 02/15/2031, and various Corporate Bonds, 0.000% – 5.450% due 10/25/2022 – 01/01/2999, valued at $34,646,916); expected proceeds $32,010,142 | 1.630% | 07/05/2022 | 07/06/2022 | 32,000,000 | 32,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Common Stocks, valued at $54,090,935); expected proceeds $50,002,292 | 1.650% | 07/01/2022 | 07/01/2022 | 50,000,000 | 50,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2022 (collateralized by various Common Stocks, valued at $108,000,000); expected proceeds $100,621,444 | 1.880% | 07/01/2022 | 10/07/2022 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/17/2022 (collateralized by various Common Stocks, valued at $43,200,000); expected proceeds $40,248,578 | 1.880% | 07/01/2022 | 10/14/2022 | 40,000,000 | 40,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2022 (collateralized by various Corporate Bonds, 1.162% – 6.950% due 08/15/2022 – 05/15/2055, valued at $23,745,203); expected proceeds $22,007,144 | 1.670% | 07/01/2022 | 07/05/2022 | 22,000,000 | 22,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Corporate Bonds, 1.844% – 6.250% due 03/15/2023 – 06/01/2047, valued at $95,595,942); expected proceeds $86,003,918 | 1.640% | 07/01/2022 | 07/01/2022 | $ 86,000,000 | $ 86,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 959,000,000 | |||||||||
TOTAL INVESTMENTS –99.9% (Cost $12,612,093,680)(d) | 12,608,036,298 | |||||||||
Other Assets in Excess of Liabilities —0.1% | 6,618,752 | |||||||||
NET ASSETS –100.0% | $ 12,614,655,050 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 10.9% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Rate represents annualized yield at date of purchase. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(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 | $— | $ 1,451,626,644 | $— | $ 1,451,626,644 | ||||
Certificates Of Deposit | — | 3,911,937,906 | — | 3,911,937,906 | ||||
Financial Company Commercial Paper | — | 2,165,567,722 | — | 2,165,567,722 | ||||
Other Notes | — | 3,597,987,615 | — | 3,597,987,615 | ||||
Treasury Debt | — | 74,916,411 | — | 74,916,411 | ||||
Government Agency Repurchase Agreements | — | 199,000,000 | — | 199,000,000 | ||||
Treasury Repurchase Agreements | — | 248,000,000 | — | 248,000,000 | ||||
Other Repurchase Agreements | — | 959,000,000 | — | 959,000,000 | ||||
Total Investments | $— | $12,608,036,298 | $— | $12,608,036,298 |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 11,202,036,298 |
Repurchase agreements, at value | 1,406,000,000 |
Total Investments | 12,608,036,298 |
Interest receivable — unaffiliated issuers | 8,015,979 |
TOTAL ASSETS | 12,616,052,277 |
LIABILITIES | |
Due to custodian | 189 |
Advisory and administrator fee payable | 555,060 |
Custody, sub-administration and transfer agent fees payable | 734,349 |
Trustees’ fees and expenses payable | 1,501 |
Professional fees payable | 62,344 |
Printing fees payable | 23,375 |
Accrued expenses and other liabilities | 20,409 |
TOTAL LIABILITIES | 1,397,227 |
NET ASSETS | $12,614,655,050 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 11,206,093,680 |
Repurchase agreements | 1,406,000,000 |
Total cost of investments | $12,612,093,680 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $35,954,342 |
EXPENSES | |
Advisory and administrator fee | 3,317,233 |
Custodian, sub-administrator and transfer agent fees | 723,749 |
Trustees’ fees and expenses | 48,407 |
Professional fees and expenses | 69,129 |
Printing and postage fees | 11,191 |
Insurance expense | 2,112 |
Miscellaneous expenses | 18,390 |
TOTAL EXPENSES | 4,190,211 |
NET INVESTMENT INCOME (LOSS) | $31,764,131 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 281,283 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (3,529,870) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,248,587) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $28,515,544 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 31,764,131 | $ 16,569,254 | |
Net realized gain (loss) | 281,283 | 328,885 | |
Net change in unrealized appreciation/depreciation | (3,529,870) | (1,003,186) | |
Net increase (decrease) in net assets resulting from operations | 28,515,544 | 15,894,953 | |
CAPITAL TRANSACTIONS | |||
Contributions | (350,136,932) | 38,249,431,278 | |
Withdrawals | — | (41,456,603,607) | |
Net increase (decrease) in net assets from capital transactions | (350,136,932) | (3,207,172,329) | |
Net increase (decrease) in net assets during the period | (321,621,388) | (3,191,277,376) | |
Net assets at beginning of period | 12,936,276,438 | 16,127,553,814 | |
NET ASSETS AT END OF PERIOD | $12,614,655,050 | $ 12,936,276,438 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.26% | 0.10% | 0.77% | 2.38% | 2.06% | 0.96% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,614,655 | $12,936,276 | $16,127,554 | $21,626,159 | $11,196,385 | $9,941,806 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.06% | |||||
Net investment income (loss) | 0.47%(b) | 0.11% | 0.72% | 2.29% | 2.05% | 1.11% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $12,612,093,680 | $61,960 | $4,119,342 | $(4,057,382) |
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 | 0.06% | $1,002.20 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $1,428,843,833 |
Receivable from Adviser | 92,107 |
TOTAL ASSETS | 1,428,935,940 |
LIABILITIES | |
Advisory fee payable | 7 |
Administration fees payable | 92,721 |
Shareholder servicing fee payable | 194 |
Transfer agent fees payable | 81,635 |
Registration and filing fees payable | 28,486 |
Professional fees payable | 7,777 |
Printing and postage fees payable | 13,589 |
Distribution payable | 113,281 |
Accrued expenses and other liabilities | 53 |
TOTAL LIABILITIES | 337,743 |
NET ASSETS | $1,428,598,197 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,428,957,478 |
Total distributable earnings (loss) | (359,281) |
NET ASSETS | $1,428,598,197 |
Bancroft Capital Class | |
Net Assets | $ 49,989 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 0.9998 |
Cabrera Capital Markets Class | |
Net Assets | $ 50,093 |
Shares Outstanding | 50,103 |
Net asset value, offering and redemption price per share | $ 0.9998 |
Institutional Class | |
Net Assets | $ 26,148,989 |
Shares Outstanding | 26,147,621 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Investor Class | |
Net Assets | $ 50,006 |
Shares Outstanding | 50,002 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Opportunity Class | |
Net Assets | $ 49,991 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 0.9998 |
Premier Class | |
Net Assets | $1,402,249,128 |
Shares Outstanding | 1,402,243,556 |
Net asset value, offering and redemption price per share | $ 1.0000 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $1,429,097,337 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $3,992,745 |
Expenses allocated from affiliated Portfolio | (534,744) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 3,458,001 |
EXPENSES | |
Administration fees | |
Bancroft Capital Class | 13 |
Cabrera Capital Markets Class | 13 |
Institutional Class | 1,438 |
Investor Class | 12 |
Opportunity Class | 12 |
Premier Class | 378,024 |
Shareholder servicing fees | |
Bancroft Capital Class | 7 |
Cabrera Capital Markets Class | 7 |
Institutional Class | 863 |
Investor Class | 20 |
Opportunity Class | 7 |
Custodian fees | 34,129 |
Trustees’ fees and expenses | 10,399 |
Transfer agent fees | 78,819 |
Registration and filing fees | 59,196 |
Professional fees and expenses | 11,943 |
Printing and postage fees | 7,390 |
Insurance expense | 2,105 |
Miscellaneous expenses | 8,643 |
TOTAL EXPENSES | 593,040 |
Expenses waived/reimbursed by the Adviser | (518,360) |
NET EXPENSES | 74,680 |
NET INVESTMENT INCOME (LOSS) | $3,383,321 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 3,124 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (140,919) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (137,795) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $3,245,526 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,383,321 | $ 1,048,901 | |
Net realized gain (loss) | 3,124 | 26,626 | |
Net change in unrealized appreciation/depreciation | (140,919) | (142,771) | |
Net increase (decrease) in net assets resulting from operations | 3,245,526 | 932,756 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Bancroft Capital Class (a) | (100) | (4) | |
Cabrera Capital Markets Class (b) | (100) | (4) | |
Institutional Class | (13,677) | (7,104) | |
Investor Class | (88) | (3) | |
Opportunity Class (c) | (100) | (3) | |
Premier Class | (3,369,386) | (1,044,067) | |
Total distributions to shareholders | (3,383,451) | (1,051,185) | |
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 | 100 | 3 | |
Net increase (decrease) from capital share transactions | 100 | 50,003 | |
Institutional Class | |||
Shares sold | 20,631,878 | — | |
Shares redeemed | (4) | (17,505,250) | |
Net increase (decrease) from capital share transactions | 20,631,874 | (17,505,250) | |
Investor Class | |||
Shares sold | 2 | — | |
Shares redeemed | (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 | 1,825,477,503 | 3,008,027,554 | |
Reinvestment of distributions | 3,129,081 | 914,341 | |
Shares redeemed | (1,723,319,553) | (2,614,981,982) | |
Net increase (decrease) from capital share transactions | 105,287,031 | 393,959,913 | |
Net increase (decrease) in net assets from beneficial interest transactions | 125,919,006 | 376,604,667 | |
Net increase (decrease) in net assets during the period | 125,781,081 | 376,486,238 | |
Net assets at beginning of period | 1,302,817,116 | 926,330,878 | |
NET ASSETS AT END OF PERIOD | $ 1,428,598,197 | $ 1,302,817,116 | |
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 | 100 | 3 | |
Net increase (decrease) from share transactions | 100 | 50,003 | |
Institutional Class | |||
Shares sold | 20,629,814 | — | |
Shares redeemed | (4) | (17,500,000) | |
Net increase (decrease) from share transactions | 20,629,810 | (17,500,000) | |
Investor Class | |||
Shares sold | 2 | — | |
Shares redeemed | (1) | — | |
Net increase (decrease) from share transactions | 1 | — |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Opportunity Class (c) | |||
Shares sold | — | 50,001 | |
Net increase (decrease) from share transactions | — | 50,001 | |
Premier Class | |||
Shares sold | 1,825,593,853 | 3,007,350,676 | |
Reinvestment of distributions | 3,129,097 | 914,125 | |
Shares redeemed | (1,723,422,606) | (2,614,394,177) | |
Net increase (decrease) from share transactions | 105,300,344 | 393,870,624 |
(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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/13/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0019 | 0.0000(b) | |
Net realized and unrealized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0019 | 0.0000(b) | |
Distributions to shareholders from: | |||
Net investment income | (0.0020) | (0.0001) | |
Total distributions | (0.0020) | (0.0001) | |
Net asset value, end of period | $ 0.9998 | $ 0.9999 | |
Total return (c) | 0.19% | (0.00)%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.19%(e) | 0.18%(e) | |
Net expenses | 0.13%(e) | 0.12%(e) | |
Net investment income (loss) | 0.39%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0021 | 0.0000(b) | |
Net realized and unrealized gain (loss) | (0.0002) | — | |
Total from investment operations | 0.0019 | 0.0000(b) | |
Distributions to shareholders from: | |||
Net investment income | (0.0020) | (0.0001) | |
Total distributions | (0.0020) | (0.0001) | |
Net asset value, end of period | $ 0.9998 | $ 0.9999 | |
Total return (c) | 0.19% | (0.00)%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.17%(e) | 0.18%(e) | |
Net expenses | 0.11%(e) | 0.12%(e) | |
Net investment income (loss) | 0.41%(e) | 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) | |||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0001 | $ 1.0002 | $ 1.0000 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0020 | 0.0000(b) | 0.0054 | 0.0006 | |||
Net realized and unrealized gain (loss) | — | — | 0.0002 | 0.0000(b) | |||
Total from investment operations | 0.0020 | 0.0000(b) | 0.0056 | 0.0006 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0020) | (0.0001) | (0.0054) | (0.0006) | |||
Net asset value, end of period | $ 1.0001 | $ 1.0001 | $ 1.0002 | $ 1.0000 | |||
Total return (c) | 0.20% | 0.04% | 0.56% | 0.06% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 26,149 | $ 5,519 | $ 23,023 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.18%(d) | 0.19% | 0.22% | 0.31%(d) | |||
Net expenses | 0.11%(d) | 0.11% | 0.11% | 0.11%(d) | |||
Net investment income (loss) | 0.47%(d) | 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) | |||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0002 | $ 1.0000 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0018 | 0.0001 | 0.0049 | 0.0006 | |||
Net realized and unrealized gain (loss) | (0.0001) | — | 0.0002 | 0.0000(b) | |||
Total from investment operations | 0.0017 | 0.0001 | 0.0051 | 0.0006 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0018) | (0.0001) | (0.0049) | (0.0006) | |||
Total distributions | (0.0018) | (0.0001) | (0.0049) | (0.0006) | |||
Net asset value, end of period | $ 1.0001 | $ 1.0002 | $ 1.0002 | $ 1.0000 | |||
Total return (c) | 0.17% | 0.01% | 0.51% | 0.06% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 50 | $ 50 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.22%(d) | 0.23% | 0.29% | 0.36%(d) | |||
Net expenses | 0.16%(d) | 0.16% | 0.16% | 0.16%(d) | |||
Net investment income (loss) | 0.36%(d) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/28/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0020 | 0.0000(b) | |
Net realized and unrealized gain (loss) | (0.0001) | — | |
Total from investment operations | 0.0019 | 0.0000(b) | |
Distributions to shareholders from: | |||
Net investment income | (0.0020) | (0.0001) | |
Total distributions | (0.0020) | (0.0001) | |
Net asset value, end of period | $ 0.9998 | $ 0.9999 | |
Total return (c) | 0.19% | (0.00)%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.17%(e) | 0.18%(e) | |
Net expenses | 0.11%(e) | 0.12%(e) | |
Net investment income (loss) | 0.41%(e) | 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) | |||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0001 | $ 1.0002 | $ 1.0000 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0022 | 0.0000(b) | 0.0058 | 0.0013 | |||
Net realized and unrealized gain (loss) | (0.0001) | — | 0.0002 | 0.0000(b) | |||
Total from investment operations | 0.0021 | 0.0000(b) | 0.0060 | 0.0013 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0022) | (0.0001) | (0.0058) | (0.0013) | |||
Total distributions | (0.0022) | (0.0001) | (0.0058) | (0.0013) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0001 | $ 1.0002 | $ 1.0000 | |||
Total return (c) | 0.21% | 0.07% | 0.60% | 0.13% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,402,249 | $1,297,099 | $903,258 | $881,217 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.15%(d) | 0.15% | 0.21% | 0.23%(d) | |||
Net expenses | 0.08%(d) | 0.08% | 0.08% | 0.08%(d) | |||
Net investment income (loss) | 0.44%(d) | 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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $1,429,097,337 | $— | $253,504 | $(253,504) |
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 ESG Liquid Reserves Fund | |||||||||
Bancroft Capital Class | 0.13% | $1,001.90 | $0.00 | $1,000.00 | $0.00 | ||||
Cabrera Capital Markets Class | 0.11 | 1,001.90 | 0.00 | 1,000.00 | 0.00 | ||||
Institutional Class | 0.11 | 1,002.00 | 0.55 | 1,024.20 | 0.55 | ||||
Investor Class | 0.16 | 1,001.70 | 0.79 | 1,024.00 | 0.80 | ||||
Opportunity Class | 0.11 | 1,001.90 | 0.00 | 1,000.00 | 0.00 | ||||
Premier Class | 0.08 | 1,002.10 | 0.40 | 1,024.40 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 |
% of Net Assets | |||
Certificates Of Deposit | 27.4% | ||
Government Agency Repurchase Agreements | 25.2 | ||
Financial Company Commercial Paper | 20.4 | ||
Treasury Repurchase Agreements | 10.5 | ||
Other Notes | 8.8 | ||
Asset Backed Commercial Paper | 4.1 | ||
Other Repurchase Agreements | 3.6 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% | ||
* Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Overnight (1 Day) | 45.7% | ||
2 to 30 Days | 15.4 | ||
31 to 60 Days | 9.6 | ||
61 to 90 Days | 5.9 | ||
Over 90 Days | 23.4 | ||
Total | 100.0% | ||
Average days to maturity | 5 | ||
Weighted average life | 47 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—4.1% | ||||||||||
Barton Capital SA(a) | 1.580% | 07/01/2022 | 07/01/2022 | $ 4,000,000 | $ 3,999,827 | |||||
Bennington Stark Capital Co. LLC(a) | 1.590% | 07/07/2022 | 07/07/2022 | 25,000,000 | 24,992,271 | |||||
LMA-Americas LLC(a) | 1.430% | 08/05/2022 | 08/05/2022 | 10,000,000 | 9,982,260 | |||||
Mackinac Funding Co. LLC(a) | 1.800% | 09/19/2022 | 09/19/2022 | 12,000,000 | 11,939,331 | |||||
Mont Blanc Capital Corp.(a) | 1.270% | 07/22/2022 | 07/22/2022 | 7,000,000 | 6,992,989 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 57,906,678 | |||||||||
CERTIFICATES OF DEPOSIT—27.4% | ||||||||||
Banco Santander SA, SOFR + 0.47%%(b) | 1.980% | 07/01/2022 | 11/18/2022 | 10,000,000 | 10,000,382 | |||||
Banco Santander SA/New York(a) | 1.860% | 09/21/2022 | 09/21/2022 | 15,000,000 | 14,987,595 | |||||
Bank of Montreal(a) | 0.180% | 07/06/2022 | 07/06/2022 | 5,000,000 | 4,998,833 | |||||
Bank of Montreal(a) | 0.185% | 07/05/2022 | 07/05/2022 | 10,000,000 | 9,998,064 | |||||
Bank of Montreal, SOFR + 0.15%%(b) | 1.660% | 07/01/2022 | 07/26/2022 | 10,000,000 | 9,999,762 | |||||
Bank of Montreal, SOFR + 0.42%%(b) | 1.930% | 07/01/2022 | 01/06/2023 | 10,000,000 | 9,994,227 | |||||
Bank of Nova Scotia(a) | 0.205% | 09/21/2022 | 09/21/2022 | 10,000,000 | 9,956,490 | |||||
Bank of Nova Scotia, SOFR + 0.20%%(b) | 1.710% | 07/01/2022 | 11/08/2022 | 10,000,000 | 9,992,221 | |||||
Bank of Nova Scotia, SOFR + 0.57%%(b) | 2.080% | 07/01/2022 | 10/21/2022 | 7,000,000 | 7,003,914 | |||||
Barclays Bank PLC, SOFR + 0.24%%(b) | 1.760% | 07/01/2022 | 11/22/2022 | 10,000,000 | 9,991,497 | |||||
Barclays Bank PLC, SOFR + 0.44%(b) | 1.960% | 07/01/2022 | 11/03/2022 | 10,000,000 | 9,999,371 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.16%%(b) | 1.670% | 07/01/2022 | 07/08/2022 | 3,517,000 | 3,517,086 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.16%%(b) | 1.670% | 07/01/2022 | 07/15/2022 | 10,000,000 | 10,000,204 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.16%%(b) | 1.670% | 07/01/2022 | 08/12/2022 | 10,000,000 | 9,999,130 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.20%%(b) | 1.710% | 07/01/2022 | 11/21/2022 | 15,000,000 | 14,990,197 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.41%%(b) | 1.920% | 07/01/2022 | 01/09/2023 | 7,000,000 | 6,997,536 | |||||
Commonwealth Bank of Australia, SOFR + 0.20%%(b) | 1.710% | 07/01/2022 | 01/20/2023 | 7,000,000 | 6,988,888 | |||||
Credit Suisse AG(a) | 1.520% | 08/09/2022 | 08/09/2022 | 15,000,000 | 14,995,223 | |||||
Goldman Sachs Bank USA(a) | 1.710% | 07/01/2022 | 07/14/2022 | 15,000,000 | 15,000,517 | |||||
Goldman Sachs Bank USA, SOFR + 0.16%%(b) | 1.670% | 07/01/2022 | 09/08/2022 | 5,000,000 | 4,998,406 | |||||
Goldman Sachs Bank USA, SOFR + 0.20%%(b) | 1.710% | 07/01/2022 | 08/22/2022 | 15,000,000 | 14,998,165 | |||||
Mitsubishi UFJ Trust & Banking Corp., SOFR + 0.18%(b) | 1.690% | 07/01/2022 | 08/08/2022 | 14,000,000 | 13,998,957 | |||||
MUFG Bank Ltd., SOFR + 0.19%(b) | 1.710% | 07/01/2022 | 07/28/2022 | 10,000,000 | 9,999,898 | |||||
MUFG Bank, Ltd.(a) | 0.320% | 08/05/2022 | 08/05/2022 | 7,000,000 | 6,989,884 | |||||
MUFG Bank, Ltd., SOFR + 0.40%%(b) | 1.920% | 07/01/2022 | 10/06/2022 | 3,000,000 | 3,000,217 | |||||
MUFG Bank, Ltd., SOFR + 0.40%%(b) | 1.920% | 07/01/2022 | 10/07/2022 | 4,100,000 | 4,100,276 | |||||
MUFG Bank, Ltd., SOFR + 0.40%%(b) | 1.920% | 07/01/2022 | 10/11/2022 | 7,000,000 | 7,000,353 | |||||
MUFG Bank, Ltd., SOFR + 0.42%%(b) | 1.940% | 07/01/2022 | 11/14/2022 | 5,000,000 | 4,999,732 | |||||
MUFG Bank, Ltd., SOFR + 0.45%%(b) | 1.970% | 07/01/2022 | 11/29/2022 | 5,000,000 | 4,999,872 | |||||
Natixis SA, SOFR + 0.17%%(b) | 1.680% | 07/01/2022 | 08/05/2022 | 5,000,000 | 5,000,119 | |||||
Natixis SA, SOFR + 0.46%%(b) | 1.970% | 07/01/2022 | 12/29/2022 | 7,000,000 | 6,999,296 | |||||
Nordea Bank Abp(a) | 0.195% | 07/01/2022 | 07/01/2022 | 3,750,000 | 3,749,859 | |||||
Nordea Bank Abp, SOFR + 0.16%(b) | 1.680% | 07/01/2022 | 08/15/2022 | 10,000,000 | 9,999,102 | |||||
Nordea Bank Abp, SOFR + 0.37%%(b) | 1.890% | 07/01/2022 | 10/28/2022 | 10,000,000 | 10,000,300 | |||||
Nordea Bank Abp, SOFR + 0.53%%(b) | 2.050% | 07/01/2022 | 12/23/2022 | 2,120,000 | 2,120,346 | |||||
Royal Bank of Canada(a) | 0.210% | 10/03/2022 | 10/03/2022 | 10,000,000 | 9,943,987 | |||||
Royal Bank of Canada, SOFR + 0.15%%(b) | 1.660% | 07/01/2022 | 08/05/2022 | 2,500,000 | 2,499,858 | |||||
Standard Chartered Bank, SOFR + 0.17%(b) | 1.680% | 07/01/2022 | 08/01/2022 | 7,000,000 | 6,999,807 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.16%(b) | 1.670% | 07/01/2022 | 07/11/2022 | 4,600,000 | 4,600,118 | |||||
Sumitomo Mitsui Banking Corp., SOFR + 0.21%(b) | 1.720% | 07/01/2022 | 10/11/2022 | 4,600,000 | 4,598,030 | |||||
Sumitomo Mitsui Trust Bank Ltd.(a) | 1.550% | 07/05/2022 | 07/05/2022 | 20,000,000 | 19,999,997 | |||||
Sumitomo Mitsui Trust Bank Ltd.(a) | 1.550% | 07/06/2022 | 07/06/2022 | 10,000,000 | 9,999,990 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Svenska Handelsbanken, SOFR + 0.35%%(b) | 1.870% | 07/01/2022 | 10/13/2022 | $ 8,000,000 | $ 7,998,942 | |||||
Svenska Handelsbanken, SOFR + 0.45%(b) | 1.970% | 07/01/2022 | 04/04/2023 | 9,000,000 | 8,987,295 | |||||
Toronto-Dominion Bank(a) | 1.960% | 07/01/2022 | 10/25/2022 | 10,000,000 | 10,004,808 | |||||
Toronto-Dominion Bank(a) | 2.000% | 07/01/2022 | 02/21/2023 | 4,000,000 | 3,998,449 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 391,997,200 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.4% | ||||||||||
Australia & New Zealand Banking Group Ltd., SOFR + 0.37%%(b),(c) | 1.880% | 07/01/2022 | 10/28/2022 | 7,000,000 | 7,000,907 | |||||
Australia & New Zealand Banking Group Ltd., SOFR + 0.45%%(b),(c) | 1.960% | 07/01/2022 | 02/21/2023 | 7,000,000 | 6,996,055 | |||||
Banco Santander SA(a) | 1.600% | 07/01/2022 | 07/01/2022 | 6,000,000 | 5,999,741 | |||||
Bank of Montreal, SOFR + 0.46%%(b) | 1.970% | 07/01/2022 | 01/05/2023 | 10,000,000 | 9,996,346 | |||||
Barclays Bank PLC(a) | 1.590% | 07/01/2022 | 07/01/2022 | 25,000,000 | 24,998,896 | |||||
Canadian Imperial Bank of Commerce(a) | 0.180% | 07/06/2022 | 07/06/2022 | 10,000,000 | 9,997,450 | |||||
Canadian Imperial Bank of Commerce, SOFR + 0.18%(b),(c) | 1.690% | 07/01/2022 | 09/22/2022 | 15,000,000 | 15,000,000 | |||||
Commonwealth Bank of Australia, SOFR + 0.45%%(b),(c) | 1.960% | 07/01/2022 | 03/30/2023 | 10,000,000 | 9,988,650 | |||||
HSBC Bank PLC, SOFR + 0.22%%(b),(c) | 1.740% | 07/01/2022 | 12/05/2022 | 10,000,000 | 9,989,998 | |||||
Macquarie Bank, Ltd., SOFR + 0.23%%(b),(c) | 1.750% | 07/01/2022 | 08/01/2022 | 15,000,000 | 15,000,465 | |||||
Macquarie Bank, Ltd., SOFR + 0.40%%(b),(c) | 1.920% | 07/01/2022 | 10/19/2022 | 12,000,000 | 12,000,767 | |||||
Macquarie Bank, Ltd., SOFR + 0.53%%(b),(c) | 2.050% | 07/01/2022 | 09/21/2022 | 8,750,000 | 8,753,777 | |||||
National Australia Bank Ltd., SOFR + 0.14%(b),(c) | 1.650% | 07/01/2022 | 08/24/2022 | 10,175,000 | 10,172,778 | |||||
National Australia Bank Ltd., SOFR + 0.48%(b),(c) | 1.990% | 07/01/2022 | 11/28/2022 | 4,250,000 | 4,251,010 | |||||
National Australia Bank, Ltd., SOFR + 0.14%%(b),(c) | 1.650% | 07/01/2022 | 10/14/2022 | 10,000,000 | 9,993,159 | |||||
National Bank of Canada, SOFR + 0.15%(b),(c) | 1.660% | 07/01/2022 | 07/13/2022 | 9,000,000 | 9,000,087 | |||||
National Bank of Canada, SOFR + 0.40%%(b),(c) | 1.910% | 07/01/2022 | 11/10/2022 | 7,000,000 | 6,999,507 | |||||
National Bank of Canada, SOFR + 0.40%%(b),(c) | 1.910% | 07/01/2022 | 01/04/2023 | 10,000,000 | 9,995,689 | |||||
Novartis Finance Corp.(a) | 1.580% | 07/05/2022 | 07/05/2022 | 6,000,000 | 5,998,736 | |||||
Royal Bank of Canada(a) | 1.040% | 07/08/2022 | 07/08/2022 | 8,000,000 | 7,997,200 | |||||
Royal Bank of Canada, SOFR + 0.55%%(b),(c) | 2.060% | 07/01/2022 | 09/21/2022 | 10,000,000 | 10,005,076 | |||||
Siemens Capital Co LLC(a) | 1.560% | 07/06/2022 | 07/06/2022 | 23,000,000 | 22,994,177 | |||||
Skandinaviska Enskilda Banken AB, SOFR + 0.41%%(b),(c) | 1.930% | 07/01/2022 | 11/23/2022 | 5,000,000 | 4,999,596 | |||||
Swedbank AB, SOFR + 0.40%%(b) | 1.910% | 07/01/2022 | 11/08/2022 | 7,000,000 | 6,999,769 | |||||
Toronto-Dominion Bank(a) | 1.650% | 07/01/2022 | 09/02/2022 | 10,000,000 | 9,998,714 | |||||
Toyota Credit Canada, Inc.(a) | 0.210% | 07/11/2022 | 07/11/2022 | 10,000,000 | 9,994,943 | |||||
UBS AG, SOFR + 0.19%(b),(c) | 1.700% | 07/01/2022 | 07/13/2022 | 8,000,000 | 8,000,081 | |||||
UBS AG, SOFR + 0.51%%(b),(c) | 2.020% | 07/01/2022 | 02/21/2023 | 7,000,000 | 6,998,417 | |||||
Westpac Banking Corp., SOFR + 0.48%%(b),(c) | 1.990% | 07/01/2022 | 03/23/2023 | 6,000,000 | 5,998,275 | |||||
Westpac Banking Corp., SOFR + 0.50%%(b),(c) | 2.010% | 07/01/2022 | 03/23/2023 | 5,000,000 | 4,997,211 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 291,117,477 | |||||||||
OTHER NOTES—8.8% | ||||||||||
Australia & New Zealand Banking Group, Ltd.(a) | 1.570% | 07/01/2022 | 07/01/2022 | 17,000,000 | 17,000,000 | |||||
Bank of America NA(a) | 1.880% | 07/01/2022 | 11/18/2022 | 10,000,000 | 10,000,000 | |||||
Credit Agricole Corporate & Investment Bank SA(a) | 1.560% | 07/01/2022 | 07/01/2022 | 20,000,000 | 20,000,000 | |||||
KBC Bank NV(a) | 1.570% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
Mizuho Bank Ltd.(a) | 1.570% | 07/01/2022 | 07/01/2022 | 14,330,000 | 14,330,000 | |||||
Royal Bank of Canada(a) | 1.570% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
Toronto-Dominion Bank(a) | 1.580% | 07/07/2022 | 07/07/2022 | 15,000,000 | 15,000,000 | |||||
TOTAL OTHER NOTES | 126,330,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—25.2% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Federal National Mortgage Association, 3.000% due 05/01/2052, valued at $91,800,000); expected proceeds $90,003,875 | 1.550% | 07/01/2022 | 07/01/2022 | $ 90,000,000 | $ 90,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Federal Home Loan Mortgage Corporations, 1.500% – 4.000% due 06/01/2037 – 08/01/2051, Federal National Mortgage Associations, 2.000% – 2.500% due 06/01/2032 – 02/01/2051, and Government National Mortgage Associations, 1.625% – 6.050% due 03/15/2038 – 05/20/2052, valued at $25,500,000); expected proceeds $25,001,076 | 1.550% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Federal Farm Credit Bank, 3.350% due 02/23/2035, a Federal Home Loan Mortgage Corporation, 3.000% due 07/01/2051, Federal National Mortgage Associations, 2.000% – 4.500% due 06/01/2030 – 04/01/2052, a Government National Mortgage Association, 2.000% due 01/20/2051, a U.S. Treasury Inflation Index Note, 0.250% due 07/15/2029, and a U.S. Treasury Strip, 0.000% due 08/15/2034, valued at $86,700,000); expected proceeds $85,003,589 | 1.520% | 07/01/2022 | 07/01/2022 | 85,000,000 | 85,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Federal Home Loan Mortgage Corporations, 3.500% due 12/01/2047 – 02/01/2048, valued at $25,500,000); expected proceeds $25,001,076 | 1.550% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Federal Home Loan Mortgage Corporations, 1.880% – 6.000% due 04/01/2032 – 01/01/2052, and Federal National Mortgage Associations, 1.906% – 6.022% due 05/01/2027 – 06/01/2052, valued at $112,200,000); expected proceeds $110,004,736 | 1.550% | 07/01/2022 | 07/01/2022 | 110,000,000 | 110,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Government National Mortgage Association, 3.000% due 01/20/2052, valued at $25,500,001); expected proceeds $25,001,076 | 1.550% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 360,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—10.5% | ||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2022 (collateralized by a U.S. Treasury Inflation Index Note, 0.875% due 01/15/2029, and a U.S. Treasury Note, 1.375% due 10/31/2028, valued at $10,200,047); expected proceeds $10,066,772(d) | 2.020% | 07/01/2022 | 10/07/2022 | 10,000,000 | 10,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2022 (collateralized by U.S. Treasury Bonds, 2.750% – 3.000% due 08/15/2047 – 02/15/2048, valued at $15,300,036); expected proceeds $15,032,725(d) | 1.870% | 07/01/2022 | 08/10/2022 | $ 15,000,000 | $ 15,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2022 – 05/15/2025, valued at $76,578,440); expected proceeds $75,003,188 | 1.530% | 07/01/2022 | 07/01/2022 | 75,000,000 | 75,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 3.125% due 07/31/2022 – 11/15/2028, valued at $51,000,031); expected proceeds $50,002,139 | 1.540% | 07/01/2022 | 07/01/2022 | 50,000,000 | 50,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 150,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—3.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/24/2022 (collateralized by various Common Stocks, valued at $22,680,036); expected proceeds $21,141,957(d) | 2.045% | 07/01/2022 | 10/21/2022 | 21,000,000 | 21,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Common Stocks, valued at $21,600,038); expected proceeds $20,000,956 | 1.720% | 07/01/2022 | 07/01/2022 | 20,000,000 | 20,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by various Common Stocks, valued at $10,800,016); expected proceeds $10,000,478 | 1.720% | 07/01/2022 | 07/01/2022 | 10,000,000 | 10,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 51,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $1,428,604,859)(e) | 1,428,351,355 | |||||||||
Other Assets in Excess of Liabilities —0.0%(f) | 493,505 | |||||||||
NET ASSETS –100.0% | $ 1,428,844,860 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 12.3% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Illiquid security. These securities represent $46,000,000 or 3.2% of net assets as of June 30, 2022. |
(e) | Also represents the cost for federal tax purposes. |
(f) | Amount is 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 | $— | $ 57,906,678 | $— | $ 57,906,678 | ||||
Certificates Of Deposit | — | 391,997,200 | — | 391,997,200 | ||||
Financial Company Commercial Paper | — | 291,117,477 | — | 291,117,477 | ||||
Other Notes | — | 126,330,000 | — | 126,330,000 | ||||
Government Agency Repurchase Agreements | — | 360,000,000 | — | 360,000,000 | ||||
Treasury Repurchase Agreements | — | 150,000,000 | — | 150,000,000 | ||||
Other Repurchase Agreements | — | 51,000,000 | — | 51,000,000 | ||||
Total Investments | $— | $1,428,351,355 | $— | $1,428,351,355 |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 867,351,355 |
Repurchase agreements, at value and amortized cost | 561,000,000 |
Total Investments | 1,428,351,355 |
Cash | 7,201 |
Interest receivable — unaffiliated issuers | 682,829 |
TOTAL ASSETS | 1,429,041,385 |
LIABILITIES | |
Advisory fee payable | 60,526 |
Custodian, sub-administrator and transfer agent fees payable | 107,296 |
Trustees’ fees and expenses payable | 96 |
Professional fees payable | 17,444 |
Printing and postage fees payable | 11,111 |
Accrued expenses and other liabilities | 52 |
TOTAL LIABILITIES | 196,525 |
NET ASSETS | $1,428,844,860 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 867,604,859 |
Repurchase agreements | 561,000,000 |
Total cost of investments | $1,428,604,859 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $3,992,768 |
EXPENSES | |
Advisory fee | 379,549 |
Custodian, sub-administrator and transfer agent fees | 114,973 |
Trustees’ fees and expenses | 14,330 |
Professional fees and expenses | 20,816 |
Printing and postage fees | 3,957 |
Insurance expense | 169 |
Miscellaneous expenses | 949 |
TOTAL EXPENSES | 534,743 |
NET INVESTMENT INCOME (LOSS) | $3,458,025 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,124 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (140,919) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (137,795) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $3,320,230 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,458,025 | $ 1,134,590 | |
Net realized gain (loss) | 3,124 | 26,626 | |
Net change in unrealized appreciation/depreciation | (140,919) | (142,771) | |
Net increase (decrease) in net assets resulting from operations | 3,320,230 | 1,018,445 | |
CAPITAL TRANSACTIONS | |||
Contributions | 1,625,884,519 | 2,561,953,926 | |
Withdrawals | (1,503,298,176) | (2,186,501,936) | |
Net increase (decrease) in net assets from capital transactions | 122,586,343 | 375,451,990 | |
Net increase (decrease) in net assets during the period | 125,906,573 | 376,470,435 | |
Net assets at beginning of period | 1,302,938,287 | 926,467,852 | |
NET ASSETS AT END OF PERIOD | $ 1,428,844,860 | $ 1,302,938,287 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Year Ended 12/31/20 | For the Period 12/04/19*- 12/31/19 | ||||
Total return (a) | 0.21% | 0.08% | 0.59% | 0.13% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,428,845 | $1,302,938 | $926,468 | $881,297 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.07%(b) | 0.07% | 0.08% | 0.11%(b) | |||
Net investment income (loss) | 0.45%(b) | 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 Fund | $1,429,097,337 | $ — | $253,504 | $(253,504) | |||
State Street ESG Liquid Reserves Portfolio | 1,428,604,859 | 25,099 | 278,603 | (253,504) |
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% | $1,002.10 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
18 | |
23 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $99,869,884,722 |
Receivable for fund shares sold | 2,808,989 |
Receivable from Adviser | 5,150 |
TOTAL ASSETS | 99,872,698,861 |
LIABILITIES | |
Payable for fund shares repurchased | 4,292,252 |
Administration fees payable | 3,766,005 |
Shareholder servicing fee payable | 709,466 |
Distribution fees payable | 127,354 |
Transfer agent fees payable | 23,014 |
Professional fees payable | 110,464 |
Printing fees payable | 77,603 |
Distribution payable | 20,557,477 |
Accrued expenses and other liabilities | 124,221 |
TOTAL LIABILITIES | 29,787,856 |
NET ASSETS | $ 99,842,911,005 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $99,842,661,239 |
Total distributable earnings (loss) | 249,766 |
NET ASSETS | $ 99,842,911,005 |
Administration Class | |
Net Assets | $ 2,331,372,337 |
Shares Outstanding | 2,331,497,638 |
Net asset value, offering and redemption price per share | $ 1.00 |
Bancroft Capital Class | |
Net Assets | $ 400,449,045 |
Shares Outstanding | 400,448,337 |
Net asset value, offering and redemption price per share | $ 1.00 |
Blaylock Van Class | |
Net Assets | $ 500,904 |
Shares Outstanding | 500,904 |
Net asset value, offering and redemption price per share | $ 1.00 |
Cabrera Capital Markets Class | |
Net Assets | $ 100,181 |
Shares Outstanding | 100,181 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 4,939,008,629 |
Shares Outstanding | 4,939,000,475 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 451,843,936 |
Shares Outstanding | 451,849,687 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 1,204,562,286 |
Shares Outstanding | 1,204,561,163 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 2,452,970,016 |
Shares Outstanding | 2,452,967,158 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $83,208,661,673 |
Shares Outstanding | 83,208,744,405 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 4,835,704,268 |
Shares Outstanding | 4,835,707,919 |
Net asset value, offering and redemption price per share | $ 1.00 |
Select Class | |
Net Assets | $ 17,737,730 |
Shares Outstanding | 17,737,717 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 213,711,067 |
Expenses allocated from affiliated Portfolio | (27,732,894) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 185,978,173 |
EXPENSES | |
Administration fees | |
Administration Class | 548,402 |
Bancroft Capital Class | 78,380 |
Blaylock Van Class | 123 |
Cabrera Capital Markets Class | 25 |
Institutional Class | 671,596 |
Investment Class | 105,699 |
Investor Class | 375,517 |
Opportunity Class | 327,917 |
Premier Class | 18,835,088 |
Class G | 290,594 |
Select Class (a) | 499 |
Shareholder servicing fees | |
Administration Class | 2,193,606 |
Bancroft Capital Class | 47,029 |
Blaylock Van Class | 73 |
Cabrera Capital Markets Class | 14 |
Institutional Class | 402,958 |
Investment Class | 528,496 |
Investor Class | 600,828 |
Opportunity Class | 196,750 |
Distribution fees | |
Administration Class | 548,402 |
Investment Class | 211,398 |
Custodian fees | 27,099 |
Trustees’ fees and expenses | 10,744 |
Transfer agent fees | 37,568 |
Registration and filing fees | 1,161,256 |
Professional fees and expenses | 181,433 |
Printing and postage fees | 151,509 |
Insurance expense | 153,517 |
Miscellaneous expenses | 186,531 |
TOTAL EXPENSES | 27,873,051 |
Expenses waived/reimbursed by the Adviser | (12,479,727) |
NET EXPENSES | 15,393,324 |
NET INVESTMENT INCOME (LOSS) | $170,584,849 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 113,788 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $170,698,637 |
(a) | For Select Class shares, data for the period ended June 30, 2022 is from June 2, 2022 (commencement date) through June 30, 2022. |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 170,584,849 | $ 22,691,002 | |
Net realized gain (loss) | 113,788 | 75,104 | |
Net increase (decrease) in net assets resulting from operations | 170,698,637 | 22,766,106 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (2,317,602) | (148,512) | |
Bancroft Capital Class (a) | (691,054) | (6) | |
Blaylock Van Class (b) | (877) | (27) | |
Cabrera Capital Markets Class (c) | (176) | (5) | |
Institutional Class | (6,717,551) | (695,423) | |
Investment Class | (410,394) | (23,973) | |
Investor Class | (2,079,073) | (74,003) | |
Opportunity Class (d) | (3,512,490) | (4,076) | |
Premier Class | (145,221,434) | (20,015,146) | |
Class G | (9,553,769) | (1,754,811) | |
Select Class (e) | (12,396) | — | |
Total distributions to shareholders | (170,516,816) | (22,715,982) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 15,516,987,830 | 26,832,484,299 | |
Reinvestment of distributions | 570,685 | 24,057 | |
Shares redeemed | (15,416,680,647) | (27,152,850,731) | |
Net increase (decrease) from capital share transactions | 100,877,868 | (320,342,375) | |
Bancroft Capital Class (a) | |||
Shares sold | 400,000,000 | 100,000 | |
Reinvestment of distributions | 690,873 | — | |
Shares redeemed | (342,536) | — | |
Net increase (decrease) from capital share transactions | 400,348,337 | 100,000 | |
Blaylock Van Class (b) | |||
Shares sold | — | 500,000 | |
Reinvestment of distributions | 878 | 26 | |
Net increase (decrease) from capital share transactions | 878 | 500,026 | |
Cabrera Capital Markets Class (c) | |||
Shares sold | — | 100,000 | |
Reinvestment of distributions | 176 | 5 | |
Net increase (decrease) from capital share transactions | 176 | 100,005 | |
Institutional Class | |||
Shares sold | 31,362,948,834 | 35,188,173,015 | |
Reinvestment of distributions | 2,784,815 | 97,709 | |
Shares redeemed | (28,015,126,920) | (34,949,274,786) | |
Net increase (decrease) from capital share transactions | 3,350,606,729 | 238,995,938 | |
Investment Class | |||
Shares sold | 648,151,327 | 1,025,029,018 | |
Reinvestment of distributions | 21,854 | 2,290 | |
Shares redeemed | (624,418,320) | (1,079,958,501) | |
Net increase (decrease) from capital share transactions | 23,754,861 | (54,927,193) | |
Investor Class | |||
Shares sold | 22,074,817,222 | 36,818,660,683 | |
Reinvestment of distributions | 2,030,125 | 71,781 | |
Shares redeemed | (21,935,384,820) | (36,692,616,165) | |
Net increase (decrease) from capital share transactions | 141,462,527 | 126,116,299 | |
Opportunity Class (d) | |||
Shares sold | 10,311,388,593 | 492,000,000 | |
Reinvestment of distributions | 2,964,500 | 1,718 | |
Shares redeemed | (8,161,387,653) | (192,000,000) | |
Net increase (decrease) from capital share transactions | 2,152,965,440 | 300,001,718 | |
Premier Class | |||
Shares sold | 565,182,730,706 | 1,174,064,504,174 | |
Reinvestment of distributions | 109,859,465 | 14,991,772 | |
Shares redeemed | (566,093,224,778) | (1,157,675,117,100) | |
Net increase (decrease) from capital share transactions | (800,634,607) | 16,404,378,846 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Class G | |||
Shares sold | 37,620,446,907 | $ 56,547,302,653 | |
Reinvestment of distributions | 9,296,359 | 1,733,882 | |
Shares redeemed | (39,974,198,798) | (55,394,100,971) | |
Net increase (decrease) from capital share transactions | (2,344,455,532) | 1,154,935,564 | |
Select Class (e) | |||
Shares sold | 57,172,104 | — | |
Reinvestment of distributions | 12,303 | — | |
Shares redeemed | (39,446,690) | — | |
Net increase (decrease) from capital share transactions | 17,737,717 | — | |
Net increase (decrease) in net assets from beneficial interest transactions | 3,042,664,394 | 17,849,858,828 | |
Net increase (decrease) in net assets during the period | 3,042,846,215 | 17,849,908,952 | |
Net assets at beginning of period | 96,800,064,790 | 78,950,155,838 | |
NET ASSETS AT END OF PERIOD | $ 99,842,911,005 | $ 96,800,064,790 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 15,516,987,830 | 26,832,484,298 | |
Reinvestment of distributions | 570,685 | 24,057 | |
Shares redeemed | (15,416,680,647) | (27,152,850,731) | |
Net increase (decrease) from share transactions | 100,877,868 | (320,342,376) | |
Bancroft Capital Class (a) | |||
Shares sold | 400,000,000 | 100,000 | |
Reinvestment of distributions | 690,873 | — | |
Shares redeemed | (342,536) | — | |
Net increase (decrease) from share transactions | 400,348,337 | 100,000 | |
Blaylock Van Class (b) | |||
Shares sold | — | 500,000 | |
Reinvestment of distributions | 878 | 26 | |
Net increase (decrease) from share transactions | 878 | 500,026 | |
Cabrera Capital Markets Class (c) | |||
Shares sold | — | 100,000 | |
Reinvestment of distributions | 176 | 5 | |
Net increase (decrease) from share transactions | 176 | 100,005 | |
Institutional Class | |||
Shares sold | 31,362,948,834 | 35,188,173,015 | |
Reinvestment of distributions | 2,784,815 | 97,709 | |
Shares redeemed | (28,015,126,920) | (34,949,274,786) | |
Net increase (decrease) from share transactions | 3,350,606,729 | 238,995,938 | |
Investment Class | |||
Shares sold | 648,151,327 | 1,025,029,020 | |
Reinvestment of distributions | 21,854 | 2,290 | |
Shares redeemed | (624,418,320) | (1,079,958,501) | |
Net increase (decrease) from share transactions | 23,754,861 | (54,927,191) | |
Investor Class | |||
Shares sold | 22,074,817,222 | 36,818,660,683 | |
Reinvestment of distributions | 2,030,125 | 71,781 | |
Shares redeemed | (21,935,384,820) | (36,692,616,165) | |
Net increase (decrease) from share transactions | 141,462,527 | 126,116,299 | |
Opportunity Class (d) | |||
Shares sold | 10,311,388,593 | 492,000,000 | |
Reinvestment of distributions | 2,964,500 | 1,718 | |
Shares redeemed | (8,161,387,653) | (192,000,000) | |
Net increase (decrease) from share transactions | 2,152,965,440 | 300,001,718 | |
Premier Class | |||
Shares sold | 565,182,730,706 | 1,174,064,504,174 | |
Reinvestment of distributions | 109,859,465 | 14,991,772 | |
Shares redeemed | (566,093,224,778) | (1,157,675,117,100) | |
Net increase (decrease) from share transactions | (800,634,607) | 16,404,378,846 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
Class G | |||
Shares sold | 37,620,446,907 | 56,547,302,653 | |
Reinvestment of distributions | 9,296,359 | 1,733,882 | |
Shares redeemed | (39,974,198,798) | (55,394,100,971) | |
Net increase (decrease) from share transactions | (2,344,455,532) | 1,154,935,564 | |
Select Class (e) | |||
Shares sold | 57,172,104 | — | |
Reinvestment of distributions | 12,303 | — | |
Shares redeemed | (39,446,690) | — | |
Net increase (decrease) from share transactions | 17,737,717 | — |
(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 June 30, 2022 is from October 20, 2021 (commencement date) through June 30, 2022. |
(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. |
(e) | For Select Class shares, data for the period ended June 30, 2022 is from June 2, 2022 (commencement date) through June 30, 2022. |
Administration Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0011 | 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 | 0.0011 | 0.0001 | 0.0026 | 0.0186 | 0.0150 | 0.0054 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0011) | (0.0001) | (0.0026) | (0.0186) | (0.0150) | (0.0054) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0011) | (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 | $ 1.0000 | |||||
Total return (c) | 0.11% | 0.01% | 0.26% | 1.88% | 1.51% | 0.54% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,331,372 | $2,230,490 | $2,550,831 | $1,672,762 | $1,686,105 | $1,909,670 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.36%(d) | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% | |||||
Net expenses | 0.24%(d) | 0.07% | 0.23% | 0.37% | 0.37% | 0.37% | |||||
Net investment income (loss) | 0.21%(d) | 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. |
(d) | Annualized. |
Bancroft Capital Class (a) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/13/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.01% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $400,449 | $ 100 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.14%(d) | |
Net expenses | 0.12%(d) | 0.04%(d) | |
Net investment income (loss) | 0.44%(d) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.01% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 501 | $ 500 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.14%(d) | |
Net expenses | 0.11%(d) | 0.04%(d) | |
Net investment income (loss) | 0.35%(d) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.01% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 100 | $ 100 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(d) | 0.14%(d) | |
Net expenses | 0.11%(d) | 0.04%(d) | |
Net investment income (loss) | 0.35%(d) | 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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0018 | 0.0001 | 0.0037 | 0.0207 | 0.0170 | ||||
Net realized gain (loss) | — | — | 0.0000(b) | 0.0000(b) | — | ||||
Total from investment operations | 0.0018 | 0.0001 | 0.0037 | 0.0207 | 0.0170 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0018) | (0.0001) | (0.0037) | (0.0207) | (0.0170) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.18% | 0.03% | 0.37% | 2.09% | 1.67% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,939,009 | $1,588,396 | $1,349,398 | $950,202 | $639,733 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.14%(d) | 0.15% | 0.15% | 0.15% | 0.15%(d) | ||||
Net expenses | 0.12%(d) | 0.04% | 0.14% | 0.15% | 0.15%(d) | ||||
Net investment income (loss) | 0.49%(d) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0009 | 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 | 0.0009 | 0.0001 | 0.0025 | 0.0178 | 0.0140 | 0.0044 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0009) | (0.0001) | (0.0025) | (0.0178) | (0.0140) | (0.0044) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0009) | (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 | $ 1.0000 | |||||
Total return (c) | 0.09% | 0.01% | 0.25% | 1.79% | 1.40% | 0.44% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $451,844 | $428,088 | $483,015 | $517,997 | $380,085 | $432,488 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(d) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.28%(d) | 0.07% | 0.27% | 0.45% | 0.47% | 0.47% | |||||
Net investment income (loss) | 0.19%(d) | 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. |
(d) | Annualized. |
Investor Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0016 | 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 | 0.0016 | 0.0001 | 0.0033 | 0.0203 | 0.0170 | 0.0071 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0016) | (0.0001) | (0.0033) | (0.0203) | (0.0170) | (0.0071) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0016) | (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 | $ 1.0000 | |||||
Total return (c) | 0.16% | 0.01% | 0.33% | 2.05% | 1.68% | 0.71% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,204,562 | $1,063,097 | $936,980 | $726,126 | $1,875,096 | $1,245,204 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.14%(d) | 0.07% | 0.18% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 0.27%(d) | 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. |
(d) | Annualized. |
Opportunity Class (a) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/28/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.00% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $2,452,970 | $300,002 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.15%(d) | |
Net expenses | 0.13%(d) | 0.04%(d) | |
Net investment income (loss) | 0.53%(d) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0018 | 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 | 0.0018 | 0.0001 | 0.0039 | 0.0211 | 0.0170 | 0.0079 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0018) | (0.0001) | (0.0039) | (0.0211) | (0.0170) | (0.0079) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0018) | (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 | $ 1.0000 | |||||
Total return (c) | 0.18% | 0.03% | 0.39% | 2.13% | 1.76% | 0.79% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $83,208,662 | $84,009,144 | $67,604,723 | $52,826,660 | $32,939,927 | $38,921,503 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.09%(d) | 0.05% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.38%(d) | 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. |
(d) | Annualized. |
Class G (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0020 | 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 | 0.0020 | 0.0001 | 0.0043 | 0.0215 | 0.0180 | 0.0083 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0020) | (0.0001) | (0.0043) | (0.0215) | (0.0180) | (0.0083) | |||||
Net realized gains | — | — | — | — | — | 0.0000(b) | |||||
Total distributions | (0.0020) | (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 | $ 1.0000 | |||||
Total return (c) | 0.20% | 0.03% | 0.43% | 2.17% | 1.80% | 0.83% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,835,704 | $7,180,149 | $6,025,209 | $3,607,164 | $3,065,834 | $4,349,842 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.08%(d) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net expenses | 0.07%(d) | 0.05% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net investment income (loss) | 0.32%(d) | 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. |
(d) | Annualized. |
Select Class (a) | |
For the Period 6/2/22*- 06/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 0.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0009 |
Net realized gain (loss) | 1.0000 |
Total from investment operations | 1.0009 |
Distributions to shareholders from: | |
Net investment income | (0.0009) |
Net asset value, end of period | $ 1.0000 |
Total return (b) | 0.09% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 17,738 |
Ratios to Average Net Assets: | |
Total expenses | 0.11%(c) |
Net expenses | 0.07%(c) |
Net investment income (loss) | 1.29%(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. |
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 June 2, 2022 | Diversified |
Expiration Date | Amount | |
12/31/2023 | $ 4,506,387 | |
12/31/2024 | $61,082,619 | |
12/31/2025 | $10,102,610 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional U.S. Government Money Market Fund | |||||||||
Administration Class | 0.24% | $1,001.10 | $ 1.19 | $1,023.60 | $1.20 | ||||
Bancroft Capital Class | 0.12 | 1,001.80 | 0.60 | 1,024.20 | 0.60 | ||||
Blaylock Van Class | 0.11 | 1,001.80 | 0.55 | 1,024.20 | 0.55 | ||||
Cabrera Capital Markets Class | 0.10 | 1,001.80 | 0.50 | 1,024.30 | 0.50 | ||||
Institutional Class | 0.11 | 1,001.80 | 0.55 | 1,024.20 | 0.55 | ||||
Investment Class | 0.28 | 1,000.90 | 1.39 | 1,023.40 | 1.40 | ||||
Investor Class | 0.14 | 1,001.60 | 0.69 | 1,024.10 | 0.70 | ||||
Opportunity Class | 0.13 | 1,001.80 | 0.65 | 1,024.10 | 0.65 | ||||
Premier Class | 0.09 | 1,001.80 | 0.45 | 1,024.30 | 0.45 | ||||
Class G | 0.06 | 1,002.00 | 0.30 | 1,024.50 | 0.30 | ||||
Select Class | 0.08 | 1,000.90 | 0.06(b) | 1,003.90 | 0.06 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Actual period is from commencement of operations on June 2, 2022. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
7 | |
8 | |
9 | |
10 | |
11 | |
15 |
% of Net Assets | |||
Treasury Repurchase Agreements | 66.2% | ||
Treasury Debt | 12.5 | ||
Government Agency Debt | 11.7 | ||
Government Agency Repurchase Agreements | 2.7 | ||
Other Assets in Excess of Liabilities | 6.9 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 67.5% | ||
2 to 30 Days | 2.7 | ||
31 to 60 Days | 1.8 | ||
61 to 90 Days | 3.6 | ||
Over 90 Days | 17.5 | ||
Total | 93.1% | ||
Average days to maturity | 16 | ||
Weighted average life | 67 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—11.7% | ||||||||||
Federal Farm Credit Banks Funding Corp. (a) | 0.213% | 12/02/2022 | 12/02/2022 | $ 412,500,000 | $ 412,495,139 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.01 (b) | 1.515% | 07/01/2022 | 09/13/2022 | 289,310,000 | 289,308,514 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.01% (b) | 1.523% | 07/01/2022 | 09/07/2022 | 324,500,000 | 324,489,287 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.02 (b) | 1.528% | 07/01/2022 | 07/14/2023 | 162,800,000 | 162,794,867 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.02 (b) | 1.530% | 07/01/2022 | 10/27/2022 | 271,000,000 | 270,995,564 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.02 (b) | 1.530% | 07/01/2022 | 12/14/2022 | 44,722,000 | 44,721,176 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.02 (b) | 1.530% | 07/01/2022 | 03/14/2023 | 522,169,000 | 522,123,772 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.02 (b) | 1.530% | 07/01/2022 | 08/21/2023 | 379,450,000 | 379,441,238 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.03 (b) | 1.535% | 07/01/2022 | 01/12/2023 | 309,250,000 | 309,241,642 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.04% (b) | 1.550% | 07/01/2022 | 07/08/2022 | 275,000,000 | 274,999,733 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.04% (b) | 1.550% | 07/01/2022 | 07/11/2022 | 114,500,000 | 114,500,477 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% | 1.555% | 07/01/2022 | 05/24/2024 | 178,700,000 | 178,700,000 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% | 1.555% | 07/01/2022 | 06/03/2024 | 124,800,000 | 124,800,000 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.05 | 1.560% | 07/01/2022 | 05/09/2024 | 135,000,000 | 135,000,000 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% (b) | 1.560% | 07/01/2022 | 08/12/2022 | 477,000,000 | 477,013,895 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.06 (b) | 1.565% | 07/01/2022 | 02/09/2023 | 54,700,000 | 54,700,000 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.06% (b) | 1.565% | 07/01/2022 | 12/13/2022 | 329,250,000 | 329,262,407 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.06% | 1.570% | 07/01/2022 | 05/13/2024 | 49,920,000 | 49,931,687 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.07% (b) | 1.575% | 07/01/2022 | 11/18/2022 | 39,250,000 | 39,250,000 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.09 (b) | 1.595% | 07/01/2022 | 10/07/2022 | 45,000,000 | 45,000,000 | |||||
Federal Farm Credit Banks Funding Corp., FFR + 0.06% (b) | 1.635% | 07/01/2022 | 01/19/2023 | 150,000,000 | 149,995,803 | |||||
Federal Farm Credit Banks Funding Corp., SOFR + 0.15% (b) | 1.660% | 07/01/2022 | 08/26/2022 | 22,000,000 | 22,004,238 | |||||
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03% (b) | 1.783% | 07/01/2022 | 07/13/2023 | 75,000,000 | 74,996,068 | |||||
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03 (b) | 1.785% | 07/01/2022 | 10/12/2023 | 275,000,000 | 274,983,780 | |||||
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03 (b) | 1.786% | 07/01/2022 | 04/03/2023 | 226,046,000 | 226,046,000 | |||||
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.04 (b) | 1.793% | 07/01/2022 | 05/03/2023 | 318,080,000 | 318,080,000 | |||||
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.04% (b) | 1.793% | 07/01/2022 | 11/01/2023 | 300,000,000 | 299,983,724 | |||||
Federal Farm Credit Banks Funding Corp. | 2.158% | 05/25/2023 | 05/25/2023 | 299,500,000 | 299,346,095 | |||||
Federal Home Loan Bank (a) | 0.213% | 11/29/2022 | 11/29/2022 | 196,000,000 | 195,928,918 | |||||
Federal Home Loan Bank, SOFR + 0.01 (b) | 1.520% | 07/01/2022 | 10/07/2022 | 445,545,000 | 445,545,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Bank, SOFR + 0.01 (b) | 1.520% | 07/01/2022 | 10/17/2022 | $ 40,000,000 | $ 40,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (b) | 1.520% | 07/01/2022 | 08/05/2022 | 348,110,000 | 348,110,000 | |||||
Federal Home Loan Bank, SOFR + 0.01% (b) | 1.520% | 07/01/2022 | 10/07/2022 | 290,000,000 | 290,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.06% (b) | 1.570% | 07/01/2022 | 11/23/2022 | 350,000,000 | 350,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.06% (b) | 1.570% | 07/01/2022 | 12/16/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.07% (b) | 1.575% | 07/01/2022 | 11/10/2022 | 150,000,000 | 150,000,000 | |||||
Federal Home Loan Bank Discount Notes (a) | 0.760% | 07/19/2022 | 07/19/2022 | 89,400,000 | 89,366,028 | |||||
Federal Home Loan Bank Discount Notes (a) | 0.785% | 07/20/2022 | 07/20/2022 | 663,000,000 | 662,725,315 | |||||
Federal Home Loan Bank Discount Notes | 1.090% | 09/08/2022 | 09/08/2022 | 680,000,000 | 678,579,367 | |||||
Federal Home Loan Bank Discount Notes (a) | 1.160% | 09/14/2022 | 09/14/2022 | 467,400,000 | 466,270,450 | |||||
Federal Home Loan Bank Discount Notes | 1.190% | 12/28/2022 | 12/28/2022 | 446,500,000 | 443,843,325 | |||||
Federal Home Loan Bank Discount Notes | 1.320% | 10/20/2022 | 10/20/2022 | 453,000,000 | 451,129,311 | |||||
Federal Home Loan Bank Discount Notes | 1.430% | 07/22/2022 | 07/22/2022 | 36,300,000 | 36,269,720 | |||||
Federal Home Loan Bank Discount Notes | 1.935% | 09/16/2022 | 09/16/2022 | 216,109,000 | 215,214,579 | |||||
Federal Home Loan Bank Discount Notes | 2.100% | 05/12/2023 | 05/12/2023 | 270,200,000 | 265,235,075 | |||||
Federal Home Loan Bank Discount Notes | 2.160% | 05/18/2023 | 05/18/2023 | 79,700,000 | 78,164,978 | |||||
Federal Home Loan Banks | 2.238% | 05/18/2023 | 05/18/2023 | 55,980,000 | 55,925,683 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 11,716,512,855 | |||||||||
TREASURY DEBT—12.5% | ||||||||||
U.S. Treasury Bills | 0.660% | 07/19/2022 | 07/19/2022 | 61,800,000 | 61,779,374 | |||||
U.S. Treasury Bills | 0.730% | 09/08/2022 | 09/08/2022 | 1,915,000 | 1,912,321 | |||||
U.S. Treasury Bills | 0.765% | 08/18/2022 | 08/18/2022 | 475,350,000 | 474,863,361 | |||||
U.S. Treasury Bills | 0.816% | 09/15/2022 | 09/15/2022 | 435,440,000 | 434,687,536 | |||||
U.S. Treasury Bills | 0.850% | 09/20/2022 | 09/20/2022 | 218,500,000 | 218,082,119 | |||||
U.S. Treasury Bills | 0.856% | 09/22/2022 | 09/22/2022 | 981,320,000 | 979,380,712 | |||||
U.S. Treasury Bills | 1.030% | 12/29/2022 | 12/29/2022 | 3,500,000 | 3,481,875 | |||||
U.S. Treasury Bills | 1.133% | 02/23/2023 | 02/23/2023 | 450,000,000 | 446,650,741 | |||||
U.S. Treasury Bills | 1.250% | 10/20/2022 | 10/20/2022 | 750,000 | 747,109 | |||||
U.S. Treasury Bills | 2.100% | 05/18/2023 | 05/18/2023 | 316,000,000 | 310,082,900 | |||||
U.S. Treasury Bills | 2.116% | 04/20/2023 | 04/20/2023 | 451,087,000 | 444,240,797 | |||||
U.S. Treasury Notes | 1.447% | 03/31/2023 | 03/31/2023 | 450,360,000 | 445,955,849 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.08% | 1.683% | 07/01/2022 | 04/30/2024 | 2,508,100,000 | 2,504,964,829 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.02 | 1.743% | 07/01/2022 | 01/31/2024 | 40,300,000 | 40,322,583 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.787% | 07/01/2022 | 07/31/2023 | 1,287,605,000 | 1,287,643,183 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.792% | 07/01/2022 | 04/30/2023 | 1,440,672,000 | 1,440,764,808 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.04 (b) | 1.793% | 07/01/2022 | 10/31/2023 | 646,100,000 | 646,103,038 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.05 (b) | 1.807% | 07/01/2022 | 01/31/2023 | 1,629,182,000 | 1,629,435,588 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 07/31/2022 | 464,000,000 | 464,149,496 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 10/31/2022 | 776,700,000 | 776,737,532 | |||||
TOTAL TREASURY DEBT | 12,611,985,751 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—2.7% | ||||||||||
Agreement with Banco Santander of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal National Mortgage Associations, 1.500% – 5.500% due 07/01/2033 – 06/01/2052, valued at $255,000,000); expected proceeds $250,010,799 | 1.555% | 07/01/2022 | 07/01/2022 | 250,000,000 | 250,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 13.304% due 03/15/2032 – 07/15/2049, and Federal National Mortgage Associations, 0.000% – 6.124% due 12/25/2023 – 03/25/2062, valued at $280,800,000); expected proceeds $260,011,194 | 1.550% | 07/01/2022 | 07/01/2022 | 260,000,000 | 260,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 06/01/2052, and a Federal National Mortgage Association, 3.500% due 04/01/2052, valued at $204,000,000); expected proceeds $200,008,611 | 1.550% | 07/01/2022 | 07/01/2022 | $ 200,000,000 | $ 200,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/16/2022 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 4.500% due 04/01/2029 – 04/01/2052, Federal National Mortgage Associations, 1.810% – 6.000% due 03/01/2028 – 04/01/2052, and Government National Mortgage Associations, 2.500% – 5.000% due 01/15/2041 – 01/20/2052, valued at $234,600,034); expected proceeds $230,415,917 | 1.550% | 07/07/2022 | 07/28/2022 | 230,000,000 | 230,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Government National Mortgage Association, 2.000% due 01/20/2051, valued at $174,420,000); expected proceeds $171,007,363 | 1.550% | 07/01/2022 | 07/01/2022 | 171,000,000 | 171,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 1.000% – 4.500% due 03/01/2036 – 06/01/2052, and Federal National Mortgage Associations, 1.000% – 5.000% due 01/01/2029 – 04/01/2059, valued at $142,800,000); expected proceeds $140,006,028 | 1.550% | 07/01/2022 | 07/01/2022 | 140,000,000 | 140,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/16/2022 (collateralized by Federal Home Loan Mortgage Corporations, 1.609% – 5.000% due 07/01/2036 – 05/01/2052, and Federal National Mortgage Associations, 1.500% – 6.000% due 06/01/2027 – 05/01/2058, valued at $382,500,001); expected proceeds $375,682,500 (c) | 1.560% | 07/28/2022 | 07/28/2022 | 375,000,000 | 375,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 7.500% due 01/01/2027 – 05/01/2052, Federal National Mortgage Associations, 1.069% – 5.120% due 04/01/2027 – 06/01/2052 and a Federal National Mortgage Associations Strip, 4.476% due 11/01/2042, valued at $517,140,000); expected proceeds $507,021,829 | 1.550% | 07/01/2022 | 07/01/2022 | 507,000,000 | 507,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Federal Home Loan Mortgage Corporation, 2.000% due 04/01/2051, Federal National Mortgage Associations, 2.202% – 4.500% due 02/01/2040 – 12/01/2051, Government National Mortgage Associations, 2.000% – 2.500% due 01/20/2051 – 11/20/2051, U.S. Treasury Bonds, 2.875% – 3.375% due 11/15/2041 – 11/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 07/15/2023 – 07/15/2030, and U.S. Treasury Notes, 0.125% – 2.875% due 07/31/2022 – 08/15/2027, valued at $510,000,000); expected proceeds $500,021,250 | 1.530% | 07/01/2022 | 07/01/2022 | $ 500,000,000 | $ 500,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal National Mortgage Associations, 4.500% due 06/01/2052, and a U.S. Treasury Bill, 0.000% due 12/29/2022, valued at $26,520,001); expected proceeds $26,001,119 | 1.550% | 07/01/2022 | 07/01/2022 | 26,000,000 | 26,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a Federal Home Loan Mortgage Corporation, 0.800% due 10/27/2026, valued at $2,040,375); expected proceeds $2,000,086 | 1.550% | 07/01/2022 | 07/01/2022 | 2,000,000 | 2,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 8.000% due 09/01/2022 – 02/01/2052, Federal National Mortgage Associations, 1.500% – 9.000% due 07/25/2022 – 02/01/2052, and Government National Mortgage Associations, 0.500% – 10.000% due 08/15/2022 – 06/20/2052, valued at $51,000,001); expected proceeds $50,002,153 | 1.550% | 07/01/2022 | 07/01/2022 | 50,000,000 | 50,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 2,711,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—66.2% | ||||||||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2046, and a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, valued at $306,000,012); expected proceeds $300,012,500 | 1.500% | 07/01/2022 | 07/01/2022 | 300,000,000 | 300,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 2.875% due 11/15/2022 – 11/30/2025, valued at $62,002,669,462); expected proceeds $62,002,669,444 | 1.550% | 07/01/2022 | 07/01/2022 | 62,000,000,000 | 62,000,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 1.625% – 2.000% due 07/31/2022 – 08/15/2029, valued at $168,300,030); expected proceeds $165,007,104 | 1.550% | 07/01/2022 | 07/01/2022 | 165,000,000 | 165,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Fixed Income Clearing Corp., dated 06/30/2022 (collateralized by a U.S. Treasury Note, 0.500% due 02/28/2026, valued at $179,597,680); expected proceeds $176,007,602 | 1.550% | 07/01/2022 | 07/01/2022 | $ 176,000,000 | $ 176,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.750% - 3.375% due 08/15/2047 - 02/15/2049, and a U.S. Treasury Inflation Index Bond, 0.625% due 02/15/2043, valued at $1,693,339,353); expected proceeds $1,650,071,438 | 1.550% | 07/01/2022 | 07/01/2022 | 1,650,000,167 | 1,650,000,167 | |||||
Agreement with MUFG Securities, dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% - 6.250% due 12/31/2022 - 02/15/2032, and U.S. Treasury Bonds, 3.125% - 4.375% due 05/15/2041 - 11/15/2041, valued at $568,582,801); expected proceeds $557,324,072 | 1.550% | 07/01/2022 | 07/01/2022 | 557,300,000 | 557,300,000 | |||||
Agreement with National Australia Bank, Ltd., dated 06/30/2022 (collateralized by a U.S. Treasury Note, 2.250% due 11/15/2024, valued at $359,338,542); expected proceeds $352,015,204 | 1.550% | 07/01/2022 | 07/01/2022 | 352,000,000 | 352,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/16/2022 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 1.250% – 2.375% due 06/30/2024 – 02/15/2032, valued at $856,800,058); expected proceeds $841,055,600 (c) | 1.560% | 07/15/2022 | 07/15/2022 | 840,000,000 | 840,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 1.750% - 3.750% due 08/15/2041 - 11/15/2043, and U.S. Treasury Strips, 0.000%, due 11/15/2029 – 02/15/2045, valued at $236,683,160); expected proceeds $231,646,238 | 1.560% | 07/01/2022 | 07/01/2022 | 231,636,200 | 231,636,200 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.750% - 3.750% due 11/15/2042 - 11/15/2048, and a U.S. Treasury Strip, 0.000%, due 05/15/2029, valued at $183,742,367); expected proceeds $180,026,226 | 1.560% | 07/01/2022 | 07/01/2022 | 180,018,425 | 180,018,425 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2031, and a U.S. Treasury Note, 2.750% due 02/15/2024, valued at $25,500,058); expected proceeds $25,001,028 | 1.480% | 07/01/2022 | 07/01/2022 | 25,000,000 | 25,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 66,476,954,792 | |||||||||
TOTAL INVESTMENTS –93.1% (d)(e) | 93,516,453,398 | |||||||||
Other Assets in Excess of Liabilities —6.9% | 6,955,539,471 | |||||||||
NET ASSETS –100.0% | $100,471,992,869 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $1,215,000,000 or 1.2% of net assets as of June 30, 2022. |
(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 | $ 24,328,498,606 |
Repurchase agreements, at value and amortized cost | 69,187,954,792 |
Total Investments | 93,516,453,398 |
Cash | 6,927,136,686 |
Interest receivable — unaffiliated issuers | 33,337,234 |
Other Receivable | 3,968,428 |
TOTAL ASSETS | 100,480,895,746 |
LIABILITIES | |
Advisory and administrator fee payable | 4,006,363 |
Custody, sub-administration and transfer agent fees payable | 4,551,305 |
Trustees’ fees and expenses payable | 6,885 |
Professional fees payable | 262,046 |
Printing fees payable | 48,931 |
Accrued expenses and other liabilities | 27,347 |
TOTAL LIABILITIES | 8,902,877 |
NET ASSETS | $100,471,992,869 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $218,600,100 |
EXPENSES | |
Advisory and administrator fee | 22,547,241 |
Custodian, sub-administrator and transfer agent fees | 4,679,329 |
Trustees’ fees and expenses | 255,966 |
Professional fees and expenses | 349,719 |
Printing and postage fees | 34,695 |
Insurance expense | 12,391 |
Miscellaneous expenses | 32,744 |
TOTAL EXPENSES | 27,912,085 |
NET INVESTMENT INCOME (LOSS) | $190,688,015 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 114,533 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $190,802,548 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 190,688,015 | $ 8,581,856 | |
Net realized gain (loss) | 114,533 | 75,720 | |
Net increase (decrease) in net assets resulting from operations | 190,802,548 | 8,657,576 | |
CAPITAL TRANSACTIONS | |||
Contributions | 151,793,718,416 | 228,927,239,917 | |
Withdrawals | (148,900,750,968) | (211,159,621,770) | |
Net increase (decrease) in net assets from capital transactions | 2,892,967,448 | 17,767,618,147 | |
Net increase (decrease) in net assets during the period | 3,083,769,996 | 17,776,275,723 | |
Net assets at beginning of period | 97,388,222,873 | 79,611,947,150 | |
NET ASSETS AT END OF PERIOD | $ 100,471,992,869 | $ 97,388,222,873 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.18% | 0.01% | 0.45% | 2.20% | 1.81% | 0.74% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $100,471,993 | $97,388,223 | $79,611,947 | $60,887,784 | $41,221,782 | $48,665,017 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.06% | 0.06% | 0.07% | 0.07% | 0.06% | |||||
Net investment income (loss) | 0.42%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street U.S. Government Money Market Portfolio | 0.06% | $1,001.80 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $15,340,513,791 |
Receivable for fund shares sold | 46,338 |
Other Receivable | 180 |
TOTAL ASSETS | 15,340,560,309 |
LIABILITIES | |
Administration fees payable | 643,218 |
Shareholder servicing fee payable | 200,858 |
Distribution fees payable | 49,002 |
Transfer agent fees payable | 27,502 |
Registration and filing fees payable | 55,573 |
Professional fees payable | 27,388 |
Printing fees payable | 31,277 |
Distribution payable | 1,885,860 |
Accrued expenses and other liabilities | 9,726 |
TOTAL LIABILITIES | 2,930,404 |
NET ASSETS | $15,337,629,905 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $15,337,629,876 |
Total distributable earnings (loss) | 29 |
NET ASSETS | $15,337,629,905 |
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 | $ 50,073 |
Shares Outstanding | 50,073 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 2,192,335,552 |
Shares Outstanding | 2,192,342,690 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 606,835,847 |
Shares Outstanding | 606,831,897 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 302,785,326 |
Shares Outstanding | 302,786,322 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 35,952,785 |
Shares Outstanding | 35,952,789 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $12,199,570,322 |
Shares Outstanding | 12,199,666,868 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $31,466,158 |
Expenses allocated from affiliated Portfolio | (4,504,768) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 26,961,390 |
EXPENSES | |
Administration fees | |
Administration Class | 13 |
Bancroft Capital Class | 12 |
Cabrera Capital Markets Class | 12 |
Institutional Class | 378,306 |
Investment Class | 100,921 |
Investor Class | 159,549 |
Opportunity Class | 149 |
Premier Class | 2,966,257 |
Shareholder servicing fees | |
Administration Class | 48 |
Bancroft Capital Class | 7 |
Cabrera Capital Markets Class | 7 |
Institutional Class | 226,984 |
Investment Class | 504,606 |
Investor Class | 255,279 |
Opportunity Class | 89 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 201,842 |
Custodian fees | 23,138 |
Trustees’ fees and expenses | 10,460 |
Transfer agent fees | 15,943 |
Registration and filing fees | 85,759 |
Professional fees | 36,699 |
Printing and postage fees | 30,440 |
Insurance expense | 23,166 |
Miscellaneous expenses | 49,803 |
TOTAL EXPENSES | 5,069,502 |
Expenses waived/reimbursed by the Adviser | (1,174,929) |
NET EXPENSES | 3,894,573 |
NET INVESTMENT INCOME (LOSS) | $23,066,817 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (23,986) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $23,042,831 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 23,066,817 | $ 863,894 | |
Net realized gain (loss) | (23,986) | 45,399 | |
Net increase (decrease) in net assets resulting from operations | 23,042,831 | 909,293 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (40) | (8) | |
Bancroft Capital Class (a) | (72) | (1) | |
Cabrera Capital Markets Class (b) | (72) | (1) | |
Institutional Class | (2,970,461) | (48,229) | |
Investment Class | (361,761) | (25,325) | |
Investor Class | (653,152) | (47,317) | |
Opportunity Class (c) | (2,860) | (1) | |
Premier Class | (19,078,403) | (841,012) | |
Total distributions to shareholders | (23,066,821) | (961,894) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Reinvestment of distributions | — | 7 | |
Shares redeemed | — | (275,014) | |
Net increase (decrease) from capital share transactions | — | (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 | 72 | 1 | |
Net increase (decrease) from capital share transactions | 72 | 50,001 | |
Institutional Class | |||
Shares sold | 4,211,455,603 | 5,087,839,401 | |
Reinvestment of distributions | 659,557 | 21,352 | |
Shares redeemed | (2,931,156,928) | (4,420,515,486) | |
Net increase (decrease) from capital share transactions | 1,280,958,232 | 667,345,267 | |
Investment Class | |||
Shares sold | 566,037,048 | 533,675,055 | |
Reinvestment of distributions | 9,915 | 1,631 | |
Shares redeemed | (243,098,067) | (729,742,532) | |
Net increase (decrease) from capital share transactions | 322,948,896 | (196,065,846) | |
Investor Class | |||
Shares sold | 3,299,830,790 | 5,276,633,799 | |
Reinvestment of distributions | 211,147 | 17,757 | |
Shares redeemed | (3,535,531,110) | (5,293,891,789) | |
Net increase (decrease) from capital share transactions | (235,489,173) | (17,240,233) | |
Opportunity Class (c) | |||
Shares sold | 35,900,000 | 50,000 | |
Reinvestment of distributions | 2,789 | — | |
Net increase (decrease) from capital share transactions | 35,902,789 | 50,000 | |
Premier Class | |||
Shares sold | 58,307,087,648 | 104,057,324,262 | |
Reinvestment of distributions | 18,136,594 | 848,198 | |
Shares redeemed | (57,826,532,699) | (107,065,223,762) | |
Net increase (decrease) from capital share transactions | 498,691,543 | (3,007,051,302) | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,903,012,359 | (2,553,137,120) | |
Net increase (decrease) in net assets during the period | 1,902,988,369 | (2,553,189,721) | |
Net assets at beginning of period | 13,434,641,536 | 15,987,831,257 | |
NET ASSETS AT END OF PERIOD | $ 15,337,629,905 | $ 13,434,641,536 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Reinvestment of distributions | — | 7 | |
Shares redeemed | — | (275,014) | |
Net increase (decrease) from share transactions | — | (275,007) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
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 | 72 | 1 | |
Net increase (decrease) from share transactions | 72 | 50,001 | |
Institutional Class | |||
Shares sold | 4,211,455,603 | 5,087,839,401 | |
Reinvestment of distributions | 659,557 | 21,352 | |
Shares redeemed | (2,931,156,928) | (4,420,515,486) | |
Net increase (decrease) from share transactions | 1,280,958,232 | 667,345,267 | |
Investment Class | |||
Shares sold | 566,037,048 | 533,675,055 | |
Reinvestment of distributions | 9,915 | 1,631 | |
Shares redeemed | (243,098,067) | (729,742,532) | |
Net increase (decrease) from share transactions | 322,948,896 | (196,065,846) | |
Investor Class | |||
Shares sold | 3,299,830,790 | 5,276,633,799 | |
Reinvestment of distributions | 211,147 | 17,757 | |
Shares redeemed | (3,535,531,110) | (5,293,891,789) | |
Net increase (decrease) from share transactions | (235,489,173) | (17,240,233) | |
Opportunity Class (c) | |||
Shares sold | 35,900,000 | 50,000 | |
Reinvestment of distributions | 2,789 | — | |
Net increase (decrease) from share transactions | 35,902,789 | 50,000 | |
Premier Class | |||
Shares sold | 58,307,087,648 | 104,057,324,262 | |
Reinvestment of distributions | 18,136,594 | 848,198 | |
Shares redeemed | (57,826,532,699) | (107,065,223,762) | |
Net increase (decrease) from share transactions | 498,691,543 | (3,007,051,302) |
(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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0016 | 0.0009 | 0.0029 | 0.0184 | 0.0076 | ||||
Net realized gain (loss) | (0.0008) | (0.0007) | (0.0001) | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0008 | 0.0002 | 0.0028 | 0.0184 | 0.0076 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0008) | (0.0001) | (0.0028) | (0.0184) | (0.0076) | ||||
Net realized gains | — | (0.0001) | — | — | — | ||||
Total distributions | (0.0008) | (0.0002) | (0.0028) | (0.0184) | (0.0076) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.08% | 0.00%(d) | 0.28% | 1.85% | 0.76% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 325 | $ 50 | $ 50 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.36%(e) | 0.37% | 0.37% | 0.37% | 0.37%(e) | ||||
Net expenses | 0.25%(e) | 0.07% | 0.18% | 0.37% | 0.37%(e) | ||||
Net investment income (loss) | 0.16%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/13/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0014 | 0.0001 | |
Net realized gain (loss) | 0.0000(b) | 0.0001 | |
Total from investment operations | 0.0014 | 0.0002 | |
Distributions to shareholders from: | |||
Net investment income | (0.0014) | (0.0001) | |
Net realized gains | — | (0.0001) | |
Total distributions | (0.0014) | (0.0002) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.14% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(e) | 0.15%(e) | |
Net expenses | 0.12%(e) | 0.05%(e) | |
Net investment income (loss) | 0.29%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0015 | 0.0001 | |
Net realized gain (loss) | (0.0001) | 0.0001 | |
Total from investment operations | 0.0014 | 0.0002 | |
Distributions to shareholders from: | |||
Net investment income | (0.0014) | (0.0001) | |
Net realized gains | — | (0.0001) | |
Total distributions | (0.0014) | (0.0002) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (b) | 0.14% | 0.00%(c) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(d) | 0.15%(d) | |
Net expenses | 0.12%(d) | 0.05%(d) | |
Net investment income (loss) | 0.30%(d) | 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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0014 | 0.0001 | 0.0038 | 0.0205 | 0.0085 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0001 | — | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0014 | 0.0002 | 0.0038 | 0.0205 | 0.0085 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0014) | (0.0001) | (0.0038) | (0.0205) | (0.0085) | ||||
Net realized gains | — | (0.0001) | — | — | — | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.14% | 0.01% | 0.38% | 2.07% | 0.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,192,336 | $911,380 | $244,039 | $ 23,628 | $ 50 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.15%(d) | 0.15% | 0.15% | 0.15% | 0.15%(d) | ||||
Net expenses | 0.13%(d) | 0.06% | 0.14% | 0.15% | 0.15%(d) | ||||
Net investment income (loss) | 0.39%(d) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0006 | 0.0000 | 0.0027 | 0.0175 | 0.0138 | 0.0041 | |||||
Net realized gain (loss) | 0.0000(b) | 0.0002 | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | |||||
Total from investment operations | 0.0006 | 0.0002 | 0.0028 | 0.0175 | 0.0138 | 0.0041 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0006) | (0.0001) | (0.0027) | (0.0175) | (0.0138) | (0.0041) | |||||
Net realized gains | — | (0.0001) | (0.0001) | — | — | (0.0000)(b) | |||||
Total distributions | (0.0006) | (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 | $ 1.0000 | |||||
Total return (c) | 0.06% | 0.01% | 0.27% | 1.76% | 1.39% | 0.41% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $606,836 | $283,888 | $479,954 | $408,230 | $390,735 | $366,364 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(d) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.34%(d) | 0.06% | 0.26% | 0.46% | 0.47% | 0.47% | |||||
Net investment income (loss) | 0.18%(d) | 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. |
(d) | Annualized. |
Investor Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0012 | 0.0001 | 0.0035 | 0.0200 | 0.0165 | 0.0068 | |||||
Net realized gain (loss) | 0.0001 | 0.0001 | — | 0.0000(b) | (0.0000)(b) | 0.0000(b) | |||||
Total from investment operations | 0.0013 | 0.0002 | 0.0035 | 0.0200 | 0.0165 | 0.0068 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0013) | (0.0001) | (0.0035) | (0.0200) | (0.0165) | (0.0068) | |||||
Net realized gains | — | (0.0001) | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0013) | (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 | $ 1.0000 | |||||
Total return (c) | 0.13% | 0.01% | 0.35% | 2.02% | 1.66% | 0.68% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $302,785 | $538,275 | $555,517 | $131,075 | $ 97,241 | $ 29,583 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.15%(d) | 0.06% | 0.17% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 0.20%(d) | 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. |
(d) | Annualized. |
Opportunity Class (a) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/28/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0014 | 0.0001 | |
Net realized gain (loss) | 0.0000(b) | 0.0001 | |
Total from investment operations | 0.0014 | 0.0002 | |
Distributions to shareholders from: | |||
Net investment income | (0.0014) | (0.0001) | |
Net realized gains | — | (0.0001) | |
Total distributions | (0.0014) | (0.0002) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.14% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 35,953 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(e) | 0.15%(e) | |
Net expenses | 0.15%(e) | 0.05%(e) | |
Net investment income (loss) | 0.96%(e) | 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. |
Premier Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0014 | 0.0000 | 0.0040 | 0.0208 | 0.0173 | 0.0076 | |||||
Net realized gain (loss) | 0.0001 | 0.0002 | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | |||||
Total from investment operations | 0.0015 | 0.0002 | 0.0041 | 0.0208 | 0.0173 | 0.0076 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0015) | (0.0001) | (0.0040) | (0.0208) | (0.0173) | (0.0076) | |||||
Net realized gains | — | (0.0001) | (0.0001) | — | — | (0.0000)(b) | |||||
Total distributions | (0.0015) | (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 | $ 1.0000 | |||||
Total return (c) | 0.15% | 0.01% | 0.40% | 2.10% | 1.74% | 0.76% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,199,570 | $11,700,899 | $14,707,995 | $11,812,916 | $9,424,507 | $12,123,627 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.10%(d) | 0.06% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.32%(d) | 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. |
(d) | Annualized. |
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 | |
12/31/2025 | $ 1,169,499 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional Treasury Money Market Fund | |||||||||
Administration Class | 0.25% | $1,000.80 | $1.24 | $1,023.60 | $1.25 | ||||
Bancroft Capital Class | 0.12 | 1,001.40 | 0.60 | 1,024.20 | 0.60 | ||||
Cabrera Capital Markets Class | 0.12 | 1,001.40 | 0.55 | 1,024.20 | 0.55 | ||||
Institutional Class | 0.13 | 1,001.40 | 0.65 | 1,024.10 | 0.65 | ||||
Investment Class | 0.34 | 1,000.60 | 1.64 | 1,023.20 | 1.66 | ||||
Investor Class | 0.15 | 1,001.30 | 0.74 | 1,024.10 | 0.75 | ||||
Opportunity Class | 0.15 | 1,001.40 | 0.69 | 1,024.10 | 0.70 | ||||
Premier Class | 0.10 | 1,001.50 | 0.50 | 1,024.30 | 0.50 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
11 |
% of Net Assets | |||
Treasury Debt | 109.3% | ||
Liabilities in Excess of Other Assets | (9.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 45.0% | ||
31 to 60 Days | 27.1 | ||
61 to 90 Days | 9.3 | ||
Over 90 Days | 27.9 | ||
Total | 109.3% | ||
Average days to maturity | 42 | ||
Weighted average life | 91 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—109.3% | ||||||||||
U.S. Treasury Bills (a) | 0.000% | 08/02/2022 | 08/02/2022 | $ 1,275,000,000 | $ 1,273,801,611 | |||||
U.S. Treasury Bills | 0.000% | 08/25/2022 | 08/25/2022 | 50,000,000 | 49,945,764 | |||||
U.S. Treasury Bills | 0.550% | 07/12/2022 | 07/12/2022 | 894,000,000 | 893,802,056 | |||||
U.S. Treasury Bills | 0.660% | 07/19/2022 | 07/19/2022 | 1,750,350,000 | 1,749,459,169 | |||||
U.S. Treasury Bills | 0.670% | 07/07/2022 | 07/07/2022 | 157,000,000 | 156,981,708 | |||||
U.S. Treasury Bills | 0.671% | 09/01/2022 | 09/01/2022 | 147,000,000 | 146,830,252 | |||||
U.S. Treasury Bills | 0.705% | 07/05/2022 | 07/05/2022 | 1,916,819,000 | 1,916,666,348 | |||||
U.S. Treasury Bills | 0.725% | 08/23/2022 | 08/23/2022 | 250,000,000 | 249,733,160 | |||||
U.S. Treasury Bills | 0.730% | 09/08/2022 | 09/08/2022 | 149,500,000 | 149,296,555 | |||||
U.S. Treasury Bills | 0.765% | 07/14/2022 | 07/14/2022 | 455,000,000 | 454,874,071 | |||||
U.S. Treasury Bills | 0.765% | 08/18/2022 | 08/18/2022 | 370,050,000 | 369,558,286 | |||||
U.S. Treasury Bills | 0.816% | 09/15/2022 | 09/15/2022 | 150,300,000 | 150,040,119 | |||||
U.S. Treasury Bills | 0.850% | 09/20/2022 | 09/20/2022 | 13,480,000 | 13,454,219 | |||||
U.S. Treasury Bills | 0.856% | 09/22/2022 | 09/22/2022 | 61,460,000 | 61,338,544 | |||||
U.S. Treasury Bills | 0.915% | 07/26/2022 | 07/26/2022 | 1,683,750,000 | 1,682,656,510 | |||||
U.S. Treasury Bills | 0.965% | 08/16/2022 | 08/16/2022 | 700,000,000 | 698,823,385 | |||||
U.S. Treasury Bills | 1.030% | 12/29/2022 | 12/29/2022 | 175,250,000 | 173,233,823 | |||||
U.S. Treasury Bills | 1.133% | 02/23/2023 | 02/23/2023 | 23,220,000 | 23,047,179 | |||||
U.S. Treasury Bills | 1.150% | 08/09/2022 | 08/09/2022 | 744,000,000 | 743,072,831 | |||||
U.S. Treasury Bills | 1.160% | 09/13/2022 | 09/13/2022 | 230,211,000 | 229,662,075 | |||||
U.S. Treasury Bills | 1.220% | 10/13/2022 | 10/13/2022 | 200,000,000 | 199,295,111 | |||||
U.S. Treasury Bills | 1.370% | 11/03/2022 | 11/03/2022 | 180,028,000 | 179,140,367 | |||||
U.S. Treasury Bills | 1.385% | 11/10/2022 | 11/10/2022 | 100,000,000 | 99,492,167 | |||||
U.S. Treasury Bills | 1.391% | 10/04/2022 | 10/04/2022 | 300,000,000 | 298,954,802 | |||||
U.S. Treasury Bills | 1.581% | 12/01/2022 | 12/01/2022 | 200,000,000 | 198,656,575 | |||||
U.S. Treasury Bills (a) | 1.640% | 08/30/2022 | 08/30/2022 | 750,000,000 | 748,082,778 | |||||
U.S. Treasury Bills | 1.710% | 12/08/2022 | 12/08/2022 | 218,000,000 | 216,343,200 | |||||
U.S. Treasury Bills | 2.100% | 05/18/2023 | 05/18/2023 | 200,000,000 | 196,255,000 | |||||
U.S. Treasury Bills | 2.116% | 04/20/2023 | 04/20/2023 | 75,100,000 | 73,960,202 | |||||
U.S. Treasury Bills | 2.351% | 12/22/2022 | 12/22/2022 | 150,000,000 | 148,295,525 | |||||
U.S. Treasury Notes | 0.754% | 07/15/2022 | 07/15/2022 | 351,789,100 | 351,920,883 | |||||
U.S. Treasury Notes | 0.876% | 07/31/2022 | 07/31/2022 | 225,000,000 | 225,185,142 | |||||
U.S. Treasury Notes | 1.447% | 03/31/2023 | 03/31/2023 | 83,200,000 | 82,386,379 | |||||
U.S. Treasury Notes | 1.513% | 11/30/2022 | 11/30/2022 | 216,000,000 | 216,432,669 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.08% (b) | 1.683% | 07/01/2022 | 04/30/2024 | 756,650,000 | 755,902,273 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.02 (b) | 1.743% | 07/01/2022 | 01/31/2024 | 21,750,000 | 21,762,188 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.787% | 07/01/2022 | 07/31/2023 | 238,500,000 | 238,506,249 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.792% | 07/01/2022 | 04/30/2023 | 150,000,000 | 150,005,047 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.04 (b) | 1.793% | 07/01/2022 | 10/31/2023 | 40,300,000 | 40,300,000 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.05 (b) | 1.807% | 07/01/2022 | 01/31/2023 | 512,486,000 | 513,368,714 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 07/31/2022 | 741,000,000 | 741,124,551 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 10/31/2022 | 629,559,000 | 629,620,294 | |||||
TOTAL INVESTMENTS –109.3% (c)(d) | 17,511,267,781 | |||||||||
Liabilities in Excess of Other Assets —(9.3)% | (1,487,441,063) | |||||||||
NET ASSETS –100.0% | $ 16,023,826,718 |
(a) | When-issued security. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. 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 | $ 17,511,267,781 |
Cash | 4,289 |
Interest receivable — unaffiliated issuers | 11,537,344 |
TOTAL ASSETS | 17,522,809,414 |
LIABILITIES | |
Payable for investments purchased | 1,497,364,500 |
Advisory and administrator fee payable | 681,817 |
Custody, sub-administration and transfer agent fees payable | 844,527 |
Trustees’ fees and expenses payable | 1,334 |
Professional fees payable | 60,687 |
Printing fees payable | 21,956 |
Accrued expenses and other liabilities | 7,875 |
TOTAL LIABILITIES | 1,498,982,696 |
NET ASSETS | $16,023,826,718 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $32,813,173 |
EXPENSES | |
Advisory and administrator fee | 3,769,867 |
Custodian, sub-administrator and transfer agent fees | 802,116 |
Trustees’ fees and expenses | 49,626 |
Professional fees | 70,408 |
Printing and postage fees | 10,373 |
Insurance expense | 1,951 |
Miscellaneous expenses | 5,670 |
TOTAL EXPENSES | 4,710,011 |
NET INVESTMENT INCOME (LOSS) | $28,103,162 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (25,024) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $28,078,138 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 28,103,162 | $ 367,418 | |
Net realized gain (loss) | (25,024) | 47,649 | |
Net increase (decrease) in net assets resulting from operations | 28,078,138 | 415,067 | |
CAPITAL TRANSACTIONS | |||
Contributions | 19,672,240,085 | 22,872,089,825 | |
Withdrawals | (17,737,363,236) | (25,583,136,317) | |
Net increase (decrease) in net assets from capital transactions | 1,934,876,849 | (2,711,046,492) | |
Net increase (decrease) in net assets during the period | 1,962,954,987 | (2,710,631,425) | |
Net assets at beginning of period | 14,060,871,731 | 16,771,503,156 | |
NET ASSETS AT END OF PERIOD | $ 16,023,826,718 | $ 14,060,871,731 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.13% | 0.00%(b) | 0.48% | 2.18% | 1.80% | 0.73% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $16,023,827 | $14,060,872 | $16,771,503 | $12,816,642 | $10,372,969 | $13,005,602 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(c) | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.37%(c) | 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%. |
(c) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.06% | $1,001.30 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 Money Market Portfolio |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
11 |
% of Net Assets | |||
Treasury Debt | 109.3% | ||
Liabilities in Excess of Other Assets | (9.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 45.0% | ||
31 to 60 Days | 27.1 | ||
61 to 90 Days | 9.3 | ||
Over 90 Days | 27.9 | ||
Total | 109.3% | ||
Average days to maturity | 42 | ||
Weighted average life | 91 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—109.3% | ||||||||||
U.S. Treasury Bills (a) | 0.000% | 08/02/2022 | 08/02/2022 | $ 1,275,000,000 | $ 1,273,801,611 | |||||
U.S. Treasury Bills | 0.000% | 08/25/2022 | 08/25/2022 | 50,000,000 | 49,945,764 | |||||
U.S. Treasury Bills | 0.550% | 07/12/2022 | 07/12/2022 | 894,000,000 | 893,802,056 | |||||
U.S. Treasury Bills | 0.660% | 07/19/2022 | 07/19/2022 | 1,750,350,000 | 1,749,459,169 | |||||
U.S. Treasury Bills | 0.670% | 07/07/2022 | 07/07/2022 | 157,000,000 | 156,981,708 | |||||
U.S. Treasury Bills | 0.671% | 09/01/2022 | 09/01/2022 | 147,000,000 | 146,830,252 | |||||
U.S. Treasury Bills | 0.705% | 07/05/2022 | 07/05/2022 | 1,916,819,000 | 1,916,666,348 | |||||
U.S. Treasury Bills | 0.725% | 08/23/2022 | 08/23/2022 | 250,000,000 | 249,733,160 | |||||
U.S. Treasury Bills | 0.730% | 09/08/2022 | 09/08/2022 | 149,500,000 | 149,296,555 | |||||
U.S. Treasury Bills | 0.765% | 07/14/2022 | 07/14/2022 | 455,000,000 | 454,874,071 | |||||
U.S. Treasury Bills | 0.765% | 08/18/2022 | 08/18/2022 | 370,050,000 | 369,558,286 | |||||
U.S. Treasury Bills | 0.816% | 09/15/2022 | 09/15/2022 | 150,300,000 | 150,040,119 | |||||
U.S. Treasury Bills | 0.850% | 09/20/2022 | 09/20/2022 | 13,480,000 | 13,454,219 | |||||
U.S. Treasury Bills | 0.856% | 09/22/2022 | 09/22/2022 | 61,460,000 | 61,338,544 | |||||
U.S. Treasury Bills | 0.915% | 07/26/2022 | 07/26/2022 | 1,683,750,000 | 1,682,656,510 | |||||
U.S. Treasury Bills | 0.965% | 08/16/2022 | 08/16/2022 | 700,000,000 | 698,823,385 | |||||
U.S. Treasury Bills | 1.030% | 12/29/2022 | 12/29/2022 | 175,250,000 | 173,233,823 | |||||
U.S. Treasury Bills | 1.133% | 02/23/2023 | 02/23/2023 | 23,220,000 | 23,047,179 | |||||
U.S. Treasury Bills | 1.150% | 08/09/2022 | 08/09/2022 | 744,000,000 | 743,072,831 | |||||
U.S. Treasury Bills | 1.160% | 09/13/2022 | 09/13/2022 | 230,211,000 | 229,662,075 | |||||
U.S. Treasury Bills | 1.220% | 10/13/2022 | 10/13/2022 | 200,000,000 | 199,295,111 | |||||
U.S. Treasury Bills | 1.370% | 11/03/2022 | 11/03/2022 | 180,028,000 | 179,140,367 | |||||
U.S. Treasury Bills | 1.385% | 11/10/2022 | 11/10/2022 | 100,000,000 | 99,492,167 | |||||
U.S. Treasury Bills | 1.391% | 10/04/2022 | 10/04/2022 | 300,000,000 | 298,954,802 | |||||
U.S. Treasury Bills | 1.581% | 12/01/2022 | 12/01/2022 | 200,000,000 | 198,656,575 | |||||
U.S. Treasury Bills (a) | 1.640% | 08/30/2022 | 08/30/2022 | 750,000,000 | 748,082,778 | |||||
U.S. Treasury Bills | 1.710% | 12/08/2022 | 12/08/2022 | 218,000,000 | 216,343,200 | |||||
U.S. Treasury Bills | 2.100% | 05/18/2023 | 05/18/2023 | 200,000,000 | 196,255,000 | |||||
U.S. Treasury Bills | 2.116% | 04/20/2023 | 04/20/2023 | 75,100,000 | 73,960,202 | |||||
U.S. Treasury Bills | 2.351% | 12/22/2022 | 12/22/2022 | 150,000,000 | 148,295,525 | |||||
U.S. Treasury Notes | 0.754% | 07/15/2022 | 07/15/2022 | 351,789,100 | 351,920,883 | |||||
U.S. Treasury Notes | 0.876% | 07/31/2022 | 07/31/2022 | 225,000,000 | 225,185,142 | |||||
U.S. Treasury Notes | 1.447% | 03/31/2023 | 03/31/2023 | 83,200,000 | 82,386,379 | |||||
U.S. Treasury Notes | 1.513% | 11/30/2022 | 11/30/2022 | 216,000,000 | 216,432,669 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.08% (b) | 1.683% | 07/01/2022 | 04/30/2024 | 756,650,000 | 755,902,273 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.02 (b) | 1.743% | 07/01/2022 | 01/31/2024 | 21,750,000 | 21,762,188 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.787% | 07/01/2022 | 07/31/2023 | 238,500,000 | 238,506,249 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (b) | 1.792% | 07/01/2022 | 04/30/2023 | 150,000,000 | 150,005,047 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.04 (b) | 1.793% | 07/01/2022 | 10/31/2023 | 40,300,000 | 40,300,000 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.05 (b) | 1.807% | 07/01/2022 | 01/31/2023 | 512,486,000 | 513,368,714 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 07/31/2022 | 741,000,000 | 741,124,551 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (b) | 1.813% | 07/01/2022 | 10/31/2022 | 629,559,000 | 629,620,294 | |||||
TOTAL INVESTMENTS –109.3% (c)(d) | 17,511,267,781 | |||||||||
Liabilities in Excess of Other Assets —(9.3)% | (1,487,441,063) | |||||||||
NET ASSETS –100.0% | $ 16,023,826,718 |
(a) | When-issued security. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. 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 | $ 17,511,267,781 |
Cash | 4,289 |
Interest receivable — unaffiliated issuers | 11,537,344 |
TOTAL ASSETS | 17,522,809,414 |
LIABILITIES | |
Payable for investments purchased | 1,497,364,500 |
Advisory and administrator fee payable | 681,817 |
Custody, sub-administration and transfer agent fees payable | 844,527 |
Trustees’ fees and expenses payable | 1,334 |
Professional fees payable | 60,687 |
Printing fees payable | 21,956 |
Accrued expenses and other liabilities | 7,875 |
TOTAL LIABILITIES | 1,498,982,696 |
NET ASSETS | $16,023,826,718 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $32,813,173 |
EXPENSES | |
Advisory and administrator fee | 3,769,867 |
Custodian, sub-administrator and transfer agent fees | 802,116 |
Trustees’ fees and expenses | 49,626 |
Professional fees | 70,408 |
Printing and postage fees | 10,373 |
Insurance expense | 1,951 |
Miscellaneous expenses | 5,670 |
TOTAL EXPENSES | 4,710,011 |
NET INVESTMENT INCOME (LOSS) | $28,103,162 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (25,024) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $28,078,138 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 28,103,162 | $ 367,418 | |
Net realized gain (loss) | (25,024) | 47,649 | |
Net increase (decrease) in net assets resulting from operations | 28,078,138 | 415,067 | |
CAPITAL TRANSACTIONS | |||
Contributions | 19,672,240,085 | 22,872,089,825 | |
Withdrawals | (17,737,363,236) | (25,583,136,317) | |
Net increase (decrease) in net assets from capital transactions | 1,934,876,849 | (2,711,046,492) | |
Net increase (decrease) in net assets during the period | 1,962,954,987 | (2,710,631,425) | |
Net assets at beginning of period | 14,060,871,731 | 16,771,503,156 | |
NET ASSETS AT END OF PERIOD | $ 16,023,826,718 | $ 14,060,871,731 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.13% | 0.00%(b) | 0.48% | 2.18% | 1.80% | 0.73% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $16,023,827 | $14,060,872 | $16,771,503 | $12,816,642 | $10,372,969 | $13,005,602 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(c) | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.37%(c) | 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%. |
(c) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.06% | $1,001.30 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $36,516,432,120 |
Receivable for fund shares sold | 26,663,186 |
Receivable from Adviser | 745 |
TOTAL ASSETS | 36,543,096,051 |
LIABILITIES | |
Payable for fund shares repurchased | 162 |
Administration fees payable | 1,444,717 |
Shareholder servicing fee payable | 430,200 |
Distribution fees payable | 1,344 |
Transfer agent fees payable | 10,669 |
Registration and filing fees payable | 56,357 |
Professional fees payable | 36,640 |
Printing fees payable | 34,752 |
Distribution payable | 3,945,177 |
Accrued expenses and other liabilities | 4,568 |
TOTAL LIABILITIES | 5,964,586 |
NET ASSETS | $36,537,131,465 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $36,537,105,593 |
Total distributable earnings (loss) | 25,872 |
NET ASSETS | $36,537,131,465 |
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 | $ 500,891 |
Shares Outstanding | 500,891 |
Net asset value, offering and redemption price per share | $ 1.00 |
Cabrera Capital Markets Class | |
Net Assets | $ 50,091 |
Shares Outstanding | 50,091 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 765,010,449 |
Shares Outstanding | 765,009,581 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 15,185,092 |
Shares Outstanding | 15,191,425 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 4,385,263,917 |
Shares Outstanding | 4,385,264,182 |
Net asset value, offering and redemption price per share | $ 1.00 |
Opportunity Class | |
Net Assets | $ 1,051,176 |
Shares Outstanding | 1,051,176 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $27,362,408,812 |
Shares Outstanding | 27,362,532,178 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 4,007,561,037 |
Shares Outstanding | 4,007,872,831 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $73,082,572 |
Expenses allocated from affiliated Portfolio | (8,099,276) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 64,983,296 |
EXPENSES | |
Administration fees | |
Administration Class | 12 |
Bancroft Capital Class | 12 |
Blaylock Van Class | 123 |
Cabrera Capital Markets Class | 12 |
Institutional Class | 94,253 |
Investment Class | 4,746 |
Investor Class | 348,459 |
Opportunity Class | 2,079 |
Premier Class | 5,228,835 |
Trust Class | 869,873 |
Shareholder servicing fees | |
Administration Class | 48 |
Bancroft Capital Class | 7 |
Blaylock Van Class | 73 |
Cabrera Capital Markets Class | 7 |
Institutional Class | 56,552 |
Investment Class | 23,729 |
Investor Class | 557,534 |
Opportunity Class | 1,247 |
Trust Class | 974,259 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 9,491 |
Custodian fees | 26,600 |
Trustees’ fees and expenses | 10,481 |
Transfer agent fees | 5,507 |
Registration and filing fees | 136,516 |
Professional fees | 52,404 |
Printing and postage fees | 45,469 |
Insurance expense | 35,175 |
Miscellaneous expenses | 66,405 |
TOTAL EXPENSES | 8,549,921 |
Expenses waived/reimbursed by the Adviser | (1,812,098) |
NET EXPENSES | 6,737,823 |
NET INVESTMENT INCOME (LOSS) | $58,245,473 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 5,459 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $58,250,932 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 58,245,473 | $ 3,192,108 | |
Net realized gain (loss) | 5,459 | 11,001 | |
Net increase (decrease) in net assets resulting from operations | 58,250,932 | 3,203,109 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (55) | (2) | |
Bancroft Capital Class (a) | (89) | (2) | |
Blaylock Van Class (b) | (880) | (11) | |
Cabrera Capital Markets Class (c) | (89) | (2) | |
Institutional Class | (1,096,293) | (63,985) | |
Investment Class | (15,037) | (1,278) | |
Investor Class | (3,970,726) | (31,544) | |
Opportunity Class (d) | (49,489) | (2) | |
Premier Class | (46,872,002) | (2,853,345) | |
Trust Class | (6,234,684) | (247,949) | |
Total distributions to shareholders | (58,239,344) | (3,198,120) | |
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 | 880 | 11 | |
Net increase (decrease) from capital share transactions | 880 | 500,011 | |
Cabrera Capital Markets Class (c) | |||
Shares sold | — | 50,000 | |
Reinvestment of distributions | 88 | 2 | |
Net increase (decrease) from capital share transactions | 88 | 50,002 | |
Institutional Class | |||
Shares sold | 1,932,602,213 | 5,027,130,680 | |
Reinvestment of distributions | 111,210 | 9,586 | |
Shares redeemed | (1,445,730,068) | (4,839,682,511) | |
Net increase (decrease) from capital share transactions | 486,983,355 | 187,457,755 | |
Investment Class | |||
Shares sold | 15,811,329 | 68,376,653 | |
Reinvestment of distributions | 2,887 | 359 | |
Shares redeemed | (24,316,800) | (87,046,861) | |
Net increase (decrease) from capital share transactions | (8,502,584) | (18,669,849) | |
Investor Class | |||
Shares sold | 16,578,110,434 | 11,432,839,816 | |
Reinvestment of distributions | 3,771,448 | 22,476 | |
Shares redeemed | (14,688,926,192) | (9,487,117,188) | |
Net increase (decrease) from capital share transactions | 1,892,955,690 | 1,945,745,104 | |
Opportunity Class (d) | |||
Shares sold | 301,129,000 | 50,000 | |
Reinvestment of distributions | 1,176 | — | |
Shares redeemed | (300,129,000) | — | |
Net increase (decrease) from capital share transactions | 1,001,176 | 50,000 | |
Premier Class | |||
Shares sold | 131,420,576,278 | 211,935,808,248 | |
Reinvestment of distributions | 41,008,016 | 2,635,534 | |
Shares redeemed | (121,043,421,474) | (214,998,625,131) | |
Net increase (decrease) from capital share transactions | 10,418,162,820 | (3,060,181,349) | |
Trust Class | |||
Shares sold | 14,383,140,419 | 32,172,851,264 | |
Reinvestment of distributions | 5,577,858 | 218,869 | |
Shares redeemed | (13,947,363,637) | (33,216,849,822) | |
Net increase (decrease) from capital share transactions | 441,354,640 | (1,043,779,689) | |
Net increase (decrease) in net assets from beneficial interest transactions | 13,231,956,065 | (1,988,778,015) | |
Net increase (decrease) in net assets during the period | 13,231,967,653 | (1,988,773,026) | |
Net assets at beginning of period | 23,305,163,812 | 25,293,936,838 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
NET ASSETS AT END OF PERIOD | $ 36,537,131,465 | $ 23,305,163,812 | |
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 | 880 | 11 | |
Net increase (decrease) from share transactions | 880 | 500,011 | |
Cabrera Capital Markets Class (c) | |||
Shares sold | — | 50,000 | |
Reinvestment of distributions | 89 | 2 | |
Net increase (decrease) from share transactions | 89 | 50,002 | |
Institutional Class | |||
Shares sold | 1,932,602,213 | 5,027,130,680 | |
Reinvestment of distributions | 111,210 | 9,586 | |
Shares redeemed | (1,445,730,068) | (4,839,682,511) | |
Net increase (decrease) from share transactions | 486,983,355 | 187,457,755 | |
Investment Class | |||
Shares sold | 15,811,329 | 68,376,653 | |
Reinvestment of distributions | 2,887 | 359 | |
Shares redeemed | (24,316,800) | (87,046,861) | |
Net increase (decrease) from share transactions | (8,502,584) | (18,669,849) | |
Investor Class | |||
Shares sold | 16,578,110,434 | 11,432,839,816 | |
Reinvestment of distributions | 3,771,448 | 22,476 | |
Shares redeemed | (14,688,926,192) | (9,487,117,188) | |
Net increase (decrease) from share transactions | 1,892,955,690 | 1,945,745,104 | |
Opportunity Class (d) | |||
Shares sold | 301,129,000 | 50,000 | |
Reinvestment of distributions | 1,176 | — | |
Shares redeemed | (300,129,000) | — | |
Net increase (decrease) from share transactions | 1,001,176 | 50,000 | |
Premier Class | |||
Shares sold | 131,420,576,278 | 211,935,808,248 | |
Reinvestment of distributions | 41,008,016 | 2,635,534 | |
Shares redeemed | (121,043,421,474) | (214,998,625,131) | |
Net increase (decrease) from share transactions | 10,418,162,820 | (3,060,181,349) | |
Trust Class | |||
Shares sold | 14,383,140,419 | 32,172,851,264 | |
Reinvestment of distributions | 5,577,858 | 218,869 | |
Shares redeemed | (13,947,363,637) | (33,216,849,822) | |
Net increase (decrease) from share transactions | 441,354,640 | (1,043,779,689) |
(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 June 30, 2022 is from October 20, 2021 (commencement date) through June 30, 2022. |
(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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0011 | 0.0001 | 0.0027 | 0.0185 | 0.0076 | ||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | ||||
Total from investment operations | 0.0011 | 0.0001 | 0.0027 | 0.0185 | 0.0076 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0011) | (0.0001) | (0.0027) | (0.0185) | (0.0076) | ||||
Total distributions | (0.0011) | (0.0001) | (0.0027) | (0.0185) | (0.0076) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.11% | 0.00%(d) | 0.27% | 1.86% | 0.76% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 50 | $ 50 | $ 50 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.35%(e) | 0.37% | 0.36% | 0.37% | 0.37%(e) | ||||
Net expenses | 0.25%(e) | 0.07% | 0.25% | 0.37% | 0.37%(e) | ||||
Net investment income (loss) | 0.23%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/13/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Total distributions | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(e) | 0.15%(e) | |
Net expenses | 0.12%(e) | 0.05%(e) | |
Net investment income (loss) | 0.36%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Total distributions | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 501 | $ 500 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(e) | 0.15%(e) | |
Net expenses | 0.12%(e) | 0.05%(e) | |
Net investment income (loss) | 0.35%(e) | 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) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/20/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Total distributions | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.14%(e) | 0.13%(e) | |
Net expenses | 0.12%(e) | 0.04%(e) | |
Net investment income (loss) | 0.37%(e) | 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) | |||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0018 | 0.0001 | 0.0037 | 0.0207 | 0.0085 | ||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | ||||
Total from investment operations | 0.0018 | 0.0001 | 0.0037 | 0.0207 | 0.0085 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0018) | (0.0001) | (0.0037) | (0.0207) | (0.0085) | ||||
Total distributions | (0.0018) | (0.0001) | (0.0037) | (0.0207) | (0.0085) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.18% | 0.02% | 0.37% | 2.09% | 0.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $765,010 | $278,027 | $ 90,569 | $468,721 | $ 94,554 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.14%(d) | 0.15% | 0.15% | 0.15% | 0.15%(d) | ||||
Net expenses | 0.13%(d) | 0.06% | 0.15% | 0.15% | 0.15%(d) | ||||
Net investment income (loss) | 0.58%(d) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0009 | 0.0001 | 0.0025 | 0.0180 | 0.0139 | 0.0042 | |||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | 0.0000(b) | |||||
Total from investment operations | 0.0009 | 0.0001 | 0.0025 | 0.0180 | 0.0139 | 0.0042 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0009) | (0.0001) | (0.0025) | (0.0180) | (0.0139) | (0.0042) | |||||
Net realized gains | — | — | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0009) | (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 | $ 1.0000 | |||||
Total return (c) | 0.09% | 0.01% | 0.25% | 1.81% | 1.40% | 0.42% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 15,185 | $ 23,688 | $ 42,358 | $ 52,086 | $ 69,812 | $ 19,242 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(d) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.28%(d) | 0.07% | 0.29% | 0.46% | 0.47% | 0.47% | |||||
Net investment income (loss) | 0.16%(d) | 0.00%(e) | 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) | Annualized. |
(e) | Amount is less than 0.005%. |
Investor Class (a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0016 | 0.0001 | 0.0034 | 0.0202 | 0.0166 | 0.0069 | |||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | 0.0000(b) | |||||
Total from investment operations | 0.0016 | 0.0001 | 0.0034 | 0.0202 | 0.0166 | 0.0069 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0016) | (0.0001) | (0.0034) | (0.0202) | (0.0166) | (0.0069) | |||||
Net realized gains | — | — | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0016) | (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 | $ 1.0000 | |||||
Total return (c) | 0.16% | 0.01% | 0.34% | 2.03% | 1.67% | 0.69% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,385,264 | $2,492,307 | $546,563 | $230,017 | $774,885 | $328,764 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.19%(d) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.17%(d) | 0.07% | 0.18% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 0.56%(d) | 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. |
(d) | Annualized. |
Opportunity Class (a) | |||
Six Months Ended 06/30/22 (Unaudited) | For the Period 10/28/21*- 12/31/21 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0018 | 0.0001 | |
Net realized gain (loss) | — | 0.0000(b) | |
Total from investment operations | 0.0018 | 0.0001 | |
Distributions to shareholders from: | |||
Net investment income | (0.0018) | (0.0001) | |
Total distributions | (0.0018) | (0.0001) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.18% | 0.00%(d) | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 1,051 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(e) | 0.15%(e) | |
Net expenses | 0.14%(e) | 0.04%(e) | |
Net investment income (loss) | 1.19%(e) | 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) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0019 | 0.0001 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | |||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | 0.0000(b) | |||||
Total from investment operations | 0.0019 | 0.0001 | 0.0040 | 0.0210 | 0.0174 | 0.0077 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0019) | (0.0001) | (0.0040) | (0.0210) | (0.0174) | (0.0077) | |||||
Net realized gains | — | — | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0019) | (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 | $ 1.0000 | |||||
Total return (c) | 0.19% | 0.02% | 0.40% | 2.12% | 1.75% | 0.77% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $27,362,409 | $16,944,237 | $20,004,414 | $14,672,348 | $8,402,049 | $4,000,478 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.11%(d) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.10%(d) | 0.06% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 0.44%(d) | 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. |
(d) | Annualized. |
Trust Class(a) | |||||||||||
Six Months Ended 06/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0017 | 0.0001 | 0.0036 | 0.0204 | 0.0168 | 0.0071 | |||||
Net realized gain (loss) | — | — | — | (0.0000)(b) | — | 0.0000(b) | |||||
Total from investment operations | 0.0017 | 0.0001 | 0.0036 | 0.0204 | 0.0168 | 0.0071 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0017) | (0.0001) | (0.0036) | (0.0204) | (0.0168) | (0.0071) | |||||
Net realized gains | — | — | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0017) | (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 | $ 1.0000 | |||||
Total return (c) | 0.17% | 0.01% | 0.36% | 2.06% | 1.69% | 0.71% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,007,561 | $3,566,204 | $4,609,983 | $4,185,964 | $4,481,410 | $6,903,267 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.17%(d) | 0.17% | 0.18% | 0.18% | 0.18% | 0.18% | |||||
Net expenses | 0.14%(d) | 0.07% | 0.16% | 0.18% | 0.18% | 0.18% | |||||
Net investment income (loss) | 0.35%(d) | 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. |
(d) | Annualized. |
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 | |
12/31/2025 | $ 1,295,525 |
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 | 0.25% | $1,001.10 | $1.24 | $1,023.60 | $1.25 | ||||
Bancroft Capital Class | 0.12 | 1,001.80 | 0.60 | 1,024.20 | 0.60 | ||||
Blaylock Van Class | 0.12 | 1,001.80 | 0.60 | 1,024.20 | 0.60 | ||||
Cabrera Capital Markets Class | 0.12 | 1,001.80 | 0.60 | 1,024.20 | 0.60 | ||||
Institutional Class | 0.13 | 1,001.80 | 0.65 | 1,024.10 | 0.65 | ||||
Investment Class | 0.28 | 1,000.90 | 1.39 | 1,023.40 | 1.40 | ||||
Investor Class | 0.17 | 1,001.60 | 0.84 | 1,024.00 | 0.85 | ||||
Opportunity Class | 0.14 | 1,001.80 | 0.69 | 1,024.10 | 0.70 | ||||
Premier Class | 0.10 | 1,001.90 | 0.50 | 1,024.30 | 0.50 | ||||
Trust Class | 0.14 | 1,001.70 | 0.69 | 1,024.10 | 0.70 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
4 | |
5 | |
6 | |
7 | |
8 | |
12 |
% of Net Assets | |||
Treasury Repurchase Agreements | 77.0% | ||
Treasury Debt | 17.7 | ||
Other Assets in Excess of Liabilities | 5.3 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 76.2% | ||
2 to 30 Days | 1.4 | ||
31 to 60 Days | 2.7 | ||
61 to 90 Days | 2.2 | ||
Over 90 Days | 12.2 | ||
Total | 94.7% | ||
Average days to maturity | 11 | ||
Weighted average life | 49 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—17.7% | ||||||||||
U.S. Treasury Bills | 0.660% | 07/19/2022 | 07/19/2022 | $ 250,030,000 | $ 249,947,001 | |||||
U.S. Treasury Bills | 0.730% | 09/08/2022 | 09/08/2022 | 206,000,000 | 205,711,772 | |||||
U.S. Treasury Bills | 0.765% | 08/18/2022 | 08/18/2022 | 115,070,000 | 114,952,197 | |||||
U.S. Treasury Bills | 0.816% | 09/15/2022 | 09/15/2022 | 265,520,000 | 265,060,894 | |||||
U.S. Treasury Bills | 0.850% | 09/20/2022 | 09/20/2022 | 82,000,000 | 81,843,175 | |||||
U.S. Treasury Bills | 0.856% | 09/22/2022 | 09/22/2022 | 368,030,000 | 367,302,698 | |||||
U.S. Treasury Bills | 1.030% | 12/29/2022 | 12/29/2022 | 135,000,000 | 134,300,888 | |||||
U.S. Treasury Bills | 1.133% | 02/23/2023 | 02/23/2023 | 135,000,000 | 133,995,222 | |||||
U.S. Treasury Bills | 1.391% | 10/04/2022 | 10/04/2022 | 175,000,000 | 174,422,743 | |||||
U.S. Treasury Bills | 2.100% | 05/18/2023 | 05/18/2023 | 365,000,000 | 358,165,375 | |||||
U.S. Treasury Bills | 2.116% | 04/20/2023 | 04/20/2023 | 175,200,000 | 172,540,972 | |||||
U.S. Treasury Notes | 1.447% | 03/31/2023 | 03/31/2023 | 156,600,000 | 155,068,430 | |||||
U.S. Treasury Notes | 1.513% | 11/30/2022 | 11/30/2022 | 125,000,000 | 125,847,664 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.08% (a) | 1.683% | 07/01/2022 | 04/30/2024 | 1,355,200,000 | 1,353,844,424 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.02 (a) | 1.743% | 07/01/2022 | 01/31/2024 | 9,700,000 | 9,705,436 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (a) | 1.787% | 07/01/2022 | 07/31/2023 | 511,644,000 | 511,656,159 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (a) | 1.792% | 07/01/2022 | 04/30/2023 | 389,941,000 | 389,966,177 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.04 (a) | 1.793% | 07/01/2022 | 10/31/2023 | 407,100,000 | 407,109,117 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.05 (a) | 1.807% | 07/01/2022 | 01/31/2023 | 425,406,000 | 425,474,054 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (a) | 1.813% | 07/01/2022 | 07/31/2022 | 1,003,375,000 | 1,003,510,778 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (a) | 1.813% | 07/01/2022 | 10/31/2022 | 884,361,000 | 884,409,346 | |||||
TOTAL TREASURY DEBT | 7,524,834,522 | |||||||||
TREASURY REPURCHASE AGREEMENTS—77.0% | ||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% �� 2.500% due 11/15/2022 – 05/15/2031, valued at $31,001,334,817); expected proceeds $31,001,334,722 | 1.550% | 07/01/2022 | 07/01/2022 | 31,000,000,000 | 31,000,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Note, 0.500% due 02/28/2026, valued at $75,524,063); expected proceeds $74,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 74,000,000 | 74,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Note, 1.625% due 08/15/2029, valued at $71,400,076); expected proceeds $70,003,014 | 1.550% | 07/01/2022 | 07/01/2022 | 70,000,000 | 70,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.250% - 3.000% due 02/15/2049 - 11/15/2049, valued at $666,689,649); expected proceeds $650,000,295 | 1.550% | 07/01/2022 | 07/01/2022 | 650,000,295 | 650,000,295 | |||||
Agreement with MUFG Securities, dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.500% - 3.125% due 11/15/2041 - 02/15/2045, and a U.S. Treasury Note, 2.375% due 05/15/2027, valued at $237,859,220); expected proceeds $233,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 233,000,000 | 233,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 06/30/2022 (collateralized by a U.S. Treasury Note, 2.250% due 11/15/2024, valued at $151,087,819); expected proceeds $148,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 148,000,000 | 148,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/16/2022 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 1.250% – 2.375% due 06/30/2024 – 02/15/2032, valued at $367,200,015); expected proceeds $360,452,400 | 1.560% | 07/15/2022 | 07/15/2022 | $ 360,000,000 | $ 360,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Strips, 0.00%, due 02/15/2026 – 08/15/2030, valued at $38,203,857); expected proceeds $37,382,875 | 1.560% | 07/01/2022 | 07/01/2022 | 37,382,875 | 37,382,875 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by U.S. Treasury Strips, 0.00%, due 05/15/2029 – 05/15/2030, valued at $50,851,139); expected proceeds $49,755,000 | 1.560% | 07/01/2022 | 07/01/2022 | 49,755,000 | 49,755,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Bills, 0.00% due 07/07/2022 – 11/03/2022, U.S. Treasury Bonds, 1.125% – 7.125% due 02/15/2023 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 3.625% due 01/15/2027 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2022 – 01/15/2032, U.S. Treasury Notes, 0.125% – 3.000% due 07/31/2022 – 02/15/2031, and U.S. Treasury Strips, 0.00% due 11/15/2022 – 08/15/2051, valued at $153,000,141); expected proceeds $150,006,458 | 1.550% | 07/01/2022 | 07/01/2022 | 150,000,000 | 150,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 32,772,138,170 | |||||||||
TOTAL INVESTMENTS –94.7% | 40,296,972,692 | |||||||||
Other Assets in Excess of Liabilities —5.3% | 2,267,513,318 | |||||||||
NET ASSETS –100.0% | $ 42,564,486,010 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $ 7,524,834,522 |
Repurchase agreements, at value and amortized cost | 32,772,138,170 |
Total Investments | 40,296,972,692 |
Cash | 2,256,232,206 |
Interest receivable — unaffiliated issuers | 12,406,966 |
Other Receivable | 2,203,123 |
TOTAL ASSETS | 42,567,814,987 |
LIABILITIES | |
Advisory and administrator fee payable | 1,660,299 |
Custody, sub-administration and transfer agent fees payable | 1,539,500 |
Trustees’ fees and expenses payable | 1,998 |
Professional fees payable | 87,240 |
Printing fees payable | 29,528 |
Accrued expenses and other liabilities | 10,412 |
TOTAL LIABILITIES | 3,328,977 |
NET ASSETS | $42,564,486,010 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $87,827,704 |
EXPENSES | |
Advisory and administrator fee | 7,731,203 |
Custodian, sub-administrator and transfer agent fees | 1,616,754 |
Trustees’ fees and expenses | 79,468 |
Professional fees | 110,717 |
Printing and postage fees | 15,250 |
Insurance expense | 3,244 |
Miscellaneous expenses | 9,407 |
TOTAL EXPENSES | 9,566,043 |
NET INVESTMENT INCOME (LOSS) | $78,261,661 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,244 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $78,267,905 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 78,261,661 | $ 2,473,307 | |
Net realized gain (loss) | 6,244 | 12,659 | |
Net increase (decrease) in net assets resulting from operations | 78,267,905 | 2,485,966 | |
CAPITAL TRANSACTIONS | |||
Contributions | 63,373,644,793 | 59,891,436,435 | |
Withdrawals | (47,948,737,942) | (60,881,968,916) | |
Net increase (decrease) in net assets from capital transactions | 15,424,906,851 | (990,532,481) | |
Net increase (decrease) in net assets during the period | 15,503,174,756 | (988,046,515) | |
Net assets at beginning of period | 27,061,311,254 | 28,049,357,769 | |
NET ASSETS AT END OF PERIOD | $ 42,564,486,010 | $ 27,061,311,254 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.19% | 0.01% | 0.46% | 2.19% | 1.82% | 0.82% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $42,564,486 | $27,061,311 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.50%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,001.90 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
10 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $6,046,100,888 |
Receivable from Adviser | 176,632 |
TOTAL ASSETS | 6,046,277,520 |
LIABILITIES | |
Administration fees payable | 252,625 |
Transfer agent fees payable | 14,665 |
Registration and filing fees payable | 10,900 |
Professional fees payable | 17,326 |
Printing fees payable | 26,886 |
Distribution payable | 5,595 |
Accrued expenses and other liabilities | 1,238 |
TOTAL LIABILITIES | 329,235 |
NET ASSETS | $6,045,948,285 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $6,045,945,158 |
Total distributable earnings (loss) | 3,127 |
NET ASSETS | $6,045,948,285 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 6,045,945,158 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 12,793,213 |
Expenses allocated from affiliated Portfolio | (1,466,767) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 11,326,446 |
EXPENSES | |
Administration fees | 1,184,051 |
Custodian fees | 13,451 |
Trustees’ fees and expenses | 10,403 |
Transfer agent fees | 445 |
Registration and filing fees | 46,979 |
Professional fees and expenses | 16,089 |
Printing and postage fees | 12,758 |
Insurance expense | 5,277 |
Miscellaneous expenses | 10,888 |
TOTAL EXPENSES | 1,300,341 |
Expenses waived/reimbursed by the Adviser | (961,571) |
NET EXPENSES | 338,770 |
NET INVESTMENT INCOME (LOSS) | $10,987,676 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 785 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $10,988,461 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 10,987,676 | $ 773,304 | |
Net realized gain (loss) | 785 | 1,659 | |
Net increase (decrease) in net assets resulting from operations | 10,988,461 | 774,963 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (10,986,688) | (774,279) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 5,497,072,918 | 4,109,785,543 | |
Reinvestment of distributions | 10,979,624 | 773,017 | |
Cost of shares redeemed | (3,217,862,816) | (3,108,792,238) | |
Net increase (decrease) from share transactions | 2,290,189,726 | 1,001,766,322 | |
Net increase (decrease) in net assets during the period | 2,290,191,499 | 1,001,767,006 | |
Net assets at beginning of period | 3,755,756,786 | 2,753,989,780 | |
NET ASSETS AT END OF PERIOD | $ 6,045,948,285 | $ 3,755,756,786 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 5,497,072,918 | 4,109,785,543 | |
Reinvestment of distributions | 10,979,624 | 773,017 | |
Shares redeemed | (3,217,862,816) | (3,108,792,238) | |
Net increase (decrease) from share transactions | 2,290,189,726 | 1,001,766,322 |
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0023 | 0.0002 | 0.0045 | 0.0213 | 0.0178 | 0.0025 | |||||
Net realized and unrealized gain (loss) | (0.0003) | (0.0001) | (0.0001) | (0.0000)(b) | — | — | |||||
Total from investment operations | 0.0020 | 0.0001 | 0.0044 | 0.0213 | 0.0178 | 0.0025 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0020) | (0.0001) | (0.0044) | (0.0213) | (0.0178) | (0.0025) | |||||
Total distributions | (0.0020) | (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 | $ 1.0000 | |||||
Total return (c) | 0.20% | 0.02% | 0.44% | 2.16% | 1.79% | 0.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $6,045,948 | $3,755,757 | $2,753,990 | $4,220,578 | $3,620,569 | $2,926,362 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.12%(d) | 0.12% | 0.12% | 0.12% | 0.13% | 0.16%(d) | |||||
Net expenses | 0.08%(d) | 0.05% | 0.08% | 0.08% | 0.08% | 0.08%(d) | |||||
Net investment income (loss) | 0.46%(d) | 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 | |
12/31/2025 | $ 90,183 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Obligations Money Market Fund | 0.08% | $1,002.00 | $0.40 | $1,024.40 | $0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
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 | |
4 | |
5 | |
6 | |
7 | |
8 | |
12 |
% of Net Assets | |||
Treasury Repurchase Agreements | 77.0% | ||
Treasury Debt | 17.7 | ||
Other Assets in Excess of Liabilities | 5.3 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 76.2% | ||
2 to 30 Days | 1.4 | ||
31 to 60 Days | 2.7 | ||
61 to 90 Days | 2.2 | ||
Over 90 Days | 12.2 | ||
Total | 94.7% | ||
Average days to maturity | 11 | ||
Weighted average life | 49 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—17.7% | ||||||||||
U.S. Treasury Bills | 0.660% | 07/19/2022 | 07/19/2022 | $ 250,030,000 | $ 249,947,001 | |||||
U.S. Treasury Bills | 0.730% | 09/08/2022 | 09/08/2022 | 206,000,000 | 205,711,772 | |||||
U.S. Treasury Bills | 0.765% | 08/18/2022 | 08/18/2022 | 115,070,000 | 114,952,197 | |||||
U.S. Treasury Bills | 0.816% | 09/15/2022 | 09/15/2022 | 265,520,000 | 265,060,894 | |||||
U.S. Treasury Bills | 0.850% | 09/20/2022 | 09/20/2022 | 82,000,000 | 81,843,175 | |||||
U.S. Treasury Bills | 0.856% | 09/22/2022 | 09/22/2022 | 368,030,000 | 367,302,698 | |||||
U.S. Treasury Bills | 1.030% | 12/29/2022 | 12/29/2022 | 135,000,000 | 134,300,888 | |||||
U.S. Treasury Bills | 1.133% | 02/23/2023 | 02/23/2023 | 135,000,000 | 133,995,222 | |||||
U.S. Treasury Bills | 1.391% | 10/04/2022 | 10/04/2022 | 175,000,000 | 174,422,743 | |||||
U.S. Treasury Bills | 2.100% | 05/18/2023 | 05/18/2023 | 365,000,000 | 358,165,375 | |||||
U.S. Treasury Bills | 2.116% | 04/20/2023 | 04/20/2023 | 175,200,000 | 172,540,972 | |||||
U.S. Treasury Notes | 1.447% | 03/31/2023 | 03/31/2023 | 156,600,000 | 155,068,430 | |||||
U.S. Treasury Notes | 1.513% | 11/30/2022 | 11/30/2022 | 125,000,000 | 125,847,664 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.08% (a) | 1.683% | 07/01/2022 | 04/30/2024 | 1,355,200,000 | 1,353,844,424 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.02 (a) | 1.743% | 07/01/2022 | 01/31/2024 | 9,700,000 | 9,705,436 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (a) | 1.787% | 07/01/2022 | 07/31/2023 | 511,644,000 | 511,656,159 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.03 (a) | 1.792% | 07/01/2022 | 04/30/2023 | 389,941,000 | 389,966,177 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.04 (a) | 1.793% | 07/01/2022 | 10/31/2023 | 407,100,000 | 407,109,117 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.05 (a) | 1.807% | 07/01/2022 | 01/31/2023 | 425,406,000 | 425,474,054 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (a) | 1.813% | 07/01/2022 | 07/31/2022 | 1,003,375,000 | 1,003,510,778 | |||||
U.S. Treasury Notes, 3 Month USD MMY + 0.06 (a) | 1.813% | 07/01/2022 | 10/31/2022 | 884,361,000 | 884,409,346 | |||||
TOTAL TREASURY DEBT | 7,524,834,522 | |||||||||
TREASURY REPURCHASE AGREEMENTS—77.0% | ||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 2.500% due 11/15/2022 – 05/15/2031, valued at $31,001,334,817); expected proceeds $31,001,334,722 | 1.550% | 07/01/2022 | 07/01/2022 | 31,000,000,000 | 31,000,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Note, 0.500% due 02/28/2026, valued at $75,524,063); expected proceeds $74,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 74,000,000 | 74,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by a U.S. Treasury Note, 1.625% due 08/15/2029, valued at $71,400,076); expected proceeds $70,003,014 | 1.550% | 07/01/2022 | 07/01/2022 | 70,000,000 | 70,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.250% - 3.000% due 02/15/2049 - 11/15/2049, valued at $666,689,649); expected proceeds $650,000,295 | 1.550% | 07/01/2022 | 07/01/2022 | 650,000,295 | 650,000,295 | |||||
Agreement with MUFG Securities, dated 06/30/2022 (collateralized by U.S. Treasury Bonds, 2.500% - 3.125% due 11/15/2041 - 02/15/2045, and a U.S. Treasury Note, 2.375% due 05/15/2027, valued at $237,859,220); expected proceeds $233,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 233,000,000 | 233,000,000 | |||||
Agreement with National Australia Bank, Ltd., dated 06/30/2022 (collateralized by a U.S. Treasury Note, 2.250% due 11/15/2024, valued at $151,087,819); expected proceeds $148,000,000 | 1.550% | 07/01/2022 | 07/01/2022 | 148,000,000 | 148,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/16/2022 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Notes, 1.250% – 2.375% due 06/30/2024 – 02/15/2032, valued at $367,200,015); expected proceeds $360,452,400 | 1.560% | 07/15/2022 | 07/15/2022 | $ 360,000,000 | $ 360,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Strips, 0.00%, due 02/15/2026 – 08/15/2030, valued at $38,203,857); expected proceeds $37,382,875 | 1.560% | 07/01/2022 | 07/01/2022 | 37,382,875 | 37,382,875 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2022 (collateralized by U.S. Treasury Strips, 0.00%, due 05/15/2029 – 05/15/2030, valued at $50,851,139); expected proceeds $49,755,000 | 1.560% | 07/01/2022 | 07/01/2022 | 49,755,000 | 49,755,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2022 (collateralized by U.S. Treasury Bills, 0.00% due 07/07/2022 – 11/03/2022, U.S. Treasury Bonds, 1.125% – 7.125% due 02/15/2023 – 08/15/2051, U.S. Treasury Inflation Index Bonds, 0.125% – 3.625% due 01/15/2027 – 02/15/2051, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2022 – 01/15/2032, U.S. Treasury Notes, 0.125% – 3.000% due 07/31/2022 – 02/15/2031, and U.S. Treasury Strips, 0.00% due 11/15/2022 – 08/15/2051, valued at $153,000,141); expected proceeds $150,006,458 | 1.550% | 07/01/2022 | 07/01/2022 | 150,000,000 | 150,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 32,772,138,170 | |||||||||
TOTAL INVESTMENTS –94.7% | 40,296,972,692 | |||||||||
Other Assets in Excess of Liabilities —5.3% | 2,267,513,318 | |||||||||
NET ASSETS –100.0% | $ 42,564,486,010 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
MMY | Money Market Yield |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $ 7,524,834,522 |
Repurchase agreements, at value and amortized cost | 32,772,138,170 |
Total Investments | 40,296,972,692 |
Cash | 2,256,232,206 |
Interest receivable — unaffiliated issuers | 12,406,966 |
Other Receivable | 2,203,123 |
TOTAL ASSETS | 42,567,814,987 |
LIABILITIES | |
Advisory and administrator fee payable | 1,660,299 |
Custody, sub-administration and transfer agent fees payable | 1,539,500 |
Trustees’ fees and expenses payable | 1,998 |
Professional fees payable | 87,240 |
Printing fees payable | 29,528 |
Accrued expenses and other liabilities | 10,412 |
TOTAL LIABILITIES | 3,328,977 |
NET ASSETS | $42,564,486,010 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $87,827,704 |
EXPENSES | |
Advisory and administrator fee | 7,731,203 |
Custodian, sub-administrator and transfer agent fees | 1,616,754 |
Trustees’ fees and expenses | 79,468 |
Professional fees | 110,717 |
Printing and postage fees | 15,250 |
Insurance expense | 3,244 |
Miscellaneous expenses | 9,407 |
TOTAL EXPENSES | 9,566,043 |
NET INVESTMENT INCOME (LOSS) | $78,261,661 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,244 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $78,267,905 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 78,261,661 | $ 2,473,307 | |
Net realized gain (loss) | 6,244 | 12,659 | |
Net increase (decrease) in net assets resulting from operations | 78,267,905 | 2,485,966 | |
CAPITAL TRANSACTIONS | |||
Contributions | 63,373,644,793 | 59,891,436,435 | |
Withdrawals | (47,948,737,942) | (60,881,968,916) | |
Net increase (decrease) in net assets from capital transactions | 15,424,906,851 | (990,532,481) | |
Net increase (decrease) in net assets during the period | 15,503,174,756 | (988,046,515) | |
Net assets at beginning of period | 27,061,311,254 | 28,049,357,769 | |
NET ASSETS AT END OF PERIOD | $ 42,564,486,010 | $ 27,061,311,254 |
Six Months Ended 6/30/22 (Unaudited) | 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) | 0.19% | 0.01% | 0.46% | 2.19% | 1.82% | 0.82% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $42,564,486 | $27,061,311 | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.50%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,001.90 | $0.30 | $1,024.50 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Aggregate Bond Index Fund |
State Street Global All Cap Equity ex- U.S. Index Fund |
State Street Small/Mid Cap Equity Index Fund |
State Street Aggregate Bond Index Portfolio |
State Street Global All Cap Equity ex- U.S. Index Portfolio |
State Street Small/Mid Cap Equity Index Portfolio |
1 | |
5 | |
Portfolio Statistics (Unaudited) | |
14 | |
15 | |
16 | |
Schedules of Investments (Unaudited) | |
17 | |
80 | |
158 | |
188 | |
191 | |
194 | |
205 |
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* | $617,658,288 | $1,081,238,948 | $333,852,387 | ||
Receivable for investments sold | 349,919 | — | — | ||
Receivable for fund shares sold | 547,563 | 6,905,154 | 2,007,340 | ||
Receivable from Adviser | 487,898 | 174,556 | 287,321 | ||
TOTAL ASSETS | 619,043,668 | 1,088,318,658 | 336,147,048 | ||
LIABILITIES | |||||
Payable for investments purchased | — | 4,256,156 | 1,332,137 | ||
Payable for fund shares repurchased | 892,061 | 2,635,968 | 669,953 | ||
Advisory fee payable | 12,374 | 54,637 | 8,518 | ||
Custodian fees payable | 18,784 | 18,784 | 18,798 | ||
Administration fees payable | 24,749 | 45,531 | 14,195 | ||
Distribution fees payable | 2,443 | 2,571 | 6,507 | ||
Trustees’ fees and expenses payable | 10 | 9 | 10 | ||
Transfer agent fees payable | 28,942 | 22,502 | 23,870 | ||
Sub-transfer agent fee payable | 59,294 | 10,093 | 69,300 | ||
Registration and filing fees payable | 22,541 | 23,725 | 17,789 | ||
Professional fees payable | 19,531 | 20,056 | 19,319 | ||
Printing and postage fees payable | 11,462 | 16,346 | 6,256 | ||
Accrued expenses and other liabilities | 18 | 611,081 | 11 | ||
TOTAL LIABILITIES | 1,092,209 | 7,717,459 | 2,186,663 | ||
NET ASSETS | $617,951,459 | $1,080,601,199 | $333,960,385 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $702,538,375 | $1,193,853,423 | $409,122,406 | ||
Total distributable earnings (loss) | (84,586,916) | (113,252,224) | (75,162,021) | ||
NET ASSETS | $617,951,459 | $1,080,601,199 | $333,960,385 | ||
Class A | |||||
Net Assets | $ 13,244,718 | $ 11,663,431 | $ 29,978,405 | ||
Shares Outstanding | 148,522 | 129,501 | 121,671 | ||
Net asset value, offering and redemption price per share | $ 89.18 | $ 90.06 | $ 246.39 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 92.65 | $ 95.05 | $ 260.04 | ||
Class I | |||||
Net Assets | $ 8,553,904 | $ 766,584 | $ 7,766,416 | ||
Shares Outstanding | 96,184 | 8,490 | 31,478 | ||
Net asset value, offering and redemption price per share | $ 88.93 | $ 90.29 | $ 246.73 | ||
Class K | |||||
Net Assets | $596,152,837 | $1,068,171,184 | $296,215,564 | ||
Shares Outstanding | 6,703,300 | 11,807,955 | 1,199,222 | ||
Net asset value, offering and redemption price per share | $ 88.93 | $ 90.46 | $ 247.01 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $694,400,488 | $1,196,689,721 | $455,416,916 |
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 | $ 5,261,405 | $ — | $ — | ||
EXPENSES | |||||
Advisory fee | 75,407 | 333,283 | 54,514 | ||
Administration fees | 150,813 | 277,736 | 90,858 | ||
Sub-transfer agent fee | |||||
Class A | 10,513 | 12,402 | 35,639 | ||
Class I | 7,912 | 514 | 8,565 | ||
Distribution fees | |||||
Class A | 13,142 | 15,502 | 44,549 | ||
Custodian fees | 18,907 | 18,907 | 18,912 | ||
Trustees’ fees and expenses | 10,512 | 10,513 | 10,511 | ||
Transfer agent fees | 66,915 | 55,966 | 37,287 | ||
Registration and filing fees | 57,186 | 55,356 | 47,141 | ||
Professional fees and expenses | 13,497 | 14,317 | 12,553 | ||
Printing and postage fees | 4,171 | 5,390 | 1,985 | ||
Insurance expense | 971 | 1,649 | 625 | ||
Miscellaneous expenses | 3,622 | 170,706 | 3,137 | ||
TOTAL EXPENSES | 433,568 | 972,241 | 366,276 | ||
Expenses waived/reimbursed by the Adviser | (399,094) | (852,382) | (246,516) | ||
NET EXPENSES | 34,474 | 119,859 | 119,760 | ||
NET INVESTMENT INCOME (LOSS) | $ 5,226,931 | $ (119,859) | $ (119,760) | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | (7,910,887) | 1,743,774 | 2,497,567 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | (63,882,834) | (236,712,166) | (119,975,879) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (71,793,721) | (234,968,392) | (117,478,312) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(66,566,790) | $(235,088,251) | $(117,598,072) |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 5,226,931 | $ 10,507,301 | $ (119,859) | $ 28,787,282 | $ (119,760) | $ 11,744,017 | |||||
Net realized gain (loss) | (7,910,887) | 6,717,165 | 1,743,774 | 18,423,403 | 2,497,567 | 64,543,810 | |||||
Net change in unrealized appreciation/depreciation | (63,882,834) | (25,081,448) | (236,712,166) | 24,928,048 | (119,975,879) | (40,840,365) | |||||
Net increase (decrease) in net assets resulting from operations | (66,566,790) | (7,856,982) | (235,088,251) | 72,138,733 | (117,598,072) | 35,447,462 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (69,782) | (310,385) | — | (451,550) | — | (3,768,805) | |||||
Class I | (63,084) | (225,701) | — | (26,348) | — | (1,008,856) | |||||
Class K | (5,075,929) | (18,961,341) | — | (45,789,587) | — | (30,749,558) | |||||
Total distributions to shareholders | (5,208,795) | (19,497,427) | — | (46,267,485) | — | (35,527,219) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 5,778,663 | 5,609,425 | 3,383,759 | 4,169,296 | 3,804,300 | 26,020,266 | |||||
Reinvestment of distributions | 68,314 | 310,209 | — | 451,510 | — | 3,690,403 | |||||
Cost of shares redeemed | (2,144,255) | (5,788,708) | (1,575,909) | (1,900,429) | (6,609,125) | (10,987,860) | |||||
Net increase (decrease) from capital share transactions | 3,702,722 | 130,926 | 1,807,850 | 2,720,377 | (2,804,825) | 18,722,809 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 2,430,044 | 3,953,998 | 257,687 | 253,992 | 3,648,614 | 12,109,475 | |||||
Reinvestment of distributions | 5,338 | 31,270 | — | 26,348 | — | 1,008,856 | |||||
Cost of shares redeemed | (116,928) | (4,582,328) | (7,338) | (41,859) | (4,472,085) | (9,108,940) | |||||
Net increase (decrease) from capital share transactions | 2,318,454 | (597,060) | 250,349 | 238,481 | (823,471) | 4,009,391 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 182,645,344 | 505,711,468 | 229,551,818 | 478,760,857 | 78,786,329 | 201,622,021 | |||||
Reinvestment of distributions | 5,071,331 | 18,955,896 | — | 44,103,749 | — | 30,647,437 | |||||
Cost of shares redeemed | (143,330,323) | (239,473,320) | (65,889,675) | (206,583,444) | (34,190,798) | (94,538,053) | |||||
Net increase (decrease) from capital share transactions | 44,386,352 | 285,194,044 | 163,662,143 | 316,281,162 | 44,595,531 | 137,731,405 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 50,407,528 | 284,727,910 | 165,720,342 | 319,240,020 | 40,967,235 | 160,463,605 | |||||
Contribution from Adviser | |||||||||||
Contribution from Affiliate (Note 5) | 378,243 | — | — | — | 230,431 | — | |||||
Net increase (decrease) in net assets during the period | (20,989,814) | 257,373,501 | (69,367,909) | 345,111,268 | (76,400,406) | 160,383,848 | |||||
Net assets at beginning of period | 638,941,273 | 381,567,772 | 1,149,969,108 | 804,857,840 | 410,360,791 | 249,976,943 | |||||
NET ASSETS AT END OF PERIOD | $ 617,951,459 | $ 638,941,273 | $1,080,601,199 | $1,149,969,108 | $ 333,960,385 | $410,360,791 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 63,967 | 54,459 | 32,810 | 37,035 | 13,341 | 71,506 | |||||
Reinvestment of distributions | 734 | 3,060 | — | 4,070 | — | 10,885 | |||||
Shares redeemed | (23,266) | (56,565) | (15,725) | (16,654) | (22,343) | (29,990) | |||||
Net increase (decrease) from share transactions | 41,435 | 954 | 17,085 | 24,451 | (9,002) | 52,401 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||||
Class I | |||||||||||
Shares sold | 25,772 | 38,742 | 2,491 | 2,288 | 11,994 | 33,255 | |||||
Reinvestment of distributions | 57 | 308 | — | 237 | — | 2,975 | |||||
Shares redeemed | (1,225) | (44,192) | (67) | (367) | (14,921) | (24,203) | |||||
Net increase (decrease) from share transactions | 24,604 | (5,142) | 2,424 | 2,158 | (2,927) | 12,027 | |||||
Class K | |||||||||||
Shares sold | 1,988,320 | 4,916,863 | 2,264,555 | 4,208,329 | 268,990 | 561,669 | |||||
Reinvestment of distributions | 54,556 | 187,407 | — | 396,688 | — | 90,371 | |||||
Shares redeemed | (1,549,507) | (2,338,151) | (652,151) | (1,823,318) | (115,122) | (261,943) | |||||
Net increase (decrease) from share transactions | 493,369 | 2,766,119 | 1,612,404 | 2,781,699 | 153,868 | 390,097 |
Class A | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $100.32 | $105.53 | $101.10 | $ 95.50 | $98.20 | $97.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.59 | 1.45 | 2.18 | 3.40 | 2.60 | 2.10 | |||||
Net realized and unrealized gain (loss) | (11.16) | (3.79) | 5.10 | 4.40 | (3.00) | 0.80 | |||||
Total from investment operations | (10.57) | (2.34) | 7.28 | 7.80 | (0.40) | 2.90 | |||||
Contribution from Adviser (Note 4) | 0.06 | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.62) | (1.44) | (2.06) | (2.20) | (2.30) | (2.10) | |||||
Net realized gains | — | (1.43) | (0.79) | — | — | (0.10) | |||||
Total distributions | (0.62) | (2.87) | (2.85) | (2.20) | (2.30) | (2.20) | |||||
Net asset value, end of period | $ 89.19 | $100.32 | $105.53 | $101.10 | $95.50 | $98.20 | |||||
Total return (c) | (10.51)%(d) | (2.22)% | 7.25% | 8.27% | (0.39)% | 2.93% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $13,245 | $10,742 | $ 11,200 | $19,325 | $1,121 | $ 340 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.58%(f) | 0.58% | 0.66% | 0.68% | 0.55% | 0.58% | |||||
Net expenses (e) | 0.45%(f) | 0.47% | 0.48% | 0.48% | 0.31% | 0.40% | |||||
Net investment income (loss) | 1.27%(f) | 1.41% | 2.08% | 3.45% | 2.74% | 2.11% | |||||
Portfolio turnover rate (g) | 0%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (10.57)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $100.03 | $105.23 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.73 | 1.69 | 2.38 | 2.70 | 2.70 | 2.30 | |||||
Net realized and unrealized gain (loss) | (11.16) | (3.77) | 5.20 | 5.40 | (2.90) | 0.90 | |||||
Total from investment operations | (10.43) | (2.08) | 7.58 | 8.10 | (0.20) | 3.20 | |||||
Contribution from Adviser (Note 4) | 0.06 | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.72) | (1.69) | (2.36) | (2.80) | (2.70) | (2.30) | |||||
Net realized gains | — | (1.43) | (0.79) | — | — | (0.10) | |||||
Total distributions | (0.72) | (3.12) | (3.15) | (2.80) | (2.70) | (2.40) | |||||
Net asset value, end of period | $ 88.94 | $100.03 | $105.23 | $100.80 | $ 95.50 | $ 98.40 | |||||
Total return (c) | (10.40)%(d) | (1.97)% | 7.57% | 8.55% | (0.20)% | 3.29% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 8,554 | $ 7,160 | $ 8,073 | $ 7,273 | $10,598 | $10,807 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.33%(f) | 0.33% | 0.41% | 0.32% | 0.27% | 0.26% | |||||
Net expenses (e) | 0.20%(f) | 0.22% | 0.23% | 0.12% | 0.04% | 0.08% | |||||
Net investment income (loss) | 1.58%(f) | 1.65% | 2.27% | 2.73% | 2.78% | 2.30% | |||||
Portfolio turnover rate (g) | 0%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (10.46)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 100.01 | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.81 | 1.92 | 2.59 | 2.90 | 2.70 | 2.30 | |||||
Net realized and unrealized gain (loss) | (11.14) | (3.79) | 5.20 | 5.20 | (2.80) | 0.90 | |||||
Total from investment operations | (10.33) | (1.87) | 7.79 | 8.10 | (0.10) | 3.20 | |||||
Contribution from Adviser (Note 4) | 0.06 | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.80) | (1.89) | (2.60) | (2.80) | (2.70) | (2.30) | |||||
Net realized gains | — | (1.43) | (0.79) | — | — | (0.10) | |||||
Total distributions | (0.80) | (3.32) | (3.39) | (2.80) | (2.70) | (2.40) | |||||
Net asset value, end of period | $ 88.94 | $ 100.01 | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | |||||
Total return (c) | (10.31)%(d) | (1.77)% | 7.79% | 8.57% | (0.10)% | 3.30% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $596,153 | $621,039 | $362,294 | $210,489 | $127,817 | $97,318 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.13%(f) | 0.13% | 0.21% | 0.23% | 0.27% | 0.26% | |||||
Net expenses (e) | 0.00%(f) | 0.02% | 0.03% | 0.03% | 0.04% | 0.08% | |||||
Net investment income (loss) | 1.74%(f) | 1.88% | 2.47% | 2.94% | 2.83% | 2.37% | |||||
Portfolio turnover rate (g) | 0%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (10.37)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class A | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 111.26 | $107.01 | $ 98.00 | $84.60 | $106.70 | $ 87.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.23) | 2.53 | 1.63 | 3.20 | 3.60 | 0.80 | |||||
Net realized and unrealized gain (loss) | (20.97) | 5.89 | 8.74 | 14.50 | (19.00) | 22.50 | |||||
Total from investment operations | (21.20) | 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 | $ 90.06 | $ 111.26 | $107.01 | $98.00 | $ 84.60 | $106.70 | |||||
Total return (c) | (19.05)% | 7.88% | 10.47% | 21.01% | (14.38)% | 26.68% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $11,663 | $12,507 | $ 9,413 | $7,104 | $ 3,599 | $ 927 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.62%(e) | 0.63% | 0.70% | 0.71% | 0.57% | 0.53% | |||||
Net expenses (d) | 0.47%(e) | 0.46% | 0.46% | 0.45% | 0.42% | 0.44% | |||||
Net investment income (loss) | (0.47)%(e) | 2.21% | 1.79% | 3.44% | 3.59% | 0.79% | |||||
Portfolio turnover rate (f) | 2%(g) | 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. |
(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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $111.37 | $107.12 | $ 98.10 | $84.60 | $106.70 | $ 87.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.08) | 2.87 | 1.26 | 2.70 | 2.30 | 2.10 | |||||
Net realized and unrealized gain (loss) | (21.00) | 5.91 | 9.44 | 15.40 | (17.60) | 21.40 | |||||
Total from investment operations | (21.08) | 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 | $ 90.29 | $ 111.37 | $107.12 | $98.10 | $ 84.60 | $106.70 | |||||
Total return (c) | (18.93)% | 8.21% | 10.91% | 21.24% | (14.18)% | 27.00% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 767 | $ 676 | $ 419 | $ 739 | $ 635 | $ 999 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.31%(e) | 0.32% | 0.40% | 0.38% | 0.43% | 0.23% | |||||
Net expenses (d) | 0.15%(e) | 0.16% | 0.16% | 0.12% | 0.30% | 0.15% | |||||
Net investment income (loss) | (0.15)%(e) | 2.50% | 1.37% | 2.90% | 2.27% | 2.12% | |||||
Portfolio turnover rate (f) | 2%(g) | 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. |
(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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 111.50 | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.01) | 3.41 | 2.49 | 2.90 | 2.60 | 3.20 | |||||
Net realized and unrealized gain (loss) | (21.03) | 5.54 | 8.40 | 15.40 | (17.70) | 20.40 | |||||
Total from investment operations | (21.04) | 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 | $ 90.46 | $ 111.50 | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | |||||
Total return (c) | (18.87)% | 8.36% | 11.08% | 21.49% | (14.03)% | 27.11% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,068,171 | $1,136,787 | $795,026 | $423,417 | $433,086 | $456,567 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.17%(e) | 0.18% | 0.25% | 0.27% | 0.18% | 0.18% | |||||
Net expenses (d) | 0.02%(e) | 0.01% | 0.01% | 0.01% | 0.05% | 0.10% | |||||
Net investment income (loss) | (0.02)%(e) | 2.97% | 2.70% | 3.12% | 2.57% | 3.16% | |||||
Portfolio turnover rate (f) | 2%(g) | 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. |
(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) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class A | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $338.94 | $330.61 | $253.40 | $209.40 | $239.00 | $213.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.67) | 10.39 | 2.82 | 4.40 | 6.40 | 10.60 | |||||
Net realized and unrealized gain (loss) | (92.06) | 29.12 | 77.73 | 53.00 | (29.00) | 27.40 | |||||
Total from investment operations | (92.73) | 39.51 | 80.55 | 57.40 | (22.60) | 38.00 | |||||
Contribution from Adviser (Note 4) | 0.18 | — | — | — | — | — | |||||
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 | $246.39 | $338.94 | $330.61 | $253.40 | $209.40 | $239.00 | |||||
Total return (c) | (27.31)%(d) | 11.95% | 31.79% | 27.42% | (9.35)% | 17.87% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $29,978 | $44,290 | $25,877 | $22,037 | $ 9,274 | $ 988 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.60%(f) | 0.60% | 0.69% | 0.79% | 0.80% | 1.10% | |||||
Net expenses (e) | 0.47%(f) | 0.49% | 0.50% | 0.49% | 0.29% | 0.35% | |||||
Net investment income (loss) | (0.47)%(f) | 2.82% | 1.12% | 1.76% | 2.65% | 4.60% | |||||
Portfolio turnover rate (g) | 5%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (27.36)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $338.99 | $330.66 | $253.40 | $209.60 | $239.00 | $213.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.31) | 9.73 | 3.20 | 3.80 | 4.00 | 8.00 | |||||
Net realized and unrealized gain (loss) | (92.13) | 30.71 | 78.24 | 54.40 | (25.80) | 30.60 | |||||
Total from investment operations | (92.44) | 40.44 | 81.44 | 58.20 | (21.80) | 38.60 | |||||
Contribution from Adviser (Note 4) | 0.18 | — | — | — | — | — | |||||
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 | $246.73 | $338.99 | $330.66 | $253.40 | $209.60 | $239.00 | |||||
Total return (c) | (27.21)%(d) | 12.22% | 32.15% | 27.70% | (9.07)% | 18.16% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 7,766 | $ 11,663 | $ 7,400 | $ 6,312 | $ 5,038 | $ 4,135 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.35%(f) | 0.35% | 0.44% | 0.46% | 0.61% | 0.90% | |||||
Net expenses (e) | 0.22%(f) | 0.24% | 0.25% | 0.17% | 0.07% | 0.11% | |||||
Net investment income (loss) | (0.22)%(f) | 2.65% | 1.28% | 1.58% | 1.58% | 3.42% | |||||
Portfolio turnover rate (g) | 5%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (27.27)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 339.03 | $ 330.71 | $ 253.40 | $209.60 | $239.00 | $213.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.02) | 12.44 | 7.44 | 5.40 | 5.80 | 3.00 | |||||
Net realized and unrealized gain (loss) | (92.18) | 28.74 | 74.73 | 53.00 | (27.60) | 35.60 | |||||
Total from investment operations | (92.20) | 41.18 | 82.17 | 58.40 | (21.80) | 38.60 | |||||
Contribution from Adviser (Note 4) | 0.18 | — | — | — | — | — | |||||
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 | $ 247.01 | $ 339.03 | $ 330.71 | $253.40 | $209.60 | $239.00 | |||||
Total return (c) | (27.14)%(d) | 12.45% | 32.44% | 27.84% | (9.03)% | 18.16% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $296,216 | $354,408 | $216,700 | $77,885 | $38,195 | $18,750 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.15%(f) | 0.15% | 0.24% | 0.34% | 0.55% | 0.96% | |||||
Net expenses (e) | 0.02%(f) | 0.04% | 0.05% | 0.05% | 0.04% | 0.05% | |||||
Net investment income (loss) | (0.02)%(f) | 3.38% | 2.91% | 2.17% | 2.37% | 1.29% | |||||
Portfolio turnover rate (g) | 5%(h) | 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. |
(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) | If the Adviser had not made a contribution during the period ended June 30, 2022, the total return would have been (27.20)%. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
% of Net Assets | |||
U.S. Treasury Obligations | 39.6% | ||
U.S. Government Agency Obligations | 30.0 | ||
Corporate Bonds & Notes | 24.6 | ||
Foreign Government Obligations | 3.4 | ||
Mortgage-Backed Securities | 1.0 | ||
Municipal Bonds & Notes | 0.5 | ||
Asset-Backed Securities | 0.4 | ||
Short-Term Investments | 9.5 | ||
Liabilities in Excess of Other Assets | (9.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.4% | ||
Electric | 1.8 | ||
Pharmaceuticals | 1.5 | ||
Telecommunications | 1.2 | ||
Oil & Gas | 1.0 | ||
TOTAL | 10.9% |
% of Net Assets | |||
Common Stocks | 95.4% | ||
Warrants | 0.0 | ||
Preferred Stocks | 0.0 | ||
Rights | 0.0 | ||
Short-Term Investments | 5.3 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Common Stocks | 98.4% | ||
Rights | 0.0 | ||
Short-Term Investments | 4.8 | ||
Liabilities in Excess of Other Assets | (3.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Software | 10.3% | ||
Equity Real Estate Investment Trusts (REITs) | 6.8 | ||
Banks | 5.4 | ||
Biotechnology | 5.0 | ||
IT Services | 4.3 | ||
TOTAL | 31.8% |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 24.6% | ||||||
ADVERTISING — 0.0% (a) | ||||||
Interpublic Group of Cos., Inc.: | ||||||
2.40%, 3/1/2031 | $ 100,000 | $ 80,907 | ||||
3.38%, 3/1/2041 | 70,000 | 52,319 | ||||
4.65%, 10/1/2028 | 10,000 | 9,886 | ||||
5.40%, 10/1/2048 | 25,000 | 24,409 | ||||
Omnicom Group, Inc.: | ||||||
2.45%, 4/30/2030 (b) | 100,000 | 84,213 | ||||
2.60%, 8/1/2031 (b) | 200,000 | 167,486 | ||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 97,262 | ||||
516,482 | ||||||
AEROSPACE & DEFENSE — 0.5% | ||||||
Boeing Co.: | ||||||
1.43%, 2/4/2024 | 100,000 | 95,665 | ||||
1.95%, 2/1/2024 | 30,000 | 28,978 | ||||
2.20%, 2/4/2026 | 1,400,000 | 1,263,458 | ||||
2.60%, 10/30/2025 (b) | 35,000 | 32,663 | ||||
2.75%, 2/1/2026 | 550,000 | 510,664 | ||||
2.95%, 2/1/2030 | 50,000 | 41,492 | ||||
3.25%, 2/1/2028 | 50,000 | 44,843 | ||||
3.25%, 3/1/2028 | 25,000 | 22,446 | ||||
3.38%, 6/15/2046 | 25,000 | 16,541 | ||||
3.50%, 3/1/2039 | 250,000 | 180,162 | ||||
3.55%, 3/1/2038 | 165,000 | 120,320 | ||||
3.63%, 2/1/2031 | 30,000 | 25,964 | ||||
3.65%, 3/1/2047 | 100,000 | 67,819 | ||||
3.75%, 2/1/2050 | 50,000 | 35,257 | ||||
3.83%, 3/1/2059 | 250,000 | 160,875 | ||||
4.88%, 5/1/2025 | 335,000 | 333,747 | ||||
5.04%, 5/1/2027 | 150,000 | 148,179 | ||||
5.15%, 5/1/2030 | 200,000 | 191,878 | ||||
5.71%, 5/1/2040 | 150,000 | 140,136 | ||||
5.81%, 5/1/2050 | 200,000 | 184,166 | ||||
5.93%, 5/1/2060 | 150,000 | 137,225 | ||||
General Dynamics Corp.: | ||||||
1.15%, 6/1/2026 | 35,000 | 31,704 | ||||
2.25%, 6/1/2031 (b) | 45,000 | 39,288 | ||||
2.38%, 11/15/2024 | 250,000 | 243,402 | ||||
2.85%, 6/1/2041 | 790,000 | 614,762 | ||||
3.63%, 4/1/2030 | 100,000 | 96,882 | ||||
4.25%, 4/1/2050 | 60,000 | 57,634 | ||||
L3Harris Technologies, Inc.: | ||||||
2.90%, 12/15/2029 | 15,000 | 13,316 | ||||
3.83%, 4/27/2025 | 50,000 | 49,376 | ||||
3.85%, 12/15/2026 | 50,000 | 49,036 | ||||
4.40%, 6/15/2028 | 100,000 | 98,320 | ||||
Lockheed Martin Corp.: | ||||||
1.85%, 6/15/2030 | 395,000 | 337,148 | ||||
2.80%, 6/15/2050 | 400,000 | 298,836 | ||||
3.55%, 1/15/2026 | 50,000 | 50,085 |
Security Description | Principal Amount | Value | ||||
3.60%, 3/1/2035 | $ 50,000 | $ 46,005 | ||||
3.90%, 6/15/2032 | 70,000 | 69,060 | ||||
4.15%, 6/15/2053 | 500,000 | 468,255 | ||||
4.70%, 5/15/2046 | 110,000 | 111,045 | ||||
Northrop Grumman Corp.: | ||||||
2.93%, 1/15/2025 | 150,000 | 146,859 | ||||
3.25%, 8/1/2023 | 200,000 | 199,960 | ||||
3.25%, 1/15/2028 | 150,000 | 142,503 | ||||
4.03%, 10/15/2047 | 100,000 | 88,770 | ||||
4.75%, 6/1/2043 | 25,000 | 23,965 | ||||
Raytheon Technologies Corp.: | ||||||
1.90%, 9/1/2031 | 125,000 | 102,388 | ||||
2.25%, 7/1/2030 | 700,000 | 603,512 | ||||
2.38%, 3/15/2032 | 750,000 | 635,325 | ||||
2.82%, 9/1/2051 | 200,000 | 142,826 | ||||
3.13%, 5/4/2027 | 200,000 | 191,368 | ||||
3.13%, 7/1/2050 | 200,000 | 153,308 | ||||
3.50%, 3/15/2027 | 136,000 | 132,905 | ||||
4.13%, 11/16/2028 | 60,000 | 59,276 | ||||
4.35%, 4/15/2047 | 450,000 | 415,917 | ||||
4.45%, 11/16/2038 | 20,000 | 19,241 | ||||
4.50%, 6/1/2042 | 100,000 | 95,277 | ||||
4.63%, 11/16/2048 | 35,000 | 34,108 | ||||
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 250,000 | 209,072 | ||||
9,853,212 | ||||||
AGRICULTURE — 0.3% | ||||||
Altria Group, Inc.: | ||||||
2.45%, 2/4/2032 (b) | 250,000 | 188,275 | ||||
3.40%, 2/4/2041 | 550,000 | 365,464 | ||||
3.88%, 9/16/2046 | 100,000 | 67,356 | ||||
4.40%, 2/14/2026 | 117,000 | 114,538 | ||||
4.45%, 5/6/2050 | 500,000 | 359,175 | ||||
4.50%, 5/2/2043 | 25,000 | 18,522 | ||||
4.80%, 2/14/2029 | 40,000 | 37,908 | ||||
5.80%, 2/14/2039 | 285,000 | 260,037 | ||||
5.95%, 2/14/2049 | 75,000 | 65,824 | ||||
Archer-Daniels-Midland Co.: | ||||||
2.90%, 3/1/2032 | 115,000 | 103,982 | ||||
3.25%, 3/27/2030 | 250,000 | 235,215 | ||||
BAT Capital Corp.: | ||||||
2.26%, 3/25/2028 | 525,000 | 439,367 | ||||
2.73%, 3/25/2031 | 50,000 | 39,383 | ||||
2.79%, 9/6/2024 | 70,000 | 67,563 | ||||
3.22%, 8/15/2024 | 50,000 | 48,637 | ||||
3.22%, 9/6/2026 | 100,000 | 93,380 | ||||
3.46%, 9/6/2029 | 100,000 | 85,632 | ||||
3.56%, 8/15/2027 | 100,000 | 91,572 | ||||
3.73%, 9/25/2040 | 30,000 | 21,111 | ||||
3.98%, 9/25/2050 | 250,000 | 170,030 | ||||
4.39%, 8/15/2037 | 100,000 | 79,472 | ||||
4.54%, 8/15/2047 | 105,000 | 77,154 | ||||
4.70%, 4/2/2027 | 250,000 | 244,412 | ||||
4.76%, 9/6/2049 | 100,000 | 75,390 |
Security Description | Principal Amount | Value | ||||
BAT International Finance PLC: | ||||||
1.67%, 3/25/2026 | $ 525,000 | $ 465,649 | ||||
4.45%, 3/16/2028 | 250,000 | 236,435 | ||||
Bunge, Ltd. Finance Corp.: | ||||||
2.75%, 5/14/2031 | 200,000 | 164,966 | ||||
3.75%, 9/25/2027 (b) | 30,000 | 28,852 | ||||
Philip Morris International, Inc.: | ||||||
0.88%, 5/1/2026 (b) | 150,000 | 132,819 | ||||
1.75%, 11/1/2030 | 150,000 | 116,284 | ||||
2.10%, 5/1/2030 | 550,000 | 449,295 | ||||
2.75%, 2/25/2026 | 125,000 | 119,419 | ||||
3.13%, 3/2/2028 (b) | 200,000 | 182,854 | ||||
4.13%, 3/4/2043 | 25,000 | 20,136 | ||||
4.25%, 11/10/2044 | 250,000 | 203,915 | ||||
4.50%, 3/20/2042 | 50,000 | 42,658 | ||||
Reynolds American, Inc.: | ||||||
5.70%, 8/15/2035 | 25,000 | 23,302 | ||||
5.85%, 8/15/2045 | 175,000 | 147,217 | ||||
5,683,200 | ||||||
AIRLINES — 0.1% | ||||||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 78,351 | 70,652 | ||||
American Airlines 2019-1 Pass Through Trust Series AA, Class AA, 3.15%, 8/15/2033 | 66,868 | 58,597 | ||||
Delta Air Lines 2020-1 Pass Through Trust Series AA, Class AA, 2.00%, 12/10/2029 | 88,041 | 77,249 | ||||
JetBlue 2020-1 Pass Through Trust Series 1A, 4.00%, 5/15/2034 | 22,546 | 20,711 | ||||
Southwest Airlines Co.: | ||||||
2.63%, 2/10/2030 | 100,000 | 84,351 | ||||
5.13%, 6/15/2027 | 100,000 | 100,886 | ||||
5.25%, 5/4/2025 | 90,000 | 91,805 | ||||
United Airlines 2016-1 Pass Through Trust Series AA, Class AA, 3.10%, 1/7/2030 | 38,128 | 34,295 | ||||
United Airlines 2018-1 Pass Through Trust Series AA, Class AA, 3.50%, 9/1/2031 | 95,898 | 86,267 | ||||
United Airlines 2019-1 Pass Through Trust Series AA, Class AA, 4.15%, 2/25/2033 | 63,707 | 59,333 |
Security Description | Principal Amount | Value | ||||
United Airlines 2019-2 Pass Through Trust Series AA, Class AA, 2.70%, 11/1/2033 | $ 59,153 | $ 49,760 | ||||
United Airlines 2020-1 Class B Pass Through Trust Series 2020-1, Class B, 4.88%, 7/15/2027 | 464,800 | 439,854 | ||||
United Airlines 2020-1 Pass Through Trust Series 20-1, Class A, 5.88%, 4/15/2029 | 499,637 | 491,043 | ||||
1,664,803 | ||||||
APPAREL — 0.1% | ||||||
NIKE, Inc.: | ||||||
2.38%, 11/1/2026 | 50,000 | 47,574 | ||||
2.40%, 3/27/2025 | 500,000 | 487,860 | ||||
2.85%, 3/27/2030 | 500,000 | 459,090 | ||||
3.25%, 3/27/2040 | 200,000 | 171,298 | ||||
3.38%, 3/27/2050 | 150,000 | 127,564 | ||||
3.88%, 11/1/2045 | 30,000 | 27,553 | ||||
Ralph Lauren Corp.: | ||||||
2.95%, 6/15/2030 (b) | 15,000 | 13,187 | ||||
3.75%, 9/15/2025 | 25,000 | 24,901 | ||||
VF Corp.: | ||||||
2.40%, 4/23/2025 | 100,000 | 96,022 | ||||
2.95%, 4/23/2030 | 65,000 | 56,876 | ||||
1,511,925 | ||||||
AUTO MANUFACTURERS — 0.4% | ||||||
American Honda Finance Corp.: | ||||||
1.50%, 1/13/2025 | 100,000 | 95,058 | ||||
Series MTN, 0.75%, 8/9/2024 | 65,000 | 61,226 | ||||
Series MTN, 0.88%, 7/7/2023 | 500,000 | 487,675 | ||||
Series MTN, 1.30%, 9/9/2026 | 85,000 | 76,731 | ||||
Series MTN, 2.00%, 3/24/2028 | 115,000 | 101,974 | ||||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 96,895 | ||||
Series MTN, 2.25%, 1/12/2029 | 100,000 | 88,381 | ||||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 49,534 | ||||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 300,906 | ||||
Cummins, Inc. 1.50%, 9/1/2030 | 200,000 | 162,112 | ||||
General Motors Co.: | ||||||
5.15%, 4/1/2038 | 200,000 | 175,120 | ||||
5.20%, 4/1/2045 | 200,000 | 168,444 | ||||
5.40%, 10/2/2023 | 250,000 | 253,820 |
Security Description | Principal Amount | Value | ||||
6.13%, 10/1/2025 | $ 250,000 | $ 258,507 | ||||
6.60%, 4/1/2036 | 100,000 | 101,378 | ||||
6.75%, 4/1/2046 | 25,000 | 25,218 | ||||
General Motors Financial Co., Inc.: | ||||||
1.05%, 3/8/2024 | 50,000 | 47,363 | ||||
1.20%, 10/15/2024 | 45,000 | 41,842 | ||||
1.25%, 1/8/2026 | 500,000 | 439,465 | ||||
1.50%, 6/10/2026 | 500,000 | 437,130 | ||||
1.70%, 8/18/2023 | 300,000 | 292,737 | ||||
2.40%, 4/10/2028 | 100,000 | 84,543 | ||||
2.40%, 10/15/2028 | 1,000,000 | 829,750 | ||||
2.70%, 6/10/2031 | 500,000 | 395,340 | ||||
3.95%, 4/13/2024 | 150,000 | 148,832 | ||||
4.00%, 1/15/2025 | 35,000 | 34,516 | ||||
4.30%, 4/6/2029 | 150,000 | 138,206 | ||||
4.35%, 1/17/2027 | 185,000 | 177,496 | ||||
5.25%, 3/1/2026 | 100,000 | 100,168 | ||||
Lear Corp. 4.25%, 5/15/2029 | 25,000 | 23,133 | ||||
PACCAR Financial Corp.: | ||||||
2.00%, 2/4/2027 | 105,000 | 96,994 | ||||
Series MTN, 0.90%, 11/8/2024 | 75,000 | 70,543 | ||||
Series MTN, 1.10%, 5/11/2026 | 70,000 | 63,291 | ||||
Toyota Motor Credit Corp.: | ||||||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 47,412 | ||||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 100,338 | ||||
Series MTN, 0.45%, 1/11/2024 (b) | 750,000 | 718,477 | ||||
Series MTN, 0.80%, 10/16/2025 | 100,000 | 91,011 | ||||
Series MTN, 1.15%, 8/13/2027 | 60,000 | 52,223 | ||||
Series MTN, 1.35%, 8/25/2023 | 150,000 | 146,901 | ||||
Series MTN, 1.80%, 2/13/2025 | 150,000 | 143,184 | ||||
Series MTN, 1.90%, 4/6/2028 | 100,000 | 88,932 | ||||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 49,522 | ||||
Series MTN, 3.00%, 4/1/2025 | 500,000 | 491,710 | ||||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 99,258 | ||||
7,953,296 | ||||||
AUTO PARTS & EQUIPMENT — 0.0% (a) | ||||||
Aptiv PLC: | ||||||
3.10%, 12/1/2051 | 250,000 | 161,307 | ||||
4.40%, 10/1/2046 | 30,000 | 23,646 | ||||
Aptiv PLC 4.35%, 3/15/2029 | 45,000 | 42,609 |
Security Description | Principal Amount | Value | ||||
Aptiv PLC/Aptiv Corp. 4.15%, 5/1/2052 | $ 500,000 | $ 382,940 | ||||
BorgWarner, Inc. 2.65%, 7/1/2027 | 50,000 | 45,469 | ||||
Lear Corp.: | ||||||
3.50%, 5/30/2030 (b) | 25,000 | 21,764 | ||||
5.25%, 5/15/2049 | 30,000 | 26,011 | ||||
703,746 | ||||||
BANKS — 5.4% | ||||||
Banco Bilbao Vizcaya Argentaria SA 1.13%, 9/18/2025 | 200,000 | 181,374 | ||||
Banco Santander SA: | ||||||
1.85%, 3/25/2026 | 200,000 | 179,940 | ||||
2.75%, 5/28/2025 | 200,000 | 189,716 | ||||
2.75%, 12/3/2030 | 200,000 | 158,860 | ||||
2.96%, 3/25/2031 | 200,000 | 167,660 | ||||
3.89%, 5/24/2024 | 200,000 | 199,168 | ||||
4.38%, 4/12/2028 | 200,000 | 192,430 | ||||
1 year CMT + 0.90%, 1.72%, 9/14/2027 (c) | 200,000 | 173,650 | ||||
1 year CMT + 1.60%, 3.23%, 11/22/2032 (c) | 400,000 | 319,324 | ||||
Bank of America Corp.: | ||||||
6.11%, 1/29/2037 | 75,000 | 81,273 | ||||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (c) | 250,000 | 242,077 | ||||
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (c) | 750,000 | 698,587 | ||||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (c) | 100,000 | 85,368 | ||||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 184,070 | ||||
5 Year CMT + 1.20%, 2.48%, 9/21/2036 (c) | 200,000 | 155,530 | ||||
5 Year CMT + 2.00%, 3.85%, 3/8/2037 (c) | 200,000 | 173,214 | ||||
SOFR + 0.67%, 1.84%, 2/4/2025 (c) | 200,000 | 192,934 | ||||
SOFR + 0.69%, 0.98%, 4/22/2025 (c) | 150,000 | 141,107 | ||||
SOFR + 0.96%, 1.73%, 7/22/2027 (c) | 770,000 | 686,247 | ||||
SOFR + 1.05%, 2.55%, 2/4/2028 (c) | 200,000 | 182,002 | ||||
SOFR + 1.11%, 3.84%, 4/25/2025 (c) | 250,000 | 249,265 | ||||
SOFR + 1.21%, 2.57%, 10/20/2032 (c) | 200,000 | 165,028 | ||||
SOFR + 1.22%, 2.30%, 7/21/2032 (c) | 200,000 | 161,660 |
Security Description | Principal Amount | Value | |||
SOFR + 1.32%, 2.69%, 4/22/2032 (c) | $ 150,000 | $ 126,041 | |||
SOFR + 1.33%, 2.97%, 2/4/2033 (c) | 125,000 | 106,546 | |||
SOFR + 1.33%, 3.38%, 4/2/2026 (c) | 500,000 | 484,665 | |||
SOFR + 1.56%, 2.97%, 7/21/2052 (c) | 200,000 | 142,598 | |||
SOFR + 1.58%, 3.31%, 4/22/2042 (c) | 700,000 | 549,752 | |||
SOFR + 1.58%, 4.38%, 4/27/2028 (b) (c) | 250,000 | 246,330 | |||
SOFR + 1.83%, 4.57%, 4/27/2033 (c) | 500,000 | 486,615 | |||
SOFR + 2.15%, 2.59%, 4/29/2031 (c) | 735,000 | 623,376 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 126,718 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 235,957 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 49,417 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 50,415 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 25,284 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 50,111 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 48,101 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 97,649 | |||
Series MTN, 3 Month USD LIBOR + 0.64%, 2.02%, 2/13/2026 (c) | 500,000 | 467,640 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (c) | 75,000 | 71,528 | |||
Series MTN, 3 Month USD LIBOR + 0.94%, 3.86%, 7/23/2024 (c) | 500,000 | 497,785 | |||
Series MTN, 3 Month USD LIBOR + 0.99%, 2.50%, 2/13/2031 (c) | 250,000 | 211,572 | |||
Series MTN, 3 Month USD LIBOR + 1.06%, 3.56%, 4/23/2027 (c) | 250,000 | 239,770 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | 250,000 | 242,430 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (c) | 100,000 | 89,446 | |||
Series MTN, 3 Month USD LIBOR + 1.19%, 2.88%, 10/22/2030 (c) | 75,000 | 65,600 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (c) | $ 150,000 | $ 140,930 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (c) | 500,000 | 480,840 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (c) | 150,000 | 131,843 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 136,670 | |||
Series MTN, 3 Month USD LIBOR + 3.15%, 4.08%, 3/20/2051 (c) | 600,000 | 516,564 | |||
Series MTN, SOFR + 0.74%, 0.81%, 10/24/2024 (c) | 100,000 | 95,424 | |||
Series MTN, SOFR + 0.91%, 0.98%, 9/25/2025 (c) | 250,000 | 231,745 | |||
Series MTN, SOFR + 1.01%, 1.20%, 10/24/2026 (c) | 100,000 | 89,620 | |||
Series MTN, SOFR + 1.06%, 2.09%, 6/14/2029 (c) | 700,000 | 599,445 | |||
Series MTN, SOFR + 1.15%, 1.32%, 6/19/2026 (c) | 200,000 | 181,936 | |||
Series MTN, SOFR + 1.37%, 1.92%, 10/24/2031 (c) | 100,000 | 79,701 | |||
Series MTN, SOFR + 1.53%, 1.90%, 7/23/2031 (c) | 500,000 | 400,045 | |||
Series MTN, SOFR + 1.88%, 2.83%, 10/24/2051 (c) | 275,000 | 190,413 | |||
Series MTN, SOFR + 1.93%, 2.68%, 6/19/2041 (c) | 350,000 | 252,588 | |||
Series N, SOFR + 0.91%, 1.66%, 3/11/2027 (c) | 600,000 | 539,382 | |||
Series N, SOFR + 1.22%, 2.65%, 3/11/2032 (c) | 150,000 | 125,934 | |||
Series N, SOFR + 1.65%, 3.48%, 3/13/2052 (c) | 350,000 | 274,477 | |||
Bank of Montreal: | |||||
0.45%, 12/8/2023 | 250,000 | 239,867 | |||
5 Year CMT + 1.40%, 3.09%, 1/10/2037 (c) | 200,000 | 163,588 | |||
Series MTN, 0.40%, 9/15/2023 | 70,000 | 67,726 | |||
Series MTN, 1.25%, 9/15/2026 (b) | 100,000 | 88,631 | |||
Series MTN, 1.50%, 1/10/2025 | 500,000 | 471,725 |
Security Description | Principal Amount | Value | |||
Series MTN, 1.85%, 5/1/2025 | $ 500,000 | $ 472,990 | |||
Series MTN, 2.50%, 6/28/2024 | 65,000 | 63,494 | |||
Bank of New York Mellon Corp.: | |||||
3.35%, 4/25/2025 | 200,000 | 198,016 | |||
Series G, 3.00%, 2/24/2025 | 100,000 | 98,082 | |||
Series J, 0.85%, 10/25/2024 | 150,000 | 141,288 | |||
Series J, 1.90%, 1/25/2029 | 150,000 | 130,148 | |||
Series MTN, 0.50%, 4/26/2024 | 100,000 | 95,006 | |||
Series MTN, 0.75%, 1/28/2026 | 250,000 | 225,102 | |||
Series MTN, 1.65%, 7/14/2028 (b) | 100,000 | 86,720 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 197,878 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 97,054 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 231,172 | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (c) | 250,000 | 241,590 | |||
Bank of Nova Scotia: | |||||
0.40%, 9/15/2023 | 160,000 | 154,566 | |||
0.70%, 4/15/2024 | 165,000 | 156,425 | |||
1.05%, 3/2/2026 | 250,000 | 223,342 | |||
1.30%, 6/11/2025 | 150,000 | 139,262 | |||
1.30%, 9/15/2026 | 200,000 | 177,476 | |||
1.35%, 6/24/2026 | 100,000 | 89,644 | |||
2.15%, 8/1/2031 | 100,000 | 81,735 | |||
2.95%, 3/11/2027 | 100,000 | 94,140 | |||
3.45%, 4/11/2025 | 600,000 | 591,936 | |||
Barclays PLC: | |||||
4.38%, 1/12/2026 | 50,000 | 49,398 | |||
5.25%, 8/17/2045 | 25,000 | 24,163 | |||
1 year CMT + 0.80%, 1.01%, 12/10/2024 (c) | 245,000 | 232,532 | |||
1 year CMT + 1.05%, 2.28%, 11/24/2027 (c) | 200,000 | 177,442 | |||
1 year CMT + 1.20%, 2.67%, 3/10/2032 (c) | 200,000 | 161,292 | |||
1 year CMT + 1.30%, 2.89%, 11/24/2032 (c) | 200,000 | 160,936 | |||
1 year CMT + 1.30%, 3.33%, 11/24/2042 (c) | 250,000 | 186,560 | |||
1 year CMT + 1.70%, 3.81%, 3/10/2042 (b) (c) | 550,000 | 417,758 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (c) | 250,000 | 246,142 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | $ 200,000 | $ 196,274 | |||
SOFR + 2.71%, 2.85%, 5/7/2026 (c) | 200,000 | 188,900 | |||
5 Year CMT + 2.90%, 3.56%, 9/23/2035 (c) | 250,000 | 198,500 | |||
BNP Paribas SA Series MTN, 4.25%, 10/15/2024 | 250,000 | 249,302 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 249,265 | |||
Canadian Imperial Bank of Commerce: | |||||
0.50%, 12/14/2023 | 200,000 | 191,590 | |||
0.95%, 10/23/2025 | 45,000 | 40,796 | |||
1.25%, 6/22/2026 (b) | 100,000 | 89,244 | |||
3.10%, 4/2/2024 (b) | 100,000 | 98,930 | |||
3.60%, 4/7/2032 | 90,000 | 81,725 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 (b) | 250,000 | 250,995 | |||
Citigroup, Inc.: | |||||
3.20%, 10/21/2026 | 300,000 | 285,432 | |||
3.75%, 6/16/2024 | 25,000 | 25,137 | |||
4.13%, 7/25/2028 | 70,000 | 67,206 | |||
4.30%, 11/20/2026 | 50,000 | 49,363 | |||
4.40%, 6/10/2025 | 250,000 | 249,837 | |||
4.45%, 9/29/2027 | 150,000 | 147,474 | |||
4.65%, 7/30/2045 | 25,000 | 22,845 | |||
4.65%, 7/23/2048 | 250,000 | 232,565 | |||
5.30%, 5/6/2044 | 50,000 | 48,838 | |||
6.68%, 9/13/2043 | 175,000 | 199,069 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (c) | 250,000 | 245,142 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 233,315 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (c) | 250,000 | 237,857 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 94,553 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | 250,000 | 240,012 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (c) | 150,000 | 133,976 | |||
SOFR + 0.53%, 1.28%, 11/3/2025 (c) | 60,000 | 55,756 | |||
SOFR + 0.67%, 0.98%, 5/1/2025 (c) | 650,000 | 609,017 | |||
SOFR + 0.69%, 0.78%, 10/30/2024 (c) | 600,000 | 572,436 |
Security Description | Principal Amount | Value | |||
SOFR + 0.69%, 2.01%, 1/25/2026 (c) | $ 145,000 | $ 135,959 | |||
SOFR + 0.77%, 1.12%, 1/28/2027 (c) | 1,000,000 | 883,200 | |||
SOFR + 0.77%, 1.46%, 6/9/2027 (c) | 500,000 | 441,875 | |||
SOFR + 1.17%, 2.56%, 5/1/2032 (c) | 860,000 | 709,294 | |||
SOFR + 1.18%, 2.52%, 11/3/2032 (c) | 145,000 | 117,560 | |||
SOFR + 1.35%, 3.06%, 1/25/2033 (c) | 135,000 | 114,669 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (c) | 100,000 | 87,268 | |||
SOFR + 1.89%, 4.66%, 5/24/2028 (c) | 500,000 | 496,350 | |||
SOFR + 1.94%, 3.79%, 3/17/2033 (c) | 500,000 | 451,515 | |||
SOFR + 2.09%, 4.91%, 5/24/2033 (c) | 500,000 | 493,570 | |||
SOFR + 2.11%, 2.57%, 6/3/2031 (c) | 150,000 | 126,185 | |||
SOFR + 2.84%, 3.11%, 4/8/2026 (c) | 250,000 | 240,390 | |||
SOFR + 3.91%, 4.41%, 3/31/2031 (c) | 250,000 | 239,435 | |||
SOFR + 4.55%, 5.32%, 3/26/2041 (c) | 250,000 | 251,172 | |||
Series VAR, SOFR + 1.28%, 3.07%, 2/24/2028 (c) | 200,000 | 185,346 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 4/28/2025 | 250,000 | 237,667 | |||
Citizens Financial Group, Inc.: | |||||
2.50%, 2/6/2030 | 75,000 | 63,062 | |||
2.85%, 7/27/2026 | 25,000 | 23,369 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 49,962 | |||
4.00%, 2/1/2029 (b) | 50,000 | 48,535 | |||
Cooperatieve Rabobank UA: | |||||
4.38%, 8/4/2025 | 250,000 | 247,580 | |||
5.75%, 12/1/2043 | 50,000 | 52,284 | |||
Series BKNT, 3.75%, 7/21/2026 | 500,000 | 476,630 | |||
Credit Suisse AG: | |||||
0.50%, 2/2/2024 | 500,000 | 470,920 | |||
2.95%, 4/9/2025 | 500,000 | 478,485 | |||
Series MTN, 3.63%, 9/9/2024 | 500,000 | 490,745 | |||
Deutsche Bank AG: | |||||
0.90%, 5/28/2024 | 150,000 | 140,625 | |||
3.70%, 5/30/2024 | 50,000 | 49,203 | |||
SOFR + 1.22%, 2.31%, 11/16/2027 (c) | 500,000 | 431,345 |
Security Description | Principal Amount | Value | |||
SOFR + 1.32%, 2.55%, 1/7/2028 (c) | $ 500,000 | $ 432,585 | |||
SOFR + 1.72%, 3.04%, 5/28/2032 (c) | 150,000 | 118,715 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (c) | 500,000 | 444,450 | |||
SOFR + 2.16%, 2.22%, 9/18/2024 (c) | 250,000 | 241,590 | |||
Discover Bank Series BKNT, 3.45%, 7/27/2026 | 25,000 | 23,653 | |||
Fifth Third Bancorp: | |||||
2.55%, 5/5/2027 | 500,000 | 458,705 | |||
3.95%, 3/14/2028 | 100,000 | 97,164 | |||
SOFR + 1.35%, 4.06%, 4/25/2028 (c) | 60,000 | 58,552 | |||
Fifth Third Bank NA Series BKNT, 3.85%, 3/15/2026 | 225,000 | 220,399 | |||
Goldman Sachs Group, Inc.: | |||||
1.22%, 12/6/2023 | 200,000 | 192,956 | |||
2.60%, 2/7/2030 | 750,000 | 639,337 | |||
3.50%, 1/23/2025 | 50,000 | 49,425 | |||
3.50%, 4/1/2025 | 250,000 | 245,635 | |||
3.50%, 11/16/2026 | 250,000 | 240,240 | |||
3.75%, 2/25/2026 | 50,000 | 49,097 | |||
3.80%, 3/15/2030 | 250,000 | 231,590 | |||
4.00%, 3/3/2024 | 800,000 | 802,224 | |||
4.75%, 10/21/2045 | 50,000 | 46,515 | |||
5.15%, 5/22/2045 | 250,000 | 237,902 | |||
5.95%, 1/15/2027 | 50,000 | 52,333 | |||
6.25%, 2/1/2041 | 200,000 | 221,314 | |||
6.75%, 10/1/2037 | 150,000 | 166,167 | |||
3 Month USD LIBOR + 1.30%, 4.22%, 5/1/2029 (c) | 500,000 | 479,935 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 174,676 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 318,535 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 236,975 | |||
SOFR + 0.49%, 0.93%, 10/21/2024 (c) | 140,000 | 134,043 | |||
SOFR + 0.51%, 0.66%, 9/10/2024 (c) | 100,000 | 95,766 | |||
SOFR + 0.61%, 0.86%, 2/12/2026 (c) | 535,000 | 487,246 | |||
SOFR + 0.73%, 1.76%, 1/24/2025 (c) | 110,000 | 105,848 | |||
SOFR + 0.80%, 1.43%, 3/9/2027 (c) | 80,000 | 71,127 | |||
SOFR + 0.82%, 1.54%, 9/10/2027 (c) | 900,000 | 789,939 |
Security Description | Principal Amount | Value | |||
SOFR + 0.91%, 1.95%, 10/21/2027 (c) | $ 230,000 | $ 203,672 | |||
SOFR + 1.09%, 1.99%, 1/27/2032 (c) | 90,000 | 71,163 | |||
SOFR + 1.11%, 2.64%, 2/24/2028 (c) | 590,000 | 535,106 | |||
SOFR + 1.26%, 2.65%, 10/21/2032 (c) | 115,000 | 94,803 | |||
SOFR + 1.28%, 2.62%, 4/22/2032 (c) | 180,000 | 149,341 | |||
SOFR + 1.41%, 3.10%, 2/24/2033 (c) | 200,000 | 171,032 | |||
SOFR + 1.51%, 3.21%, 4/22/2042 (c) | 155,000 | 118,265 | |||
SOFR + 1.63%, 3.44%, 2/24/2043 (c) | 100,000 | 78,675 | |||
SOFR + 1.85%, 3.62%, 3/15/2028 (c) | 500,000 | 473,775 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 316,111 | |||
SOFR + 1.25%, 2.38%, 7/21/2032 (c) | 525,000 | 424,930 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 46,956 | |||
Series VAR, SOFR + 0.79%, 1.09%, 12/9/2026 (c) | 450,000 | 400,014 | |||
HSBC Holdings PLC: | |||||
4.30%, 3/8/2026 | 250,000 | 247,550 | |||
4.95%, 3/31/2030 | 250,000 | 246,857 | |||
5.25%, 3/14/2044 | 250,000 | 232,675 | |||
6.50%, 9/15/2037 | 200,000 | 214,094 | |||
3 Month USD LIBOR + 1.21%, 3.80%, 3/11/2025 (c) | 750,000 | 739,582 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (c) | 200,000 | 195,640 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (c) | 250,000 | 240,777 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | 250,000 | 237,470 | |||
SOFR + 0.71%, 0.98%, 5/24/2025 (c) | 550,000 | 513,150 | |||
SOFR + 1.19%, 2.80%, 5/24/2032 (c) | 200,000 | 164,196 | |||
SOFR + 1.29%, 1.59%, 5/24/2027 (c) | 750,000 | 659,415 | |||
SOFR + 1.29%, 2.21%, 8/17/2029 (c) | 200,000 | 167,978 | |||
SOFR + 1.54%, 1.65%, 4/18/2026 (c) | 350,000 | 321,069 | |||
SOFR + 1.73%, 2.01%, 9/22/2028 (c) | 200,000 | 171,134 |
Security Description | Principal Amount | Value | |||
SOFR + 1.93%, 2.10%, 6/4/2026 (c) | $ 500,000 | $ 462,450 | |||
SOFR + 2.39%, 2.85%, 6/4/2031 (c) | 200,000 | 168,906 | |||
SOFR + 2.53%, 4.76%, 3/29/2033 (c) | 500,000 | 461,820 | |||
Huntington Bancshares, Inc. 4.00%, 5/15/2025 | 100,000 | 99,540 | |||
Huntington National Bank: | |||||
SOFRINDX + 1.65%, 4.55%, 5/17/2028 (c) | 250,000 | 248,902 | |||
Series BKNT, 3.55%, 10/6/2023 | 250,000 | 249,790 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 198,368 | |||
4.55%, 10/2/2028 (b) | 200,000 | 194,642 | |||
SOFR + 1.83%, 4.02%, 3/28/2028 (c) | 200,000 | 190,860 | |||
SOFR + 1.01%, 1.73%, 4/1/2027 (c) | 500,000 | 446,745 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 50,418 | |||
JPMorgan Chase & Co.: | |||||
2.95%, 10/1/2026 | 350,000 | 334,148 | |||
3.85%, 6/14/2025 (c) | 200,000 | 198,038 | |||
3.88%, 2/1/2024 | 50,000 | 50,307 | |||
4.13%, 12/15/2026 | 50,000 | 49,633 | |||
4.25%, 10/1/2027 | 80,000 | 79,220 | |||
4.85%, 2/1/2044 | 50,000 | 48,956 | |||
4.95%, 6/1/2045 | 50,000 | 47,703 | |||
5.40%, 1/6/2042 | 50,000 | 51,294 | |||
5.50%, 10/15/2040 | 150,000 | 155,421 | |||
5.63%, 8/16/2043 | 250,000 | 261,525 | |||
3 Month SOFR + 0.58%, 0.97%, 6/23/2025 (c) | 100,000 | 93,511 | |||
3 Month SOFR + 0.60%, 0.65%, 9/16/2024 (c) | 350,000 | 335,734 | |||
3 Month SOFR + 0.70%, 1.04%, 2/4/2027 (c) | 250,000 | 220,965 | |||
3 Month SOFR + 1.11%, 1.76%, 11/19/2031 (c) | 100,000 | 79,154 | |||
3 Month SOFR + 1.59%, 2.01%, 3/13/2026 (c) | 720,000 | 674,136 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (c) | 200,000 | 199,422 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | 185,000 | 173,179 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 98,247 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (c) | 125,000 | 116,405 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (c) | $ 200,000 | $ 192,868 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 239,900 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 176,388 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 189,466 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 85,241 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 43,135 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 88,930 | |||
SOFR + 0.42%, 0.56%, 2/16/2025 (c) | 120,000 | 113,135 | |||
SOFR + 0.49%, 0.77%, 8/9/2025 (c) | 165,000 | 153,168 | |||
SOFR + 0.54%, 0.82%, 6/1/2025 (c) | 750,000 | 701,692 | |||
SOFR + 0.61%, 1.56%, 12/10/2025 (c) | 700,000 | 655,669 | |||
SOFR + 0.77%, 1.47%, 9/22/2027 (c) | 115,000 | 100,880 | |||
SOFR + 0.80%, 1.05%, 11/19/2026 (c) | 600,000 | 533,994 | |||
SOFR + 0.89%, 1.58%, 4/22/2027 (c) | 135,000 | 120,496 | |||
SOFR + 0.92%, 2.60%, 2/24/2026 (c) | 200,000 | 190,408 | |||
SOFR + 1.07%, 1.95%, 2/4/2032 (c) | 650,000 | 519,194 | |||
SOFR + 1.17%, 2.95%, 2/24/2028 (c) | 620,000 | 574,449 | |||
SOFR + 1.18%, 2.55%, 11/8/2032 (c) | 155,000 | 128,786 | |||
SOFR + 1.25%, 2.58%, 4/22/2032 (c) | 905,000 | 762,019 | |||
SOFR + 1.26%, 2.96%, 1/25/2033 (c) | 100,000 | 85,865 | |||
SOFR + 1.46%, 3.16%, 4/22/2042 (c) | 200,000 | 155,322 | |||
SOFR + 1.51%, 2.53%, 11/19/2041 (c) | 100,000 | 71,198 | |||
SOFR + 1.56%, 4.32%, 4/26/2028 (c) | 500,000 | 492,335 | |||
SOFR + 1.58%, 3.33%, 4/22/2052 (c) | 985,000 | 753,101 | |||
SOFR + 1.75%, 4.57%, 6/14/2030 (c) | 140,000 | 137,645 |
Security Description | Principal Amount | Value | |||
SOFR + 1.85%, 2.08%, 4/22/2026 (c) | $ 250,000 | $ 234,220 | |||
SOFR + 1.89%, 2.18%, 6/1/2028 (c) | 200,000 | 178,114 | |||
SOFR + 2.04%, 2.52%, 4/22/2031 (c) | 500,000 | 426,230 | |||
SOFR + 2.44%, 3.11%, 4/22/2051 (c) | 250,000 | 184,175 | |||
SOFR + 2.46%, 3.11%, 4/22/2041 (c) | 165,000 | 128,091 | |||
SOFR + 2.52%, 2.96%, 5/13/2031 (c) | 565,000 | 488,940 | |||
SOFR + 3.79%, 4.49%, 3/24/2031 (c) | 250,000 | 244,157 | |||
KeyBank NA: | |||||
Series BKNT, 3.40%, 5/20/2026 | 25,000 | 23,972 | |||
Series BKNT, 4.39%, 12/14/2027 | 300,000 | 298,656 | |||
KeyCorp SOFR + 1.25%, 3.88%, 5/23/2025 (c) | 85,000 | 84,414 | |||
KeyCorp.: | |||||
Series MTN, 2.25%, 4/6/2027 | 100,000 | 89,925 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 64,735 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
1.00%, 10/1/2026 (b) | 500,000 | 457,995 | |||
1.25%, 1/31/2025 | 500,000 | 477,630 | |||
3.00%, 5/20/2027 (b) | 225,000 | 223,486 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 24,361 | |||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 47,349 | |||
Lloyds Banking Group PLC: | |||||
3.75%, 1/11/2027 | 100,000 | 96,541 | |||
3.90%, 3/12/2024 | 250,000 | 249,417 | |||
4.34%, 1/9/2048 (b) | 200,000 | 164,142 | |||
4.55%, 8/16/2028 | 250,000 | 244,347 | |||
4.65%, 3/24/2026 | 100,000 | 98,144 | |||
1 year CMT + 0.85%, 1.63%, 5/11/2027 (c) | 200,000 | 177,880 | |||
1 year CMT + 3.50%, 3.87%, 7/9/2025 (c) | 250,000 | 247,110 | |||
1 year CMT + 1.60%, 3.51%, 3/18/2026 (c) | 200,000 | 194,852 | |||
1 year CMT + 1.80%, 3.75%, 3/18/2028 (c) | 200,000 | 190,206 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
1.41%, 7/17/2025 | 500,000 | 459,725 | |||
2.19%, 2/25/2025 | 250,000 | 237,490 | |||
2.76%, 9/13/2026 (b) | 25,000 | 23,389 | |||
3.29%, 7/25/2027 | 50,000 | 47,303 |
Security Description | Principal Amount | Value | |||
3.41%, 3/7/2024 | $ 250,000 | $ 248,202 | |||
3.68%, 2/22/2027 | 50,000 | 48,384 | |||
3.74%, 3/7/2029 (b) | 250,000 | 235,385 | |||
3.76%, 7/26/2023 | 100,000 | 99,906 | |||
3.78%, 3/2/2025 (b) | 50,000 | 49,647 | |||
3.85%, 3/1/2026 | 25,000 | 24,552 | |||
3.96%, 3/2/2028 | 50,000 | 48,248 | |||
4.05%, 9/11/2028 (b) | 100,000 | 96,425 | |||
4.29%, 7/26/2038 (b) | 35,000 | 32,422 | |||
1 year CMT + 0.55%, 0.95%, 7/19/2025 (c) | 100,000 | 93,382 | |||
1 year CMT + 0.67%, 1.64%, 10/13/2027 (c) | 500,000 | 440,915 | |||
1 year CMT + 0.68%, 0.85%, 9/15/2024 (c) | 250,000 | 240,810 | |||
1 year CMT + 0.75%, 1.54%, 7/20/2027 (c) | 100,000 | 88,333 | |||
1 year CMT + 0.95%, 2.31%, 7/20/2032 (c) | 500,000 | 407,190 | |||
Mizuho Financial Group, Inc.: | |||||
2.56%, 9/13/2031 | 215,000 | 172,000 | |||
4.02%, 3/5/2028 (b) | 200,000 | 191,338 | |||
SOFR + 1.24%, 2.84%, 7/16/2025 (c) | 200,000 | 193,492 | |||
SOFR + 1.57%, 2.87%, 9/13/2030 (c) | 200,000 | 174,024 | |||
SOFR + 1.77%, 2.20%, 7/10/2031 (c) | 500,000 | 406,500 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 97,051 | |||
3.95%, 4/23/2027 | 25,000 | 24,235 | |||
4.30%, 1/27/2045 | 50,000 | 44,971 | |||
4.38%, 1/22/2047 | 100,000 | 90,744 | |||
6.38%, 7/24/2042 | 65,000 | 74,487 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | 100,000 | 94,638 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (c) | 250,000 | 233,782 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 89,427 | |||
SOFR + 0.53%, 0.79%, 5/30/2025 (c) | 150,000 | 139,758 | |||
SOFR + 0.72%, 0.99%, 12/10/2026 (c) | 450,000 | 398,844 | |||
SOFR + 0.88%, 1.59%, 5/4/2027 (c) | 245,000 | 218,538 | |||
SOFR + 0.94%, 2.63%, 2/18/2026 (c) | 150,000 | 143,468 | |||
SOFR + 1.00%, 2.48%, 1/21/2028 (c) | 670,000 | 609,405 | |||
SOFR + 1.16%, 3.62%, 4/17/2025 (c) | 150,000 | 148,200 | |||
SOFR + 1.29%, 2.94%, 1/21/2033 (c) | 135,000 | 115,733 |
Security Description | Principal Amount | Value | |||
SOFR + 1.36%, 2.48%, 9/16/2036 (c) | $ 200,000 | $ 153,786 | |||
SOFR + 1.49%, 3.22%, 4/22/2042 (c) | 145,000 | 113,738 | |||
SOFR + 1.61%, 4.21%, 4/20/2028 (c) | 175,000 | 171,203 | |||
SOFR + 1.99%, 2.19%, 4/28/2026 (c) | 255,000 | 239,167 | |||
SOFR + 2.62%, 5.30%, 4/20/2037 (c) | 160,000 | 155,221 | |||
Series GMTN, 3.70%, 10/23/2024 | 250,000 | 249,447 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 123,313 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 500,150 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 49,488 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (c) | 250,000 | 242,652 | |||
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025 (c) | 200,000 | 189,226 | |||
Series GMTN, SOFR + 0.86%, 1.51%, 7/20/2027 (c) | 700,000 | 615,419 | |||
Series GMTN, SOFR + 1.14%, 2.70%, 1/22/2031 (c) | 250,000 | 216,735 | |||
Series GMTN, SOFR + 1.18%, 2.24%, 7/21/2032 (c) | 200,000 | 162,512 | |||
Series GMTN, SOFR + 4.84%, 5.60%, 3/24/2051 (c) | 200,000 | 216,354 | |||
Series I, SOFR + 0.75%, 0.86%, 10/21/2025 (c) | 515,000 | 475,283 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 214,729 | |||
Series MTN, SOFR + 0.56%, 1.16%, 10/21/2025 (c) | 110,000 | 102,035 | |||
Series MTN, SOFR + 1.02%, 1.93%, 4/28/2032 (c) | 525,000 | 416,488 | |||
Series MTN, SOFR + 1.03%, 1.79%, 2/13/2032 (c) | 65,000 | 51,178 | |||
Series MTN, SOFR + 1.15%, 2.72%, 7/22/2025 (c) | 500,000 | 482,340 | |||
Series MTN, SOFR + 1.20%, 2.51%, 10/20/2032 (c) | 110,000 | 91,084 | |||
Series MTN, SOFR + 1.43%, 2.80%, 1/25/2052 (c) | 500,000 | 346,025 |
Security Description | Principal Amount | Value | |||
Series MTN, SOFR + 3.12%, 3.62%, 4/1/2031 (c) | $ 500,000 | $ 459,710 | |||
National Australia Bank, Ltd. Series BKNT, 2.50%, 7/12/2026 | 50,000 | 47,159 | |||
National Bank of Canada Series MTN, 1 year CMT + 0.40%, 0.55%, 11/15/2024 (c) | 250,000 | 238,540 | |||
Natwest Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 74,810 | |||
1 year CMT + 0.90%, 1.64%, 6/14/2027 (c) | 1,450,000 | 1,273,419 | |||
1 year CMT + 2.55%, 3.07%, 5/22/2028 (c) | 500,000 | 454,625 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) | 200,000 | 188,894 | |||
Northern Trust Corp.: | |||||
1.95%, 5/1/2030 | 75,000 | 63,670 | |||
3.65%, 8/3/2028 (b) | 100,000 | 97,760 | |||
4.00%, 5/10/2027 (b) | 100,000 | 100,707 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 59,407 | |||
PNC Bank NA: | |||||
2.50%, 8/27/2024 | 250,000 | 243,570 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 238,267 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 | 150,000 | 145,301 | |||
2.55%, 1/22/2030 | 500,000 | 434,890 | |||
3.15%, 5/19/2027 | 100,000 | 95,399 | |||
3.45%, 4/23/2029 | 100,000 | 93,467 | |||
3.50%, 1/23/2024 | 50,000 | 50,014 | |||
3.90%, 4/29/2024 | 50,000 | 50,195 | |||
4.63%, 6/6/2033 (c) | 100,000 | 96,686 | |||
SOFR + 0.98%, 2.31%, 4/23/2032 (b) (c) | 135,000 | 112,930 | |||
Regions Financial Corp. 2.25%, 5/18/2025 | 100,000 | 95,451 | |||
Royal Bank of Canada: | |||||
1.20%, 4/27/2026 | 100,000 | 89,841 | |||
3.63%, 5/4/2027 (b) | 250,000 | 242,885 | |||
3.88%, 5/4/2032 | 500,000 | 475,690 | |||
Series FXD, 2.05%, 1/21/2027 | 100,000 | 91,186 | |||
Series GMTN, 1.15%, 7/14/2026 | 100,000 | 89,249 | |||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 503,165 | |||
Series GMTN, 4.65%, 1/27/2026 | 100,000 | 101,066 | |||
Series MTN, 0.50%, 10/26/2023 | 35,000 | 33,848 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.30%, 11/3/2031 (b) | $ 100,000 | $ 83,288 | |||
Santander Holdings USA, Inc.: | |||||
4.40%, 7/13/2027 | 50,000 | 48,137 | |||
4.50%, 7/17/2025 | 50,000 | 49,834 | |||
3.50%, 6/7/2024 | 70,000 | 68,754 | |||
Santander UK Group Holdings PLC: | |||||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) | 200,000 | 185,882 | |||
SOFR + 0.79%, 1.09%, 3/15/2025 (c) | 200,000 | 186,930 | |||
SOFR + 0.99%, 1.67%, 6/14/2027 (c) | 750,000 | 655,410 | |||
1 year CMT + 1.25%, 1.53%, 8/21/2026 (c) | 750,000 | 671,835 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
1.47%, 7/8/2025 | 200,000 | 184,200 | |||
1.90%, 9/17/2028 | 550,000 | 466,411 | |||
2.14%, 9/23/2030 | 200,000 | 160,282 | |||
2.30%, 1/12/2041 (b) | 750,000 | 511,522 | |||
2.35%, 1/15/2025 | 500,000 | 478,355 | |||
2.45%, 9/27/2024 | 200,000 | 192,914 | |||
3.01%, 10/19/2026 | 50,000 | 47,252 | |||
3.04%, 7/16/2029 | 200,000 | 178,196 | |||
3.36%, 7/12/2027 (b) | 50,000 | 47,550 | |||
3.75%, 7/19/2023 | 50,000 | 50,177 | |||
3.78%, 3/9/2026 | 30,000 | 29,461 | |||
3.94%, 7/19/2028 | 50,000 | 48,027 | |||
4.31%, 10/16/2028 (b) | 100,000 | 97,841 | |||
SVB Financial Group: | |||||
1.80%, 10/28/2026 | 100,000 | 88,946 | |||
1.80%, 2/2/2031 (b) | 135,000 | 104,162 | |||
2.10%, 5/15/2028 | 80,000 | 68,038 | |||
SOFRINDX + 1.71%, 4.35%, 4/29/2028 (c) | 100,000 | 97,161 | |||
Toronto-Dominion Bank: | |||||
0.55%, 3/4/2024 | 250,000 | 237,890 | |||
3.20%, 3/10/2032 | 200,000 | 178,412 | |||
3.77%, 6/6/2025 | 200,000 | 198,866 | |||
4.11%, 6/8/2027 (b) | 200,000 | 197,902 | |||
Series GMTN, 2.45%, 1/12/2032 | 150,000 | 125,586 | |||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 50,149 | |||
Series MTN, 0.45%, 9/11/2023 | 200,000 | 193,612 | |||
Series MTN, 0.70%, 9/10/2024 | 100,000 | 93,876 | |||
Series MTN, 0.75%, 9/11/2025 | 250,000 | 225,687 | |||
Series MTN, 1.15%, 6/12/2025 | 200,000 | 184,694 |
Security Description | Principal Amount | Value | |||
Series MTN, 1.20%, 6/3/2026 (b) | $ 100,000 | $ 89,496 | |||
Series MTN, 1.25%, 9/10/2026 | 100,000 | 88,770 | |||
Series MTN, 2.00%, 9/10/2031 | 100,000 | 81,322 | |||
Truist Bank: | |||||
Series BKNT, 1.50%, 3/10/2025 | 800,000 | 755,056 | |||
Series BKNT, 3.63%, 9/16/2025 | 25,000 | 24,533 | |||
Series BKNT, 4.05%, 11/3/2025 | 40,000 | 40,158 | |||
Truist Financial Corp.: | |||||
4.00%, 5/1/2025 | 100,000 | 100,221 | |||
4.12%, 6/6/2028 (c) | 180,000 | 177,721 | |||
Series MTN, 1.13%, 8/3/2027 | 100,000 | 85,733 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 97,610 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 50,317 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 94,657 | |||
Series MTN, SOFR + 0.61%, 1.27%, 3/2/2027 (c) | 60,000 | 53,880 | |||
Series MTN, SOFR + 0.86%, 1.89%, 6/7/2029 (b) (c) | 50,000 | 42,949 | |||
US Bancorp: | |||||
1.45%, 5/12/2025 | 150,000 | 140,844 | |||
2.40%, 7/30/2024 | 100,000 | 97,594 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 90,916 | |||
Series MTN, 1.38%, 7/22/2030 | 150,000 | 119,508 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 48,230 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 24,942 | |||
Series MTN, SOFR + 0.73%, 2.22%, 1/27/2028 (c) | 200,000 | 183,670 | |||
Series MTN, SOFR + 1.02%, 2.68%, 1/27/2033 (c) | 200,000 | 172,578 | |||
US Bank NA: | |||||
Series BKNT, 2.05%, 1/21/2025 | 500,000 | 479,620 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 249,730 | |||
Wells Fargo & Co.: | |||||
3.00%, 4/22/2026 | 250,000 | 238,055 | |||
3.00%, 10/23/2026 | 250,000 | 236,050 | |||
4.13%, 8/15/2023 | 25,000 | 25,170 | |||
4.48%, 1/16/2024 | 25,000 | 25,286 |
Security Description | Principal Amount | Value | |||
5.38%, 11/2/2043 | $ 150,000 | $ 147,681 | |||
5.61%, 1/15/2044 | 325,000 | 327,099 | |||
SOFR + 1.32%, 3.91%, 4/25/2026 (c) | 145,000 | 142,673 | |||
SOFR + 1.51%, 3.53%, 3/24/2028 (c) | 665,000 | 631,025 | |||
SOFR + 2.00%, 2.19%, 4/30/2026 (c) | 310,000 | 290,613 | |||
SOFR + 2.53%, 3.07%, 4/30/2041 (c) | 915,000 | 713,142 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 49,405 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 138,803 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 148,254 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 49,087 | |||
Series MTN, 3.75%, 1/24/2024 | 1,000,000 | 1,001,910 | |||
Series MTN, 4.15%, 1/24/2029 | 250,000 | 241,697 | |||
Series MTN, 3 Month USD LIBOR + 0.75%, 2.16%, 2/11/2026 (c) | 625,000 | 588,425 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (c) | 110,000 | 104,270 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 331,495 | |||
Series MTN, SOFR + 0.51%, 0.81%, 5/19/2025 (c) | 500,000 | 468,145 | |||
Series MTN, SOFR + 1.09%, 2.41%, 10/30/2025 (c) | 250,000 | 238,395 | |||
Series MTN, SOFR + 1.26%, 2.57%, 2/11/2031 (c) | 250,000 | 214,945 | |||
Series MTN, SOFR + 1.50%, 3.35%, 3/2/2033 (c) | 695,000 | 616,868 | |||
Series MTN, SOFR + 2.10%, 2.39%, 6/2/2028 (c) | 200,000 | 179,236 | |||
Series MTN, SOFR + 2.13%, 4.61%, 4/25/2053 (c) | 500,000 | 462,705 | |||
Series MTN, SOFR + 4.03%, 4.48%, 4/4/2031 (b) (c) | 150,000 | 146,738 | |||
Series MTN, SOFR + 4.50%, 5.01%, 4/4/2051 (c) | 500,000 | 490,445 | |||
Westpac Banking Corp.: | |||||
1.15%, 6/3/2026 | 100,000 | 89,650 | |||
2.15%, 6/3/2031 (b) | 600,000 | 503,076 |
Security Description | Principal Amount | Value | ||||
2.35%, 2/19/2025 | $ 100,000 | $ 96,612 | ||||
2.85%, 5/13/2026 | 50,000 | 47,969 | ||||
2.96%, 11/16/2040 | 530,000 | 384,186 | ||||
3.30%, 2/26/2024 (b) | 300,000 | 299,145 | ||||
3.35%, 3/8/2027 | 150,000 | 145,176 | ||||
3.40%, 1/25/2028 | 100,000 | 95,859 | ||||
4.42%, 7/24/2039 | 25,000 | 22,394 | ||||
5 Year CMT + 2.00%, 4.11%, 7/24/2034 (c) | 30,000 | 27,446 | ||||
5 Year CMT + 1.75%, 2.67%, 11/15/2035 (c) | 40,000 | 32,099 | ||||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 218,262 | ||||
108,290,146 | ||||||
BEVERAGES — 0.6% | ||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.65%, 2/1/2026 | 250,000 | 246,207 | ||||
4.70%, 2/1/2036 | 125,000 | 119,990 | ||||
4.90%, 2/1/2046 | 250,000 | 235,792 | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||
3.50%, 6/1/2030 | 500,000 | 468,540 | ||||
3.75%, 7/15/2042 | 50,000 | 40,731 | ||||
4.00%, 4/13/2028 | 80,000 | 79,007 | ||||
4.35%, 6/1/2040 | 500,000 | 447,870 | ||||
4.38%, 4/15/2038 | 215,000 | 196,688 | ||||
4.50%, 6/1/2050 | 250,000 | 224,607 | ||||
4.60%, 4/15/2048 | 35,000 | 31,514 | ||||
4.60%, 6/1/2060 | 500,000 | 438,360 | ||||
4.75%, 1/23/2029 | 750,000 | 764,295 | ||||
4.75%, 4/15/2058 | 125,000 | 112,740 | ||||
4.90%, 1/23/2031 (b) | 65,000 | 66,652 | ||||
4.95%, 1/15/2042 | 250,000 | 238,267 | ||||
5.45%, 1/23/2039 | 350,000 | 355,488 | ||||
5.55%, 1/23/2049 | 350,000 | 357,654 | ||||
5.80%, 1/23/2059 | 45,000 | 46,873 | ||||
Brown-Forman Corp.: | ||||||
3.50%, 4/15/2025 | 50,000 | 49,953 | ||||
4.00%, 4/15/2038 | 50,000 | 45,245 | ||||
Coca-Cola Co.: | ||||||
1.00%, 3/15/2028 (b) | 250,000 | 215,678 | ||||
1.38%, 3/15/2031 | 200,000 | 162,864 | ||||
1.45%, 6/1/2027 | 790,000 | 715,298 | ||||
1.50%, 3/5/2028 | 60,000 | 53,339 | ||||
2.00%, 3/5/2031 (b) | 65,000 | 55,964 | ||||
2.13%, 9/6/2029 | 150,000 | 133,854 | ||||
2.25%, 1/5/2032 | 100,000 | 87,122 | ||||
2.50%, 3/15/2051 | 250,000 | 182,070 | ||||
2.60%, 6/1/2050 | 350,000 | 261,051 | ||||
2.88%, 5/5/2041 | 100,000 | 82,330 | ||||
3.00%, 3/5/2051 | 90,000 | 72,634 | ||||
Coca-Cola Femsa SAB de CV 1.85%, 9/1/2032 | 250,000 | 194,795 |
Security Description | Principal Amount | Value | ||||
Constellation Brands, Inc.: | ||||||
2.25%, 8/1/2031 | $ 250,000 | $ 202,650 | ||||
2.88%, 5/1/2030 | 25,000 | 21,722 | ||||
3.15%, 8/1/2029 | 100,000 | 90,075 | ||||
3.75%, 5/1/2050 | 20,000 | 15,963 | ||||
4.50%, 5/9/2047 | 50,000 | 44,417 | ||||
4.65%, 11/15/2028 | 30,000 | 29,636 | ||||
Diageo Capital PLC: | ||||||
2.13%, 4/29/2032 | 500,000 | 416,885 | ||||
3.88%, 5/18/2028 (b) | 200,000 | 198,542 | ||||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 23,572 | ||||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 116,082 | ||||
Keurig Dr Pepper, Inc.: | ||||||
0.75%, 3/15/2024 | 550,000 | 524,040 | ||||
2.25%, 3/15/2031 | 40,000 | 32,878 | ||||
3.13%, 12/15/2023 | 50,000 | 49,886 | ||||
3.20%, 5/1/2030 | 45,000 | 40,244 | ||||
3.35%, 3/15/2051 | 280,000 | 207,508 | ||||
3.80%, 5/1/2050 | 70,000 | 55,471 | ||||
3.95%, 4/15/2029 | 200,000 | 190,950 | ||||
4.42%, 5/25/2025 | 200,000 | 201,808 | ||||
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 30,000 | 24,564 | ||||
Molson Coors Brewing Co. 3.00%, 7/15/2026 | 50,000 | 47,014 | ||||
PepsiCo, Inc.: | ||||||
0.40%, 10/7/2023 | 525,000 | 509,234 | ||||
1.40%, 2/25/2031 (b) | 40,000 | 32,834 | ||||
1.63%, 5/1/2030 | 75,000 | 63,602 | ||||
2.25%, 3/19/2025 | 250,000 | 243,375 | ||||
2.63%, 7/29/2029 | 50,000 | 46,304 | ||||
2.75%, 10/21/2051 | 600,000 | 461,166 | ||||
2.85%, 2/24/2026 | 85,000 | 83,490 | ||||
2.88%, 10/15/2049 (b) | 100,000 | 79,377 | ||||
3.38%, 7/29/2049 | 35,000 | 29,940 | ||||
3.45%, 10/6/2046 | 150,000 | 129,168 | ||||
3.60%, 3/1/2024 | 775,000 | 779,642 | ||||
11,775,511 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Amgen, Inc.: | ||||||
1.65%, 8/15/2028 | 750,000 | 643,642 | ||||
2.20%, 2/21/2027 | 820,000 | 754,047 | ||||
2.30%, 2/25/2031 | 100,000 | 84,930 | ||||
2.77%, 9/1/2053 | 65,000 | 43,854 | ||||
3.15%, 2/21/2040 | 850,000 | 674,381 | ||||
3.20%, 11/2/2027 | 250,000 | 239,067 | ||||
3.38%, 2/21/2050 | 600,000 | 460,008 | ||||
3.63%, 5/22/2024 | 100,000 | 99,829 | ||||
4.20%, 2/22/2052 | 500,000 | 438,680 | ||||
4.40%, 5/1/2045 | 50,000 | 45,392 | ||||
4.56%, 6/15/2048 | 200,000 | 183,852 | ||||
4.66%, 6/15/2051 | 150,000 | 140,842 |
Security Description | Principal Amount | Value | ||||
Baxalta, Inc. 4.00%, 6/23/2025 | $ 8,000 | $ 7,939 | ||||
Biogen, Inc.: | ||||||
2.25%, 5/1/2030 | 35,000 | 28,699 | ||||
3.25%, 2/15/2051 | 308,000 | 214,962 | ||||
4.05%, 9/15/2025 | 50,000 | 49,502 | ||||
Gilead Sciences, Inc.: | ||||||
0.75%, 9/29/2023 | 34,000 | 32,918 | ||||
1.20%, 10/1/2027 | 295,000 | 254,069 | ||||
1.65%, 10/1/2030 (b) | 290,000 | 237,530 | ||||
2.60%, 10/1/2040 | 350,000 | 256,767 | ||||
2.80%, 10/1/2050 | 650,000 | 454,876 | ||||
2.95%, 3/1/2027 | 25,000 | 23,669 | ||||
3.65%, 3/1/2026 | 85,000 | 83,732 | ||||
4.15%, 3/1/2047 | 120,000 | 105,883 | ||||
4.50%, 2/1/2045 | 25,000 | 23,123 | ||||
4.60%, 9/1/2035 | 100,000 | 99,077 | ||||
4.75%, 3/1/2046 | 175,000 | 167,561 | ||||
4.80%, 4/1/2044 | 25,000 | 24,219 | ||||
Regeneron Pharmaceuticals, Inc.: | ||||||
1.75%, 9/15/2030 | 35,000 | 28,074 | ||||
2.80%, 9/15/2050 | 30,000 | 20,326 | ||||
Royalty Pharma PLC: | ||||||
0.75%, 9/2/2023 | 55,000 | 52,952 | ||||
1.20%, 9/2/2025 | 70,000 | 62,714 | ||||
2.20%, 9/2/2030 | 40,000 | 32,282 | ||||
3.30%, 9/2/2040 | 65,000 | 48,031 | ||||
3.55%, 9/2/2050 | 315,000 | 219,952 | ||||
6,337,381 | ||||||
BUILDING MATERIALS — 0.2% | ||||||
Carrier Global Corp.: | ||||||
2.24%, 2/15/2025 | 535,000 | 508,287 | ||||
2.49%, 2/15/2027 | 35,000 | 31,941 | ||||
2.70%, 2/15/2031 | 250,000 | 211,715 | ||||
2.72%, 2/15/2030 | 300,000 | 259,284 | ||||
3.38%, 4/5/2040 | 1,015,000 | 797,171 | ||||
3.58%, 4/5/2050 | 550,000 | 417,373 | ||||
Fortune Brands Home & Security, Inc.: | ||||||
4.00%, 9/21/2023 | 50,000 | 50,147 | ||||
4.00%, 3/25/2032 | 200,000 | 177,084 | ||||
Johnson Controls International PLC: | ||||||
4.50%, 2/15/2047 | 320,000 | 279,766 | ||||
3.63%, 7/2/2024 (c) (d) | 23,000 | 22,746 | ||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75%, 9/15/2030 (b) | 15,000 | 12,222 | ||||
Lennox International, Inc. 1.35%, 8/1/2025 | 25,000 | 22,919 | ||||
Martin Marietta Materials, Inc.: | ||||||
0.65%, 7/15/2023 | 25,000 | 24,157 | ||||
2.40%, 7/15/2031 | 50,000 | 40,846 |
Security Description | Principal Amount | Value | ||||
3.20%, 7/15/2051 | $ 70,000 | $ 49,512 | ||||
4.25%, 12/15/2047 | 100,000 | 83,294 | ||||
Masco Corp.: | ||||||
2.00%, 2/15/2031 | 100,000 | 78,505 | ||||
3.13%, 2/15/2051 | 500,000 | 340,495 | ||||
4.50%, 5/15/2047 | 100,000 | 85,215 | ||||
Mohawk Industries, Inc. 3.63%, 5/15/2030 (b) | 100,000 | 89,238 | ||||
Owens Corning: | ||||||
3.95%, 8/15/2029 | 70,000 | 64,886 | ||||
4.30%, 7/15/2047 (b) | 100,000 | 81,926 | ||||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 91,425 | ||||
3,820,154 | ||||||
CHEMICALS — 0.4% | ||||||
Air Products & Chemicals, Inc.: | ||||||
1.50%, 10/15/2025 | 20,000 | 18,832 | ||||
2.05%, 5/15/2030 | 20,000 | 17,307 | ||||
2.70%, 5/15/2040 | 50,000 | 39,764 | ||||
2.80%, 5/15/2050 | 35,000 | 26,414 | ||||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 23,124 | ||||
Celanese US Holdings LLC 3.50%, 5/8/2024 | 30,000 | 29,595 | ||||
Dow Chemical Co.: | ||||||
2.10%, 11/15/2030 (b) | 500,000 | 411,885 | ||||
3.60%, 11/15/2050 | 750,000 | 572,572 | ||||
4.25%, 10/1/2034 | 36,000 | 34,124 | ||||
4.38%, 11/15/2042 | 50,000 | 44,029 | ||||
4.80%, 11/30/2028 | 100,000 | 100,390 | ||||
4.80%, 5/15/2049 | 65,000 | 59,469 | ||||
DuPont de Nemours, Inc.: | ||||||
4.21%, 11/15/2023 | 750,000 | 754,507 | ||||
4.49%, 11/15/2025 | 100,000 | 100,700 | ||||
4.73%, 11/15/2028 | 150,000 | 150,604 | ||||
5.42%, 11/15/2048 | 110,000 | 109,337 | ||||
Eastman Chemical Co.: | ||||||
3.80%, 3/15/2025 | 25,000 | 24,707 | ||||
4.50%, 12/1/2028 | 100,000 | 98,079 | ||||
Ecolab, Inc.: | ||||||
1.65%, 2/1/2027 | 500,000 | 457,285 | ||||
2.70%, 11/1/2026 | 150,000 | 143,969 | ||||
2.75%, 8/18/2055 | 500,000 | 349,980 | ||||
EI du Pont de Nemours & Co. 1.70%, 7/15/2025 | 40,000 | 37,537 | ||||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 85,605 | ||||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 18,817 | ||||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 45,000 | 43,981 | ||||
Linde, Inc.: | ||||||
1.10%, 8/10/2030 (b) | 500,000 | 400,530 |
Security Description | Principal Amount | Value | ||||
3.20%, 1/30/2026 | $ 275,000 | $ 273,606 | ||||
3.55%, 11/7/2042 | 25,000 | 21,608 | ||||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 22,562 | ||||
LYB International Finance III LLC: | ||||||
1.25%, 10/1/2025 | 20,000 | 18,098 | ||||
2.25%, 10/1/2030 | 25,000 | 20,614 | ||||
3.38%, 10/1/2040 | 280,000 | 214,514 | ||||
3.63%, 4/1/2051 | 40,000 | 29,576 | ||||
3.80%, 10/1/2060 | 30,000 | 21,265 | ||||
4.20%, 10/15/2049 | 50,000 | 40,625 | ||||
4.20%, 5/1/2050 | 50,000 | 40,657 | ||||
LyondellBasell Industries NV: | ||||||
4.63%, 2/26/2055 | 25,000 | 21,372 | ||||
5.75%, 4/15/2024 | 100,000 | 102,273 | ||||
Mosaic Co.: | ||||||
4.05%, 11/15/2027 (b) | 250,000 | 244,420 | ||||
5.63%, 11/15/2043 | 25,000 | 25,687 | ||||
NewMarket Corp. 2.70%, 3/18/2031 | 750,000 | 617,722 | ||||
Nutrien, Ltd.: | ||||||
2.95%, 5/13/2030 | 100,000 | 89,061 | ||||
3.00%, 4/1/2025 (b) | 50,000 | 48,780 | ||||
4.00%, 12/15/2026 | 50,000 | 49,947 | ||||
4.13%, 3/15/2035 | 25,000 | 23,167 | ||||
4.20%, 4/1/2029 | 85,000 | 82,563 | ||||
5.00%, 4/1/2049 | 150,000 | 149,045 | ||||
PPG Industries, Inc.: | ||||||
1.20%, 3/15/2026 | 70,000 | 62,727 | ||||
2.80%, 8/15/2029 | 100,000 | 90,562 | ||||
RPM International, Inc.: | ||||||
2.95%, 1/15/2032 | 500,000 | 414,430 | ||||
3.75%, 3/15/2027 | 50,000 | 47,973 | ||||
4.25%, 1/15/2048 | 200,000 | 169,822 | ||||
5.25%, 6/1/2045 | 25,000 | 23,232 | ||||
Sherwin-Williams Co.: | ||||||
2.20%, 3/15/2032 | 155,000 | 125,118 | ||||
2.30%, 5/15/2030 | 60,000 | 50,591 | ||||
2.95%, 8/15/2029 | 50,000 | 44,779 | ||||
3.30%, 5/15/2050 (b) | 100,000 | 74,113 | ||||
3.45%, 6/1/2027 | 30,000 | 28,631 | ||||
3.80%, 8/15/2049 | 50,000 | 40,010 | ||||
Westlake Corp.: | ||||||
3.13%, 8/15/2051 (b) | 350,000 | 244,072 | ||||
4.38%, 11/15/2047 | 150,000 | 128,973 | ||||
5.00%, 8/15/2046 | 100,000 | 94,511 | ||||
7,949,849 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Automatic Data Processing, Inc.: | ||||||
1.25%, 9/1/2030 | 75,000 | 61,279 | ||||
1.70%, 5/15/2028 | 60,000 | 54,020 |
Security Description | Principal Amount | Value | |||
Block Financial LLC 3.88%, 8/15/2030 | $ 30,000 | $ 27,221 | |||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 33,558 | |||
Cintas Corp. No. 2: | |||||
3.45%, 5/1/2025 | 45,000 | 44,847 | |||
3.70%, 4/1/2027 | 150,000 | 148,213 | |||
Equifax, Inc. 2.60%, 12/1/2024 | 50,000 | 48,246 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 91,740 | |||
Georgetown University Series 20A, 2.94%, 4/1/2050 | 25,000 | 17,636 | |||
Global Payments, Inc.: | |||||
1.20%, 3/1/2026 | 75,000 | 66,162 | |||
1.50%, 11/15/2024 | 55,000 | 51,578 | |||
2.15%, 1/15/2027 | 100,000 | 88,628 | |||
2.65%, 2/15/2025 | 350,000 | 333,770 | |||
4.45%, 6/1/2028 | 100,000 | 96,077 | |||
GXO Logistics, Inc. 1.65%, 7/15/2026 | 750,000 | 653,752 | |||
Massachusetts Institute of Technology: | |||||
3.96%, 7/1/2038 | 50,000 | 48,963 | |||
Series F, 2.99%, 7/1/2050 | 100,000 | 81,374 | |||
Moody's Corp.: | |||||
2.00%, 8/19/2031 | 100,000 | 81,603 | |||
2.75%, 8/19/2041 | 350,000 | 256,151 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 129,945 | |||
PayPal Holdings, Inc.: | |||||
2.30%, 6/1/2030 (b) | 55,000 | 47,356 | |||
2.40%, 10/1/2024 | 35,000 | 34,159 | |||
2.65%, 10/1/2026 | 270,000 | 256,090 | |||
2.85%, 10/1/2029 | 30,000 | 27,176 | |||
3.25%, 6/1/2050 | 65,000 | 49,085 | |||
3.90%, 6/1/2027 | 70,000 | 69,689 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 191,666 | |||
Quanta Services, Inc.: | |||||
0.95%, 10/1/2024 | 30,000 | 27,774 | |||
2.35%, 1/15/2032 | 55,000 | 42,384 | |||
3.05%, 10/1/2041 | 250,000 | 173,435 | |||
RELX Capital, Inc. 4.00%, 3/18/2029 (b) | 100,000 | 96,647 | |||
S&P Global, Inc.: | |||||
2.45%, 3/1/2027 (e) | 545,000 | 510,442 | |||
2.50%, 12/1/2029 | 55,000 | 48,630 | |||
2.90%, 3/1/2032 (e) | 70,000 | 62,366 | |||
3.25%, 12/1/2049 | 65,000 | 50,933 |
Security Description | Principal Amount | Value | ||||
3.70%, 3/1/2052 (e) | $ 525,000 | $ 448,812 | ||||
3.90%, 3/1/2062 (b) (e) | 30,000 | 25,499 | ||||
Trustees of Princeton University Series 2020, 2.52%, 7/1/2050 | 20,000 | 14,915 | ||||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 18,996 | ||||
University of Chicago Series 20B, 2.76%, 4/1/2045 | 10,000 | 8,157 | ||||
University of Southern California: | ||||||
2.81%, 10/1/2050 | 50,000 | 38,057 | ||||
3.03%, 10/1/2039 | 25,000 | 21,133 | ||||
Series A, 3.23%, 10/1/2120 | 35,000 | 22,988 | ||||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 120,000 | 115,392 | ||||
4,816,544 | ||||||
COMPUTERS — 0.6% | ||||||
Apple, Inc.: | ||||||
0.55%, 8/20/2025 | 200,000 | 183,502 | ||||
0.70%, 2/8/2026 | 200,000 | 182,202 | ||||
1.13%, 5/11/2025 | 350,000 | 329,129 | ||||
1.20%, 2/8/2028 | 500,000 | 437,445 | ||||
1.25%, 8/20/2030 | 200,000 | 164,194 | ||||
1.40%, 8/5/2028 | 500,000 | 438,115 | ||||
1.65%, 5/11/2030 | 90,000 | 76,525 | ||||
1.65%, 2/8/2031 | 200,000 | 167,986 | ||||
2.05%, 9/11/2026 | 750,000 | 706,822 | ||||
2.38%, 2/8/2041 | 50,000 | 38,265 | ||||
2.40%, 8/20/2050 (b) | 110,000 | 77,444 | ||||
2.65%, 5/11/2050 | 300,000 | 221,742 | ||||
2.65%, 2/8/2051 | 200,000 | 147,816 | ||||
2.70%, 8/5/2051 | 350,000 | 262,311 | ||||
2.75%, 1/13/2025 | 200,000 | 197,794 | ||||
2.80%, 2/8/2061 | 100,000 | 71,580 | ||||
2.85%, 5/11/2024 | 200,000 | 198,792 | ||||
3.00%, 2/9/2024 | 850,000 | 848,512 | ||||
3.00%, 11/13/2027 | 100,000 | 96,991 | ||||
3.20%, 5/11/2027 | 250,000 | 246,193 | ||||
3.25%, 2/23/2026 | 150,000 | 148,889 | ||||
3.45%, 5/6/2024 | 250,000 | 251,213 | ||||
3.45%, 2/9/2045 | 350,000 | 304,962 | ||||
3.85%, 5/4/2043 | 25,000 | 23,003 | ||||
3.85%, 8/4/2046 | 150,000 | 137,546 | ||||
4.38%, 5/13/2045 | 75,000 | 74,126 | ||||
4.50%, 2/23/2036 | 350,000 | 364,024 | ||||
4.65%, 2/23/2046 | 75,000 | 77,516 | ||||
Dell International LLC/EMC Corp.: | ||||||
3.38%, 12/15/2041 (e) | 250,000 | 178,635 | ||||
3.45%, 12/15/2051 (e) | 250,000 | 169,265 |
Security Description | Principal Amount | Value | ||||
4.00%, 7/15/2024 | $ 50,000 | $ 49,859 | ||||
4.90%, 10/1/2026 | 100,000 | 100,077 | ||||
6.02%, 6/15/2026 | 520,000 | 539,339 | ||||
6.20%, 7/15/2030 | 250,000 | 260,090 | ||||
8.35%, 7/15/2046 | 252,000 | 313,977 | ||||
DXC Technology Co.: | ||||||
1.80%, 9/15/2026 | 100,000 | 88,652 | ||||
2.38%, 9/15/2028 | 100,000 | 85,849 | ||||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 49,149 | ||||
Hewlett Packard Enterprise Co.: | ||||||
1.45%, 4/1/2024 | 150,000 | 144,402 | ||||
1.75%, 4/1/2026 | 150,000 | 137,205 | ||||
4.45%, 10/2/2023 | 250,000 | 252,087 | ||||
4.90%, 10/15/2025 | 70,000 | 71,228 | ||||
6.20%, 10/15/2035 | 10,000 | 10,601 | ||||
6.35%, 10/15/2045 | 10,000 | 10,059 | ||||
HP, Inc.: | ||||||
1.45%, 6/17/2026 | 200,000 | 176,950 | ||||
4.00%, 4/15/2029 | 500,000 | 467,970 | ||||
4.20%, 4/15/2032 | 200,000 | 178,526 | ||||
6.00%, 9/15/2041 | 250,000 | 252,935 | ||||
International Business Machines Corp.: | ||||||
1.70%, 5/15/2027 | 850,000 | 765,034 | ||||
1.95%, 5/15/2030 | 350,000 | 293,975 | ||||
2.72%, 2/9/2032 | 100,000 | 86,731 | ||||
2.85%, 5/15/2040 | 100,000 | 76,047 | ||||
2.95%, 5/15/2050 | 100,000 | 72,234 | ||||
3.00%, 5/15/2024 | 200,000 | 198,454 | ||||
3.30%, 5/15/2026 | 250,000 | 244,230 | ||||
3.50%, 5/15/2029 | 215,000 | 203,611 | ||||
3.63%, 2/12/2024 | 50,000 | 50,143 | ||||
4.15%, 5/15/2039 | 100,000 | 90,155 | ||||
4.70%, 2/19/2046 | 325,000 | 304,015 | ||||
5.88%, 11/29/2032 | 25,000 | 27,449 | ||||
Leidos, Inc.: | ||||||
2.30%, 2/15/2031 | 55,000 | 43,531 | ||||
3.63%, 5/15/2025 | 25,000 | 24,487 | ||||
Western Digital Corp.: | ||||||
2.85%, 2/1/2029 | 30,000 | 24,451 | ||||
3.10%, 2/1/2032 | 55,000 | 42,135 | ||||
12,558,176 | ||||||
COSMETICS/PERSONAL CARE — 0.2% | ||||||
Colgate-Palmolive Co. Series MTN, 3.70%, 8/1/2047 | 55,000 | 49,709 | ||||
Estee Lauder Cos., Inc.: | ||||||
1.95%, 3/15/2031 (b) | 95,000 | 80,174 | ||||
2.00%, 12/1/2024 | 45,000 | 43,575 | ||||
2.38%, 12/1/2029 | 40,000 | 35,599 | ||||
3.13%, 12/1/2049 (b) | 60,000 | 47,630 |
Security Description | Principal Amount | Value | ||||
GSK Consumer Healthcare Capital US LLC: | ||||||
3.38%, 3/24/2027 (e) | $ 250,000 | $ 239,237 | ||||
3.63%, 3/24/2032 (e) | 250,000 | 230,680 | ||||
Procter & Gamble Co.: | ||||||
0.55%, 10/29/2025 (b) | 550,000 | 505,912 | ||||
1.00%, 4/23/2026 (b) | 500,000 | 459,610 | ||||
1.20%, 10/29/2030 (b) | 800,000 | 653,680 | ||||
2.45%, 11/3/2026 (b) | 150,000 | 144,345 | ||||
3.00%, 3/25/2030 | 100,000 | 94,376 | ||||
Unilever Capital Corp.: | ||||||
0.63%, 8/12/2024 | 100,000 | 94,434 | ||||
1.38%, 9/14/2030 | 100,000 | 81,287 | ||||
1.75%, 8/12/2031 | 140,000 | 115,427 | ||||
2.00%, 7/28/2026 (b) | 100,000 | 94,124 | ||||
2.90%, 5/5/2027 | 150,000 | 144,038 | ||||
3.10%, 7/30/2025 | 50,000 | 49,430 | ||||
3,163,267 | ||||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | ||||||
WW Grainger, Inc.: | ||||||
1.85%, 2/15/2025 | 100,000 | 95,179 | ||||
4.60%, 6/15/2045 | 50,000 | 47,844 | ||||
143,023 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
1.15%, 10/29/2023 | 150,000 | 143,176 | ||||
1.65%, 10/29/2024 | 1,150,000 | 1,063,140 | ||||
1.75%, 1/30/2026 | 225,000 | 196,182 | ||||
2.45%, 10/29/2026 | 150,000 | 130,583 | ||||
3.30%, 1/30/2032 | 150,000 | 119,537 | ||||
3.40%, 10/29/2033 | 150,000 | 118,317 | ||||
3.65%, 7/21/2027 | 150,000 | 135,790 | ||||
4.50%, 9/15/2023 | 150,000 | 149,581 | ||||
6.50%, 7/15/2025 | 500,000 | 511,095 | ||||
Series 3NC1, 1.75%, 10/29/2024 | 150,000 | 138,886 | ||||
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | 70,000 | 62,900 | ||||
Air Lease Corp.: | ||||||
0.80%, 8/18/2024 | 85,000 | 77,860 | ||||
1.88%, 8/15/2026 | 100,000 | 86,562 | ||||
3.00%, 9/15/2023 | 25,000 | 24,622 | ||||
3.13%, 12/1/2030 | 100,000 | 81,494 | ||||
3.25%, 3/1/2025 | 100,000 | 95,507 | ||||
3.63%, 4/1/2027 | 70,000 | 64,746 | ||||
3.88%, 7/3/2023 | 50,000 | 49,749 | ||||
4.25%, 9/15/2024 | 25,000 | 24,535 | ||||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 141,201 | ||||
Series MTN, 0.70%, 2/15/2024 | 100,000 | 94,452 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.88%, 1/15/2026 | $ 160,000 | $ 146,898 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 24,312 | |||
4.25%, 6/15/2026 | 65,000 | 59,873 | |||
Ally Financial, Inc.: | |||||
1.45%, 10/2/2023 | 195,000 | 188,614 | |||
2.20%, 11/2/2028 | 100,000 | 81,484 | |||
5.80%, 5/1/2025 | 215,000 | 219,921 | |||
American Express Co.: | |||||
1.65%, 11/4/2026 | 550,000 | 498,509 | |||
2.25%, 3/4/2025 (b) | 500,000 | 481,450 | |||
2.50%, 7/30/2024 | 165,000 | 160,830 | |||
2.55%, 3/4/2027 | 165,000 | 153,803 | |||
3.00%, 10/30/2024 | 100,000 | 98,164 | |||
3.70%, 8/3/2023 | 50,000 | 50,184 | |||
4.20%, 11/6/2025 | 105,000 | 106,646 | |||
SOFR + 2.26%, 4.99%, 5/26/2033 (c) | 105,000 | 104,955 | |||
Ameriprise Financial, Inc.: | |||||
3.70%, 10/15/2024 | 50,000 | 49,973 | |||
4.50%, 5/13/2032 | 70,000 | 68,794 | |||
BlackRock, Inc.: | |||||
1.90%, 1/28/2031 | 25,000 | 20,733 | |||
2.40%, 4/30/2030 | 45,000 | 39,386 | |||
3.20%, 3/15/2027 (b) | 56,000 | 54,951 | |||
3.25%, 4/30/2029 | 60,000 | 56,626 | |||
3.50%, 3/18/2024 | 25,000 | 25,114 | |||
Brookfield Finance, Inc.: | |||||
2.72%, 4/15/2031 | 80,000 | 67,800 | |||
3.50%, 3/30/2051 | 50,000 | 36,316 | |||
3.90%, 1/25/2028 | 50,000 | 47,773 | |||
4.35%, 4/15/2030 | 100,000 | 95,469 | |||
4.70%, 9/20/2047 | 50,000 | 43,908 | |||
4.85%, 3/29/2029 | 100,000 | 98,818 | |||
Capital One Financial Corp.: | |||||
3.30%, 10/30/2024 | 100,000 | 97,695 | |||
3.75%, 7/28/2026 | 125,000 | 119,599 | |||
3.80%, 1/31/2028 | 250,000 | 235,722 | |||
3.90%, 1/29/2024 | 200,000 | 200,038 | |||
SOFR + 0.86%, 1.88%, 11/2/2027 (c) | 300,000 | 262,764 | |||
SOFR + 1.27%, 2.62%, 11/2/2032 (c) | 300,000 | 240,447 | |||
SOFR + 1.29%, 2.64%, 3/3/2026 (c) | 175,000 | 165,252 | |||
SOFR + 1.79%, 3.27%, 3/1/2030 (c) | 200,000 | 177,106 | |||
SOFR + 2.06%, 4.93%, 5/10/2028 (b) (c) | 250,000 | 247,795 | |||
Cboe Global Markets, Inc. 1.63%, 12/15/2030 | 100,000 | 80,179 | |||
Charles Schwab Corp.: | |||||
0.75%, 3/18/2024 (b) | 500,000 | 479,515 | |||
0.90%, 3/11/2026 | 250,000 | 224,677 | |||
1.15%, 5/13/2026 | 50,000 | 45,094 |
Security Description | Principal Amount | Value | |||
1.65%, 3/11/2031 | $ 250,000 | $ 200,577 | |||
2.00%, 3/20/2028 | 500,000 | 446,550 | |||
2.30%, 5/13/2031 | 100,000 | 84,570 | |||
3.20%, 1/25/2028 (b) | 50,000 | 47,825 | |||
3.45%, 2/13/2026 | 50,000 | 49,534 | |||
3.85%, 5/21/2025 | 250,000 | 250,882 | |||
4.00%, 2/1/2029 (b) | 50,000 | 49,187 | |||
CI Financial Corp. 3.20%, 12/17/2030 | 250,000 | 194,622 | |||
CME Group, Inc.: | |||||
2.65%, 3/15/2032 | 145,000 | 128,052 | |||
3.75%, 6/15/2028 | 100,000 | 98,607 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 55,887 | |||
Discover Financial Services: | |||||
4.10%, 2/9/2027 | 75,000 | 71,817 | |||
4.50%, 1/30/2026 | 50,000 | 49,046 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 143,836 | |||
Franklin Resources, Inc. 1.60%, 10/30/2030 (b) | 100,000 | 78,521 | |||
Intercontinental Exchange, Inc.: | |||||
2.10%, 6/15/2030 | 30,000 | 25,124 | |||
2.65%, 9/15/2040 | 50,000 | 36,599 | |||
3.00%, 6/15/2050 | 25,000 | 18,241 | |||
3.00%, 9/15/2060 | 50,000 | 33,750 | |||
3.10%, 9/15/2027 | 100,000 | 94,388 | |||
3.65%, 5/23/2025 | 595,000 | 591,168 | |||
3.75%, 12/1/2025 | 180,000 | 178,551 | |||
4.00%, 9/15/2027 | 200,000 | 196,754 | |||
4.25%, 9/21/2048 | 150,000 | 133,951 | |||
4.35%, 6/15/2029 | 85,000 | 83,812 | |||
4.60%, 3/15/2033 | 55,000 | 54,674 | |||
4.95%, 6/15/2052 | 95,000 | 93,474 | |||
5.20%, 6/15/2062 | 145,000 | 144,552 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 49,314 | |||
Jefferies Group LLC: | |||||
2.75%, 10/15/2032 | 40,000 | 30,353 | |||
6.50%, 1/20/2043 | 50,000 | 49,936 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
2.63%, 10/15/2031 | 250,000 | 192,405 | |||
4.15%, 1/23/2030 | 50,000 | 44,742 | |||
4.85%, 1/15/2027 | 90,000 | 89,528 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 95,911 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 96,435 | |||
2.95%, 6/1/2029 | 100,000 | 93,769 | |||
3.30%, 3/26/2027 | 30,000 | 29,502 | |||
3.35%, 3/26/2030 | 50,000 | 47,709 | |||
3.50%, 2/26/2028 (b) | 30,000 | 29,572 | |||
3.65%, 6/1/2049 | 100,000 | 88,549 |
Security Description | Principal Amount | Value | ||||
3.85%, 3/26/2050 | $ 515,000 | $ 472,368 | ||||
3.95%, 2/26/2048 | 30,000 | 27,721 | ||||
Nasdaq, Inc.: | ||||||
1.65%, 1/15/2031 | 200,000 | 157,028 | ||||
2.50%, 12/21/2040 | 250,000 | 172,440 | ||||
3.25%, 4/28/2050 | 40,000 | 29,173 | ||||
3.95%, 3/7/2052 | 500,000 | 411,550 | ||||
Nomura Holdings, Inc.: | ||||||
1.65%, 7/14/2026 | 150,000 | 131,559 | ||||
1.85%, 7/16/2025 | 200,000 | 183,604 | ||||
2.33%, 1/22/2027 | 500,000 | 442,620 | ||||
2.65%, 1/16/2025 | 500,000 | 473,385 | ||||
ORIX Corp.: | ||||||
2.25%, 3/9/2031 (b) | 100,000 | 83,913 | ||||
3.70%, 7/18/2027 | 50,000 | 48,522 | ||||
4.00%, 4/13/2032 | 100,000 | 95,468 | ||||
Raymond James Financial, Inc. 3.75%, 4/1/2051 | 165,000 | 134,648 | ||||
Stifel Financial Corp. 4.00%, 5/15/2030 | 100,000 | 92,264 | ||||
Synchrony Financial: | ||||||
2.88%, 10/28/2031 | 150,000 | 113,787 | ||||
4.50%, 7/23/2025 | 50,000 | 48,586 | ||||
Visa, Inc.: | ||||||
0.75%, 8/15/2027 (b) | 45,000 | 38,989 | ||||
1.10%, 2/15/2031 (b) | 500,000 | 399,700 | ||||
1.90%, 4/15/2027 | 500,000 | 461,490 | ||||
2.05%, 4/15/2030 | 150,000 | 131,486 | ||||
2.70%, 4/15/2040 | 350,000 | 282,558 | ||||
2.75%, 9/15/2027 | 250,000 | 238,677 | ||||
3.65%, 9/15/2047 | 100,000 | 89,056 | ||||
4.15%, 12/14/2035 | 50,000 | 49,774 | ||||
4.30%, 12/14/2045 | 200,000 | 197,510 | ||||
18,747,254 | ||||||
ELECTRIC — 1.8% | ||||||
AEP Texas, Inc.: | ||||||
3.45%, 5/15/2051 | 50,000 | 38,482 | ||||
3.80%, 10/1/2047 | 25,000 | 20,070 | ||||
4.70%, 5/15/2032 | 200,000 | 199,304 | ||||
Series H, 3.45%, 1/15/2050 | 100,000 | 77,096 | ||||
AEP Transmission Co. LLC: | ||||||
3.75%, 12/1/2047 | 100,000 | 84,723 | ||||
3.80%, 6/15/2049 | 50,000 | 42,462 | ||||
4.25%, 9/15/2048 | 20,000 | 18,270 | ||||
AES Corp.: | ||||||
1.38%, 1/15/2026 | 250,000 | 220,570 | ||||
2.45%, 1/15/2031 | 500,000 | 402,180 | ||||
Alabama Power Co.: | ||||||
3.13%, 7/15/2051 | 50,000 | 37,487 | ||||
3.85%, 12/1/2042 | 75,000 | 64,187 | ||||
Series 20-A, 1.45%, 9/15/2030 | 50,000 | 40,670 |
Security Description | Principal Amount | Value | |||
Series A, 4.30%, 7/15/2048 | $ 65,000 | $ 58,633 | |||
Ameren Corp.: | |||||
1.75%, 3/15/2028 | 50,000 | 43,078 | |||
3.65%, 2/15/2026 | 50,000 | 49,108 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 42,847 | |||
3.80%, 5/15/2028 (b) | 25,000 | 24,559 | |||
4.15%, 3/15/2046 | 50,000 | 45,604 | |||
4.50%, 3/15/2049 | 50,000 | 48,328 | |||
American Electric Power Co., Inc.: | |||||
5 Year CMT + 2.68%, 3.88%, 2/15/2062 (b) (c) | 250,000 | 194,565 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 97,338 | |||
Series M, 0.75%, 11/1/2023 | 20,000 | 19,195 | |||
Series N, 1.00%, 11/1/2025 | 30,000 | 26,993 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 21,933 | |||
7.00%, 4/1/2038 | 25,000 | 28,931 | |||
Arizona Public Service Co.: | |||||
2.65%, 9/15/2050 | 85,000 | 54,484 | |||
3.75%, 5/15/2046 | 25,000 | 20,082 | |||
4.20%, 8/15/2048 | 25,000 | 21,252 | |||
4.25%, 3/1/2049 | 50,000 | 43,113 | |||
4.35%, 11/15/2045 | 50,000 | 43,031 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 48,875 | |||
Baltimore Gas & Electric Co.: | |||||
2.25%, 6/15/2031 | 400,000 | 340,944 | |||
6.35%, 10/1/2036 | 50,000 | 57,434 | |||
Berkshire Hathaway Energy Co.: | |||||
1.65%, 5/15/2031 | 30,000 | 24,248 | |||
2.85%, 5/15/2051 | 300,000 | 212,865 | |||
3.25%, 4/15/2028 | 30,000 | 28,509 | |||
3.70%, 7/15/2030 | 250,000 | 239,895 | |||
3.75%, 11/15/2023 | 350,000 | 352,110 | |||
4.25%, 10/15/2050 | 500,000 | 456,670 | |||
4.50%, 2/1/2045 | 50,000 | 46,347 | |||
4.60%, 5/1/2053 (e) | 500,000 | 482,465 | |||
5.15%, 11/15/2043 | 150,000 | 151,386 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 23,787 | |||
3.88%, 10/15/2049 | 100,000 | 80,326 | |||
4.35%, 5/1/2033 | 30,000 | 28,049 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 44,981 | |||
Series AA, 3.00%, 2/1/2027 (b) | 100,000 | 95,806 | |||
Series AC, 4.25%, 2/1/2049 | 200,000 | 189,686 |
Security Description | Principal Amount | Value | |||
Series AE, 2.35%, 4/1/2031 (b) | $ 55,000 | $ 47,775 | |||
Series AF, 3.35%, 4/1/2051 | 350,000 | 285,747 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 47,008 | |||
CenterPoint Energy, Inc. 2.65%, 6/1/2031 (b) | 40,000 | 34,112 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 18,800 | |||
CMS Energy Corp.: | |||||
3.45%, 8/15/2027 | 50,000 | 47,926 | |||
5 Year CMT + 4.12%, 4.75%, 6/1/2050 (c) | 50,000 | 43,958 | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 | 125,000 | 112,545 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 128,710 | |||
Series 130, 3.13%, 3/15/2051 | 150,000 | 115,543 | |||
Series 131, 2.75%, 9/1/2051 (b) | 285,000 | 203,259 | |||
Series 132, 3.15%, 3/15/2032 (b) | 100,000 | 91,955 | |||
Connecticut Light & Power Co.: | |||||
Series A, 0.75%, 12/1/2025 | 250,000 | 225,767 | |||
Series A, 3.20%, 3/15/2027 | 150,000 | 145,771 | |||
Series A, 4.15%, 6/1/2045 | 100,000 | 90,763 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
2.40%, 6/15/2031 | 200,000 | 171,908 | |||
3.20%, 12/1/2051 | 500,000 | 379,970 | |||
3.60%, 6/15/2061 (b) | 250,000 | 197,532 | |||
3.70%, 11/15/2059 | 85,000 | 67,321 | |||
3.85%, 6/15/2046 | 50,000 | 42,360 | |||
4.45%, 3/15/2044 | 75,000 | 68,747 | |||
4.50%, 5/15/2058 | 100,000 | 89,716 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 27,726 | |||
Series 20B, 3.95%, 4/1/2050 | 250,000 | 217,930 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 87,245 | |||
Series C, 3.00%, 12/1/2060 | 150,000 | 102,639 | |||
Series D, 4.00%, 12/1/2028 | 100,000 | 98,578 | |||
Consumers Energy Co.: | |||||
3.25%, 8/15/2046 | 50,000 | 40,152 | |||
3.75%, 2/15/2050 | 50,000 | 43,455 | |||
4.05%, 5/15/2048 | 100,000 | 91,296 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 | 30,000 | 25,576 |
Security Description | Principal Amount | Value | |||
Dominion Energy South Carolina, Inc. Series A, 2.30%, 12/1/2031 (b) | $ 150,000 | $ 128,253 | |||
Dominion Energy, Inc.: | |||||
4.70%, 12/1/2044 | 130,000 | 120,043 | |||
Series A, 1.45%, 4/15/2026 | 75,000 | 67,849 | |||
Series B, 3.30%, 4/15/2041 | 565,000 | 444,824 | |||
Series C, 2.25%, 8/15/2031 | 45,000 | 37,053 | |||
Series C, 3.38%, 4/1/2030 | 350,000 | 320,068 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 23,732 | |||
DTE Electric Co.: | |||||
2.25%, 3/1/2030 | 500,000 | 437,695 | |||
3.70%, 6/1/2046 | 75,000 | 65,224 | |||
Series A, 3.00%, 3/1/2032 (b) | 100,000 | 90,469 | |||
DTE Energy Co.: | |||||
Series C, 3.40%, 6/15/2029 | 164,000 | 150,450 | |||
Series F, 1.05%, 6/1/2025 | 70,000 | 64,365 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 | 150,000 | 133,864 | |||
2.55%, 4/15/2031 | 75,000 | 65,693 | |||
2.85%, 3/15/2032 | 155,000 | 137,521 | |||
3.20%, 8/15/2049 | 100,000 | 78,381 | |||
3.45%, 4/15/2051 | 90,000 | 73,534 | |||
3.88%, 3/15/2046 | 150,000 | 131,382 | |||
3.95%, 11/15/2028 | 100,000 | 98,655 | |||
4.25%, 12/15/2041 | 130,000 | 120,210 | |||
Duke Energy Corp.: | |||||
0.90%, 9/15/2025 | 350,000 | 317,271 | |||
2.55%, 6/15/2031 | 100,000 | 83,139 | |||
2.65%, 9/1/2026 | 50,000 | 46,930 | |||
3.15%, 8/15/2027 | 100,000 | 94,569 | |||
3.30%, 6/15/2041 | 850,000 | 658,078 | |||
3.50%, 6/15/2051 | 100,000 | 75,425 | |||
3.75%, 9/1/2046 | 250,000 | 197,170 | |||
3.95%, 8/15/2047 | 150,000 | 121,774 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 133,378 | |||
3.20%, 1/15/2027 (b) | 250,000 | 243,355 | |||
6.40%, 6/15/2038 | 50,000 | 58,693 | |||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | 65,000 | 45,946 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 23,327 | |||
Duke Energy Progress LLC: | |||||
2.50%, 8/15/2050 | 100,000 | 68,538 | |||
3.40%, 4/1/2032 | 145,000 | 134,585 | |||
3.60%, 9/15/2047 | 50,000 | 41,642 | |||
3.70%, 9/1/2028 | 50,000 | 48,520 | |||
4.20%, 8/15/2045 | 150,000 | 135,499 |
Security Description | Principal Amount | Value | |||
Edison International: | |||||
3.55%, 11/15/2024 | $ 80,000 | $ 78,110 | |||
4.13%, 3/15/2028 (b) | 50,000 | 46,593 | |||
Emera US Finance L.P.: | |||||
0.83%, 6/15/2024 | 750,000 | 700,005 | |||
4.75%, 6/15/2046 | 130,000 | 114,661 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 47,866 | |||
Entergy Arkansas LLC: | |||||
2.65%, 6/15/2051 (b) | 100,000 | 69,609 | |||
3.35%, 6/15/2052 | 100,000 | 79,206 | |||
4.20%, 4/1/2049 (b) | 25,000 | 23,131 | |||
Entergy Corp.: | |||||
1.90%, 6/15/2028 | 125,000 | 107,302 | |||
2.40%, 6/15/2031 | 150,000 | 122,043 | |||
2.95%, 9/1/2026 | 50,000 | 47,425 | |||
Entergy Louisiana LLC: | |||||
0.62%, 11/17/2023 | 15,000 | 14,417 | |||
3.05%, 6/1/2031 | 25,000 | 22,520 | |||
3.10%, 6/15/2041 | 250,000 | 198,795 | |||
3.25%, 4/1/2028 | 200,000 | 188,088 | |||
4.20%, 4/1/2050 | 50,000 | 45,355 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 23,009 | |||
3.50%, 6/1/2051 | 145,000 | 117,405 | |||
3.85%, 6/1/2049 | 125,000 | 106,390 | |||
Entergy Texas, Inc.: | |||||
1.75%, 3/15/2031 | 85,000 | 69,028 | |||
3.55%, 9/30/2049 | 25,000 | 20,036 | |||
Evergy Kansas Central, Inc.: | |||||
3.25%, 9/1/2049 | 25,000 | 19,354 | |||
4.13%, 3/1/2042 | 30,000 | 26,844 | |||
Evergy Metro, Inc.: | |||||
4.20%, 6/15/2047 | 25,000 | 22,436 | |||
4.20%, 3/15/2048 | 50,000 | 44,843 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 89,248 | |||
Series 2020, 2.25%, 6/1/2030 | 50,000 | 43,228 | |||
Eversource Energy: | |||||
2.90%, 3/1/2027 | 100,000 | 94,137 | |||
3.38%, 3/1/2032 | 100,000 | 89,828 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 244,317 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 14,985 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 24,416 | |||
Exelon Corp.: | |||||
2.75%, 3/15/2027 (e) | 100,000 | 93,698 | |||
3.35%, 3/15/2032 (e) | 100,000 | 89,605 | |||
3.40%, 4/15/2026 | 100,000 | 97,048 | |||
3.95%, 6/15/2025 | 50,000 | 49,863 | |||
4.10%, 3/15/2052 (e) | 350,000 | 300,279 | |||
4.70%, 4/15/2050 | 250,000 | 233,170 | |||
5.10%, 6/15/2045 | 330,000 | 325,558 |
Security Description | Principal Amount | Value | |||
Florida Power & Light Co.: | |||||
2.45%, 2/3/2032 | $ 500,000 | $ 436,165 | |||
2.85%, 4/1/2025 | 500,000 | 491,845 | |||
2.88%, 12/4/2051 | 750,000 | 562,500 | |||
3.15%, 10/1/2049 | 30,000 | 23,890 | |||
3.25%, 6/1/2024 | 25,000 | 25,013 | |||
3.95%, 3/1/2048 | 85,000 | 77,936 | |||
3.99%, 3/1/2049 | 25,000 | 22,881 | |||
4.05%, 10/1/2044 | 50,000 | 46,082 | |||
4.13%, 6/1/2048 | 100,000 | 93,738 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 46,958 | |||
Georgia Power Co.: | |||||
Series A, 2.20%, 9/15/2024 | 100,000 | 96,496 | |||
Series A, 3.25%, 3/15/2051 | 570,000 | 419,201 | |||
Indiana Michigan Power Co.: | |||||
3.25%, 5/1/2051 | 45,000 | 34,173 | |||
4.25%, 8/15/2048 | 15,000 | 13,216 | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 | 50,000 | 39,986 | |||
3.70%, 9/15/2046 | 50,000 | 40,949 | |||
4.10%, 9/26/2028 | 50,000 | 49,461 | |||
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 | 100,000 | 92,880 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 (b) | 50,000 | 47,741 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 133,549 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
0.35%, 2/8/2024 | 345,000 | 328,181 | |||
1.00%, 6/15/2026 | 100,000 | 89,799 | |||
1.35%, 3/15/2031 | 50,000 | 38,804 | |||
2.95%, 2/7/2024 | 100,000 | 99,132 | |||
3.40%, 2/7/2028 | 50,000 | 47,926 | |||
3.90%, 11/1/2028 | 100,000 | 97,665 | |||
4.02%, 11/1/2032 (b) | 50,000 | 47,666 | |||
Series MTN, 1.65%, 6/15/2031 | 200,000 | 159,212 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
1.90%, 6/15/2028 | 750,000 | 652,777 | |||
2.25%, 6/1/2030 | 250,000 | 210,025 | |||
2.44%, 1/15/2032 (b) | 500,000 | 416,410 | |||
2.75%, 11/1/2029 | 165,000 | 145,842 | |||
3.50%, 4/1/2029 | 100,000 | 93,337 | |||
3.55%, 5/1/2027 | 100,000 | 96,636 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (c) | 25,000 | 20,579 | |||
Northern States Power Co.: | |||||
2.60%, 6/1/2051 | 50,000 | 35,294 | |||
2.90%, 3/1/2050 | 30,000 | 22,602 | |||
3.60%, 9/15/2047 | 50,000 | 42,148 |
Security Description | Principal Amount | Value | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | $ 50,000 | $ 48,235 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 93,428 | |||
Ohio Power Co.: | |||||
4.00%, 6/1/2049 | 20,000 | 17,282 | |||
Series Q, 1.63%, 1/15/2031 (b) | 100,000 | 80,730 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 48,507 | |||
Oncor Electric Delivery Co. LLC: | |||||
0.55%, 10/1/2025 | 70,000 | 63,204 | |||
2.75%, 5/15/2030 | 75,000 | 68,207 | |||
3.70%, 11/15/2028 | 200,000 | 194,604 | |||
3.80%, 9/30/2047 | 100,000 | 88,061 | |||
4.15%, 6/1/2032 (b) (e) | 75,000 | 75,360 | |||
7.50%, 9/1/2038 | 50,000 | 63,982 | |||
5.35%, 10/1/2052 | 100,000 | 109,608 | |||
Pacific Gas & Electric Co.: | |||||
2.50%, 2/1/2031 | 350,000 | 269,010 | |||
3.25%, 2/16/2024 | 90,000 | 87,605 | |||
3.25%, 6/1/2031 | 790,000 | 636,353 | |||
3.30%, 8/1/2040 | 350,000 | 241,878 | |||
3.45%, 7/1/2025 | 250,000 | 234,805 | |||
3.50%, 8/1/2050 | 295,000 | 197,030 | |||
4.20%, 3/1/2029 | 70,000 | 62,495 | |||
4.20%, 6/1/2041 | 55,000 | 40,790 | |||
4.50%, 7/1/2040 | 250,000 | 193,695 | |||
4.55%, 7/1/2030 | 250,000 | 221,940 | |||
4.95%, 7/1/2050 | 250,000 | 199,355 | |||
5.25%, 3/1/2052 | 500,000 | 415,265 | |||
PacifiCorp: | |||||
2.70%, 9/15/2030 | 320,000 | 282,576 | |||
2.90%, 6/15/2052 | 200,000 | 146,396 | |||
3.30%, 3/15/2051 | 65,000 | 51,014 | |||
PECO Energy Co.: | |||||
3.05%, 3/15/2051 | 45,000 | 34,520 | |||
3.90%, 3/1/2048 | 125,000 | 112,106 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 53,120 | |||
3.95%, 6/1/2047 | 50,000 | 44,950 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 131,979 | |||
Series 34, 3.20%, 3/1/2050 | 30,000 | 23,690 | |||
Series 35, 1.90%, 1/15/2031 | 500,000 | 421,440 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 0.95%, 3/15/2026 | 150,000 | 135,846 | |||
Series MTN, 2.05%, 8/1/2050 | 50,000 | 31,331 | |||
Series MTN, 3.00%, 3/1/2051 | 150,000 | 114,070 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.20%, 5/15/2029 | $ 50,000 | $ 47,345 | |||
Series MTN, 3.20%, 8/1/2049 (b) | 30,000 | 23,890 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 84,576 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 42,780 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 48,800 | |||
Public Service Enterprise Group, Inc.: | |||||
0.84%, 11/8/2023 | 50,000 | 48,024 | |||
1.60%, 8/15/2030 | 100,000 | 79,545 | |||
2.45%, 11/15/2031 | 100,000 | 83,711 | |||
2.88%, 6/15/2024 | 70,000 | 68,584 | |||
Puget Energy, Inc. 4.22%, 3/15/2032 | 180,000 | 165,712 | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | 65,000 | 49,742 | |||
4.22%, 6/15/2048 | 65,000 | 57,544 | |||
5.80%, 3/15/2040 | 50,000 | 53,537 | |||
San Diego Gas & Electric Co.: | |||||
Series RRR, 3.75%, 6/1/2047 | 50,000 | 42,299 | |||
Series VVV, 1.70%, 10/1/2030 | 150,000 | 123,319 | |||
Series WWW, 2.95%, 8/15/2051 | 350,000 | 259,588 | |||
Sempra Energy: | |||||
3.25%, 6/15/2027 | 300,000 | 284,520 | |||
3.30%, 4/1/2025 | 140,000 | 136,802 | |||
3.40%, 2/1/2028 | 30,000 | 28,331 | |||
3.80%, 2/1/2038 | 100,000 | 84,341 | |||
4.00%, 2/1/2048 | 30,000 | 24,845 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 47,573 | |||
Southern California Edison Co.: | |||||
2.25%, 6/1/2030 | 100,000 | 83,902 | |||
2.75%, 2/1/2032 | 125,000 | 105,697 | |||
2.85%, 8/1/2029 | 115,000 | 101,930 | |||
3.65%, 2/1/2050 | 250,000 | 191,300 | |||
4.00%, 4/1/2047 | 191,000 | 154,922 | |||
4.50%, 9/1/2040 | 25,000 | 22,162 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 40,034 | |||
Series 20A, 2.95%, 2/1/2051 | 500,000 | 340,015 | |||
Series A, 4.20%, 3/1/2029 (b) | 100,000 | 96,303 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 94,691 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 37,451 | |||
Southern Co.: | |||||
3.25%, 7/1/2026 | 250,000 | 239,450 | |||
4.25%, 7/1/2036 | 250,000 | 229,372 |
Security Description | Principal Amount | Value | |||
Series B, 5 Year CMT + 3.73%, 4.00%, 1/15/2051 (c) | $ 500,000 | $ 446,730 | |||
Southern Power Co.: | |||||
0.90%, 1/15/2026 | 250,000 | 222,762 | |||
Series F, 4.95%, 12/15/2046 | 150,000 | 137,631 | |||
Southwestern Electric Power Co.: | |||||
3.25%, 11/1/2051 | 250,000 | 184,460 | |||
Series K, 2.75%, 10/1/2026 | 50,000 | 46,834 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 24,150 | |||
Series N, 1.65%, 3/15/2026 | 300,000 | 273,513 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 | 50,000 | 49,692 | |||
3.75%, 6/15/2049 | 100,000 | 83,954 | |||
Tampa Electric Co.: | |||||
3.63%, 6/15/2050 | 150,000 | 122,164 | |||
4.30%, 6/15/2048 | 50,000 | 45,302 | |||
4.45%, 6/15/2049 | 25,000 | 23,206 | |||
Tucson Electric Power Co.: | |||||
3.25%, 5/1/2051 | 35,000 | 25,952 | |||
4.85%, 12/1/2048 | 50,000 | 47,952 | |||
Union Electric Co.: | |||||
2.15%, 3/15/2032 | 250,000 | 208,450 | |||
3.50%, 3/15/2029 | 250,000 | 239,325 | |||
4.00%, 4/1/2048 | 50,000 | 43,827 | |||
Virginia Electric & Power Co.: | |||||
2.45%, 12/15/2050 | 375,000 | 251,730 | |||
3.30%, 12/1/2049 | 50,000 | 39,812 | |||
3.45%, 2/15/2024 | 50,000 | 49,876 | |||
4.60%, 12/1/2048 | 250,000 | 240,290 | |||
8.88%, 11/15/2038 | 50,000 | 70,579 | |||
Series B, 2.95%, 11/15/2026 | 30,000 | 28,579 | |||
Series B, 3.75%, 5/15/2027 | 155,000 | 153,551 | |||
WEC Energy Group, Inc.: | |||||
0.55%, 9/15/2023 | 100,000 | 96,645 | |||
1.80%, 10/15/2030 | 250,000 | 201,230 | |||
2.20%, 12/15/2028 | 100,000 | 87,541 | |||
Wisconsin Electric Power Co.: | |||||
2.05%, 12/15/2024 | 50,000 | 48,167 | |||
4.30%, 10/15/2048 | 25,000 | 22,930 | |||
Wisconsin Power & Light Co. 1.95%, 9/16/2031 | 275,000 | 228,420 | |||
Xcel Energy, Inc.: | |||||
0.50%, 10/15/2023 | 100,000 | 96,103 | |||
1.75%, 3/15/2027 | 500,000 | 446,835 | |||
2.60%, 12/1/2029 | 100,000 | 87,914 | |||
4.00%, 6/15/2028 (b) | 50,000 | 48,870 | |||
36,706,478 |
Security Description | Principal Amount | Value | ||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | ||||||
Emerson Electric Co.: | ||||||
0.88%, 10/15/2026 | $ 65,000 | $ 57,468 | ||||
1.95%, 10/15/2030 | 50,000 | 42,089 | ||||
2.00%, 12/21/2028 (b) | 200,000 | 176,566 | ||||
2.20%, 12/21/2031 | 700,000 | 592,319 | ||||
868,442 | ||||||
ELECTRONICS — 0.1% | ||||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 43,782 | ||||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 44,340 | ||||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 45,951 | ||||
Amphenol Corp.: | ||||||
2.20%, 9/15/2031 (b) | 60,000 | 49,085 | ||||
2.80%, 2/15/2030 | 100,000 | 86,982 | ||||
4.35%, 6/1/2029 | 50,000 | 49,068 | ||||
Arrow Electronics, Inc.: | ||||||
3.25%, 9/8/2024 | 50,000 | 48,903 | ||||
3.88%, 1/12/2028 | 25,000 | 23,811 | ||||
Avnet, Inc. 3.00%, 5/15/2031 | 100,000 | 82,283 | ||||
Flex, Ltd.: | ||||||
3.75%, 2/1/2026 | 50,000 | 47,763 | ||||
4.88%, 6/15/2029 | 75,000 | 72,347 | ||||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 47,280 | ||||
Honeywell International, Inc.: | ||||||
1.10%, 3/1/2027 | 200,000 | 177,918 | ||||
1.75%, 9/1/2031 | 160,000 | 132,387 | ||||
1.95%, 6/1/2030 | 250,000 | 214,725 | ||||
2.30%, 8/15/2024 | 100,000 | 98,219 | ||||
2.50%, 11/1/2026 (b) | 150,000 | 143,320 | ||||
2.70%, 8/15/2029 (b) | 60,000 | 55,135 | ||||
3.35%, 12/1/2023 (b) | 50,000 | 50,159 | ||||
Hubbell, Inc.: | ||||||
2.30%, 3/15/2031 | 60,000 | 50,327 | ||||
3.35%, 3/1/2026 | 50,000 | 48,643 | ||||
Jabil, Inc.: | ||||||
1.70%, 4/15/2026 | 65,000 | 58,176 | ||||
3.60%, 1/15/2030 | 25,000 | 22,296 | ||||
3.95%, 1/12/2028 | 25,000 | 23,878 | ||||
Keysight Technologies, Inc.: | ||||||
3.00%, 10/30/2029 | 50,000 | 44,529 | ||||
4.60%, 4/6/2027 | 30,000 | 30,109 | ||||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 48,465 | ||||
Tyco Electronics Group SA: | ||||||
2.50%, 2/4/2032 | 45,000 | 39,481 | ||||
3.70%, 2/15/2026 | 50,000 | 49,845 | ||||
1,929,207 |
Security Description | Principal Amount | Value | ||||
ENTERTAINMENT — 0.1% | ||||||
Magallanes, Inc.: | ||||||
3.76%, 3/15/2027 (e) | $ 685,000 | $ 642,866 | ||||
4.28%, 3/15/2032 (e) | 645,000 | 576,236 | ||||
5.14%, 3/15/2052 (e) | 1,250,000 | 1,049,425 | ||||
2,268,527 | ||||||
ENVIRONMENTAL CONTROL — 0.0% (a) | ||||||
Republic Services, Inc.: | ||||||
1.45%, 2/15/2031 (b) | 100,000 | 78,441 | ||||
2.90%, 7/1/2026 (b) | 45,000 | 42,966 | ||||
3.38%, 11/15/2027 | 60,000 | 57,308 | ||||
3.95%, 5/15/2028 (b) | 150,000 | 147,409 | ||||
Waste Connections, Inc.: | ||||||
2.20%, 1/15/2032 (b) | 115,000 | 94,293 | ||||
2.95%, 1/15/2052 | 115,000 | 82,389 | ||||
3.05%, 4/1/2050 | 20,000 | 14,733 | ||||
3.50%, 5/1/2029 | 50,000 | 47,037 | ||||
Waste Management, Inc.: | ||||||
0.75%, 11/15/2025 | 20,000 | 18,190 | ||||
1.15%, 3/15/2028 | 30,000 | 25,533 | ||||
1.50%, 3/15/2031 | 30,000 | 23,891 | ||||
2.00%, 6/1/2029 | 75,000 | 64,966 | ||||
2.50%, 11/15/2050 | 20,000 | 13,592 | ||||
2.95%, 6/1/2041 | 55,000 | 42,916 | ||||
753,664 | ||||||
FOOD — 0.3% | ||||||
Campbell Soup Co.: | ||||||
2.38%, 4/24/2030 (b) | 15,000 | 12,669 | ||||
3.95%, 3/15/2025 | 100,000 | 99,838 | ||||
4.15%, 3/15/2028 | 50,000 | 48,947 | ||||
4.80%, 3/15/2048 | 20,000 | 18,649 | ||||
Conagra Brands, Inc.: | ||||||
0.50%, 8/11/2023 | 70,000 | 67,526 | ||||
5.30%, 11/1/2038 | 265,000 | 250,277 | ||||
5.40%, 11/1/2048 | 40,000 | 37,806 | ||||
Flowers Foods, Inc. 2.40%, 3/15/2031 (b) | 45,000 | 36,842 | ||||
General Mills, Inc.: | ||||||
3.00%, 2/1/2051 (b) | 510,000 | 370,127 | ||||
3.20%, 2/10/2027 | 100,000 | 96,120 | ||||
3.65%, 2/15/2024 | 50,000 | 50,310 | ||||
4.20%, 4/17/2028 | 25,000 | 24,774 | ||||
Hershey Co.: | ||||||
0.90%, 6/1/2025 | 45,000 | 41,717 | ||||
3.20%, 8/21/2025 | 25,000 | 24,753 | ||||
Hormel Foods Corp.: | ||||||
0.65%, 6/3/2024 | 35,000 | 33,339 | ||||
1.70%, 6/3/2028 | 570,000 | 503,760 | ||||
3.05%, 6/3/2051 (b) | 45,000 | 34,396 | ||||
Ingredion, Inc. 2.90%, 6/1/2030 | 100,000 | 86,819 | ||||
JM Smucker Co.: | ||||||
3.38%, 12/15/2027 (b) | 100,000 | 95,482 | ||||
3.55%, 3/15/2050 | 25,000 | 18,721 |
Security Description | Principal Amount | Value | ||||
4.25%, 3/15/2035 | $ 50,000 | $ 46,040 | ||||
Kellogg Co.: | ||||||
4.30%, 5/15/2028 | 100,000 | 99,792 | ||||
4.50%, 4/1/2046 (b) | 100,000 | 91,782 | ||||
Kraft Heinz Foods Co.: | ||||||
3.88%, 5/15/2027 | 750,000 | 725,707 | ||||
4.88%, 10/1/2049 | 750,000 | 663,277 | ||||
Kroger Co.: | ||||||
2.65%, 10/15/2026 | 50,000 | 46,817 | ||||
3.70%, 8/1/2027 (b) | 35,000 | 34,040 | ||||
3.85%, 8/1/2023 | 75,000 | 75,338 | ||||
3.95%, 1/15/2050 | 550,000 | 464,997 | ||||
4.45%, 2/1/2047 | 100,000 | 90,629 | ||||
4.65%, 1/15/2048 | 100,000 | 92,939 | ||||
McCormick & Co., Inc. 3.40%, 8/15/2027 | 100,000 | 95,458 | ||||
Mondelez International, Inc.: | ||||||
1.50%, 5/4/2025 | 60,000 | 56,035 | ||||
1.50%, 2/4/2031 (b) | 40,000 | 31,386 | ||||
1.88%, 10/15/2032 (b) | 75,000 | 58,364 | ||||
2.13%, 3/17/2024 | 65,000 | 63,374 | ||||
2.63%, 3/17/2027 | 200,000 | 187,152 | ||||
2.63%, 9/4/2050 | 35,000 | 23,737 | ||||
2.75%, 4/13/2030 | 35,000 | 30,724 | ||||
3.00%, 3/17/2032 (b) | 200,000 | 174,928 | ||||
Sysco Corp.: | ||||||
2.40%, 2/15/2030 | 10,000 | 8,545 | ||||
2.45%, 12/14/2031 | 145,000 | 120,531 | ||||
3.15%, 12/14/2051 | 500,000 | 358,410 | ||||
3.25%, 7/15/2027 | 50,000 | 47,616 | ||||
3.30%, 7/15/2026 | 100,000 | 96,786 | ||||
3.30%, 2/15/2050 | 10,000 | 7,469 | ||||
3.75%, 10/1/2025 (b) | 5,000 | 4,982 | ||||
4.45%, 3/15/2048 | 50,000 | 43,658 | ||||
4.85%, 10/1/2045 | 5,000 | 4,634 | ||||
6.60%, 4/1/2050 | 250,000 | 288,175 | ||||
Tyson Foods, Inc.: | ||||||
3.55%, 6/2/2027 | 150,000 | 143,821 | ||||
4.55%, 6/2/2047 | 285,000 | 260,185 | ||||
6,490,200 | ||||||
FOREST PRODUCTS & PAPER — 0.0% (a) | ||||||
Celulosa Arauco y Constitucion SA: | ||||||
3.88%, 11/2/2027 | 200,000 | 184,378 | ||||
4.50%, 8/1/2024 | 50,000 | 49,742 | ||||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 | 25,000 | 24,761 | ||||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 30,080 | ||||
International Paper Co. 4.35%, 8/15/2048 (b) | 27,000 | 23,917 | ||||
Suzano Austria GmbH: | ||||||
2.50%, 9/15/2028 | 125,000 | 101,454 | ||||
3.75%, 1/15/2031 | 150,000 | 121,155 |
Security Description | Principal Amount | Value | ||||
Series DM3N, 3.13%, 1/15/2032 | $ 80,000 | $ 60,350 | ||||
595,837 | ||||||
GAS — 0.2% | ||||||
Atmos Energy Corp.: | ||||||
1.50%, 1/15/2031 | 100,000 | 80,001 | ||||
2.63%, 9/15/2029 | 200,000 | 178,234 | ||||
3.00%, 6/15/2027 (b) | 150,000 | 143,973 | ||||
4.15%, 1/15/2043 | 25,000 | 22,146 | ||||
National Fuel Gas Co.: | ||||||
3.95%, 9/15/2027 | 50,000 | 46,586 | ||||
5.50%, 1/15/2026 | 30,000 | 30,103 | ||||
NiSource, Inc.: | ||||||
0.95%, 8/15/2025 | 560,000 | 502,510 | ||||
1.70%, 2/15/2031 | 100,000 | 78,004 | ||||
2.95%, 9/1/2029 | 100,000 | 88,703 | ||||
3.49%, 5/15/2027 | 50,000 | 47,869 | ||||
4.38%, 5/15/2047 | 150,000 | 131,988 | ||||
4.80%, 2/15/2044 | 30,000 | 27,029 | ||||
ONE Gas, Inc.: | ||||||
1.10%, 3/11/2024 | 200,000 | 190,170 | ||||
4.50%, 11/1/2048 | 90,000 | 79,666 | ||||
Piedmont Natural Gas Co., Inc.: | ||||||
2.50%, 3/15/2031 | 190,000 | 160,497 | ||||
5.05%, 5/15/2052 | 750,000 | 736,117 | ||||
Southern California Gas Co.: | ||||||
2.95%, 4/15/2027 | 110,000 | 104,382 | ||||
3.15%, 9/15/2024 | 25,000 | 24,840 | ||||
3.20%, 6/15/2025 | 50,000 | 49,041 | ||||
3.75%, 9/15/2042 | 30,000 | 25,132 | ||||
5.13%, 11/15/2040 | 25,000 | 24,917 | ||||
Series VV, 4.30%, 1/15/2049 | 50,000 | 45,373 | ||||
Southern Co. Gas Capital Corp.: | ||||||
4.40%, 5/30/2047 | 150,000 | 130,974 | ||||
Series 20-A, 1.75%, 1/15/2031 | 500,000 | 394,350 | ||||
Southwest Gas Corp.: | ||||||
3.70%, 4/1/2028 | 25,000 | 23,469 | ||||
4.05%, 3/15/2032 | 90,000 | 81,835 | ||||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 41,755 | ||||
3,489,664 | ||||||
HAND & MACHINE TOOLS — 0.0% (a) | ||||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 48,702 | ||||
Snap-on, Inc. 3.10%, 5/1/2050 | 70,000 | 54,720 | ||||
Stanley Black & Decker, Inc.: | ||||||
2.75%, 11/15/2050 | 100,000 | 68,769 | ||||
3.40%, 3/1/2026 | 35,000 | 34,351 | ||||
4.25%, 11/15/2028 | 100,000 | 99,630 |
Security Description | Principal Amount | Value | ||||
5 Year CMT + 2.66%, 4.00%, 3/15/2060 (b) (c) | $ 30,000 | $ 26,137 | ||||
332,309 | ||||||
HEALTH CARE PRODUCTS — 0.3% | ||||||
Abbott Laboratories: | ||||||
1.40%, 6/30/2030 (b) | 500,000 | 417,260 | ||||
2.95%, 3/15/2025 | 75,000 | 74,042 | ||||
3.40%, 11/30/2023 | 35,000 | 35,141 | ||||
3.75%, 11/30/2026 | 85,000 | 85,646 | ||||
4.75%, 11/30/2036 | 250,000 | 265,135 | ||||
4.75%, 4/15/2043 | 25,000 | 25,299 | ||||
4.90%, 11/30/2046 | 150,000 | 157,645 | ||||
Baxter International, Inc.: | ||||||
1.32%, 11/29/2024 | 600,000 | 563,382 | ||||
1.73%, 4/1/2031 | 45,000 | 35,432 | ||||
1.92%, 2/1/2027 | 600,000 | 537,342 | ||||
3.13%, 12/1/2051 | 250,000 | 181,907 | ||||
3.50%, 8/15/2046 | 50,000 | 39,110 | ||||
Boston Scientific Corp.: | ||||||
1.90%, 6/1/2025 | 65,000 | 61,348 | ||||
2.65%, 6/1/2030 | 100,000 | 87,323 | ||||
3.45%, 3/1/2024 | 11,000 | 10,977 | ||||
4.55%, 3/1/2039 | 50,000 | 46,491 | ||||
4.70%, 3/1/2049 | 35,000 | 33,447 | ||||
Danaher Corp. 2.60%, 10/1/2050 | 565,000 | 393,703 | ||||
DH Europe Finance II Sarl: | ||||||
2.20%, 11/15/2024 | 50,000 | 47,988 | ||||
2.60%, 11/15/2029 | 30,000 | 26,868 | ||||
3.25%, 11/15/2039 | 50,000 | 41,480 | ||||
3.40%, 11/15/2049 | 50,000 | 40,413 | ||||
Medtronic, Inc.: | ||||||
4.38%, 3/15/2035 | 54,000 | 53,917 | ||||
4.63%, 3/15/2045 | 345,000 | 346,069 | ||||
PerkinElmer, Inc.: | ||||||
2.25%, 9/15/2031 | 105,000 | 83,027 | ||||
2.55%, 3/15/2031 | 85,000 | 69,225 | ||||
3.30%, 9/15/2029 | 65,000 | 57,141 | ||||
Smith & Nephew PLC 2.03%, 10/14/2030 | 50,000 | 39,635 | ||||
Stryker Corp.: | ||||||
0.60%, 12/1/2023 | 65,000 | 62,330 | ||||
1.15%, 6/15/2025 | 50,000 | 46,179 | ||||
1.95%, 6/15/2030 | 50,000 | 41,587 | ||||
2.90%, 6/15/2050 | 25,000 | 18,070 | ||||
3.38%, 11/1/2025 | 25,000 | 24,479 | ||||
3.50%, 3/15/2026 | 25,000 | 24,520 | ||||
3.65%, 3/7/2028 (b) | 50,000 | 48,416 | ||||
4.63%, 3/15/2046 | 25,000 | 23,882 | ||||
Thermo Fisher Scientific, Inc.: | ||||||
0.80%, 10/18/2023 | 160,000 | 155,230 | ||||
1.22%, 10/18/2024 | 900,000 | 853,686 | ||||
4.10%, 8/15/2047 | 100,000 | 93,056 |
Security Description | Principal Amount | Value | ||||
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | $ 100,000 | $ 81,583 | ||||
5,329,411 | ||||||
HEALTH CARE SERVICES — 0.6% | ||||||
AdventHealth Obligated Group Series E, 2.80%, 11/15/2051 | 250,000 | 178,655 | ||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 40,675 | ||||
Aetna, Inc.: | ||||||
3.88%, 8/15/2047 | 100,000 | 82,620 | ||||
4.13%, 11/15/2042 | 25,000 | 21,402 | ||||
AHS Hospital Corp. Series 2021, 2.78%, 7/1/2051 | 75,000 | 52,908 | ||||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 139,026 | ||||
Banner Health 2.34%, 1/1/2030 | 40,000 | 35,298 | ||||
Baylor Scott & White Holdings Series 2021, 1.78%, 11/15/2030 | 25,000 | 20,488 | ||||
Children's Hospital Corp. Series 2020, 2.59%, 2/1/2050 | 15,000 | 10,407 | ||||
CommonSpirit Health: | ||||||
2.76%, 10/1/2024 | 250,000 | 243,322 | ||||
4.19%, 10/1/2049 | 250,000 | 210,155 | ||||
4.35%, 11/1/2042 | 25,000 | 22,419 | ||||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 45,289 | ||||
Elevance Health, Inc.: | ||||||
1.50%, 3/15/2026 | 600,000 | 548,760 | ||||
2.25%, 5/15/2030 | 265,000 | 226,350 | ||||
2.38%, 1/15/2025 | 20,000 | 19,281 | ||||
2.55%, 3/15/2031 | 100,000 | 86,420 | ||||
3.13%, 5/15/2050 | 270,000 | 203,666 | ||||
3.35%, 12/1/2024 | 50,000 | 49,376 | ||||
3.50%, 8/15/2024 | 25,000 | 24,900 | ||||
3.60%, 3/15/2051 | 305,000 | 247,199 | ||||
3.65%, 12/1/2027 | 130,000 | 126,463 | ||||
4.10%, 3/1/2028 | 100,000 | 98,939 | ||||
4.10%, 5/15/2032 | 200,000 | 194,726 | ||||
4.38%, 12/1/2047 | 130,000 | 120,337 | ||||
4.55%, 3/1/2048 | 50,000 | 47,427 | ||||
4.65%, 1/15/2043 | 50,000 | 47,578 | ||||
HCA, Inc.: | ||||||
2.38%, 7/15/2031 | 650,000 | 501,618 | ||||
3.13%, 3/15/2027 (e) | 45,000 | 41,130 | ||||
3.50%, 7/15/2051 | 650,000 | 448,188 | ||||
3.63%, 3/15/2032 (e) | 650,000 | 548,613 | ||||
4.13%, 6/15/2029 | 35,000 | 31,960 |
Security Description | Principal Amount | Value | |||
4.50%, 2/15/2027 | $ 50,000 | $ 48,112 | |||
4.63%, 3/15/2052 (e) | 500,000 | 400,020 | |||
5.00%, 3/15/2024 | 85,000 | 85,293 | |||
5.13%, 6/15/2039 | 275,000 | 241,029 | |||
5.25%, 4/15/2025 | 60,000 | 60,153 | |||
5.25%, 6/15/2026 | 65,000 | 64,544 | |||
5.25%, 6/15/2049 | 100,000 | 86,332 | |||
5.50%, 6/15/2047 | 65,000 | 58,163 | |||
Humana, Inc.: | |||||
2.15%, 2/3/2032 (b) | 350,000 | 283,374 | |||
3.70%, 3/23/2029 | 105,000 | 99,390 | |||
4.80%, 3/15/2047 | 100,000 | 95,998 | |||
4.95%, 10/1/2044 | 50,000 | 48,650 | |||
Indiana University Health, Inc. Obligated Group Series 2021, 2.85%, 11/1/2051 | 25,000 | 18,196 | |||
Johns Hopkins Health System Corp. 3.84%, 5/15/2046 | 50,000 | 45,118 | |||
Kaiser Foundation Hospitals: | |||||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 82,601 | |||
Series 2021, 2.81%, 6/1/2041 | 135,000 | 103,307 | |||
Series 2021, 3.00%, 6/1/2051 | 135,000 | 100,939 | |||
Laboratory Corp. of America Holdings: | |||||
1.55%, 6/1/2026 | 70,000 | 62,614 | |||
2.30%, 12/1/2024 (b) | 100,000 | 95,690 | |||
2.70%, 6/1/2031 | 100,000 | 84,007 | |||
2.95%, 12/1/2029 | 100,000 | 87,848 | |||
3.25%, 9/1/2024 | 100,000 | 98,518 | |||
4.70%, 2/1/2045 | 25,000 | 22,257 | |||
Mass General Brigham, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 87,431 | |||
Mayo Clinic Series 2021, 3.20%, 11/15/2061 | 100,000 | 75,251 | |||
Memorial Sloan-Kettering Cancer Center: | |||||
4.13%, 7/1/2052 | 25,000 | 23,214 | |||
Series 2020, 2.96%, 1/1/2050 | 55,000 | 41,540 | |||
Methodist Hospital Series 20A, 2.71%, 12/1/2050 | 65,000 | 45,549 | |||
Montefiore Obligated Group 4.29%, 9/1/2050 (b) | 50,000 | 36,439 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 29,271 |
Security Description | Principal Amount | Value | |||
New York and Presbyterian Hospital: | |||||
2.26%, 8/1/2040 | $ 50,000 | $ 35,728 | |||
Series 2019, 3.95%, 8/1/2119 | 35,000 | 27,054 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 45,191 | |||
Novant Health, Inc. 3.17%, 11/1/2051 | 85,000 | 65,389 | |||
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | 100,000 | 75,290 | |||
Orlando Health Obligated Group 3.33%, 10/1/2050 | 25,000 | 19,866 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 70,804 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 30,835 | |||
4.20%, 6/30/2029 | 100,000 | 97,081 | |||
4.70%, 3/30/2045 | 25,000 | 22,490 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 41,053 | |||
Sutter Health: | |||||
Series 20A, 2.29%, 8/15/2030 | 55,000 | 47,056 | |||
Series 20A, 3.36%, 8/15/2050 | 55,000 | 42,167 | |||
Trinity Health Corp. Series 2021, 2.63%, 12/1/2040 (b) | 50,000 | 36,756 | |||
UnitedHealth Group, Inc.: | |||||
1.15%, 5/15/2026 | 100,000 | 90,993 | |||
1.25%, 1/15/2026 (b) | 35,000 | 32,304 | |||
2.00%, 5/15/2030 | 305,000 | 261,434 | |||
2.30%, 5/15/2031 | 100,000 | 86,587 | |||
2.75%, 5/15/2040 | 300,000 | 233,622 | |||
2.90%, 5/15/2050 | 550,000 | 408,699 | |||
3.05%, 5/15/2041 | 850,000 | 687,097 | |||
3.10%, 3/15/2026 | 50,000 | 48,968 | |||
3.13%, 5/15/2060 (b) | 100,000 | 73,361 | |||
3.25%, 5/15/2051 | 100,000 | 78,665 | |||
3.38%, 4/15/2027 | 100,000 | 98,151 | |||
3.50%, 2/15/2024 | 10,000 | 10,042 | |||
3.50%, 8/15/2039 | 200,000 | 174,444 | |||
3.70%, 12/15/2025 | 10,000 | 9,986 | |||
3.75%, 7/15/2025 | 305,000 | 305,317 | |||
3.75%, 10/15/2047 | 50,000 | 43,387 | |||
3.88%, 12/15/2028 | 15,000 | 14,919 | |||
4.25%, 4/15/2047 | 100,000 | 94,094 | |||
4.63%, 7/15/2035 | 200,000 | 203,394 | |||
4.75%, 7/15/2045 | 230,000 | 231,879 | |||
4.75%, 5/15/2052 | 500,000 | 500,090 | |||
6.88%, 2/15/2038 | 25,000 | 31,001 |
Security Description | Principal Amount | Value | ||||
Willis-Knighton Medical Center Series 2021, 3.07%, 3/1/2051 | $ 550,000 | $ 394,746 | ||||
12,196,383 | ||||||
HOME BUILDERS — 0.1% | ||||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 95,515 | ||||
Lennar Corp. 4.75%, 11/29/2027 | 250,000 | 243,493 | ||||
MDC Holdings, Inc. 3.97%, 8/6/2061 | 200,000 | 115,328 | ||||
NVR, Inc. 3.00%, 5/15/2030 | 130,000 | 111,584 | ||||
PulteGroup, Inc. 5.00%, 1/15/2027 (b) | 250,000 | 249,930 | ||||
815,850 | ||||||
HOME FURNISHINGS — 0.0% (a) | ||||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 100,000 | 97,053 | ||||
Whirlpool Corp.: | ||||||
2.40%, 5/15/2031 | 25,000 | 20,815 | ||||
4.50%, 6/1/2046 | 25,000 | 21,161 | ||||
4.60%, 5/15/2050 | 50,000 | 42,961 | ||||
4.75%, 2/26/2029 | 60,000 | 59,879 | ||||
241,869 | ||||||
HOUSEHOLD PRODUCTS & WARES — 0.1% | ||||||
Church & Dwight Co., Inc. 2.30%, 12/15/2031 | 40,000 | 33,748 | ||||
Clorox Co.: | ||||||
3.10%, 10/1/2027 | 50,000 | 47,743 | ||||
3.90%, 5/15/2028 | 50,000 | 49,025 | ||||
4.40%, 5/1/2029 | 200,000 | 199,508 | ||||
Kimberly-Clark Corp.: | ||||||
1.05%, 9/15/2027 (b) | 15,000 | 13,091 | ||||
2.00%, 11/2/2031 | 250,000 | 210,170 | ||||
2.75%, 2/15/2026 | 25,000 | 24,281 | ||||
3.10%, 3/26/2030 | 40,000 | 37,543 | ||||
3.20%, 4/25/2029 (b) | 100,000 | 95,378 | ||||
3.90%, 5/4/2047 | 50,000 | 44,435 | ||||
3.95%, 11/1/2028 | 55,000 | 54,819 | ||||
809,741 | ||||||
INSURANCE — 0.8% | ||||||
Aflac, Inc.: | ||||||
1.13%, 3/15/2026 | 105,000 | 94,839 | ||||
4.75%, 1/15/2049 | 75,000 | 72,218 | ||||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 47,543 | ||||
Allstate Corp.: | ||||||
1.45%, 12/15/2030 (b) | 250,000 | 198,407 | ||||
3.85%, 8/10/2049 | 125,000 | �� | 107,097 | |||
4.20%, 12/15/2046 | 50,000 | 45,505 |
Security Description | Principal Amount | Value | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | $ 25,000 | $ 22,200 | |||
American Financial Group, Inc. 4.50%, 6/15/2047 | 100,000 | 83,861 | |||
American International Group, Inc.: | |||||
2.50%, 6/30/2025 | 600,000 | 572,544 | |||
3.90%, 4/1/2026 | 30,000 | 29,364 | |||
4.38%, 6/30/2050 | 315,000 | 278,784 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 89,764 | |||
Aon Corp. 3.75%, 5/2/2029 | 100,000 | 94,444 | |||
Aon Corp./Aon Global Holdings PLC 2.60%, 12/2/2031 | 645,000 | 543,658 | |||
Aon Global, Ltd.: | |||||
3.50%, 6/14/2024 | 50,000 | 49,674 | |||
3.88%, 12/15/2025 | 150,000 | 148,366 | |||
Arch Capital Group, Ltd. 3.64%, 6/30/2050 | 105,000 | 81,376 | |||
Assurant, Inc.: | |||||
2.65%, 1/15/2032 | 600,000 | 468,312 | |||
4.20%, 9/27/2023 | 75,000 | 75,462 | |||
4.90%, 3/27/2028 (b) | 50,000 | 49,569 | |||
Assured Guaranty US Holdings, Inc. 3.60%, 9/15/2051 | 40,000 | 30,111 | |||
Athene Holding, Ltd.: | |||||
3.45%, 5/15/2052 | 500,000 | 344,165 | |||
3.50%, 1/15/2031 | 150,000 | 126,943 | |||
4.13%, 1/12/2028 | 100,000 | 93,231 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 23,387 | |||
Berkshire Hathaway Finance Corp.: | |||||
1.45%, 10/15/2030 | 80,000 | 64,983 | |||
1.85%, 3/12/2030 | 10,000 | 8,552 | |||
2.30%, 3/15/2027 (b) | 200,000 | 189,014 | |||
2.50%, 1/15/2051 (b) | 110,000 | 74,636 | |||
2.85%, 10/15/2050 | 340,000 | 245,286 | |||
2.88%, 3/15/2032 | 200,000 | 179,354 | |||
4.20%, 8/15/2048 | 100,000 | 91,797 | |||
4.25%, 1/15/2049 | 150,000 | 138,702 | |||
Berkshire Hathaway, Inc.: | |||||
3.13%, 3/15/2026 | 55,000 | 54,016 | |||
4.50%, 2/11/2043 | 180,000 | 171,918 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 | 150,000 | 140,599 | |||
4.70%, 6/22/2047 | 150,000 | 119,470 | |||
Brown & Brown, Inc.: | |||||
2.38%, 3/15/2031 | 150,000 | 118,828 | |||
4.20%, 3/17/2032 | 65,000 | 59,175 |
Security Description | Principal Amount | Value | |||
4.50%, 3/15/2029 | $ 50,000 | $ 49,045 | |||
Chubb INA Holdings, Inc.: | |||||
1.38%, 9/15/2030 (b) | 150,000 | 119,901 | |||
3.05%, 12/15/2061 | 500,000 | 359,745 | |||
3.35%, 5/3/2026 | 250,000 | 244,450 | |||
4.15%, 3/13/2043 | 25,000 | 22,725 | |||
4.35%, 11/3/2045 | 125,000 | 117,821 | |||
CNA Financial Corp.: | |||||
2.05%, 8/15/2030 | 100,000 | 80,482 | |||
3.45%, 8/15/2027 | 100,000 | 94,584 | |||
4.50%, 3/1/2026 | 25,000 | 25,047 | |||
Corebridge Financial, Inc.: | |||||
3.50%, 4/4/2025 (e) | 500,000 | 486,500 | |||
3.65%, 4/5/2027 (e) | 500,000 | 470,750 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 47,819 | |||
Equitable Holdings, Inc.: | |||||
4.35%, 4/20/2028 | 150,000 | 144,904 | |||
5.00%, 4/20/2048 | 100,000 | 92,394 | |||
Everest Reinsurance Holdings, Inc. 3.50%, 10/15/2050 | 500,000 | 381,670 | |||
Fairfax Financial Holdings, Ltd.: | |||||
3.38%, 3/3/2031 | 70,000 | 60,565 | |||
4.85%, 4/17/2028 | 100,000 | 99,380 | |||
Fidelity National Financial, Inc.: | |||||
2.45%, 3/15/2031 (b) | 100,000 | 78,957 | |||
3.20%, 9/17/2051 | 250,000 | 159,010 | |||
4.50%, 8/15/2028 | 50,000 | 48,108 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 24,915 | |||
Globe Life, Inc.: | |||||
2.15%, 8/15/2030 | 100,000 | 81,873 | |||
4.55%, 9/15/2028 | 25,000 | 24,613 | |||
Hanover Insurance Group, Inc. 2.50%, 9/1/2030 | 15,000 | 12,537 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 | 70,000 | 62,435 | |||
2.90%, 9/15/2051 | 325,000 | 225,599 | |||
4.40%, 3/15/2048 | 100,000 | 90,246 | |||
Kemper Corp. 2.40%, 9/30/2030 | 100,000 | 81,282 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 87,264 | |||
3.40%, 3/1/2032 | 250,000 | 217,575 | |||
3.80%, 3/1/2028 | 35,000 | 33,487 | |||
4.00%, 9/1/2023 | 15,000 | 15,102 | |||
4.35%, 3/1/2048 | 50,000 | 42,365 | |||
6.30%, 10/9/2037 | 50,000 | 54,115 | |||
Loews Corp.: | |||||
3.20%, 5/15/2030 | 15,000 | 13,643 | |||
3.75%, 4/1/2026 | 50,000 | 49,584 |
Security Description | Principal Amount | Value | |||
Manulife Financial Corp.: | |||||
2.48%, 5/19/2027 (b) | $ 70,000 | $ 63,965 | |||
3.70%, 3/16/2032 | 200,000 | 183,870 | |||
5 Year US ISDA + 1.65%, 4.06%, 2/24/2032 (c) | 50,000 | 46,226 | |||
Markel Corp.: | |||||
3.45%, 5/7/2052 | 135,000 | 101,039 | |||
3.50%, 11/1/2027 | 50,000 | 47,979 | |||
4.15%, 9/17/2050 | 50,000 | 41,224 | |||
5.00%, 5/20/2049 | 30,000 | 28,375 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.38%, 12/15/2031 (b) | 615,000 | 518,451 | |||
3.75%, 3/14/2026 | 25,000 | 24,759 | |||
3.88%, 3/15/2024 | 100,000 | 100,189 | |||
4.38%, 3/15/2029 | 250,000 | 247,027 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 48,948 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 300,801 | |||
4.05%, 3/1/2045 | 150,000 | 132,331 | |||
4.88%, 11/13/2043 | 200,000 | 197,544 | |||
6.40%, 12/15/2066 | 100,000 | 100,852 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 50,590 | |||
Old Republic International Corp. 3.85%, 6/11/2051 | 85,000 | 64,149 | |||
Principal Financial Group, Inc.: | |||||
2.13%, 6/15/2030 | 150,000 | 123,693 | |||
3.70%, 5/15/2029 | 50,000 | 46,924 | |||
Progressive Corp.: | |||||
2.50%, 3/15/2027 | 40,000 | 37,744 | |||
3.00%, 3/15/2032 (b) | 50,000 | 45,070 | |||
4.00%, 3/1/2029 | 50,000 | 49,489 | |||
4.20%, 3/15/2048 | 100,000 | 92,091 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 86,157 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (b) (c) | 170,000 | 152,464 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 191,138 | |||
5 Year CMT + 3.04%, 3.70%, 10/1/2050 (c) | 600,000 | 496,320 | |||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 83,396 | |||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 71,131 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 28,860 | |||
Prudential PLC 3.63%, 3/24/2032 | 150,000 | 138,955 |
Security Description | Principal Amount | Value | ||||
Reinsurance Group of America, Inc.: | ||||||
3.15%, 6/15/2030 | $ 35,000 | $ 30,926 | ||||
3.90%, 5/15/2029 | 50,000 | 46,802 | ||||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 28,565 | ||||
Travelers Cos., Inc.: | ||||||
2.55%, 4/27/2050 | 10,000 | 6,953 | ||||
3.05%, 6/8/2051 | 250,000 | 190,705 | ||||
3.75%, 5/15/2046 | 10,000 | 8,617 | ||||
4.00%, 5/30/2047 | 80,000 | 71,161 | ||||
4.05%, 3/7/2048 (b) | 100,000 | 90,345 | ||||
4.10%, 3/4/2049 | 100,000 | 90,542 | ||||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 29,326 | ||||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 25,672 | ||||
Unum Group: | ||||||
4.00%, 6/15/2029 | 70,000 | 65,942 | ||||
4.13%, 6/15/2051 | 100,000 | 73,888 | ||||
4.50%, 12/15/2049 | 15,000 | 11,575 | ||||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 48,578 | ||||
W R Berkley Corp. 3.55%, 3/30/2052 | 100,000 | 77,005 | ||||
Willis North America, Inc.: | ||||||
3.60%, 5/15/2024 | 50,000 | 49,271 | ||||
3.88%, 9/15/2049 | 70,000 | 54,553 | ||||
4.50%, 9/15/2028 | 50,000 | 48,046 | ||||
4.65%, 6/15/2027 | 100,000 | 98,449 | ||||
WR Berkley Corp. 4.00%, 5/12/2050 | 45,000 | 37,221 | ||||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 129,324 | ||||
14,982,863 | ||||||
INTERNET — 0.5% | ||||||
Alibaba Group Holding, Ltd.: | ||||||
2.70%, 2/9/2041 | 500,000 | 345,875 | ||||
3.15%, 2/9/2051 | 100,000 | 68,423 | ||||
3.40%, 12/6/2027 | 200,000 | 191,142 | ||||
3.60%, 11/28/2024 | 75,000 | 74,552 | ||||
4.20%, 12/6/2047 | 260,000 | 215,290 | ||||
Alphabet, Inc.: | ||||||
0.45%, 8/15/2025 | 500,000 | 459,930 | ||||
1.10%, 8/15/2030 | 165,000 | 135,359 | ||||
1.90%, 8/15/2040 | 350,000 | 250,169 | ||||
2.00%, 8/15/2026 | 250,000 | 236,795 | ||||
2.05%, 8/15/2050 (b) | 250,000 | 168,017 | ||||
Amazon.com, Inc.: | ||||||
0.45%, 5/12/2024 | 820,000 | 780,583 | ||||
0.80%, 6/3/2025 | 815,000 | 758,529 | ||||
1.00%, 5/12/2026 | 150,000 | 136,447 | ||||
1.50%, 6/3/2030 | 235,000 | 195,536 | ||||
1.65%, 5/12/2028 (b) | 150,000 | 133,116 | ||||
2.10%, 5/12/2031 | 150,000 | 128,475 |
Security Description | Principal Amount | Value | ||||
2.50%, 6/3/2050 (b) | $ 390,000 | $ 276,151 | ||||
2.70%, 6/3/2060 | 530,000 | 358,614 | ||||
2.80%, 8/22/2024 | 100,000 | 99,114 | ||||
2.88%, 5/12/2041 | 150,000 | 120,281 | ||||
3.00%, 4/13/2025 | 200,000 | 198,702 | ||||
3.10%, 5/12/2051 | 150,000 | 118,317 | ||||
3.15%, 8/22/2027 | 100,000 | 97,409 | ||||
3.25%, 5/12/2061 | 150,000 | 114,371 | ||||
3.30%, 4/13/2027 | 250,000 | 245,370 | ||||
3.45%, 4/13/2029 | 200,000 | 194,670 | ||||
3.60%, 4/13/2032 | 250,000 | 240,945 | ||||
3.80%, 12/5/2024 | 30,000 | 30,336 | ||||
3.88%, 8/22/2037 | 125,000 | 118,114 | ||||
3.95%, 4/13/2052 | 500,000 | 460,500 | ||||
4.05%, 8/22/2047 | 125,000 | 117,219 | ||||
4.25%, 8/22/2057 | 150,000 | 140,838 | ||||
4.95%, 12/5/2044 | 125,000 | 131,540 | ||||
5.20%, 12/3/2025 | 50,000 | 52,482 | ||||
Baidu, Inc.: | ||||||
1.63%, 2/23/2027 | 200,000 | 176,996 | ||||
2.38%, 8/23/2031 (b) | 200,000 | 166,774 | ||||
Booking Holdings, Inc.: | ||||||
3.60%, 6/1/2026 | 250,000 | 246,180 | ||||
4.63%, 4/13/2030 | 100,000 | 99,525 | ||||
eBay, Inc.: | ||||||
1.40%, 5/10/2026 | 100,000 | 89,993 | ||||
1.90%, 3/11/2025 | 140,000 | 131,677 | ||||
2.60%, 5/10/2031 | 100,000 | 83,070 | ||||
2.70%, 3/11/2030 | 100,000 | 85,347 | ||||
3.45%, 8/1/2024 | 25,000 | 24,748 | ||||
3.65%, 5/10/2051 | 50,000 | 38,565 | ||||
Expedia Group, Inc.: | ||||||
2.95%, 3/15/2031 | 555,000 | 442,407 | ||||
3.25%, 2/15/2030 | 35,000 | 29,066 | ||||
3.80%, 2/15/2028 | 50,000 | 45,604 | ||||
4.63%, 8/1/2027 | 590,000 | 566,937 | ||||
VeriSign, Inc. 2.70%, 6/15/2031 | 80,000 | 64,433 | ||||
9,684,533 | ||||||
INVESTMENT COMPANY SECURITY — 0.2% | ||||||
Ares Capital Corp.: | ||||||
2.15%, 7/15/2026 | 750,000 | 630,427 | ||||
2.88%, 6/15/2028 | 500,000 | 397,755 | ||||
3.88%, 1/15/2026 | 100,000 | 92,242 | ||||
4.20%, 6/10/2024 | 50,000 | 49,053 | ||||
4.25%, 3/1/2025 | 50,000 | 47,766 | ||||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 100,000 | 85,798 | ||||
Blackstone Private Credit Fund 2.63%, 12/15/2026 (e) | 200,000 | 166,806 | ||||
Blackstone Secured Lending Fund: | ||||||
2.85%, 9/30/2028 | 100,000 | 80,198 |
Security Description | Principal Amount | Value | ||||
3.63%, 1/15/2026 | $ 150,000 | $ 137,435 | ||||
FS KKR Capital Corp.: | ||||||
3.40%, 1/15/2026 | 250,000 | 222,123 | ||||
4.13%, 2/1/2025 | 100,000 | 94,882 | ||||
Golub Capital BDC, Inc. 2.50%, 8/24/2026 | 160,000 | 134,030 | ||||
Main Street Capital Corp. 3.00%, 7/14/2026 | 85,000 | 74,338 | ||||
Oaktree Specialty Lending Corp. 2.70%, 1/15/2027 | 100,000 | 86,463 | ||||
Owl Rock Capital Corp.: | ||||||
3.40%, 7/15/2026 | 250,000 | 219,825 | ||||
4.00%, 3/30/2025 | 50,000 | 47,144 | ||||
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | 500,000 | 425,165 | ||||
Prospect Capital Corp. 3.44%, 10/15/2028 | 100,000 | 76,645 | ||||
3,068,095 | ||||||
IRON/STEEL — 0.0% (a) | ||||||
Nucor Corp.: | ||||||
2.00%, 6/1/2025 | 15,000 | 14,117 | ||||
2.70%, 6/1/2030 (b) | 15,000 | 13,001 | ||||
2.98%, 12/15/2055 | 50,000 | 33,810 | ||||
3.13%, 4/1/2032 | 90,000 | 78,452 | ||||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 40,000 | 36,377 | ||||
Steel Dynamics, Inc.: | ||||||
1.65%, 10/15/2027 | 10,000 | 8,577 | ||||
2.80%, 12/15/2024 | 25,000 | 24,241 | ||||
3.25%, 10/15/2050 | 20,000 | 13,839 | ||||
3.45%, 4/15/2030 | 40,000 | 35,624 | ||||
Vale Overseas, Ltd. 6.88%, 11/10/2039 | 300,000 | 319,080 | ||||
577,118 | ||||||
LEISURE TIME — 0.0% (a) | ||||||
Brunswick Corp. 4.40%, 9/15/2032 | 250,000 | 216,265 | ||||
LODGING — 0.1% | ||||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 | 50,000 | 44,197 | ||||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 47,192 | ||||
Marriott International, Inc.: | ||||||
3.75%, 3/15/2025 | 25,000 | 24,677 | ||||
Series EE, 5.75%, 5/1/2025 | 290,000 | 300,408 | ||||
Series GG, 3.50%, 10/15/2032 | 500,000 | 431,035 | ||||
847,509 |
Security Description | Principal Amount | Value | ||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | ||||||
Caterpillar Financial Services Corp.: | ||||||
0.65%, 7/7/2023 | $ 500,000 | $ 487,515 | ||||
0.90%, 3/2/2026 | 600,000 | 545,316 | ||||
3.40%, 5/13/2025 | 750,000 | 748,417 | ||||
Series MTN, 0.45%, 9/14/2023 (b) | 250,000 | 242,635 | ||||
Series MTN, 0.45%, 5/17/2024 | 50,000 | 47,513 | ||||
Series MTN, 0.80%, 11/13/2025 (b) | 30,000 | 27,266 | ||||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 25,203 | ||||
Caterpillar, Inc.: | ||||||
2.60%, 9/19/2029 (b) | 100,000 | 91,367 | ||||
2.60%, 4/9/2030 | 95,000 | 86,201 | ||||
3.25%, 4/9/2050 (b) | 125,000 | 103,455 | ||||
3.80%, 8/15/2042 (b) | 125,000 | 114,056 | ||||
4.75%, 5/15/2064 | 25,000 | 25,349 | ||||
Oshkosh Corp. 3.10%, 3/1/2030 | 10,000 | 8,556 | ||||
2,552,849 | ||||||
MACHINERY-DIVERSIFIED — 0.2% | ||||||
CNH Industrial Capital LLC: | ||||||
1.45%, 7/15/2026 | 150,000 | 132,593 | ||||
4.20%, 1/15/2024 | 100,000 | 100,012 | ||||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 14,137 | ||||
Deere & Co.: | ||||||
2.88%, 9/7/2049 | 35,000 | 27,507 | ||||
3.90%, 6/9/2042 (b) | 225,000 | 210,958 | ||||
Flowserve Corp.: | ||||||
2.80%, 1/15/2032 | 75,000 | 58,276 | ||||
3.50%, 10/1/2030 | 35,000 | 29,633 | ||||
IDEX Corp.: | ||||||
2.63%, 6/15/2031 | 100,000 | 82,802 | ||||
3.00%, 5/1/2030 | 25,000 | 21,745 | ||||
John Deere Capital Corp.: | ||||||
1.45%, 1/15/2031 (b) | 70,000 | 56,939 | ||||
3.35%, 4/18/2029 | 100,000 | 96,006 | ||||
3.65%, 10/12/2023 | 100,000 | 100,733 | ||||
Series MTN, 0.45%, 1/17/2024 | 100,000 | 95,926 | ||||
Series MTN, 0.45%, 6/7/2024 | 65,000 | 61,649 | ||||
Series MTN, 0.63%, 9/10/2024 (b) | 55,000 | 51,946 | ||||
Series MTN, 0.70%, 1/15/2026 | 100,000 | 90,381 | ||||
Series MTN, 1.25%, 1/10/2025 | 500,000 | 474,645 | ||||
Series MTN, 1.30%, 10/13/2026 | 300,000 | 271,755 |
Security Description | Principal Amount | Value | ||||
Series MTN, 1.50%, 3/6/2028 | $ 100,000 | $ 88,141 | ||||
Series MTN, 2.25%, 9/14/2026 | 100,000 | 94,060 | ||||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 64,308 | ||||
Series MTN, 2.80%, 7/18/2029 | 50,000 | 46,030 | ||||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 24,899 | ||||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 100,192 | ||||
nVent Finance Sarl: | ||||||
2.75%, 11/15/2031 | 50,000 | 40,616 | ||||
4.55%, 4/15/2028 | 50,000 | 48,280 | ||||
Otis Worldwide Corp.: | ||||||
2.06%, 4/5/2025 | 600,000 | 568,128 | ||||
2.57%, 2/15/2030 | 250,000 | 216,130 | ||||
3.11%, 2/15/2040 | 250,000 | 193,848 | ||||
Rockwell Automation, Inc.: | ||||||
3.50%, 3/1/2029 | 85,000 | 81,812 | ||||
4.20%, 3/1/2049 | 250,000 | 231,347 | ||||
Westinghouse Air Brake Technologies Corp.: | ||||||
4.40%, 3/15/2024 | 50,000 | 49,894 | ||||
4.95%, 9/15/2028 | 300,000 | 288,504 | ||||
Xylem, Inc. 1.95%, 1/30/2028 | 45,000 | 39,741 | ||||
4,153,573 | ||||||
MEDIA — 0.7% | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||
2.30%, 2/1/2032 (b) | 350,000 | 265,188 | ||||
2.80%, 4/1/2031 | 290,000 | 232,360 | ||||
3.50%, 6/1/2041 | 500,000 | 351,930 | ||||
3.70%, 4/1/2051 | 730,000 | 495,947 | ||||
3.85%, 4/1/2061 | 100,000 | 65,702 | ||||
3.90%, 6/1/2052 | 100,000 | 69,807 | ||||
4.20%, 3/15/2028 | 250,000 | 233,682 | ||||
4.40%, 4/1/2033 | 315,000 | 282,193 | ||||
4.40%, 12/1/2061 | 100,000 | 72,311 | ||||
4.80%, 3/1/2050 | 155,000 | 122,800 | ||||
4.91%, 7/23/2025 | 50,000 | 50,129 | ||||
5.05%, 3/30/2029 | 100,000 | 96,434 | ||||
5.38%, 5/1/2047 | 150,000 | 128,401 | ||||
6.48%, 10/23/2045 | 185,000 | 180,129 | ||||
Class USD, 4.50%, 2/1/2024 | 100,000 | 100,618 | ||||
Comcast Corp.: | ||||||
1.50%, 2/15/2031 (b) | 150,000 | 120,423 | ||||
1.95%, 1/15/2031 | 70,000 | 58,222 | ||||
2.45%, 8/15/2052 | 115,000 | 76,253 | ||||
2.65%, 8/15/2062 | 75,000 | 48,265 |
Security Description | Principal Amount | Value | |||
2.80%, 1/15/2051 | $ 805,000 | $ 568,998 | |||
2.89%, 11/1/2051 | 350,000 | 250,299 | |||
2.94%, 11/1/2056 | 500,000 | 346,975 | |||
3.15%, 3/1/2026 | 225,000 | 219,364 | |||
3.15%, 2/15/2028 | 200,000 | 190,640 | |||
3.20%, 7/15/2036 | 250,000 | 212,067 | |||
3.30%, 2/1/2027 | 150,000 | 145,873 | |||
3.30%, 4/1/2027 | 100,000 | 96,834 | |||
3.40%, 4/1/2030 (b) | 550,000 | 515,454 | |||
3.40%, 7/15/2046 | 100,000 | 79,745 | |||
3.70%, 4/15/2024 | 500,000 | 501,490 | |||
3.75%, 4/1/2040 | 250,000 | 219,265 | |||
3.90%, 3/1/2038 | 150,000 | 135,969 | |||
3.95%, 10/15/2025 | 350,000 | 351,781 | |||
4.00%, 11/1/2049 | 69,000 | 60,265 | |||
4.15%, 10/15/2028 | 250,000 | 249,367 | |||
4.20%, 8/15/2034 | 100,000 | 96,319 | |||
4.25%, 10/15/2030 | 50,000 | 49,278 | |||
4.25%, 1/15/2033 | 50,000 | 49,127 | |||
4.60%, 10/15/2038 | 305,000 | 295,435 | |||
4.65%, 7/15/2042 | 75,000 | 72,538 | |||
4.70%, 10/15/2048 | 500,000 | 484,890 | |||
4.95%, 10/15/2058 (b) | 105,000 | 104,676 | |||
Discovery Communications LLC: | |||||
3.80%, 3/13/2024 | 100,000 | 99,503 | |||
3.95%, 3/20/2028 | 30,000 | 28,056 | |||
4.00%, 9/15/2055 | 265,000 | 185,108 | |||
4.65%, 5/15/2050 | 250,000 | 196,547 | |||
5.20%, 9/20/2047 | 100,000 | 85,718 | |||
Fox Corp.: | |||||
4.03%, 1/25/2024 | 25,000 | 25,000 | |||
4.71%, 1/25/2029 (b) | 40,000 | 39,276 | |||
5.48%, 1/25/2039 | 275,000 | 267,066 | |||
5.58%, 1/25/2049 | 25,000 | 24,364 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 46,483 | |||
6.13%, 1/31/2046 | 100,000 | 110,260 | |||
Paramount Global: | |||||
2.90%, 1/15/2027 | 125,000 | 115,172 | |||
3.70%, 6/1/2028 | 50,000 | 46,600 | |||
4.20%, 6/1/2029 | 200,000 | 188,296 | |||
4.38%, 3/15/2043 | 25,000 | 19,365 | |||
4.75%, 5/15/2025 (b) | 111,000 | 112,156 | |||
4.95%, 1/15/2031 | 250,000 | 238,072 | |||
4.95%, 5/19/2050 (b) | 200,000 | 167,962 | |||
5.85%, 9/1/2043 | 200,000 | 186,804 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 48,540 | |||
Time Warner Cable LLC: | |||||
4.50%, 9/15/2042 | 100,000 | 78,415 | |||
5.50%, 9/1/2041 | 425,000 | 373,872 | |||
5.88%, 11/15/2040 | 50,000 | 45,863 | |||
6.75%, 6/15/2039 | 50,000 | 50,069 |
Security Description | Principal Amount | Value | ||||
TWDC Enterprises 18 Corp.: | ||||||
3.00%, 2/13/2026 | $ 50,000 | $ 48,606 | ||||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 24,602 | ||||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 57,342 | ||||
Walt Disney Co.: | ||||||
1.75%, 8/30/2024 | 50,000 | 48,172 | ||||
1.75%, 1/13/2026 | 105,000 | 97,879 | ||||
2.00%, 9/1/2029 | 185,000 | 158,885 | ||||
2.20%, 1/13/2028 (b) | 70,000 | 63,445 | ||||
2.65%, 1/13/2031 | 440,000 | 387,345 | ||||
3.35%, 3/24/2025 | 250,000 | 248,102 | ||||
3.38%, 11/15/2026 | 100,000 | 97,709 | ||||
3.50%, 5/13/2040 | 650,000 | 555,054 | ||||
3.60%, 1/13/2051 | 75,000 | 62,618 | ||||
3.70%, 10/15/2025 (b) | 100,000 | 99,904 | ||||
3.80%, 5/13/2060 (b) | 90,000 | 75,208 | ||||
4.00%, 10/1/2023 | 100,000 | 100,966 | ||||
4.70%, 3/23/2050 (b) | 150,000 | 148,498 | ||||
5.40%, 10/1/2043 | 75,000 | 79,102 | ||||
6.65%, 11/15/2037 | 250,000 | 297,852 | ||||
13,777,299 | ||||||
METAL FABRICATE & HARDWARE — 0.0% (a) | ||||||
Timken Co.: | ||||||
4.13%, 4/1/2032 | 55,000 | 49,831 | ||||
4.50%, 12/15/2028 (b) | 20,000 | 19,580 | ||||
69,411 | ||||||
MINING — 0.1% | ||||||
AngloGold Ashanti Holdings PLC 3.38%, 11/1/2028 | 200,000 | 169,984 | ||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 24,635 | ||||
Barrick North America Finance LLC 5.75%, 5/1/2043 | 250,000 | 260,667 | ||||
BHP Billiton Finance USA, Ltd.: | ||||||
4.13%, 2/24/2042 | 125,000 | 116,189 | ||||
5.00%, 9/30/2043 | 50,000 | 51,450 | ||||
Freeport-McMoRan, Inc.: | ||||||
4.55%, 11/14/2024 | 350,000 | 348,372 | ||||
5.45%, 3/15/2043 | 350,000 | 323,806 | ||||
Newmont Corp.: | ||||||
2.25%, 10/1/2030 | 65,000 | 54,064 | ||||
2.60%, 7/15/2032 | 500,000 | 412,535 | ||||
2.80%, 10/1/2029 | 80,000 | 70,739 | ||||
4.88%, 3/15/2042 | 50,000 | 47,886 | ||||
Rio Tinto Finance USA PLC: | ||||||
4.13%, 8/21/2042 | 25,000 | 23,047 | ||||
4.75%, 3/22/2042 | 150,000 | 149,365 | ||||
Rio Tinto Finance USA, Ltd. 2.75%, 11/2/2051 (b) | 500,000 | 361,990 |
Security Description | Principal Amount | Value | ||||
Southern Copper Corp. 5.88%, 4/23/2045 (b) | $ 357,000 | $ 370,041 | ||||
2,784,770 | ||||||
MISCELLANEOUS MANUFACTURER — 0.1% | ||||||
3M Co.: | ||||||
2.00%, 2/14/2025 | 100,000 | 96,292 | ||||
2.38%, 8/26/2029 | 100,000 | 89,509 | ||||
2.88%, 10/15/2027 | 225,000 | 216,117 | ||||
3.25%, 8/26/2049 (b) | 60,000 | 47,839 | ||||
Series MTN, 3.38%, 3/1/2029 (b) | 50,000 | 48,053 | ||||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 21,358 | ||||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 27,145 | ||||
Carlisle Cos., Inc. 2.75%, 3/1/2030 | 65,000 | 54,601 | ||||
Eaton Corp.: | ||||||
3.10%, 9/15/2027 | 100,000 | 95,508 | ||||
4.15%, 11/2/2042 | 25,000 | 22,440 | ||||
GE Capital Funding LLC 4.55%, 5/15/2032 | 200,000 | 192,806 | ||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 550,000 | 514,761 | ||||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 (b) | 325,000 | 287,355 | ||||
Parker-Hannifin Corp.: | ||||||
2.70%, 6/14/2024 | 35,000 | 34,210 | ||||
4.00%, 6/14/2049 | 40,000 | 33,846 | ||||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 49,301 | ||||
Textron, Inc.: | ||||||
2.45%, 3/15/2031 | 30,000 | 24,651 | ||||
3.90%, 9/17/2029 | 50,000 | 47,019 | ||||
4.00%, 3/15/2026 | 50,000 | 49,393 | ||||
Trane Technologies Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 25,698 | ||||
Trane Technologies Luxembourg Finance SA 3.80%, 3/21/2029 | 100,000 | 93,857 | ||||
2,071,759 | ||||||
MULTI-NATIONAL — 0.0% (a) | ||||||
Corp. Andina de Fomento 2.25%, 2/8/2027 | 150,000 | 139,551 | ||||
International Bank for Reconstruction & Development 2.25%, 3/28/2024 | 64,000 | 63,128 | ||||
Nordic Investment Bank 2.63%, 4/4/2025 | 200,000 | 197,658 | ||||
400,337 |
Security Description | Principal Amount | Value | ||||
OFFICE & BUSINESS EQUIPMENT — 0.0% (a) | ||||||
CDW LLC/CDW Finance Corp.: | ||||||
2.67%, 12/1/2026 | $ 215,000 | $ 191,705 | ||||
3.57%, 12/1/2031 | 500,000 | 413,850 | ||||
605,555 | ||||||
OIL & GAS — 1.0% | ||||||
BP Capital Markets America, Inc.: | ||||||
1.75%, 8/10/2030 | 500,000 | 410,865 | ||||
2.72%, 1/12/2032 | 500,000 | 430,760 | ||||
2.94%, 6/4/2051 | 105,000 | 75,032 | ||||
3.00%, 2/24/2050 | 250,000 | 181,913 | ||||
3.02%, 1/16/2027 | 200,000 | 190,840 | ||||
3.06%, 6/17/2041 | 500,000 | 389,425 | ||||
3.38%, 2/8/2061 (b) | 650,000 | 481,591 | ||||
3.59%, 4/14/2027 | 250,000 | 243,700 | ||||
3.63%, 4/6/2030 | 200,000 | 189,340 | ||||
3.94%, 9/21/2028 | 100,000 | 97,717 | ||||
Canadian Natural Resources, Ltd.: | ||||||
3.85%, 6/1/2027 | 50,000 | 48,021 | ||||
3.90%, 2/1/2025 | 25,000 | 24,764 | ||||
Series GMTN, 4.95%, 6/1/2047 (b) | 100,000 | 95,134 | ||||
Cenovus Energy, Inc.: | ||||||
2.65%, 1/15/2032 (b) | 35,000 | 28,988 | ||||
4.40%, 4/15/2029 | 100,000 | 96,371 | ||||
5.38%, 7/15/2025 | 277,000 | 285,385 | ||||
Chevron Corp.: | ||||||
1.55%, 5/11/2025 | 885,000 | 839,130 | ||||
2.00%, 5/11/2027 | 350,000 | 322,612 | ||||
2.24%, 5/11/2030 | 100,000 | 87,982 | ||||
2.90%, 3/3/2024 | 750,000 | 747,337 | ||||
2.95%, 5/16/2026 | 50,000 | 48,854 | ||||
3.08%, 5/11/2050 | 100,000 | 79,656 | ||||
Chevron USA, Inc.: | ||||||
0.43%, 8/11/2023 | 30,000 | 29,162 | ||||
0.69%, 8/12/2025 (b) | 65,000 | 59,810 | ||||
1.02%, 8/12/2027 | 40,000 | 34,919 | ||||
2.34%, 8/12/2050 | 65,000 | 44,987 | ||||
CNOOC Finance 2015 USA LLC: | ||||||
3.50%, 5/5/2025 | 300,000 | 299,205 | ||||
4.38%, 5/2/2028 | 250,000 | 255,025 | ||||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 94,694 | ||||
ConocoPhillips 6.50%, 2/1/2039 (b) | 75,000 | 88,082 | ||||
ConocoPhillips Co.: | ||||||
2.13%, 3/8/2024 (b) | 200,000 | 196,062 | ||||
2.40%, 3/7/2025 | 200,000 | 192,956 | ||||
3.80%, 3/15/2052 | 500,000 | 428,915 | ||||
4.03%, 3/15/2062 (e) | 215,000 | 183,692 |
Security Description | Principal Amount | Value | |||
6.95%, 4/15/2029 | $ 50,000 | $ 57,199 | |||
Coterra Energy, Inc. 3.90%, 5/15/2027 (e) | 250,000 | 240,402 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 23,217 | |||
5.25%, 9/15/2024 | 500,000 | 510,640 | |||
5.85%, 12/15/2025 | 50,000 | 52,080 | |||
Diamondback Energy, Inc.: | |||||
3.13%, 3/24/2031 | 795,000 | 692,485 | |||
3.25%, 12/1/2026 | 45,000 | 43,921 | |||
3.50%, 12/1/2029 | 100,000 | 91,623 | |||
4.40%, 3/24/2051 (b) | 35,000 | 29,920 | |||
EOG Resources, Inc.: | |||||
3.90%, 4/1/2035 | 25,000 | 23,237 | |||
4.38%, 4/15/2030 | 30,000 | 30,144 | |||
4.95%, 4/15/2050 | 35,000 | 36,188 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 74,287 | |||
2.88%, 4/6/2025 | 250,000 | 245,622 | |||
3.25%, 11/18/2049 | 305,000 | 242,188 | |||
3.63%, 9/10/2028 | 50,000 | 48,887 | |||
3.63%, 4/6/2040 | 100,000 | 87,897 | |||
3.70%, 3/1/2024 | 300,000 | 301,386 | |||
3.95%, 5/15/2043 | 50,000 | 44,672 | |||
4.80%, 11/8/2043 | 30,000 | 30,048 | |||
Exxon Mobil Corp.: | |||||
2.02%, 8/16/2024 (b) | 50,000 | 48,791 | |||
2.44%, 8/16/2029 | 50,000 | 44,950 | |||
2.61%, 10/15/2030 | 300,000 | 269,622 | |||
2.99%, 3/19/2025 | 650,000 | 640,510 | |||
3.00%, 8/16/2039 | 50,000 | 40,854 | |||
3.10%, 8/16/2049 | 50,000 | 38,971 | |||
3.29%, 3/19/2027 (b) | 350,000 | 344,641 | |||
3.45%, 4/15/2051 | 545,000 | 447,499 | |||
3.48%, 3/19/2030 | 250,000 | 239,595 | |||
4.11%, 3/1/2046 | 125,000 | 114,240 | |||
4.23%, 3/19/2040 | 105,000 | 99,153 | |||
4.33%, 3/19/2050 | 250,000 | 236,050 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 73,085 | |||
5.80%, 4/1/2047 (b) | 250,000 | 250,257 | |||
Marathon Oil Corp.: | |||||
4.40%, 7/15/2027 (b) | 50,000 | 48,850 | |||
5.20%, 6/1/2045 | 50,000 | 45,844 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 49,519 | |||
3.80%, 4/1/2028 | 30,000 | 28,388 | |||
4.50%, 4/1/2048 | 25,000 | 21,084 | |||
4.70%, 5/1/2025 | 350,000 | 354,560 | |||
5.13%, 12/15/2026 | 150,000 | 153,854 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 105,299 | |||
Phillips 66: | |||||
2.15%, 12/15/2030 | 150,000 | 122,462 | |||
3.85%, 4/9/2025 | 180,000 | 179,095 |
Security Description | Principal Amount | Value | ||||
3.90%, 3/15/2028 (b) | $ 50,000 | $ 48,578 | ||||
4.88%, 11/15/2044 | 95,000 | 92,028 | ||||
Phillips 66 Co.: | ||||||
3.15%, 12/15/2029 (e) | 100,000 | 89,590 | ||||
3.55%, 10/1/2026 (e) | 10,000 | 9,722 | ||||
3.75%, 3/1/2028 (e) | 25,000 | 23,762 | ||||
4.90%, 10/1/2046 (e) | 10,000 | 9,498 | ||||
Pioneer Natural Resources Co.: | ||||||
1.13%, 1/15/2026 | 95,000 | 84,962 | ||||
2.15%, 1/15/2031 | 70,000 | 57,684 | ||||
Shell International Finance B.V.: | ||||||
0.38%, 9/15/2023 | 200,000 | 193,720 | ||||
2.38%, 11/7/2029 | 100,000 | 88,323 | ||||
2.50%, 9/12/2026 | 150,000 | 142,550 | ||||
2.75%, 4/6/2030 | 250,000 | 225,740 | ||||
2.88%, 11/26/2041 | 350,000 | 270,847 | ||||
3.13%, 11/7/2049 | 100,000 | 77,034 | ||||
3.25%, 5/11/2025 | 100,000 | 99,025 | ||||
3.25%, 4/6/2050 (b) | 500,000 | 394,805 | ||||
4.00%, 5/10/2046 | 100,000 | 88,543 | ||||
4.13%, 5/11/2035 | 75,000 | 71,530 | ||||
4.38%, 5/11/2045 | 250,000 | 232,707 | ||||
4.55%, 8/12/2043 | 250,000 | 237,450 | ||||
5.50%, 3/25/2040 | 25,000 | 26,851 | ||||
Suncor Energy, Inc.: | ||||||
3.75%, 3/4/2051 | 285,000 | 231,044 | ||||
4.00%, 11/15/2047 | 70,000 | 59,709 | ||||
5.35%, 7/15/2033 | 25,000 | 24,835 | ||||
6.50%, 6/15/2038 | 50,000 | 54,941 | ||||
TotalEnergies Capital International SA: | ||||||
2.99%, 6/29/2041 | 500,000 | 395,135 | ||||
3.13%, 5/29/2050 | 200,000 | 153,108 | ||||
3.75%, 4/10/2024 | 375,000 | 376,099 | ||||
TotalEnergies Capital SA 3.88%, 10/11/2028 | 25,000 | 24,642 | ||||
Valero Energy Corp.: | ||||||
2.15%, 9/15/2027 | 250,000 | 222,852 | ||||
2.85%, 4/15/2025 | 14,000 | 13,535 | ||||
3.40%, 9/15/2026 | 50,000 | 48,170 | ||||
3.65%, 12/1/2051 | 750,000 | 561,795 | ||||
6.63%, 6/15/2037 | 250,000 | 271,582 | ||||
19,208,538 | ||||||
OIL & GAS SERVICES — 0.1% | ||||||
Baker Hughes Holdings LLC/Baker Hughes Co.-Obligor, Inc.: | ||||||
1.23%, 12/15/2023 | 40,000 | 38,860 | ||||
2.06%, 12/15/2026 (b) | 600,000 | 551,376 | ||||
3.34%, 12/15/2027 | 50,000 | 47,281 | ||||
4.08%, 12/15/2047 | 150,000 | 126,778 | ||||
Halliburton Co.: | ||||||
2.92%, 3/1/2030 (b) | 500,000 | 442,870 |
Security Description | Principal Amount | Value | ||||
3.80%, 11/15/2025 | $ 9,000 | $ 8,903 | ||||
4.85%, 11/15/2035 | 150,000 | 143,818 | ||||
5.00%, 11/15/2045 | 35,000 | 32,109 | ||||
7.45%, 9/15/2039 | 25,000 | 29,362 | ||||
NOV, Inc. 3.60%, 12/1/2029 | 100,000 | 89,723 | ||||
Schlumberger Investment SA 2.65%, 6/26/2030 (b) | 150,000 | 131,899 | ||||
1,642,979 | ||||||
PACKAGING & CONTAINERS — 0.1% | ||||||
Amcor Flexibles North America, Inc. 2.69%, 5/25/2031 (b) | 130,000 | 106,098 | ||||
Berry Global, Inc. 1.57%, 1/15/2026 | 250,000 | 223,203 | ||||
Packaging Corp. of America: | ||||||
3.00%, 12/15/2029 | 25,000 | 22,421 | ||||
3.40%, 12/15/2027 (b) | 35,000 | 33,648 | ||||
4.05%, 12/15/2049 | 10,000 | 8,274 | ||||
WRKCo, Inc.: | ||||||
3.00%, 6/15/2033 | 500,000 | 421,265 | ||||
3.38%, 9/15/2027 | 100,000 | 94,806 | ||||
3.75%, 3/15/2025 | 100,000 | 98,953 | ||||
4.20%, 6/1/2032 | 50,000 | 47,310 | ||||
1,055,978 | ||||||
PHARMACEUTICALS — 1.5% | ||||||
AbbVie, Inc.: | ||||||
2.60%, 11/21/2024 | 605,000 | 586,148 | ||||
2.95%, 11/21/2026 | 605,000 | 573,443 | ||||
3.20%, 5/14/2026 | 200,000 | 192,572 | ||||
3.20%, 11/21/2029 | 245,000 | 225,260 | ||||
3.60%, 5/14/2025 | 350,000 | 345,467 | ||||
3.75%, 11/14/2023 | 235,000 | 235,895 | ||||
3.80%, 3/15/2025 | 425,000 | 422,080 | ||||
3.85%, 6/15/2024 | 50,000 | 49,989 | ||||
4.05%, 11/21/2039 | 700,000 | 623,854 | ||||
4.25%, 11/14/2028 | 35,000 | 34,601 | ||||
4.25%, 11/21/2049 | 340,000 | 301,366 | ||||
4.30%, 5/14/2036 | 50,000 | 46,979 | ||||
4.40%, 11/6/2042 | 50,000 | 45,457 | ||||
4.45%, 5/14/2046 | 150,000 | 136,063 | ||||
4.50%, 5/14/2035 | 50,000 | 48,506 | ||||
4.55%, 3/15/2035 | 350,000 | 340,952 | ||||
4.75%, 3/15/2045 | 75,000 | 70,609 | ||||
4.88%, 11/14/2048 | 25,000 | 24,089 | ||||
AmerisourceBergen Corp.: | ||||||
2.70%, 3/15/2031 | 200,000 | 171,178 | ||||
2.80%, 5/15/2030 | 100,000 | 87,258 | ||||
3.45%, 12/15/2027 (b) | 50,000 | 48,163 | ||||
Astrazeneca Finance LLC: | ||||||
0.70%, 5/28/2024 | 80,000 | 75,890 | ||||
1.20%, 5/28/2026 | 785,000 | 709,381 | ||||
1.75%, 5/28/2028 | 55,000 | 48,520 | ||||
2.25%, 5/28/2031 (b) | 20,000 | 17,401 |
Security Description | Principal Amount | Value | |||
AstraZeneca PLC: | |||||
0.70%, 4/8/2026 | $ 500,000 | $ 445,610 | |||
3.00%, 5/28/2051 | 780,000 | 619,835 | |||
3.38%, 11/16/2025 | 35,000 | 34,659 | |||
3.50%, 8/17/2023 (b) | 50,000 | 50,172 | |||
4.00%, 1/17/2029 | 35,000 | 34,876 | |||
4.00%, 9/18/2042 | 25,000 | 23,061 | |||
4.38%, 8/17/2048 | 40,000 | 39,343 | |||
6.45%, 9/15/2037 | 25,000 | 29,986 | |||
Becton Dickinson & Co.: | |||||
1.96%, 2/11/2031 | 65,000 | 52,575 | |||
3.36%, 6/6/2024 | 23,000 | 22,762 | |||
3.70%, 6/6/2027 | 163,000 | 157,779 | |||
3.73%, 12/15/2024 | 14,000 | 13,931 | |||
4.69%, 12/15/2044 | 20,000 | 18,528 | |||
Becton Dickinson and Co. 4.67%, 6/6/2047 | 210,000 | 196,132 | |||
Bristol-Myers Squibb Co.: | |||||
0.54%, 11/13/2023 | 35,000 | 33,839 | |||
0.75%, 11/13/2025 (b) | 50,000 | 45,604 | |||
1.13%, 11/13/2027 (b) | 50,000 | 43,949 | |||
1.45%, 11/13/2030 (b) | 30,000 | 24,639 | |||
2.35%, 11/13/2040 | 520,000 | 385,653 | |||
2.55%, 11/13/2050 | 30,000 | 21,212 | |||
2.90%, 7/26/2024 | 319,000 | 316,186 | |||
2.95%, 3/15/2032 (b) | 95,000 | 87,203 | |||
3.25%, 8/1/2042 | 50,000 | 40,985 | |||
3.40%, 7/26/2029 | 155,000 | 149,730 | |||
3.70%, 3/15/2052 | 500,000 | 431,875 | |||
3.90%, 2/20/2028 | 100,000 | 100,170 | |||
4.13%, 6/15/2039 | 535,000 | 511,765 | |||
4.25%, 10/26/2049 | 150,000 | 140,941 | |||
4.35%, 11/15/2047 | 225,000 | 214,416 | |||
4.55%, 2/20/2048 | 100,000 | 98,110 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 245,897 | |||
3.41%, 6/15/2027 | 300,000 | 288,606 | |||
4.90%, 9/15/2045 | 25,000 | 22,727 | |||
Cigna Corp.: | |||||
1.25%, 3/15/2026 (b) | 565,000 | 509,856 | |||
2.38%, 3/15/2031 | 560,000 | 472,931 | |||
2.40%, 3/15/2030 | 120,000 | 103,036 | |||
3.05%, 10/15/2027 | 50,000 | 47,061 | |||
3.20%, 3/15/2040 | 585,000 | 466,432 | |||
3.40%, 3/15/2050 | 415,000 | 317,363 | |||
3.40%, 3/15/2051 | 540,000 | 415,287 | |||
3.75%, 7/15/2023 | 36,000 | 36,042 | |||
4.38%, 10/15/2028 | 310,000 | 307,167 | |||
4.50%, 2/25/2026 | 750,000 | 759,877 | |||
4.80%, 8/15/2038 | 60,000 | 58,421 | |||
4.90%, 12/15/2048 | 295,000 | 283,221 | |||
6.13%, 11/15/2041 | 25,000 | 27,424 | |||
CVS Health Corp.: | |||||
1.30%, 8/21/2027 | 300,000 | 258,555 | |||
1.88%, 2/28/2031 | 250,000 | 200,447 |
Security Description | Principal Amount | Value | |||
2.70%, 8/21/2040 | $ 850,000 | $ 612,000 | |||
2.88%, 6/1/2026 | 210,000 | 200,197 | |||
3.38%, 8/12/2024 | 25,000 | 24,886 | |||
3.75%, 4/1/2030 | 250,000 | 233,865 | |||
3.88%, 7/20/2025 | 20,000 | 19,921 | |||
4.10%, 3/25/2025 | 311,000 | 313,289 | |||
4.13%, 4/1/2040 | 350,000 | 305,466 | |||
4.30%, 3/25/2028 | 179,000 | 177,226 | |||
4.78%, 3/25/2038 | 675,000 | 638,908 | |||
4.88%, 7/20/2035 | 45,000 | 44,451 | |||
5.05%, 3/25/2048 | 300,000 | 287,025 | |||
5.13%, 7/20/2045 | 185,000 | 178,595 | |||
Eli Lilly & Co.: | |||||
2.25%, 5/15/2050 (b) | 100,000 | 70,632 | |||
2.50%, 9/15/2060 | 250,000 | 171,625 | |||
GlaxoSmithKline Capital PLC: | |||||
0.53%, 10/1/2023 | 100,000 | 96,644 | |||
3.00%, 6/1/2024 | 70,000 | 69,447 | |||
3.38%, 6/1/2029 (b) | 835,000 | 805,199 | |||
GlaxoSmithKline Capital, Inc.: | |||||
3.63%, 5/15/2025 | 55,000 | 55,151 | |||
3.88%, 5/15/2028 | 100,000 | 99,520 | |||
4.20%, 3/18/2043 | 25,000 | 23,556 | |||
6.38%, 5/15/2038 | 50,000 | 59,754 | |||
Johnson & Johnson: | |||||
0.55%, 9/1/2025 | 800,000 | 738,464 | |||
0.95%, 9/1/2027 | 65,000 | 57,318 | |||
1.30%, 9/1/2030 | 570,000 | 480,675 | |||
2.10%, 9/1/2040 | 65,000 | 47,577 | |||
2.25%, 9/1/2050 (b) | 100,000 | 69,999 | |||
2.45%, 3/1/2026 | 30,000 | 29,156 | |||
2.45%, 9/1/2060 | 65,000 | 44,110 | |||
2.90%, 1/15/2028 | 250,000 | 241,625 | |||
3.38%, 12/5/2023 | 25,000 | 25,124 | |||
3.40%, 1/15/2038 | 100,000 | 90,063 | |||
3.55%, 3/1/2036 | 150,000 | 142,227 | |||
3.63%, 3/3/2037 | 200,000 | 189,986 | |||
3.75%, 3/3/2047 (b) | 100,000 | 92,750 | |||
4.50%, 12/5/2043 | 50,000 | 50,344 | |||
McKesson Corp. 0.90%, 12/3/2025 | 370,000 | 333,126 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 24,243 | |||
Merck & Co., Inc.: | |||||
0.75%, 2/24/2026 | 350,000 | 317,495 | |||
1.45%, 6/24/2030 | 55,000 | 45,686 | |||
1.70%, 6/10/2027 | 850,000 | 772,650 | |||
1.90%, 12/10/2028 | 100,000 | 88,854 | |||
2.15%, 12/10/2031 | 595,000 | 512,194 | |||
2.35%, 6/24/2040 | 70,000 | 52,707 | |||
2.75%, 2/10/2025 | 325,000 | 320,785 | |||
2.75%, 12/10/2051 | 500,000 | 370,540 | |||
2.90%, 3/7/2024 | 45,000 | 44,763 | |||
3.40%, 3/7/2029 | 100,000 | 96,822 | |||
3.60%, 9/15/2042 | 25,000 | 21,915 |
Security Description | Principal Amount | Value | |||
3.70%, 2/10/2045 | $ 50,000 | $ 43,943 | |||
3.90%, 3/7/2039 | 100,000 | 94,528 | |||
4.00%, 3/7/2049 | 65,000 | 60,054 | |||
Novartis Capital Corp.: | |||||
1.75%, 2/14/2025 | 100,000 | 96,525 | |||
2.00%, 2/14/2027 (b) | 100,000 | 93,084 | |||
2.20%, 8/14/2030 | 100,000 | 88,189 | |||
2.75%, 8/14/2050 | 815,000 | 633,817 | |||
3.00%, 11/20/2025 | 25,000 | 24,671 | |||
3.10%, 5/17/2027 (b) | 30,000 | 29,270 | |||
3.40%, 5/6/2024 | 25,000 | 25,120 | |||
4.00%, 11/20/2045 | 50,000 | 46,490 | |||
Pfizer, Inc.: | |||||
0.80%, 5/28/2025 | 750,000 | 699,292 | |||
1.70%, 5/28/2030 | 150,000 | 127,888 | |||
1.75%, 8/18/2031 | 65,000 | 54,371 | |||
2.55%, 5/28/2040 | 150,000 | 118,194 | |||
2.70%, 5/28/2050 | 250,000 | 191,257 | |||
2.95%, 3/15/2024 | 100,000 | 99,575 | |||
3.00%, 12/15/2026 | 150,000 | 146,662 | |||
3.20%, 9/15/2023 | 50,000 | 50,140 | |||
3.40%, 5/15/2024 | 25,000 | 25,136 | |||
3.45%, 3/15/2029 | 100,000 | 97,265 | |||
3.60%, 9/15/2028 (b) | 100,000 | 99,468 | |||
3.90%, 3/15/2039 | 25,000 | 23,583 | |||
4.00%, 12/15/2036 | 150,000 | 145,999 | |||
4.00%, 3/15/2049 | 100,000 | 94,114 | |||
4.10%, 9/15/2038 | 200,000 | 192,918 | |||
4.20%, 9/15/2048 | 35,000 | 34,101 | |||
7.20%, 3/15/2039 | 75,000 | 98,243 | |||
Sanofi 3.63%, 6/19/2028 (b) | 100,000 | 98,629 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.88%, 9/23/2023 | 40,000 | 39,558 | |||
3.20%, 9/23/2026 | 30,000 | 28,807 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
2.05%, 3/31/2030 | 250,000 | 209,095 | |||
3.03%, 7/9/2040 | 200,000 | 153,856 | |||
3.18%, 7/9/2050 | 500,000 | 372,105 | |||
4.40%, 11/26/2023 | 100,000 | 100,727 | |||
5.00%, 11/26/2028 | 100,000 | 101,986 | |||
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | 250,000 | 201,407 | |||
Viatris, Inc.: | |||||
2.70%, 6/22/2030 | 150,000 | 120,545 | |||
3.85%, 6/22/2040 | 500,000 | 352,110 | |||
4.00%, 6/22/2050 | 900,000 | 599,679 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 28,668 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 47,172 | |||
3.00%, 5/15/2050 | 105,000 | 78,171 | |||
3.90%, 8/20/2028 | 50,000 | 48,464 | |||
4.45%, 8/20/2048 | 25,000 | 23,518 |
Security Description | Principal Amount | Value | ||||
4.70%, 2/1/2043 | $ 25,000 | $ 24,050 | ||||
30,617,996 | ||||||
PIPELINES — 0.8% | ||||||
Boardwalk Pipelines L.P.: | ||||||
3.40%, 2/15/2031 | 45,000 | 38,426 | ||||
4.80%, 5/3/2029 | 40,000 | 38,822 | ||||
Cheniere Corpus Christi Holdings LLC: | ||||||
2.74%, 12/31/2039 | 750,000 | 582,502 | ||||
3.70%, 11/15/2029 | 90,000 | 82,566 | ||||
Enbridge, Inc.: | ||||||
2.15%, 2/16/2024 | 90,000 | 87,375 | ||||
2.50%, 2/14/2025 | 80,000 | 76,895 | ||||
2.50%, 8/1/2033 | 200,000 | 161,738 | ||||
3.40%, 8/1/2051 | 145,000 | 109,426 | ||||
3.70%, 7/15/2027 | 50,000 | 47,946 | ||||
4.00%, 11/15/2049 | 100,000 | 83,810 | ||||
4.25%, 12/1/2026 | 50,000 | 49,471 | ||||
Energy Transfer L.P.: | ||||||
2.90%, 5/15/2025 | 500,000 | 475,730 | ||||
4.00%, 10/1/2027 | 50,000 | 47,297 | ||||
4.15%, 9/15/2029 | 100,000 | 91,194 | ||||
4.20%, 4/15/2027 | 50,000 | 48,056 | ||||
4.40%, 3/15/2027 | 50,000 | 48,242 | ||||
4.75%, 1/15/2026 | 225,000 | 224,559 | ||||
4.95%, 5/15/2028 | 30,000 | 29,380 | ||||
5.00%, 5/15/2050 | 250,000 | 212,697 | ||||
5.15%, 2/1/2043 | 25,000 | 21,399 | ||||
5.15%, 3/15/2045 | 225,000 | 192,571 | ||||
5.25%, 4/15/2029 | 275,000 | 272,511 | ||||
5.30%, 4/1/2044 | 25,000 | 21,661 | ||||
5.35%, 5/15/2045 | 25,000 | 21,872 | ||||
5.40%, 10/1/2047 | 150,000 | 131,908 | ||||
5.88%, 1/15/2024 | 250,000 | 254,800 | ||||
6.25%, 4/15/2049 | 275,000 | 266,744 | ||||
Enterprise Products Operating LLC: | ||||||
3.13%, 7/31/2029 | 100,000 | 90,036 | ||||
3.20%, 2/15/2052 | 200,000 | 143,454 | ||||
3.30%, 2/15/2053 | 250,000 | 182,275 | ||||
3.70%, 1/31/2051 | 1,250,000 | 976,550 | ||||
3.75%, 2/15/2025 | 75,000 | 74,265 | ||||
3.95%, 2/15/2027 (b) | 200,000 | 197,130 | ||||
4.15%, 10/16/2028 | 25,000 | 24,389 | ||||
4.20%, 1/31/2050 | 65,000 | 54,248 | ||||
4.80%, 2/1/2049 | 25,000 | 22,690 | ||||
4.85%, 3/15/2044 | 50,000 | 45,421 | ||||
4.90%, 5/15/2046 | 50,000 | 45,981 | ||||
5.10%, 2/15/2045 | 200,000 | 188,128 | ||||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | 150,000 | 126,040 | ||||
Kinder Morgan Energy Partners L.P. 5.40%, 9/1/2044 | 25,000 | 22,914 |
Security Description | Principal Amount | Value | |||
Kinder Morgan, Inc.: | |||||
2.00%, 2/15/2031 (b) | $ 110,000 | $ 87,996 | |||
3.25%, 8/1/2050 | 650,000 | 452,068 | |||
3.60%, 2/15/2051 | 600,000 | 440,586 | |||
4.30%, 6/1/2025 | 300,000 | 299,145 | |||
5.05%, 2/15/2046 | 50,000 | 44,684 | |||
5.30%, 12/1/2034 | 200,000 | 194,714 | |||
5.55%, 6/1/2045 | 150,000 | 141,685 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 41,213 | |||
4.85%, 2/1/2049 | 275,000 | 246,592 | |||
5.00%, 3/1/2026 | 50,000 | 51,041 | |||
MPLX L.P.: | |||||
1.75%, 3/1/2026 | 35,000 | 31,577 | |||
2.65%, 8/15/2030 | 500,000 | 417,440 | |||
4.00%, 3/15/2028 | 35,000 | 33,194 | |||
4.50%, 4/15/2038 | 180,000 | 157,781 | |||
4.70%, 4/15/2048 | 100,000 | 84,010 | |||
4.80%, 2/15/2029 | 105,000 | 103,378 | |||
4.88%, 6/1/2025 | 50,000 | 50,274 | |||
4.90%, 4/15/2058 | 25,000 | 20,741 | |||
4.95%, 3/14/2052 | 500,000 | 432,450 | |||
5.20%, 3/1/2047 | 100,000 | 90,444 | |||
5.20%, 12/1/2047 | 100,000 | 89,777 | |||
ONEOK, Inc.: | |||||
2.20%, 9/15/2025 | 25,000 | 23,290 | |||
2.75%, 9/1/2024 | 100,000 | 96,854 | |||
3.10%, 3/15/2030 | 525,000 | 451,248 | |||
3.40%, 9/1/2029 | 100,000 | 88,251 | |||
4.00%, 7/13/2027 | 30,000 | 28,905 | |||
4.45%, 9/1/2049 | 40,000 | 32,055 | |||
4.50%, 3/15/2050 | 25,000 | 19,915 | |||
4.55%, 7/15/2028 | 50,000 | 48,341 | |||
4.95%, 7/13/2047 | 150,000 | 127,270 | |||
5.20%, 7/15/2048 | 25,000 | 22,164 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 24,482 | |||
4.50%, 12/15/2026 | 50,000 | 49,107 | |||
4.65%, 10/15/2025 | 400,000 | 397,108 | |||
4.70%, 6/15/2044 | 25,000 | 19,797 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 | 100,000 | 96,169 | |||
5.63%, 3/1/2025 | 200,000 | 204,334 | |||
5.75%, 5/15/2024 | 75,000 | 76,502 | |||
5.88%, 6/30/2026 | 250,000 | 258,292 | |||
4.50%, 5/15/2030 | 250,000 | 240,160 | |||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 353,111 | |||
Targa Resources Corp. 5.20%, 7/1/2027 (f) | 85,000 | 85,341 |
Security Description | Principal Amount | Value | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.00%, 1/15/2032 | $ 500,000 | $ 428,785 | ||||
TransCanada PipeLines, Ltd.: | ||||||
1.00%, 10/12/2024 | 120,000 | 112,099 | ||||
4.10%, 4/15/2030 | 700,000 | 669,032 | ||||
4.63%, 3/1/2034 | 250,000 | 240,000 | ||||
4.75%, 5/15/2038 | 100,000 | 95,071 | ||||
7.63%, 1/15/2039 | 25,000 | 30,900 | ||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||
3.25%, 5/15/2030 | 750,000 | 673,545 | ||||
7.85%, 2/1/2026 | 200,000 | 220,616 | ||||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 49,285 | ||||
Williams Cos., Inc.: | ||||||
2.60%, 3/15/2031 | 750,000 | 628,447 | ||||
3.50%, 11/15/2030 | 100,000 | 90,053 | ||||
3.75%, 6/15/2027 | 200,000 | 191,256 | ||||
3.90%, 1/15/2025 | 50,000 | 49,430 | ||||
4.55%, 6/24/2024 | 65,000 | 65,605 | ||||
5.10%, 9/15/2045 | 125,000 | 116,458 | ||||
5.75%, 6/24/2044 | 25,000 | 25,091 | ||||
15,852,278 | ||||||
REAL ESTATE — 0.0% (a) | ||||||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 50,476 | ||||
REAL ESTATE INVESTMENT TRUSTS — 0.8% | ||||||
Agree L.P. 2.00%, 6/15/2028 | 65,000 | 55,407 | ||||
Alexandria Real Estate Equities, Inc.: | ||||||
2.00%, 5/18/2032 | 125,000 | 98,729 | ||||
3.00%, 5/18/2051 | 250,000 | 169,310 | ||||
3.38%, 8/15/2031 | 60,000 | 52,951 | ||||
3.45%, 4/30/2025 | 100,000 | 98,321 | ||||
4.00%, 2/1/2050 | 100,000 | 82,804 | ||||
4.70%, 7/1/2030 | 35,000 | 34,479 | ||||
American Campus Communities Operating Partnership L.P.: | ||||||
2.25%, 1/15/2029 | 100,000 | 92,479 | ||||
3.30%, 7/15/2026 | 50,000 | 48,838 | ||||
3.63%, 11/15/2027 | 30,000 | 29,500 | ||||
American Tower Corp.: | ||||||
1.45%, 9/15/2026 | 200,000 | 174,986 | ||||
1.50%, 1/31/2028 | 500,000 | 415,660 | ||||
2.30%, 9/15/2031 | 145,000 | 114,875 | ||||
2.75%, 1/15/2027 | 200,000 | 182,774 | ||||
3.10%, 6/15/2050 | 100,000 | 69,150 | ||||
3.13%, 1/15/2027 | 100,000 | 92,729 | ||||
3.38%, 10/15/2026 | 75,000 | 70,917 | ||||
3.65%, 3/15/2027 | 160,000 | 152,237 |
Security Description | Principal Amount | Value | |||
AvalonBay Communities, Inc.: | |||||
2.05%, 1/15/2032 | $ 140,000 | $ 115,966 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 47,696 | |||
Series MTN, 2.45%, 1/15/2031 | 70,000 | 60,444 | |||
Series MTN, 3.20%, 1/15/2028 (b) | 40,000 | 37,737 | |||
Series MTN, 3.30%, 6/1/2029 | 65,000 | 60,349 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 43,306 | |||
Boston Properties L.P.: | |||||
2.45%, 10/1/2033 | 50,000 | 38,283 | |||
2.55%, 4/1/2032 | 200,000 | 158,618 | |||
2.75%, 10/1/2026 | 150,000 | 139,756 | |||
2.90%, 3/15/2030 | 35,000 | 29,586 | |||
3.40%, 6/21/2029 | 100,000 | 89,478 | |||
3.65%, 2/1/2026 | 100,000 | 97,094 | |||
Brixmor Operating Partnership L.P.: | |||||
2.25%, 4/1/2028 | 50,000 | 42,899 | |||
2.50%, 8/16/2031 | 50,000 | 39,318 | |||
3.65%, 6/15/2024 | 50,000 | 49,299 | |||
4.05%, 7/1/2030 | 25,000 | 22,529 | |||
4.13%, 6/15/2026 | 50,000 | 48,917 | |||
4.13%, 5/15/2029 | 100,000 | 93,056 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 59,348 | |||
4.10%, 10/15/2028 | 20,000 | 19,654 | |||
Corporate Office Properties L.P.: | |||||
2.25%, 3/15/2026 | 35,000 | 31,711 | |||
2.75%, 4/15/2031 | 40,000 | 32,450 | |||
Crown Castle International Corp.: | |||||
2.10%, 4/1/2031 | 500,000 | 396,925 | |||
2.50%, 7/15/2031 | 500,000 | 410,470 | |||
2.90%, 4/1/2041 | 500,000 | 362,075 | |||
3.20%, 9/1/2024 | 250,000 | 244,867 | |||
3.65%, 9/1/2027 | 150,000 | 141,883 | |||
3.70%, 6/15/2026 | 15,000 | 14,489 | |||
4.00%, 3/1/2027 | 20,000 | 19,407 | |||
4.75%, 5/15/2047 | 100,000 | 90,182 | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 | 100,000 | 87,911 | |||
4.38%, 2/15/2029 | 30,000 | 28,931 | |||
Digital Realty Trust L.P. 3.70%, 8/15/2027 | 150,000 | 142,881 | |||
Duke Realty L.P.: | |||||
1.75%, 2/1/2031 (b) | 70,000 | 56,843 | |||
2.25%, 1/15/2032 | 100,000 | 82,977 | |||
3.05%, 3/1/2050 | 10,000 | 7,385 | |||
4.00%, 9/15/2028 | 100,000 | 97,010 | |||
Equinix, Inc.: | |||||
1.00%, 9/15/2025 (b) | 150,000 | 134,512 |
Security Description | Principal Amount | Value | |||
1.45%, 5/15/2026 | $ 70,000 | $ 62,278 | |||
1.55%, 3/15/2028 | 75,000 | 63,075 | |||
2.00%, 5/15/2028 (b) | 70,000 | 60,105 | |||
2.50%, 5/15/2031 | 100,000 | 81,044 | |||
2.63%, 11/18/2024 | 65,000 | 62,414 | |||
2.95%, 9/15/2051 | 150,000 | 101,056 | |||
3.20%, 11/18/2029 (b) | 45,000 | 40,011 | |||
3.40%, 2/15/2052 | 50,000 | 37,060 | |||
3.90%, 4/15/2032 | 100,000 | 90,442 | |||
ERP Operating L.P.: | |||||
1.85%, 8/1/2031 | 200,000 | 164,094 | |||
3.00%, 7/1/2029 | 25,000 | 22,662 | |||
3.50%, 3/1/2028 (b) | 100,000 | 95,154 | |||
4.00%, 8/1/2047 | 50,000 | 43,544 | |||
4.15%, 12/1/2028 | 100,000 | 97,889 | |||
Essex Portfolio L.P.: | |||||
1.70%, 3/1/2028 | 165,000 | 141,588 | |||
2.55%, 6/15/2031 | 30,000 | 25,065 | |||
3.00%, 1/15/2030 | 25,000 | 22,126 | |||
3.63%, 5/1/2027 | 50,000 | 48,341 | |||
4.00%, 3/1/2029 | 65,000 | 62,078 | |||
4.50%, 3/15/2048 | 50,000 | 44,899 | |||
Extra Space Storage L.P.: | |||||
2.35%, 3/15/2032 | 70,000 | 55,714 | |||
3.90%, 4/1/2029 | 520,000 | 487,703 | |||
Federal Realty OP L.P.: | |||||
3.20%, 6/15/2029 | 75,000 | 67,493 | |||
3.25%, 7/15/2027 | 50,000 | 46,993 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.25%, 1/15/2032 | 100,000 | 80,294 | |||
3.35%, 9/1/2024 | 55,000 | 52,840 | |||
4.00%, 1/15/2030 | 65,000 | 57,108 | |||
4.00%, 1/15/2031 | 50,000 | 43,345 | |||
5.25%, 6/1/2025 | 20,000 | 19,647 | |||
5.38%, 11/1/2023 | 20,000 | 19,925 | |||
5.38%, 4/15/2026 | 40,000 | 39,145 | |||
5.75%, 6/1/2028 | 20,000 | 19,530 | |||
Healthcare Realty Trust, Inc. 2.40%, 3/15/2030 | 25,000 | 20,780 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.00%, 3/15/2031 (b) | 55,000 | 42,662 | |||
3.50%, 8/1/2026 | 25,000 | 23,775 | |||
Healthpeak Properties, Inc.: | |||||
1.35%, 2/1/2027 | 100,000 | 87,805 | |||
2.13%, 12/1/2028 | 125,000 | 107,981 | |||
2.88%, 1/15/2031 | 125,000 | 107,676 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 21,643 | |||
3.88%, 3/1/2027 | 50,000 | 48,201 | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | 50,000 | 49,584 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 126,678 |
Security Description | Principal Amount | Value | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | $ 200,000 | $ 173,944 | |||
4.65%, 4/1/2029 | 25,000 | 24,085 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 42,640 | |||
3.45%, 12/15/2024 | 50,000 | 48,753 | |||
4.75%, 12/15/2028 | 25,000 | 24,516 | |||
Kimco Realty Corp.: | |||||
2.25%, 12/1/2031 (b) | 180,000 | 145,550 | |||
2.80%, 10/1/2026 | 50,000 | 46,826 | |||
3.30%, 2/1/2025 | 40,000 | 39,158 | |||
3.70%, 10/1/2049 | 100,000 | 77,651 | |||
3.80%, 4/1/2027 | 25,000 | 24,152 | |||
Life Storage L.P.: | |||||
2.40%, 10/15/2031 | 70,000 | 55,737 | |||
4.00%, 6/15/2029 | 100,000 | 91,406 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 48,089 | |||
3.95%, 3/15/2029 | 100,000 | 95,446 | |||
National Retail Properties, Inc.: | |||||
3.00%, 4/15/2052 | 250,000 | 171,257 | |||
3.10%, 4/15/2050 | 100,000 | 69,159 | |||
3.50%, 4/15/2051 | 45,000 | 33,872 | |||
3.60%, 12/15/2026 | 50,000 | 48,170 | |||
4.30%, 10/15/2028 | 35,000 | 34,011 | |||
Office Properties Income Trust: | |||||
2.40%, 2/1/2027 | 50,000 | 40,854 | |||
4.25%, 5/15/2024 | 50,000 | 48,567 | |||
4.50%, 2/1/2025 | 25,000 | 23,938 | |||
Omega Healthcare Investors, Inc.: | |||||
3.25%, 4/15/2033 | 200,000 | 150,928 | |||
3.63%, 10/1/2029 | 50,000 | 42,040 | |||
4.38%, 8/1/2023 | 31,000 | 31,058 | |||
Physicians Realty L.P.: | |||||
2.63%, 11/1/2031 | 25,000 | 20,166 | |||
3.95%, 1/15/2028 | 100,000 | 95,249 | |||
Piedmont Operating Partnership L.P. 3.15%, 8/15/2030 | 100,000 | 82,653 | |||
Prologis L.P.: | |||||
1.25%, 10/15/2030 (b) | 30,000 | 23,829 | |||
1.63%, 3/15/2031 (b) | 250,000 | 201,890 | |||
2.13%, 4/15/2027 (b) | 50,000 | 45,821 | |||
2.25%, 4/15/2030 | 65,000 | 56,263 | |||
3.00%, 4/15/2050 | 50,000 | 37,726 | |||
4.38%, 2/1/2029 | 65,000 | 64,869 | |||
Public Storage: | |||||
1.50%, 11/9/2026 (b) | 50,000 | 45,115 | |||
1.85%, 5/1/2028 | 250,000 | 216,997 | |||
2.25%, 11/9/2031 | 65,000 | 53,869 | |||
Realty Income Corp.: | |||||
0.75%, 3/15/2026 | 250,000 | 220,067 |
Security Description | Principal Amount | Value | |||
1.80%, 3/15/2033 | $ 300,000 | $ 229,221 | |||
2.85%, 12/15/2032 | 250,000 | 214,247 | |||
3.10%, 12/15/2029 | 150,000 | 136,461 | |||
3.65%, 1/15/2028 | 100,000 | 95,938 | |||
3.88%, 4/15/2025 | 100,000 | 99,588 | |||
3.95%, 8/15/2027 | 40,000 | 39,094 | |||
4.13%, 10/15/2026 | 50,000 | 49,711 | |||
4.60%, 2/6/2024 | 5,000 | 5,042 | |||
4.63%, 11/1/2025 | 50,000 | 50,684 | |||
4.88%, 6/1/2026 | 10,000 | 10,196 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 48,117 | |||
4.40%, 2/1/2047 | 150,000 | 131,392 | |||
Sabra Health Care L.P.: | |||||
3.20%, 12/1/2031 | 150,000 | 119,166 | |||
5.13%, 8/15/2026 | 25,000 | 24,303 | |||
Simon Property Group L.P.: | |||||
1.38%, 1/15/2027 (b) | 200,000 | 175,052 | |||
1.75%, 2/1/2028 | 250,000 | 213,355 | |||
2.20%, 2/1/2031 (b) | 250,000 | 203,005 | |||
2.65%, 7/15/2030 (b) | 350,000 | 297,087 | |||
2.65%, 2/1/2032 | 500,000 | 413,190 | |||
4.25%, 11/30/2046 | 50,000 | 42,827 | |||
Spirit Realty L.P.: | |||||
2.10%, 3/15/2028 | 50,000 | 41,841 | |||
2.70%, 2/15/2032 | 60,000 | 46,874 | |||
3.40%, 1/15/2030 | 100,000 | 86,371 | |||
STORE Capital Corp.: | |||||
2.70%, 12/1/2031 | 100,000 | 80,136 | |||
4.50%, 3/15/2028 | 50,000 | 48,777 | |||
Sun Communities Operating L.P.: | |||||
2.30%, 11/1/2028 | 65,000 | 55,555 | |||
2.70%, 7/15/2031 | 40,000 | 32,204 | |||
Sun Communities Operating LP 4.20%, 4/15/2032 | 50,000 | 45,148 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 (b) | 50,000 | 47,193 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 140,913 | |||
Series MTN, 1.90%, 3/15/2033 (b) | 250,000 | 189,132 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 23,493 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 47,616 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 | 25,000 | 23,921 | |||
3.00%, 1/15/2030 | 50,000 | 43,825 | |||
3.85%, 4/1/2027 | 100,000 | 96,502 | |||
4.00%, 3/1/2028 | 100,000 | 95,687 | |||
4.38%, 2/1/2045 | 75,000 | 63,844 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 48,412 |
Security Description | Principal Amount | Value | ||||
Welltower, Inc.: | ||||||
2.05%, 1/15/2029 | $ 560,000 | $ 471,274 | ||||
2.70%, 2/15/2027 (b) | 50,000 | 46,228 | ||||
2.80%, 6/1/2031 | 200,000 | 168,422 | ||||
3.10%, 1/15/2030 | 55,000 | 48,391 | ||||
4.00%, 6/1/2025 | 175,000 | 174,062 | ||||
4.13%, 3/15/2029 | 100,000 | 94,516 | ||||
Weyerhaeuser Co.: | ||||||
3.38%, 3/9/2033 | 60,000 | 52,327 | ||||
4.00%, 11/15/2029 | 200,000 | 189,312 | ||||
WP Carey, Inc.: | ||||||
2.25%, 4/1/2033 | 50,000 | 38,459 | ||||
3.85%, 7/15/2029 | 100,000 | 93,248 | ||||
16,731,515 | ||||||
RETAIL — 0.7% | ||||||
Advance Auto Parts, Inc. 3.90%, 4/15/2030 | 100,000 | 91,056 | ||||
AutoNation, Inc.: | ||||||
3.85%, 3/1/2032 | 200,000 | 172,554 | ||||
4.75%, 6/1/2030 | 50,000 | 46,951 | ||||
AutoZone, Inc.: | ||||||
1.65%, 1/15/2031 | 40,000 | 31,338 | ||||
3.13%, 4/18/2024 | 100,000 | 98,847 | ||||
3.75%, 6/1/2027 | 100,000 | 97,028 | ||||
Best Buy Co., Inc. 4.45%, 10/1/2028 (b) | 50,000 | 49,274 | ||||
Costco Wholesale Corp.: | ||||||
1.38%, 6/20/2027 | 100,000 | 89,753 | ||||
1.60%, 4/20/2030 | 65,000 | 54,831 | ||||
1.75%, 4/20/2032 (b) | 530,000 | 436,259 | ||||
Darden Restaurants, Inc.: | ||||||
3.85%, 5/1/2027 (b) | 15,000 | 14,434 | ||||
4.55%, 2/15/2048 | 15,000 | 12,411 | ||||
Dollar General Corp.: | ||||||
4.13%, 5/1/2028 | 70,000 | 68,290 | ||||
4.15%, 11/1/2025 (b) | 25,000 | 25,031 | ||||
Dollar Tree, Inc.: | ||||||
2.65%, 12/1/2031 | 200,000 | 164,478 | ||||
4.00%, 5/15/2025 | 100,000 | 99,634 | ||||
4.20%, 5/15/2028 (b) | 45,000 | 43,680 | ||||
Genuine Parts Co. 1.75%, 2/1/2025 | 40,000 | 37,755 | ||||
Home Depot, Inc.: | ||||||
1.50%, 9/15/2028 | 100,000 | 87,190 | ||||
1.88%, 9/15/2031 (b) | 40,000 | 33,335 | ||||
2.13%, 9/15/2026 | 150,000 | 142,006 | ||||
2.38%, 3/15/2051 | 500,000 | 337,780 | ||||
2.50%, 4/15/2027 | 350,000 | 331,390 | ||||
2.70%, 4/15/2030 | 250,000 | 226,935 | ||||
2.75%, 9/15/2051 | 100,000 | 72,728 | ||||
2.80%, 9/14/2027 | 250,000 | 238,415 | ||||
2.88%, 4/15/2027 | 100,000 | 96,594 | ||||
3.00%, 4/1/2026 | 350,000 | 343,486 | ||||
3.13%, 12/15/2049 | 100,000 | 77,962 | ||||
3.25%, 4/15/2032 | 130,000 | 121,259 |
Security Description | Principal Amount | Value | |||
3.30%, 4/15/2040 | $ 250,000 | $ 212,180 | |||
3.35%, 4/15/2050 | 150,000 | 121,530 | |||
3.75%, 2/15/2024 | 25,000 | 25,199 | |||
4.25%, 4/1/2046 | 35,000 | 32,961 | |||
5.95%, 4/1/2041 | 50,000 | 57,052 | |||
Kohl's Corp.: | |||||
3.38%, 5/1/2031 (b) | 90,000 | 77,900 | |||
5.55%, 7/17/2045 (b) | 20,000 | 17,267 | |||
Lowe's Cos., Inc.: | |||||
1.30%, 4/15/2028 | 20,000 | 16,907 | |||
1.70%, 9/15/2028 | 25,000 | 21,312 | |||
1.70%, 10/15/2030 (b) | 520,000 | 417,638 | |||
2.50%, 4/15/2026 | 50,000 | 47,317 | |||
2.63%, 4/1/2031 | 100,000 | 85,657 | |||
3.00%, 10/15/2050 | 265,000 | 184,774 | |||
3.10%, 5/3/2027 (b) | 200,000 | 189,962 | |||
3.35%, 4/1/2027 (b) | 90,000 | 86,681 | |||
3.38%, 9/15/2025 | 25,000 | 24,565 | |||
3.50%, 4/1/2051 | 50,000 | 38,120 | |||
3.70%, 4/15/2046 | 50,000 | 40,169 | |||
3.75%, 4/1/2032 | 250,000 | 232,007 | |||
4.05%, 5/3/2047 | 300,000 | 251,268 | |||
McDonald's Corp.: | |||||
Series MTN, 1.45%, 9/1/2025 | 15,000 | 13,977 | |||
Series MTN, 2.13%, 3/1/2030 | 15,000 | 12,851 | |||
Series MTN, 2.63%, 9/1/2029 | 75,000 | 67,240 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 48,954 | |||
Series MTN, 3.60%, 7/1/2030 | 250,000 | 238,065 | |||
Series MTN, 3.63%, 9/1/2049 | 160,000 | 131,170 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 74,957 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 98,180 | |||
Series MTN, 4.20%, 4/1/2050 (b) | 750,000 | 674,062 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 116,307 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 18,582 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 149,430 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 98,101 | |||
O'Reilly Automotive, Inc.: | |||||
1.75%, 3/15/2031 (b) | 45,000 | 35,591 | |||
3.60%, 9/1/2027 | 50,000 | 48,323 | |||
4.35%, 6/1/2028 | 100,000 | 99,452 | |||
Starbucks Corp.: | |||||
2.00%, 3/12/2027 | 100,000 | 91,126 | |||
2.25%, 3/12/2030 | 100,000 | 84,630 |
Security Description | Principal Amount | Value | ||||
2.55%, 11/15/2030 | $ 100,000 | $ 85,285 | ||||
3.00%, 2/14/2032 | 220,000 | 191,195 | ||||
3.35%, 3/12/2050 | 25,000 | 18,803 | ||||
3.50%, 11/15/2050 (b) | 150,000 | 117,321 | ||||
3.80%, 8/15/2025 | 50,000 | 49,888 | ||||
3.85%, 10/1/2023 | 25,000 | 25,182 | ||||
4.00%, 11/15/2028 (b) | 50,000 | 48,865 | ||||
4.45%, 8/15/2049 | 100,000 | 90,024 | ||||
4.50%, 11/15/2048 | 30,000 | 27,320 | ||||
Target Corp.: | ||||||
1.95%, 1/15/2027 (b) | 200,000 | 185,672 | ||||
2.25%, 4/15/2025 | 500,000 | 483,210 | ||||
2.50%, 4/15/2026 | 50,000 | 47,980 | ||||
3.38%, 4/15/2029 (b) | 100,000 | 96,185 | ||||
TJX Cos., Inc.: | ||||||
1.60%, 5/15/2031 | 250,000 | 201,557 | ||||
2.25%, 9/15/2026 | 50,000 | 46,918 | ||||
Walgreens Boots Alliance, Inc.: | ||||||
3.20%, 4/15/2030 (b) | 50,000 | 44,153 | ||||
3.45%, 6/1/2026 | 250,000 | 242,717 | ||||
4.10%, 4/15/2050 (b) | 350,000 | 276,185 | ||||
Walmart, Inc.: | ||||||
1.05%, 9/17/2026 | 165,000 | 150,257 | ||||
1.50%, 9/22/2028 | 500,000 | 438,370 | ||||
1.80%, 9/22/2031 | 570,000 | 484,568 | ||||
2.50%, 9/22/2041 (b) | 750,000 | 581,025 | ||||
2.65%, 12/15/2024 (b) | 150,000 | 148,273 | ||||
2.65%, 9/22/2051 | 750,000 | 565,012 | ||||
3.25%, 7/8/2029 | 80,000 | 77,084 | ||||
3.30%, 4/22/2024 | 325,000 | 325,949 | ||||
13,073,146 | ||||||
SEMICONDUCTORS — 0.6% | ||||||
Analog Devices, Inc. 2.10%, 10/1/2031 | 500,000 | 426,605 | ||||
Applied Materials, Inc.: | ||||||
1.75%, 6/1/2030 | 30,000 | 25,241 | ||||
3.90%, 10/1/2025 | 25,000 | 25,244 | ||||
4.35%, 4/1/2047 | 100,000 | 96,682 | ||||
5.10%, 10/1/2035 | 50,000 | 52,467 | ||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%, 1/15/2027 | 350,000 | 337,403 | ||||
Broadcom, Inc.: | ||||||
1.95%, 2/15/2028 (e) | 80,000 | 68,145 | ||||
2.45%, 2/15/2031 (e) | 700,000 | 562,835 | ||||
2.60%, 2/15/2033 (e) | 200,000 | 154,232 | ||||
3.14%, 11/15/2035 (e) | 750,000 | 572,887 | ||||
3.15%, 11/15/2025 | 80,000 | 77,030 | ||||
3.42%, 4/15/2033 (e) | 315,000 | 260,401 | ||||
3.47%, 4/15/2034 (e) | 250,000 | 202,777 | ||||
3.50%, 2/15/2041 (e) | 565,000 | 426,078 | ||||
3.75%, 2/15/2051 (e) | 40,000 | 29,551 | ||||
4.11%, 9/15/2028 | 159,000 | 150,983 | ||||
4.15%, 11/15/2030 | 100,000 | 91,701 |
Security Description | Principal Amount | Value | |||
4.30%, 11/15/2032 | $ 55,000 | $ 50,035 | |||
4.75%, 4/15/2029 | 150,000 | 145,767 | |||
4.93%, 5/15/2037 (e) | 500,000 | 449,095 | |||
5.00%, 4/15/2030 | 200,000 | 196,620 | |||
Intel Corp.: | |||||
1.60%, 8/12/2028 | 55,000 | 48,167 | |||
2.00%, 8/12/2031 (b) | 100,000 | 83,753 | |||
2.45%, 11/15/2029 | 150,000 | 133,797 | |||
2.88%, 5/11/2024 | 200,000 | 199,270 | |||
3.05%, 8/12/2051 | 350,000 | 260,631 | |||
3.10%, 2/15/2060 | 150,000 | 107,402 | |||
3.15%, 5/11/2027 (b) | 200,000 | 195,548 | |||
3.25%, 11/15/2049 | 150,000 | 117,094 | |||
3.40%, 3/25/2025 | 500,000 | 498,895 | |||
3.75%, 3/25/2027 | 300,000 | 301,392 | |||
4.10%, 5/19/2046 | 370,000 | 337,018 | |||
4.10%, 5/11/2047 | 50,000 | 45,503 | |||
4.75%, 3/25/2050 | 150,000 | 147,630 | |||
KLA Corp.: | |||||
3.30%, 3/1/2050 | 50,000 | 39,638 | |||
4.10%, 3/15/2029 | 65,000 | 64,431 | |||
Lam Research Corp.: | |||||
3.75%, 3/15/2026 | 50,000 | 49,905 | |||
4.00%, 3/15/2029 | 280,000 | 275,486 | |||
4.88%, 3/15/2049 | 25,000 | 25,511 | |||
Marvell Technology, Inc.: | |||||
1.65%, 4/15/2026 | 65,000 | 58,272 | |||
2.45%, 4/15/2028 | 65,000 | 56,709 | |||
2.95%, 4/15/2031 | 60,000 | 50,152 | |||
Micron Technology, Inc.: | |||||
2.70%, 4/15/2032 | 110,000 | 87,841 | |||
4.66%, 2/15/2030 | 200,000 | 191,936 | |||
NVIDIA Corp.: | |||||
0.58%, 6/14/2024 | 75,000 | 71,169 | |||
1.55%, 6/15/2028 | 100,000 | 87,718 | |||
2.00%, 6/15/2031 | 100,000 | 84,862 | |||
3.20%, 9/16/2026 | 50,000 | 49,574 | |||
3.50%, 4/1/2040 | 300,000 | 262,137 | |||
3.50%, 4/1/2050 | 150,000 | 127,474 | |||
NXP BV/NXP Funding LLC 4.88%, 3/1/2024 | 100,000 | 101,028 | |||
NXP BV/NXP Funding LLC/NXP USA, Inc.: | |||||
2.70%, 5/1/2025 | 10,000 | 9,519 | |||
3.15%, 5/1/2027 | 15,000 | 13,955 | |||
3.25%, 5/11/2041 | 350,000 | 264,257 | |||
3.40%, 5/1/2030 | 570,000 | 507,773 | |||
4.30%, 6/18/2029 | 500,000 | 479,880 | |||
4.40%, 6/1/2027 | 75,000 | 74,156 | |||
5.00%, 1/15/2033 | 100,000 | 97,726 | |||
QUALCOMM, Inc.: | |||||
1.30%, 5/20/2028 (b) | 250,000 | 216,520 | |||
2.15%, 5/20/2030 | 100,000 | 87,718 | |||
2.90%, 5/20/2024 | 200,000 | 199,066 |
Security Description | Principal Amount | Value | ||||
3.25%, 5/20/2027 | $ 50,000 | $ 48,916 | ||||
3.25%, 5/20/2050 (b) | 45,000 | 36,763 | ||||
3.45%, 5/20/2025 | 50,000 | 49,970 | ||||
4.25%, 5/20/2032 (b) | 90,000 | 91,420 | ||||
4.30%, 5/20/2047 | 50,000 | 47,911 | ||||
4.80%, 5/20/2045 | 25,000 | 25,537 | ||||
Texas Instruments, Inc.: | ||||||
2.90%, 11/3/2027 | 70,000 | 66,945 | ||||
3.88%, 3/15/2039 | 250,000 | 235,390 | ||||
4.15%, 5/15/2048 (b) | 150,000 | 144,699 | ||||
TSMC Arizona Corp.: | ||||||
1.75%, 10/25/2026 | 750,000 | 688,635 | ||||
3.13%, 10/25/2041 | 750,000 | 613,950 | ||||
3.88%, 4/22/2027 | 200,000 | 199,348 | ||||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 49,644 | ||||
12,811,420 | ||||||
SHIPBUILDING — 0.0% (a) | ||||||
Huntington Ingalls Industries, Inc.: | ||||||
0.67%, 8/16/2023 | 30,000 | 28,909 | ||||
2.04%, 8/16/2028 | 100,000 | 85,128 | ||||
114,037 | ||||||
SOFTWARE — 0.7% | ||||||
Activision Blizzard, Inc. 4.50%, 6/15/2047 | 150,000 | 145,089 | ||||
Adobe, Inc.: | ||||||
1.90%, 2/1/2025 | 30,000 | 28,881 | ||||
2.30%, 2/1/2030 | 30,000 | 26,513 | ||||
3.25%, 2/1/2025 | 25,000 | 24,895 | ||||
Autodesk, Inc.: | ||||||
2.40%, 12/15/2031 | 160,000 | 130,330 | ||||
3.50%, 6/15/2027 | 50,000 | 47,877 | ||||
Broadridge Financial Solutions, Inc.: | ||||||
2.60%, 5/1/2031 | 150,000 | 125,328 | ||||
2.90%, 12/1/2029 | 50,000 | 43,732 | ||||
Citrix Systems, Inc.: | ||||||
1.25%, 3/1/2026 | 55,000 | 53,148 | ||||
3.30%, 3/1/2030 | 100,000 | 97,705 | ||||
Electronic Arts, Inc.: | ||||||
1.85%, 2/15/2031 | 90,000 | 73,184 | ||||
2.95%, 2/15/2051 (b) | 65,000 | 47,576 | ||||
Fidelity National Information Services, Inc.: | ||||||
0.60%, 3/1/2024 | 35,000 | 33,126 | ||||
1.15%, 3/1/2026 | 805,000 | 714,172 | ||||
1.65%, 3/1/2028 | 35,000 | 29,897 | ||||
2.25%, 3/1/2031 | 100,000 | 81,323 | ||||
3.10%, 3/1/2041 | 15,000 | 10,970 | ||||
Fiserv, Inc.: | ||||||
2.25%, 6/1/2027 | 50,000 | 44,766 | ||||
2.65%, 6/1/2030 (b) | 50,000 | 42,264 | ||||
2.75%, 7/1/2024 | 100,000 | 97,617 |
Security Description | Principal Amount | Value | |||
3.20%, 7/1/2026 | $ 275,000 | $ 261,236 | |||
3.50%, 7/1/2029 | 65,000 | 59,288 | |||
3.80%, 10/1/2023 | 150,000 | 150,264 | |||
4.20%, 10/1/2028 | 65,000 | 62,796 | |||
4.40%, 7/1/2049 | 60,000 | 51,705 | |||
Intuit, Inc.: | |||||
0.95%, 7/15/2025 (b) | 15,000 | 13,824 | |||
1.65%, 7/15/2030 | 15,000 | 12,350 | |||
Microsoft Corp.: | |||||
2.00%, 8/8/2023 | 50,000 | 49,503 | |||
2.40%, 8/8/2026 | 200,000 | 192,830 | |||
2.53%, 6/1/2050 | 1,668,000 | 1,227,998 | |||
2.68%, 6/1/2060 | 288,000 | 206,986 | |||
2.88%, 2/6/2024 | 500,000 | 499,300 | |||
2.92%, 3/17/2052 | 860,000 | 678,961 | |||
3.04%, 3/17/2062 | 312,000 | 242,967 | |||
3.13%, 11/3/2025 | 50,000 | 49,962 | |||
3.30%, 2/6/2027 | 280,000 | 279,314 | |||
3.45%, 8/8/2036 | 262,000 | 247,407 | |||
3.63%, 12/15/2023 | 25,000 | 25,245 | |||
Oracle Corp.: | |||||
1.65%, 3/25/2026 | 590,000 | 528,457 | |||
2.30%, 3/25/2028 | 105,000 | 90,384 | |||
2.40%, 9/15/2023 | 200,000 | 196,936 | |||
2.50%, 4/1/2025 | 600,000 | 569,982 | |||
2.65%, 7/15/2026 | 45,000 | 41,490 | |||
2.80%, 4/1/2027 | 250,000 | 228,385 | |||
2.88%, 3/25/2031 | 370,000 | 304,858 | |||
2.95%, 5/15/2025 | 10,000 | 9,588 | |||
2.95%, 4/1/2030 | 300,000 | 256,080 | |||
3.60%, 4/1/2040 | 750,000 | 561,705 | |||
3.60%, 4/1/2050 | 525,000 | 366,408 | |||
3.65%, 3/25/2041 | 910,000 | 678,114 | |||
3.80%, 11/15/2037 | 180,000 | 140,049 | |||
3.85%, 7/15/2036 | 150,000 | 120,396 | |||
3.85%, 4/1/2060 | 250,000 | 172,490 | |||
3.90%, 5/15/2035 | 5,000 | 4,124 | |||
3.95%, 3/25/2051 | 370,000 | 271,672 | |||
4.00%, 7/15/2046 | 180,000 | 133,555 | |||
4.10%, 3/25/2061 | 145,000 | 103,891 | |||
4.30%, 7/8/2034 | 200,000 | 175,442 | |||
4.38%, 5/15/2055 | 10,000 | 7,538 | |||
Roper Technologies, Inc.: | |||||
1.75%, 2/15/2031 | 250,000 | 194,697 | |||
2.00%, 6/30/2030 | 30,000 | 24,213 | |||
2.95%, 9/15/2029 (b) | 40,000 | 35,237 | |||
3.80%, 12/15/2026 | 30,000 | 29,350 | |||
4.20%, 9/15/2028 | 65,000 | 63,601 | |||
Salesforce, Inc.: | |||||
0.63%, 7/15/2024 | 55,000 | 52,073 | |||
1.50%, 7/15/2028 | 65,000 | 56,759 | |||
1.95%, 7/15/2031 | 120,000 | 101,983 | |||
2.70%, 7/15/2041 | 60,000 | 46,448 | |||
2.90%, 7/15/2051 | 100,000 | 75,751 | |||
3.05%, 7/15/2061 (b) | 50,000 | 36,742 |
Security Description | Principal Amount | Value | ||||
3.70%, 4/11/2028 | $ 25,000 | $ 24,715 | ||||
ServiceNow, Inc. 1.40%, 9/1/2030 | 65,000 | 50,835 | ||||
VMware, Inc.: | ||||||
1.00%, 8/15/2024 | 750,000 | 702,390 | ||||
1.40%, 8/15/2026 | 500,000 | 442,570 | ||||
3.90%, 8/21/2027 | 150,000 | 144,055 | ||||
Workday, Inc. 3.50%, 4/1/2027 | 550,000 | 526,916 | ||||
13,780,208 | ||||||
TELECOMMUNICATIONS — 1.2% | ||||||
America Movil SAB de CV: | ||||||
2.88%, 5/7/2030 | 200,000 | 178,976 | ||||
4.38%, 7/16/2042 | 50,000 | 45,380 | ||||
4.38%, 4/22/2049 (b) | 200,000 | 185,210 | ||||
6.13%, 3/30/2040 | 100,000 | 110,631 | ||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 850,000 | 812,234 | ||||
1.65%, 2/1/2028 | 530,000 | 457,999 | ||||
1.70%, 3/25/2026 | 850,000 | 777,384 | ||||
2.25%, 2/1/2032 | 125,000 | 102,041 | ||||
2.30%, 6/1/2027 | 550,000 | 502,320 | ||||
2.55%, 12/1/2033 | 350,000 | 283,857 | ||||
2.75%, 6/1/2031 | 350,000 | 302,466 | ||||
3.10%, 2/1/2043 | 150,000 | 111,612 | ||||
3.50%, 6/1/2041 | 600,000 | 479,580 | ||||
3.50%, 9/15/2053 | 1,400,000 | 1,061,718 | ||||
3.55%, 9/15/2055 | 429,000 | 321,497 | ||||
3.65%, 6/1/2051 | 100,000 | 78,163 | ||||
3.65%, 9/15/2059 | 294,000 | 220,303 | ||||
3.80%, 2/15/2027 | 150,000 | 147,147 | ||||
3.80%, 12/1/2057 | 471,000 | 365,289 | ||||
3.85%, 6/1/2060 | 45,000 | 34,848 | ||||
4.10%, 2/15/2028 | 184,000 | 180,600 | ||||
4.50%, 5/15/2035 | 300,000 | 284,421 | ||||
4.55%, 3/9/2049 | 208,000 | 189,112 | ||||
4.65%, 6/1/2044 | 25,000 | 22,763 | ||||
4.75%, 5/15/2046 | 30,000 | 27,826 | ||||
4.85%, 3/1/2039 | 570,000 | 543,826 | ||||
Bell Telephone Co. of Canada or Bell Canada: | ||||||
4.30%, 7/29/2049 | 55,000 | 49,200 | ||||
4.46%, 4/1/2048 | 30,000 | 27,477 | ||||
Series US-3, 0.75%, 3/17/2024 | 150,000 | 142,858 | ||||
Series US-4, 3.65%, 3/17/2051 | 150,000 | 119,544 | ||||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 199,738 | ||||
Cisco Systems, Inc.: | ||||||
3.50%, 6/15/2025 | 25,000 | 25,151 | ||||
3.63%, 3/4/2024 | 25,000 | 25,192 | ||||
5.50%, 1/15/2040 | 300,000 | 328,587 |
Security Description | Principal Amount | Value | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | $ 25,000 | $ 20,558 | |||
5.35%, 11/15/2048 | 100,000 | 98,304 | |||
5.75%, 8/15/2040 (b) | 25,000 | 26,261 | |||
Deutsche Telekom International Finance B.V. 8.75%, 6/15/2030 | 250,000 | 308,840 | |||
Juniper Networks, Inc.: | |||||
1.20%, 12/10/2025 | 250,000 | 223,872 | |||
2.00%, 12/10/2030 | 250,000 | 195,692 | |||
3.75%, 8/15/2029 | 100,000 | 91,733 | |||
Motorola Solutions, Inc.: | |||||
2.75%, 5/24/2031 | 100,000 | 80,964 | |||
4.00%, 9/1/2024 | 3,000 | 2,987 | |||
4.60%, 2/23/2028 | 125,000 | 121,913 | |||
4.60%, 5/23/2029 | 50,000 | 47,670 | |||
Orange SA 5.50%, 2/6/2044 | 50,000 | 52,602 | |||
Rogers Communications, Inc.: | |||||
3.20%, 3/15/2027 (e) | 135,000 | 128,137 | |||
3.70%, 11/15/2049 | 50,000 | 38,087 | |||
3.80%, 3/15/2032 (e) | 125,000 | 114,478 | |||
4.30%, 2/15/2048 | 40,000 | 33,503 | |||
4.35%, 5/1/2049 | 155,000 | 131,666 | |||
4.55%, 3/15/2052 (e) | 500,000 | 440,900 | |||
5.00%, 3/15/2044 | 50,000 | 46,455 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 133,575 | |||
5.21%, 3/8/2047 | 300,000 | 267,528 | |||
5.52%, 3/1/2049 | 150,000 | 139,379 | |||
7.05%, 6/20/2036 | 25,000 | 28,228 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 29,900 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 139,875 | |||
T-Mobile USA, Inc.: | |||||
2.05%, 2/15/2028 | 45,000 | 39,108 | |||
2.25%, 11/15/2031 (b) | 50,000 | 40,610 | |||
2.55%, 2/15/2031 | 165,000 | 138,806 | |||
2.70%, 3/15/2032 | 500,000 | 421,020 | |||
3.00%, 2/15/2041 | 555,000 | 412,332 | |||
3.30%, 2/15/2051 | 850,000 | 620,364 | |||
3.50%, 4/15/2025 | 650,000 | 636,415 | |||
3.60%, 11/15/2060 | 20,000 | 14,613 | |||
3.75%, 4/15/2027 | 900,000 | 865,782 | |||
3.88%, 4/15/2030 | 380,000 | 354,779 | |||
4.38%, 4/15/2040 | 350,000 | 313,383 | |||
4.50%, 4/15/2050 | 545,000 | 484,200 | |||
Verizon Communications, Inc.: | |||||
0.75%, 3/22/2024 (b) | 555,000 | 529,426 | |||
0.85%, 11/20/2025 | 200,000 | 181,338 | |||
1.45%, 3/20/2026 (b) | 580,000 | 531,007 | |||
1.50%, 9/18/2030 | 60,000 | 47,989 | |||
1.68%, 10/30/2030 | 55,000 | 44,250 | |||
1.75%, 1/20/2031 | 200,000 | 160,626 |
Security Description | Principal Amount | Value | ||||
2.10%, 3/22/2028 | $ 500,000 | $ 444,100 | ||||
2.55%, 3/21/2031 | 500,000 | 427,605 | ||||
2.63%, 8/15/2026 | 50,000 | 47,260 | ||||
2.65%, 11/20/2040 | 200,000 | 146,666 | ||||
2.88%, 11/20/2050 | 200,000 | 141,942 | ||||
2.99%, 10/30/2056 | 837,000 | 581,372 | ||||
3.00%, 11/20/2060 | 175,000 | 119,172 | ||||
3.15%, 3/22/2030 | 500,000 | 454,550 | ||||
3.38%, 2/15/2025 | 500,000 | 496,835 | ||||
3.40%, 3/22/2041 | 500,000 | 406,925 | ||||
3.55%, 3/22/2051 | 1,250,000 | 1,002,187 | ||||
3.70%, 3/22/2061 | 500,000 | 392,630 | ||||
3.88%, 2/8/2029 | 10,000 | 9,668 | ||||
4.00%, 3/22/2050 | 500,000 | 431,680 | ||||
4.02%, 12/3/2029 | 350,000 | 339,563 | ||||
4.27%, 1/15/2036 | 28,000 | 26,384 | ||||
4.33%, 9/21/2028 | 285,000 | 283,649 | ||||
4.40%, 11/1/2034 | 250,000 | 239,917 | ||||
4.50%, 8/10/2033 | 250,000 | 243,707 | ||||
Vodafone Group PLC: | ||||||
4.13%, 5/30/2025 | 50,000 | 50,193 | ||||
4.38%, 5/30/2028 | 500,000 | 497,160 | ||||
4.38%, 2/19/2043 | 75,000 | 65,152 | ||||
5.00%, 5/30/2038 (b) | 250,000 | 239,377 | ||||
5.25%, 5/30/2048 | 225,000 | 213,943 | ||||
24,825,742 | ||||||
TOYS/GAMES/HOBBIES — 0.0% (a) | ||||||
Hasbro, Inc.: | ||||||
3.50%, 9/15/2027 | 30,000 | 28,322 | ||||
3.90%, 11/19/2029 | 100,000 | 91,826 | ||||
120,148 | ||||||
TRANSPORTATION — 0.4% | ||||||
Burlington Northern Santa Fe LLC: | ||||||
3.05%, 2/15/2051 | 15,000 | 11,511 | ||||
3.30%, 9/15/2051 | 350,000 | 281,309 | ||||
3.40%, 9/1/2024 | 100,000 | 100,147 | ||||
3.55%, 2/15/2050 | 250,000 | 209,037 | ||||
3.75%, 4/1/2024 | 25,000 | 25,162 | ||||
3.90%, 8/1/2046 | 100,000 | 88,760 | ||||
4.05%, 6/15/2048 | 155,000 | 141,509 | ||||
4.13%, 6/15/2047 | 150,000 | 137,958 | ||||
4.15%, 12/15/2048 | 30,000 | 27,621 | ||||
4.45%, 3/15/2043 | 50,000 | 47,557 | ||||
4.55%, 9/1/2044 | 50,000 | 48,083 | ||||
4.90%, 4/1/2044 | 125,000 | 125,682 | ||||
Canadian National Railway Co.: | ||||||
2.45%, 5/1/2050 | 15,000 | 10,070 | ||||
2.75%, 3/1/2026 | 100,000 | 96,060 | ||||
2.95%, 11/21/2024 | 50,000 | 49,199 | ||||
3.20%, 8/2/2046 (b) | 25,000 | 19,538 | ||||
3.65%, 2/3/2048 | 50,000 | 42,081 |
Security Description | Principal Amount | Value | |||
Canadian Pacific Railway Co.: | |||||
1.35%, 12/2/2024 | $ 150,000 | $ 141,432 | |||
1.75%, 12/2/2026 | 80,000 | 72,433 | |||
2.05%, 3/5/2030 | 35,000 | 29,626 | |||
2.45%, 12/2/2031 | 565,000 | 484,730 | |||
3.00%, 12/2/2041 | 350,000 | 275,075 | |||
4.00%, 6/1/2028 | 100,000 | 99,022 | |||
4.80%, 9/15/2035 | 30,000 | 29,776 | |||
CSX Corp.: | |||||
2.40%, 2/15/2030 (b) | 50,000 | 43,801 | |||
2.50%, 5/15/2051 | 610,000 | 412,067 | |||
3.25%, 6/1/2027 | 50,000 | 47,973 | |||
3.35%, 9/15/2049 | 65,000 | 50,758 | |||
3.40%, 8/1/2024 | 25,000 | 24,833 | |||
3.80%, 3/1/2028 | 50,000 | 48,872 | |||
3.80%, 11/1/2046 | 100,000 | 84,545 | |||
4.10%, 3/15/2044 | 75,000 | 65,806 | |||
4.25%, 3/15/2029 | 95,000 | 94,537 | |||
4.30%, 3/1/2048 | 50,000 | 45,803 | |||
4.50%, 3/15/2049 | 125,000 | 116,772 | |||
4.65%, 3/1/2068 | 50,000 | 45,621 | |||
FedEx Corp.: | |||||
2.40%, 5/15/2031 (b) | 65,000 | 54,778 | |||
3.25%, 5/15/2041 | 65,000 | 50,848 | |||
3.40%, 2/15/2028 | 50,000 | 47,736 | |||
3.90%, 2/1/2035 | 200,000 | 178,562 | |||
4.05%, 2/15/2048 | 50,000 | 41,943 | |||
4.55%, 4/1/2046 | 100,000 | 89,623 | |||
4.75%, 11/15/2045 | 25,000 | 22,956 | |||
4.95%, 10/17/2048 | 100,000 | 95,267 | |||
5.25%, 5/15/2050 | 250,000 | 249,502 | |||
Kansas City Southern: | |||||
2.88%, 11/15/2029 | 65,000 | 58,113 | |||
3.50%, 5/1/2050 | 25,000 | 19,512 | |||
4.70%, 5/1/2048 | 50,000 | 46,854 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 143,569 | |||
2.90%, 8/25/2051 | 150,000 | 107,568 | |||
3.00%, 3/15/2032 (b) | 150,000 | 135,381 | |||
3.05%, 5/15/2050 | 350,000 | 257,285 | |||
3.15%, 6/1/2027 | 50,000 | 47,639 | |||
3.16%, 5/15/2055 | 68,000 | 49,490 | |||
3.40%, 11/1/2049 | 100,000 | 78,971 | |||
3.94%, 11/1/2047 | 100,000 | 86,827 | |||
4.45%, 6/15/2045 | 19,000 | 17,709 | |||
Ryder System, Inc.: | |||||
Series MTN, 1.75%, 9/1/2026 (b) | 125,000 | 113,164 | |||
Series MTN, 2.50%, 9/1/2024 | 40,000 | 38,464 | |||
Series MTN, 2.85%, 3/1/2027 | 145,000 | 134,522 | |||
Union Pacific Corp.: | |||||
2.15%, 2/5/2027 | 250,000 | 231,847 | |||
2.38%, 5/20/2031 (b) | 40,000 | 34,622 |
Security Description | Principal Amount | Value | ||||
2.40%, 2/5/2030 | $ 500,000 | $ 441,530 | ||||
2.75%, 3/1/2026 | 50,000 | 47,980 | ||||
2.80%, 2/14/2032 (b) | 70,000 | 62,250 | ||||
2.97%, 9/16/2062 | 110,000 | 76,023 | ||||
3.20%, 5/20/2041 | 70,000 | 57,259 | ||||
3.25%, 2/5/2050 | 700,000 | 550,207 | ||||
3.38%, 2/14/2042 | 40,000 | 33,341 | ||||
3.50%, 2/14/2053 | 75,000 | 61,288 | ||||
3.55%, 5/20/2061 | 100,000 | 78,892 | ||||
3.80%, 10/1/2051 | 52,000 | 44,652 | ||||
3.80%, 4/6/2071 | 175,000 | 140,450 | ||||
3.84%, 3/20/2060 | 130,000 | 108,657 | ||||
4.10%, 9/15/2067 | 15,000 | 12,775 | ||||
United Parcel Service, Inc.: | ||||||
2.40%, 11/15/2026 | 30,000 | 28,505 | ||||
3.05%, 11/15/2027 | 50,000 | 48,665 | ||||
3.75%, 11/15/2047 | 175,000 | 156,067 | ||||
3.90%, 4/1/2025 | 500,000 | 504,135 | ||||
5.30%, 4/1/2050 | 200,000 | 219,766 | ||||
8,779,960 | ||||||
TRUCKING & LEASING — 0.0% (a) | ||||||
GATX Corp.: | ||||||
1.90%, 6/1/2031 | 200,000 | 155,412 | ||||
3.10%, 6/1/2051 | 250,000 | 167,190 | ||||
3.85%, 3/30/2027 | 50,000 | 48,397 | ||||
4.55%, 11/7/2028 | 50,000 | 48,908 | ||||
4.70%, 4/1/2029 | 25,000 | 24,367 | ||||
444,274 | ||||||
VENTURE CAPITAL — 0.0% (a) | ||||||
Hercules Capital, Inc. 3.38%, 1/20/2027 | 65,000 | 56,511 | ||||
WATER — 0.0% (a) | ||||||
American Water Capital Corp.: | ||||||
2.30%, 6/1/2031 | 100,000 | 84,662 | ||||
2.95%, 9/1/2027 | 121,000 | 113,694 | ||||
3.25%, 6/1/2051 | 100,000 | 77,831 | ||||
3.40%, 3/1/2025 | 25,000 | 24,696 | ||||
3.45%, 5/1/2050 | 50,000 | 39,824 | ||||
3.75%, 9/1/2028 | 100,000 | 96,644 | ||||
3.75%, 9/1/2047 | 100,000 | 83,508 | ||||
4.30%, 12/1/2042 | 25,000 | 23,032 | ||||
Essential Utilities, Inc.: | ||||||
2.40%, 5/1/2031 | 105,000 | 87,638 | ||||
2.70%, 4/15/2030 | 60,000 | 52,439 | ||||
683,968 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $569,115,878) | 493,956,661 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 0.4% | |||||
ASSET-BACKED - OTHER — 0.0% (a) | |||||
Ford Credit Floorplan Master Owner Trust Series 2020-1, Class A1, 0.70%, 9/15/2025 | $ 350,000 | $ 338,037 | |||
AUTOMOBILE — 0.2% | |||||
AmeriCredit Automobile Receivables Trust Series 2022-1, Class A3, 2.45%, 11/18/2026 | 250,000 | 243,926 | |||
BMW Vehicle Lease Trust 2022-1 Series 2022-1, Class A3, 1.10%, 3/25/2025 | 300,000 | 290,602 | |||
Carmax Auto Owner Trust 2020-1 Series 2020-1, Class A4, 2.03%, 6/16/2025 | 235,000 | 229,370 | |||
Carvana Auto Receivables Trust 2021-P4 Series 2021-P4, Class A3, 1.31%, 1/11/2027 | 175,000 | 164,450 | |||
Ford Credit Auto Owner Trust Series 2022-A, Class A3, 1.29%, 6/15/2026 | 218,000 | 209,247 | |||
GM Financial Automobile Leasing Trust 2022-2 Series 2022-2, Class A3, 3.42%, 6/20/2025 | 400,000 | 398,580 | |||
GM Financial Consumer Automobile Receivables Trust: | |||||
Series 2021-2, Class A3, 0.51%, 4/16/2026 | 155,000 | 150,172 | |||
Series 2022-1, Class A3, 1.26%, 11/16/2026 | 300,000 | 287,295 | |||
Honda Auto Receivables Owner Trust Series 2021-2, Class A3, 0.33%, 8/15/2025 | 215,000 | 207,972 | |||
Hyundai Auto Receivables Trust: | |||||
Series 2021-C, Class A3, 0.74%, 5/15/2026 | 350,000 | 334,807 | |||
Series 2021-A, Class A3, 0.38%, 9/15/2025 | 87,000 | 84,321 | |||
Mercedes-Benz Auto Trust Series 2021-B, Class A3, 0.40%, 11/15/2024 | 200,000 | 193,754 | |||
Santander Drive Auto Receivables Trust Series 2022-1, Class A3, 1.94%, 11/17/2025 | 300,000 | 293,032 |
Security Description | Principal Amount | Value | |||
Santander Drive Auto Receivables Trust 2022-2 Series 2022-2, Class A3, 2.98%, 10/15/2026 | $ 405,000 | $ 399,173 | |||
Toyota Auto Receivables 2022-A Owner Trust Series 2022-A, Class A3, 1.23%, 6/15/2026 | 150,000 | 144,105 | |||
Toyota Auto Receivables Owner Trust Series 2020-D, Class A4, 0.47%, 1/15/2026 | 250,000 | 238,778 | |||
Volkswagen Auto Loan Enhanced Trust Series 2021-1, Class A3, 1.02%, 6/22/2026 | 100,000 | 95,876 | |||
3,965,460 | |||||
CREDIT CARD — 0.1% | |||||
American Express Credit Account Master Trust Series 2021-1, Class A, 0.90%, 11/15/2026 | 368,000 | 346,789 | |||
BA Credit Card Trust Series 2021-A1, Class A1, 0.44%, 9/15/2026 | 245,000 | 232,689 | |||
Capital One Multi-Asset Execution Trust: | |||||
Class A, 3.49%, 5/15/2027 | 500,000 | 500,191 | |||
Series 2021-A2, Class A2, 1.39%, 7/15/2030 | 350,000 | 305,380 | |||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 200,000 | 207,213 | |||
Discover Card Execution Note Trust: | |||||
Series 2021-A2, Class A2, 1.03%, 9/15/2028 | 271,000 | 247,062 | |||
Series 2022-A2, Class A, 3.32%, 5/15/2027 | 250,000 | 249,029 | |||
Synchrony Card Funding LLC Series 2022-A1, Class A, 3.37%, 4/15/2028 | 180,000 | 178,769 | |||
2,267,122 | |||||
OTHER ABS — 0.1% | |||||
CNH Equipment Trust Series 2021-B, Class A3, 0.44%, 8/17/2026 | 200,000 | 190,076 | |||
John Deere Owner Trust Series 2021-B, Class A3, 0.52%, 3/16/2026 | 86,000 | 81,596 |
Security Description | Principal Amount | Value | |||
Verizon Master Trust Series 2021-1, Class A, 0.50%, 5/20/2027 | $ 353,000 | $ 333,428 | |||
605,100 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $7,439,383) | 7,175,719 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.4% | |||||
AUSTRIA — 0.0% (a) | |||||
Oesterreichische Kontrollbank AG: | |||||
0.38%, 09/17/2025 | 90,000 | 82,439 | |||
1.50%, 02/12/2025 | 50,000 | 48,012 | |||
Series GMTN, 0.50%, 02/02/2026 | 500,000 | 454,925 | |||
585,376 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond: | |||||
0.75%, 05/19/2026 (b) | 500,000 | 456,525 | |||
1.63%, 01/22/2025 | 1,250,000 | 1,206,862 | |||
Province of Alberta Canada: | |||||
1.00%, 05/20/2025 (b) | 500,000 | 469,845 | |||
1.30%, 07/22/2030 (b) | 400,000 | 339,820 | |||
3.30%, 03/15/2028 | 650,000 | 644,696 | |||
Province of British Columbia Canada: | |||||
0.90%, 07/20/2026 | 500,000 | 455,120 | |||
1.30%, 01/29/2031 (b) | 200,000 | 169,006 | |||
2.25%, 06/02/2026 | 150,000 | 144,351 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 | 250,000 | 238,427 | |||
Series GX, 2.60%, 04/16/2024 (b) | 100,000 | 99,088 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 50,538 | |||
Province of Ontario Canada: | |||||
0.63%, 01/21/2026 (b) | 440,000 | 401,108 | |||
1.05%, 04/14/2026 (b) | 200,000 | 184,094 | |||
1.13%, 10/07/2030 | 500,000 | 417,265 | |||
1.60%, 02/25/2031 | 250,000 | 215,083 | |||
1.80%, 10/14/2031 | 500,000 | 431,920 | |||
2.00%, 10/02/2029 (b) | 350,000 | 317,506 | |||
2.50%, 04/27/2026 | 350,000 | 339,591 | |||
3.40%, 10/17/2023 | 350,000 | 351,414 | |||
Province of Quebec Canada: | |||||
0.60%, 07/23/2025 (b) | 1,000,000 | 924,350 | |||
1.35%, 05/28/2030 | 300,000 | 256,893 | |||
1.90%, 04/21/2031 (b) | 500,000 | 442,070 | |||
2.50%, 04/20/2026 | 250,000 | 242,875 | |||
2.75%, 04/12/2027 | 200,000 | 194,954 |
Security Description | Principal Amount | Value | |||
Series QO, 2.88%, 10/16/2024 | $ 200,000 | $ 198,922 | |||
Series QX, 1.50%, 02/11/2025 | 500,000 | 479,775 | |||
9,672,098 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.45%, 01/31/2031 (b) | 200,000 | 170,672 | |||
2.55%, 07/27/2033 | 250,000 | 204,230 | |||
3.10%, 01/22/2061 | 250,000 | 169,075 | |||
3.13%, 01/21/2026 | 50,000 | 48,302 | |||
3.24%, 02/06/2028 | 200,000 | 188,322 | |||
3.25%, 09/21/2071 | 250,000 | 166,913 | |||
3.86%, 06/21/2047 | 300,000 | 250,356 | |||
4.34%, 03/07/2042 | 250,000 | 222,755 | |||
1,420,625 | |||||
FREE OF TAX — 0.1% | |||||
Asian Development Bank: | |||||
1.63%, 03/15/2024 | 250,000 | 244,160 | |||
1.88%, 03/15/2029 | 250,000 | 230,315 | |||
Series GMTN, 1.50%, 01/20/2027 | 500,000 | 465,305 | |||
European Investment Bank: | |||||
1.75%, 03/15/2029 | 133,000 | 121,707 | |||
Series GMTN, 1.38%, 03/15/2027 (b) | 350,000 | 323,046 | |||
Inter-American Development Bank 1.50%, 1/13/2027 | 350,000 | 325,892 | |||
1,710,425 | |||||
GERMANY — 0.3% | |||||
FMS Wertmanagement 2.75%, 1/30/2024 | 250,000 | 248,755 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
Zero Coupon, 06/29/2037 | 100,000 | 60,072 | |||
0.25%, 10/19/2023 | 300,000 | 289,605 | |||
0.25%, 03/08/2024 | 1,165,000 | 1,112,004 | |||
0.38%, 07/18/2025 | 250,000 | 230,212 | |||
0.50%, 09/20/2024 | 500,000 | 472,805 | |||
0.63%, 01/22/2026 | 225,000 | 206,024 | |||
0.75%, 09/30/2030 | 500,000 | 414,560 | |||
1.38%, 08/05/2024 | 500,000 | 483,355 | |||
1.75%, 09/14/2029 | 250,000 | 227,750 | |||
2.00%, 05/02/2025 | 100,000 | 97,041 | |||
2.50%, 11/20/2024 | 300,000 | 296,106 | |||
2.63%, 02/28/2024 | 250,000 | 248,325 | |||
2.88%, 04/03/2028 | 290,000 | 285,490 | |||
Landwirtschaftliche Rentenbank: | |||||
0.88%, 03/30/2026 | 240,000 | 220,510 | |||
0.88%, 09/03/2030 | 200,000 | 167,260 | |||
3.13%, 11/14/2023 | 100,000 | 100,138 |
Security Description | Principal Amount | Value | |||
Series 37, 2.50%, 11/15/2027 (b) | $ 50,000 | $ 48,216 | |||
Series 40, 0.50%, 05/27/2025 | 90,000 | 83,528 | |||
5,291,756 | |||||
HUNGARY — 0.0% (a) | |||||
Hungary Government International Bond 5.38%, 3/25/2024 | 350,000 | 356,930 | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
1.85%, 03/12/2031 (b) | 500,000 | 404,725 | |||
2.15%, 07/28/2031 (b) | 500,000 | 409,725 | |||
3.05%, 03/12/2051 (b) | 250,000 | 189,835 | |||
3.55%, 03/31/2032 (b) | 350,000 | 317,453 | |||
4.45%, 04/15/2070 | 200,000 | 170,454 | |||
4.75%, 02/11/2029 | 150,000 | 151,304 | |||
5.35%, 02/11/2049 (b) | 100,000 | 98,099 | |||
1,741,595 | |||||
ISRAEL — 0.0% (a) | |||||
Israel Government International Bond: | |||||
2.75%, 07/03/2030 | 200,000 | 185,908 | |||
2.88%, 03/16/2026 (b) | 100,000 | 97,421 | |||
3.25%, 01/17/2028 | 100,000 | 97,685 | |||
3.88%, 07/03/2050 | 200,000 | 175,804 | |||
4.13%, 01/17/2048 | 100,000 | 92,307 | |||
State of Israel 3.38%, 1/15/2050 | 300,000 | 242,880 | |||
892,005 | |||||
ITALY — 0.1% | |||||
Republic of Italy Government International Bond: | |||||
0.88%, 05/06/2024 | 200,000 | 189,110 | |||
1.25%, 02/17/2026 | 250,000 | 223,285 | |||
2.38%, 10/17/2024 | 250,000 | 242,065 | |||
2.88%, 10/17/2029 | 500,000 | 441,755 | |||
3.88%, 05/06/2051 | 200,000 | 161,114 | |||
4.00%, 10/17/2049 (b) | 200,000 | 164,920 | |||
5.38%, 06/15/2033 | 50,000 | 52,478 | |||
1,474,727 | |||||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation 2.88%, 4/14/2025 | 200,000 | 197,786 | |||
Japan Bank for International Corp.: | |||||
0.38%, 09/15/2023 | 250,000 | 242,207 | |||
0.63%, 07/15/2025 | 450,000 | 415,791 | |||
1.25%, 01/21/2031 (b) | 250,000 | 210,673 | |||
1.88%, 04/15/2031 | 200,000 | 176,436 | |||
2.13%, 02/16/2029 (b) | 250,000 | 230,795 |
Security Description | Principal Amount | Value | |||
2.75%, 11/16/2027 | $ 200,000 | $ 193,178 | |||
2.88%, 07/21/2027 | 100,000 | 97,546 | |||
3.25%, 07/20/2023 | 150,000 | 150,347 | |||
3.25%, 07/20/2028 | 250,000 | 248,252 | |||
3.38%, 10/31/2023 | 200,000 | 200,704 | |||
Series DTC, 1.75%, 10/17/2024 | 200,000 | 193,822 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 192,738 | |||
Series DTC, 2.50%, 05/23/2024 | 200,000 | 197,434 | |||
Japan International Cooperation Agency 1.75%, 4/28/2031 | 200,000 | 173,880 | |||
3,121,589 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
2.66%, 05/24/2031 (b) | 450,000 | 369,913 | |||
3.25%, 04/16/2030 (b) | 350,000 | 307,745 | |||
3.50%, 02/12/2034 | 250,000 | 206,578 | |||
3.75%, 01/11/2028 (b) | 100,000 | 95,725 | |||
3.77%, 05/24/2061 | 200,000 | 129,348 | |||
3.90%, 04/27/2025 | 500,000 | 499,740 | |||
4.13%, 01/21/2026 (b) | 125,000 | 124,994 | |||
4.15%, 03/28/2027 | 200,000 | 197,078 | |||
4.28%, 08/14/2041 | 1,025,000 | 810,211 | |||
4.50%, 04/22/2029 | 250,000 | 242,810 | |||
4.50%, 01/31/2050 (b) | 250,000 | 194,065 | |||
4.60%, 02/10/2048 (b) | 200,000 | 158,266 | |||
4.75%, 04/27/2032 (b) | 200,000 | 191,990 | |||
5.00%, 04/27/2051 (b) | 200,000 | 165,508 | |||
5.55%, 01/21/2045 (b) | 450,000 | 412,069 | |||
6.05%, 01/11/2040 | 30,000 | 29,393 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 82,836 | |||
4,218,269 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
2.25%, 09/29/2032 (b) | 200,000 | 156,380 | |||
3.16%, 01/23/2030 | 200,000 | 178,054 | |||
3.30%, 01/19/2033 (b) | 500,000 | 428,440 | |||
3.75%, 03/16/2025 | 150,000 | 148,276 | |||
3.87%, 07/23/2060 | 200,000 | 142,112 | |||
3.88%, 03/17/2028 | 200,000 | 190,862 | |||
4.50%, 05/15/2047 | 50,000 | 41,246 | |||
4.50%, 04/16/2050 | 700,000 | 571,886 | |||
6.70%, 01/26/2036 | 50,000 | 54,011 | |||
1,911,267 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond: | |||||
2.39%, 01/23/2026 | 250,000 | 232,400 |
Security Description | Principal Amount | Value | |||
2.78%, 01/23/2031 (b) | $ 320,000 | $ 272,262 | |||
2.78%, 12/01/2060 | 150,000 | 92,822 | |||
2.84%, 06/20/2030 | 55,000 | 47,960 | |||
3.00%, 01/15/2034 | 250,000 | 205,143 | |||
3.23%, 07/28/2121 | 150,000 | 92,325 | |||
3.30%, 03/11/2041 | 815,000 | 614,176 | |||
3.55%, 03/10/2051 (b) | 70,000 | 52,236 | |||
3.60%, 01/15/2072 | 250,000 | 168,800 | |||
4.13%, 08/25/2027 | 150,000 | 147,045 | |||
5.63%, 11/18/2050 (b) | 150,000 | 155,703 | |||
6.55%, 03/14/2037 | 25,000 | 27,241 | |||
2,108,113 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
1.65%, 06/10/2031 (b) | 250,000 | 200,587 | |||
1.95%, 01/06/2032 | 200,000 | 162,546 | |||
2.46%, 05/05/2030 | 200,000 | 174,426 | |||
2.65%, 12/10/2045 | 600,000 | 411,234 | |||
2.95%, 05/05/2045 | 250,000 | 178,837 | |||
3.20%, 07/06/2046 | 200,000 | 149,396 | |||
3.70%, 03/01/2041 | 200,000 | 165,342 | |||
3.70%, 02/02/2042 | 100,000 | 82,665 | |||
3.95%, 01/20/2040 | 200,000 | 173,496 | |||
4.20%, 01/21/2024 | 300,000 | 302,715 | |||
5.00%, 01/13/2037 | 150,000 | 149,438 | |||
7.75%, 01/14/2031 | 100,000 | 120,582 | |||
2,271,264 | |||||
POLAND — 0.0% (a) | |||||
Poland Government International Bond 4.00%, 1/22/2024 | 150,000 | 150,034 | |||
Republic of Poland Government International Bond 3.25%, 4/6/2026 | 175,000 | 169,738 | |||
319,772 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
0.63%, 06/29/2024 | 500,000 | 474,665 | |||
0.63%, 02/09/2026 (b) | 200,000 | 180,662 | |||
1.13%, 12/29/2026 | 200,000 | 180,198 | |||
2.38%, 04/21/2027 | 25,000 | 23,677 | |||
2.50%, 06/29/2041 | 250,000 | 200,075 | |||
3.25%, 11/10/2025 | 150,000 | 148,560 | |||
Korea Development Bank: | |||||
0.40%, 06/19/2024 | 215,000 | 203,233 | |||
0.80%, 07/19/2026 | 250,000 | 224,507 | |||
1.63%, 01/19/2031 (b) | 250,000 | 210,628 | |||
2.00%, 02/24/2025 | 200,000 | 192,534 | |||
3.00%, 01/13/2026 | 100,000 | 98,404 | |||
Korea International Bond: | |||||
1.00%, 09/16/2030 (b) | 200,000 | 166,458 |
Security Description | Principal Amount | Value | |||
3.50%, 09/20/2028 | $ 200,000 | $ 199,970 | |||
2,503,571 | |||||
SUPRANATIONAL — 1.3% | |||||
African Development Bank: | |||||
3.00%, 09/20/2023 | 150,000 | 149,955 | |||
Series GDIF, 0.88%, 03/23/2026 | 150,000 | 137,970 | |||
Asian Development Bank: | |||||
0.63%, 04/29/2025 | 500,000 | 466,805 | |||
1.50%, 10/18/2024 | 200,000 | 193,132 | |||
2.63%, 01/30/2024 | 200,000 | 198,744 | |||
2.88%, 05/06/2025 | 225,000 | 223,592 | |||
3.13%, 04/27/2032 | 250,000 | 248,262 | |||
Series GMTN, 0.25%, 07/14/2023 | 275,000 | 267,745 | |||
Series GMTN, 0.25%, 10/06/2023 | 200,000 | 193,388 | |||
Series GMTN, 0.38%, 06/11/2024 | 725,000 | 688,540 | |||
Series GMTN, 0.38%, 09/03/2025 | 250,000 | 229,375 | |||
Series GMTN, 0.50%, 02/04/2026 | 250,000 | 227,705 | |||
Series GMTN, 0.75%, 10/08/2030 | 200,000 | 165,218 | |||
Series GMTN, 1.00%, 04/14/2026 | 100,000 | 92,365 | |||
Series GMTN, 1.25%, 06/09/2028 | 100,000 | 89,471 | |||
Series GMTN, 1.50%, 03/04/2031 | 250,000 | 218,355 | |||
Series GMTN, 1.88%, 01/24/2030 | 500,000 | 455,715 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 95,815 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 48,126 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 96,709 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 48,905 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 49,789 | |||
Asian Infrastructure Investment Bank: | |||||
0.25%, 09/29/2023 | 165,000 | 159,385 | |||
0.50%, 05/28/2025 | 200,000 | 184,772 | |||
0.50%, 01/27/2026 (b) | 500,000 | 452,900 | |||
Corp. Andina de Fomento 1.25%, 10/26/2024 | 68,000 | 64,499 | |||
Council Of Europe Development Bank: | |||||
0.38%, 06/10/2024 (b) | 250,000 | 237,290 | |||
0.88%, 09/22/2026 (b) | 100,000 | 91,083 | |||
2.50%, 02/27/2024 | 30,000 | 29,746 |
Security Description | Principal Amount | Value | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 0.25%, 07/10/2023 | $ 100,000 | $ 97,405 | |||
Series GMTN, 0.50%, 11/25/2025 | 250,000 | 228,653 | |||
Series GMTN, 0.50%, 01/28/2026 | 200,000 | 181,990 | |||
Series GMTN, 1.50%, 02/13/2025 | 250,000 | 240,045 | |||
European Investment Bank: | |||||
0.25%, 09/15/2023 | 365,000 | 353,342 | |||
0.38%, 12/15/2025 | 200,000 | 182,126 | |||
0.38%, 03/26/2026 | 750,000 | 677,062 | |||
0.63%, 07/25/2025 | 350,000 | 324,849 | |||
0.75%, 10/26/2026 | 250,000 | 226,100 | |||
0.75%, 09/23/2030 | 200,000 | 166,070 | |||
1.25%, 02/14/2031 (b) | 390,000 | 334,460 | |||
1.63%, 03/14/2025 | 485,000 | 466,948 | |||
1.63%, 05/13/2031 (b) | 100,000 | 88,632 | |||
1.88%, 02/10/2025 | 100,000 | 97,029 | |||
2.13%, 04/13/2026 | 100,000 | 96,475 | |||
2.38%, 05/24/2027 | 100,000 | 96,582 | |||
2.50%, 10/15/2024 (b) | 25,000 | 24,693 | |||
2.63%, 03/15/2024 | 1,100,000 | 1,092,355 | |||
2.75%, 08/15/2025 | 195,000 | 192,941 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 349,632 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 350,448 | |||
Inter-American Development Bank: | |||||
0.25%, 11/15/2023 | 150,000 | 144,486 | |||
0.50%, 09/23/2024 | 850,000 | 803,488 | |||
0.63%, 07/15/2025 | 500,000 | 464,105 | |||
0.63%, 09/16/2027 (b) | 500,000 | 439,230 | |||
0.88%, 04/03/2025 | 500,000 | 470,925 | |||
1.13%, 07/20/2028 | 200,000 | 177,416 | |||
2.00%, 07/23/2026 | 100,000 | 95,613 | |||
2.25%, 06/18/2029 | 250,000 | 235,065 | |||
2.38%, 07/07/2027 | 100,000 | 96,339 | |||
2.63%, 01/16/2024 | 350,000 | 347,784 | |||
3.00%, 02/21/2024 | 100,000 | 99,910 | |||
3.13%, 09/18/2028 | 100,000 | 99,609 | |||
4.38%, 01/24/2044 | 75,000 | 82,684 | |||
Series GMTN, 0.88%, 04/20/2026 | 250,000 | 229,608 | |||
Series GMTN, 1.13%, 01/13/2031 | 750,000 | 635,880 | |||
Series GMTN, 1.75%, 03/14/2025 | 250,000 | 241,375 | |||
International Bank for Reconstruction & Development: | |||||
0.25%, 11/24/2023 | 75,000 | 72,200 |
Security Description | Principal Amount | Value | |||
0.38%, 07/28/2025 | $ 750,000 | $ 690,352 | |||
0.50%, 10/28/2025 | 250,000 | 229,430 | |||
0.63%, 04/22/2025 | 550,000 | 513,892 | |||
0.75%, 03/11/2025 | 500,000 | 470,160 | |||
0.75%, 11/24/2027 | 390,000 | 343,524 | |||
0.75%, 08/26/2030 | 170,000 | 140,731 | |||
0.88%, 07/15/2026 | 1,000,000 | 914,890 | |||
0.88%, 05/14/2030 | 250,000 | 210,000 | |||
1.13%, 09/13/2028 | 500,000 | 442,200 | |||
1.25%, 02/10/2031 | 500,000 | 427,970 | |||
1.63%, 01/15/2025 | 350,000 | 337,820 | |||
1.63%, 11/03/2031 | 1,000,000 | 874,510 | |||
2.50%, 03/19/2024 | 350,000 | 346,804 | |||
3.00%, 09/27/2023 | 350,000 | 349,937 | |||
Series GDIF, 1.38%, 04/20/2028 | 250,000 | 226,000 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 226,770 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 296,193 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 196,310 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 241,770 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 28,324 | |||
International Finance Corp.: | |||||
Series GMTN, 0.38%, 07/16/2025 | 250,000 | 230,360 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 96,331 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 149,820 | |||
International Finance Corp. Series GMTN, 0.75%, 10/8/2026 | 500,000 | 452,415 | |||
Nordic Investment Bank: | |||||
0.38%, 09/20/2024 | 200,000 | 188,554 | |||
0.38%, 09/11/2025 | 200,000 | 183,464 | |||
Series GMTN, 0.50%, 01/21/2026 (b) | 200,000 | 182,332 | |||
25,399,773 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
0.50%, 11/10/2023 | 500,000 | 483,200 | |||
0.50%, 08/26/2025 | 350,000 | 321,818 | |||
Series GMTN, 2.25%, 03/22/2027 | 250,000 | 238,635 | |||
Series USMT, 0.38%, 03/11/2024 (b) | 500,000 | 477,465 | |||
1,521,118 | |||||
URUGUAY — 0.0% (a) | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 227,930 |
Security Description | Principal Amount | Value | |||
4.38%, 01/23/2031 | $ 280,000 | $ 283,550 | |||
4.98%, 04/20/2055 | 400,000 | 393,920 | |||
5.10%, 06/18/2050 | 175,000 | 175,301 | |||
1,080,701 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $74,680,733) | 67,600,974 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 30.0% (a) | |||||
Federal Farm Credit Banks Funding Corp.: | |||||
0.25%, 2/26/2024 | 105,000 | 100,467 | |||
0.30%, 11/12/2024 | 250,000 | 232,995 | |||
0.35%, 5/16/2024 | 250,000 | 236,877 | |||
0.47%, 8/19/2024 | 100,000 | 94,016 | |||
0.50%, 12/1/2023 | 250,000 | 241,395 | |||
0.68%, 8/4/2025 | 100,000 | 92,270 | |||
0.68%, 1/13/2027 | 250,000 | 221,610 | |||
0.70%, 1/27/2027 | 100,000 | 88,613 | |||
0.79%, 6/21/2027 | 125,000 | 110,938 | |||
0.88%, 11/18/2024 | 185,000 | 175,693 | |||
0.90%, 8/19/2027 | 100,000 | 88,369 | |||
1.00%, 8/3/2027 | 100,000 | 88,777 | |||
1.04%, 1/25/2029 | 150,000 | 128,186 | |||
1.10%, 8/10/2029 | 150,000 | 127,152 | |||
1.13%, 1/6/2025 | 110,000 | 104,966 | |||
1.14%, 8/20/2029 | 150,000 | 127,176 | |||
1.15%, 8/12/2030 | 100,000 | 81,741 | |||
1.32%, 9/9/2030 | 100,000 | 83,197 | |||
1.38%, 1/14/2031 | 250,000 | 208,512 | |||
1.65%, 7/23/2035 | 100,000 | 76,220 | |||
1.69%, 8/20/2035 | 100,000 | 76,467 | |||
1.75%, 2/14/2025 | 315,000 | 304,778 | |||
1.95%, 8/13/2040 | 100,000 | 70,970 | |||
1.99%, 3/17/2031 | 500,000 | 435,740 | |||
2.63%, 5/16/2024 | 335,000 | 332,551 | |||
2.88%, 7/17/2023 | 100,000 | 99,789 | |||
3.50%, 12/20/2023 | 50,000 | 50,350 | |||
Federal Home Loan Bank: | |||||
0.13%, 8/28/2023 | 800,000 | 774,416 | |||
0.38%, 9/4/2025 | 750,000 | 689,160 | |||
0.50%, 4/14/2025 | 1,455,000 | 1,356,860 | |||
0.55%, 1/20/2026 | 150,000 | 136,350 | |||
0.65%, 1/28/2026 | 150,000 | 136,826 | |||
0.65%, 2/26/2026 | 100,000 | 90,808 | |||
0.70%, 1/28/2026 | 150,000 | 137,064 | |||
0.75%, 2/24/2026 | 100,000 | 91,230 | |||
0.83%, 2/10/2027 | 100,000 | 89,275 | |||
0.90%, 2/26/2027 | 150,000 | 134,118 | |||
1.00%, 8/16/2028 | 250,000 | 216,117 | |||
1.25%, 12/21/2026 | 1,000,000 | 922,700 | |||
1.50%, 8/15/2024 (b) | 190,000 | 184,327 |
Security Description | Principal Amount | Value | |||
2.50%, 2/13/2024 (b) | $ 220,000 | $ 218,392 | |||
2.75%, 6/28/2024 | 500,000 | 496,990 | |||
2.88%, 9/13/2024 | 50,000 | 49,757 | |||
3.25%, 6/9/2028 | 500,000 | 501,065 | |||
3.25%, 11/16/2028 | 280,000 | 281,145 | |||
3.38%, 12/8/2023 | 50,000 | 50,239 | |||
5.50%, 7/15/2036 | 135,000 | 162,301 | |||
Federal Home Loan Mortgage Corp.: | |||||
0.13%, 10/16/2023 | 190,000 | 183,276 | |||
0.25%, 8/24/2023 | 215,000 | 208,516 | |||
0.25%, 9/8/2023 (b) | 750,000 | 726,517 | |||
0.25%, 11/6/2023 | 650,000 | 627,133 | |||
0.25%, 12/4/2023 | 875,000 | 841,960 | |||
0.32%, 11/2/2023 | 150,000 | 144,708 | |||
0.36%, 5/15/2024 | 250,000 | 237,632 | |||
0.38%, 9/23/2025 (b) | 730,000 | 669,505 | |||
0.60%, 10/15/2025 | 110,000 | 101,043 | |||
0.60%, 10/20/2025 | 150,000 | 137,598 | |||
0.63%, 11/25/2025 | 175,000 | 160,858 | |||
0.68%, 8/6/2025 | 100,000 | 92,675 | |||
0.75%, 6/23/2026 | 150,000 | 135,002 | |||
1.50%, 2/12/2025 | 500,000 | 480,645 | |||
1.50%, 4/1/2037 | 1,398,798 | 1,273,299 | |||
1.50%, 2/1/2051 | 2,242,168 | 1,865,129 | |||
1.50%, 10/1/2051 | 1,927,930 | 1,602,819 | |||
1.50%, 11/1/2051 | 5,648,206 | 4,695,160 | |||
2.00%, 6/1/2036 | 2,152,526 | 2,012,721 | |||
2.00%, 1/1/2037 | 2,943,010 | 2,751,864 | |||
2.00%, 4/1/2037 | 1,692,433 | 1,580,162 | |||
2.00%, 10/1/2050 | 1,334,709 | 1,165,637 | |||
2.00%, 12/1/2050 | 1,012,839 | 884,539 | |||
2.00%, 1/1/2051 | 2,565,183 | 2,240,242 | |||
2.00%, 2/1/2051 | 3,185,269 | 2,781,780 | |||
2.00%, 9/1/2051 | 4,723,886 | 4,108,300 | |||
2.00%, 11/1/2051 | 7,547,038 | 6,562,387 | |||
2.00%, 2/1/2052 | 6,261,123 | 5,442,787 | |||
2.00%, 3/1/2052 | 5,361,819 | 4,655,242 | |||
2.22%, 7/13/2040 | 150,000 | 110,156 | |||
2.50%, 10/1/2029 | 16,741 | 16,497 | |||
2.50%, 1/1/2031 | 35,287 | 34,672 | |||
2.50%, 5/1/2031 | 55,103 | 53,995 | |||
2.50%, 6/1/2031 | 102,524 | 100,461 | |||
2.50%, 10/1/2031 | 97,931 | 95,962 | |||
2.50%, 12/1/2031 | 130,222 | 127,603 | |||
2.50%, 12/1/2032 | 446,607 | 435,797 | |||
2.50%, 2/1/2033 | 481,774 | 470,113 | |||
2.50%, 9/1/2035 | 562,429 | 540,050 | |||
2.50%, 1/1/2037 | 1,966,532 | 1,882,859 | |||
2.50%, 1/1/2042 | 1,157,407 | 1,063,335 | |||
2.50%, 7/1/2042 | 3,143,915 | 2,885,170 | |||
2.50%, 9/1/2046 | 681,159 | 621,105 | |||
2.50%, 7/1/2050 | 2,977,054 | 2,693,709 | |||
2.50%, 10/1/2050 | 1,930,498 | 1,745,196 | |||
2.50%, 2/1/2051 | 2,532,730 | 2,286,885 |
Security Description | Principal Amount | Value | |||
2.50%, 6/1/2051 | $ 5,684,736 | $ 5,122,406 | |||
2.50%, 9/1/2051 | 5,267,760 | 4,748,667 | |||
2.50%, 10/1/2051 | 4,394,495 | 3,960,774 | |||
2.50%, 11/1/2051 | 5,370,166 | 4,839,318 | |||
2.50%, 12/1/2051 | 4,584,012 | 4,130,166 | |||
3.00%, 10/1/2030 | 252,278 | 250,663 | |||
3.00%, 12/1/2030 | 43,760 | 43,480 | |||
3.00%, 5/1/2031 | 32,236 | 31,988 | |||
3.00%, 12/1/2031 | 177,267 | 175,902 | |||
3.00%, 2/1/2032 | 237,460 | 235,631 | |||
3.00%, 5/1/2032 | 237,413 | 235,282 | |||
3.00%, 7/1/2032 | 67,955 | 67,345 | |||
3.00%, 1/1/2033 | 288,436 | 285,846 | |||
3.00%, 3/1/2035 | 1,149,411 | 1,130,201 | |||
3.00%, 5/1/2035 | 545,005 | 535,163 | |||
3.00%, 4/1/2036 | 152,557 | 148,989 | |||
3.00%, 6/1/2036 | 95,868 | 93,627 | |||
3.00%, 2/1/2038 | 289,098 | 278,244 | |||
3.00%, 1/1/2043 | 1,333,108 | 1,276,368 | |||
3.00%, 7/1/2043 | 1,429,856 | 1,367,345 | |||
3.00%, 6/1/2045 | 32,513 | 30,895 | |||
3.00% 8/1/2045 | 215,661 | 205,985 | |||
3.00%, 4/1/2046 | 122,564 | 116,303 | |||
3.00% 6/1/2046 | 1,599,909 | 1,528,229 | |||
3.00%, 7/1/2046 | 2,055,714 | 1,951,567 | |||
3.00%, 8/1/2046 | 234,356 | 222,384 | |||
3.00%, 9/1/2046 | 76,484 | 72,577 | |||
3.00%, 10/1/2046 | 129,989 | 123,348 | |||
3.00% 11/1/2046 | 469,390 | 445,411 | |||
3.00% 12/1/2046 | 423,393 | 401,764 | |||
3.00%, 1/1/2047 | 308,740 | 292,968 | |||
3.00% 2/1/2047 | 835,849 | 793,149 | |||
3.00%, 4/1/2047 | 2,043,255 | 1,939,739 | |||
3.00%, 9/1/2049 | 205,050 | 192,851 | |||
3.00%, 12/1/2049 | 198,106 | 186,320 | |||
3.00%, 2/1/2050 | 733,703 | 690,051 | |||
3.00%, 4/1/2050 | 1,376,542 | 1,291,842 | |||
3.00%, 5/1/2050 | 1,817,621 | 1,698,580 | |||
3.00%, 6/1/2051 | 1,567,732 | 1,464,842 | |||
3.00%, 3/1/2052 | 5,007,063 | 4,667,042 | |||
3.50%, 4/1/2032 | 128,281 | 128,765 | |||
3.50%, 6/1/2033 | 234,186 | 234,504 | |||
3.50%, 9/1/2033 | 156,467 | 156,679 | |||
3.50%, 11/1/2034 | 101,213 | 101,021 | |||
3.50%, 3/1/2037 | 122,977 | 120,926 | |||
3.50%, 4/1/2042 | 136,555 | 134,476 | |||
3.50%, 12/1/2042 | 88,399 | 86,970 | |||
3.50%, 8/1/2043 | 231,803 | 228,148 | |||
3.50%, 5/1/2044 | 1,033,942 | 1,017,638 | |||
3.50%, 11/1/2044 | 14,149 | 13,906 | |||
3.50%, 1/1/2045 | 19,339 | 19,007 | |||
3.50% 7/1/2045 | 119,183 | 116,765 | |||
3.50%, 10/1/2045 | 18,213 | 17,844 | |||
3.50% 12/1/2045 | 226,169 | 221,582 | |||
3.50%, 1/1/2046 | 27,325 | 26,770 |
Security Description | Principal Amount | Value | |||
3.50%, 3/1/2046 | $ 54,787 | $ 53,615 | |||
3.50%, 4/1/2046 | 79,817 | 78,110 | |||
3.50%, 6/1/2046 | 92,758 | 90,774 | |||
3.50%, 8/1/2046 | 1,067,800 | 1,046,154 | |||
3.50%, 12/1/2046 | 312,954 | 306,258 | |||
3.50%, 2/1/2047 | 203,862 | 199,500 | |||
3.50%, 3/1/2047 | 194,855 | 190,686 | |||
3.50%, 4/1/2047 | 110,801 | 108,294 | |||
3.50%, 6/1/2047 | 105,795 | 103,402 | |||
3.50% 10/1/2047 | 192,735 | 188,377 | |||
3.50%, 11/1/2047 | 69,381 | 67,811 | |||
3.50%, 12/1/2047 | 157,741 | 154,173 | |||
3.50%, 4/1/2049 | 157,064 | 152,800 | |||
3.50%, 7/1/2049 | 421,079 | 409,219 | |||
3.50%, 10/1/2049 | 45,519 | 44,237 | |||
3.50%, 3/1/2050 | 1,086,086 | 1,055,497 | |||
4.00%, 11/1/2033 | 173,676 | 177,047 | |||
4.00%, 4/1/2042 | 13,304 | 13,454 | |||
4.00%, 6/1/2042 | 38,340 | 38,778 | |||
4.00%, 7/1/2042 | 665,884 | 673,464 | |||
4.00%, 12/1/2044 | 14,045 | 14,166 | |||
4.00%, 4/1/2045 | 10,757 | 10,809 | |||
4.00%, 10/1/2045 | 24,755 | 24,874 | |||
4.00%, 12/1/2045 | 46,924 | 47,150 | |||
4.00%, 1/1/2046 | 173,388 | 174,226 | |||
4.00%, 2/1/2046 | 68,932 | 69,265 | |||
4.00%, 1/1/2047 | 217,499 | 217,965 | |||
4.00%, 2/1/2047 | 85,798 | 85,982 | |||
4.00%, 6/1/2047 | 151,186 | 151,409 | |||
4.00%, 9/1/2047 | 189,524 | 189,804 | |||
4.00%, 11/1/2047 | 139,953 | 140,159 | |||
4.00%, 1/1/2048 | 365,771 | 366,310 | |||
4.00%, 10/1/2048 | 702,391 | 702,662 | |||
4.00%, 4/1/2049 | 55,632 | 55,500 | |||
4.00%, 2/1/2051 | 2,746,250 | 2,737,153 | |||
4.50%, 5/1/2042 | 345,237 | 356,087 | |||
4.50%, 5/1/2044 | 128,062 | 131,535 | |||
4.50%, 12/1/2045 | 209,629 | 215,314 | |||
4.50%, 9/1/2046 | 160,633 | 164,689 | |||
4.50%, 4/1/2047 | 79,145 | 80,672 | |||
4.50%, 10/1/2047 | 124,996 | 127,408 | |||
4.50%, 11/1/2047 | 102,507 | 104,485 | |||
4.50%, 12/1/2047 | 52,642 | 53,658 | |||
4.50%, 7/1/2048 | 283,205 | 288,251 | |||
4.50%, 9/1/2048 | 462,611 | 470,410 | |||
4.50%, 11/1/2048 | 166,041 | 169,000 | |||
4.50%, 6/1/2049 | 211,818 | 214,956 | |||
4.50%, 11/1/2049 | 405,884 | 411,899 | |||
5.00%, 7/1/2041 | 71,956 | 75,814 | |||
5.00%, 11/1/2048 | 182,313 | 186,937 | |||
5.50%, 8/1/2038 | 210,832 | 225,451 | |||
6.00%, 7/1/2040 | 84,394 | 91,934 | |||
6.25%, 7/15/2032 (b) | 460,000 | 570,947 | |||
Series 0000, 0.64%, 11/24/2025 | 175,000 | 160,650 |
Security Description | Principal Amount | Value | |||
Series 0001, 0.60%, 11/12/2025 | $ 150,000 | $ 137,138 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 399,105 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 573,757 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 197,960 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 489,919 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 400,581 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (c) | 250,000 | 256,788 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (c) | 160,001 | 163,688 | |||
Series K087, Class A2, 3.77%, 12/25/2028 | 1,607,000 | 1,637,201 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 163,600 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 346,727 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 97,244 | |||
Series K094, Class A2, 2.90%, 6/25/2029 | 352,767 | 341,612 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 93,830 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 94,832 | |||
Series K101, Class A2, 2.52%, 10/25/2029 | 200,000 | 188,493 | |||
Series K109, Class A2, 1.56%, 4/25/2030 | 100,000 | 87,282 | |||
Series K114, Class A2, 1.37%, 6/25/2030 | 85,000 | 72,711 | |||
Series K115, Class A2, 1.38%, 6/25/2030 | 400,000 | 342,742 | |||
Series K118, Class A2, 1.49%, 9/25/2030 | 750,000 | 645,369 | |||
Series K121, Class A2, 1.55%, 10/25/2030 | 320,000 | 275,687 | |||
Series K123, Class A2, 1.62%, 12/25/2030 | 233,333 | 201,975 | |||
Series K124, Class A2, 1.66%, 12/25/2030 | 500,000 | 433,667 | |||
Series K126, Class A2, 2.07%, 1/25/2031 | 500,000 | 448,246 | |||
Series K127, Class A2, 2.11%, 1/25/2031 | 450,000 | 403,942 | |||
Series K131, Class A2, 1.85%, 7/25/2031 | 500,000 | 436,825 | |||
Series K-1515, Class A2, 1.94%, 2/25/2035 | 293,000 | 236,496 | |||
Series K-1519, Class A2, 2.01%, 12/25/2035 | 250,000 | 199,919 |
Security Description | Principal Amount | Value | |||
Series K-1520, Class A2, 2.44%, 2/25/2036 | $ 520,000 | $ 437,097 | |||
Series K1522, Class A2, 2.36%, 10/25/2036 | 250,000 | 205,807 | |||
Series K157, Class A2, 3.99%, 5/25/2033 (c) | 500,000 | 507,580 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 347,218 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 195,021 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 286,955 | |||
Series K743, Class A2, 1.77%, 5/25/2028 | 300,000 | 274,076 | |||
Series USD, 0.38%, 7/21/2025 | 110,000 | 101,420 | |||
Series K137, Class A2, VRN, 2.35%, 11/25/2031 (c) | 440,000 | 398,181 | |||
Series K747, Class A2, VRN, 2.05%, 11/25/2028 (c) | 166,667 | 153,783 | |||
Federal National Mortgage Association: | |||||
0.25%, 7/10/2023 | 725,000 | 704,214 | |||
0.25%, 11/27/2023 | 210,000 | 202,337 | |||
0.38%, 8/25/2025 | 665,000 | 610,935 | |||
0.50%, 6/17/2025 (b) | 1,000,000 | 927,610 | |||
0.50%, 11/7/2025 | 235,000 | 215,702 | |||
0.63%, 4/22/2025 | 215,000 | 201,014 | |||
0.65%, 12/10/2025 | 100,000 | 91,186 | |||
0.65%, 12/17/2025 | 125,000 | 113,891 | |||
0.70%, 7/30/2025 | 100,000 | 92,455 | |||
0.75%, 10/8/2027 (b) | 700,000 | 620,445 | |||
0.88%, 12/18/2026 | 125,000 | 112,061 | |||
0.88%, 8/5/2030 (b) | 1,900,000 | 1,571,870 | |||
1.50%, 7/1/2036 | 3,981,664 | 3,631,796 | |||
1.50%, 3/1/2037 | 5,254,292 | 4,782,464 | |||
1.50%, 4/1/2037 | 1,543,193 | 1,404,616 | |||
1.50%, 3/1/2051 | 2,847,890 | 2,369,504 | |||
1.50%, 11/1/2051 | 5,827,146 | 4,843,533 | |||
1.63%, 1/7/2025 | 215,000 | 207,619 | |||
2.00%, 11/1/2031 | 63,698 | 61,212 | |||
2.00%, 8/1/2035 | 845,466 | 793,283 | |||
2.00% 11/1/2035 | 2,093,087 | 1,963,900 | |||
2.00%, 12/1/2035 | 1,179,638 | 1,106,830 | |||
2.00%, 2/1/2036 | 2,464,002 | 2,311,923 | |||
2.00% 6/1/2036 | 3,793,275 | 3,546,910 | |||
2.00%, 12/1/2036 | 5,447,488 | 5,093,686 | |||
2.00%, 5/1/2037 | 5,121,590 | 4,781,888 | |||
2.00%, 1/1/2042 | 4,850,980 | 4,334,491 | |||
2.00%, 7/1/2050 | 806,654 | 704,471 | |||
2.00%, 8/1/2050 | 1,416,875 | 1,237,393 | |||
2.00%, 10/1/2050 | 18,499,417 | 16,156,018 | |||
2.00%, 11/1/2050 | 4,026,426 | 3,516,381 | |||
2.00% 1/1/2051 | 5,215,085 | 4,554,467 |
Security Description | Principal Amount | Value | |||
2.00%, 2/1/2051 | $ 3,000,633 | $ 2,620,530 | |||
2.00% 3/1/2051 | 15,145,436 | 13,193,848 | |||
2.00%, 4/1/2051 | 4,912,041 | 4,273,846 | |||
2.00% 5/1/2051 | 9,377,541 | 8,174,121 | |||
2.00%, 7/1/2051 | 8,248,069 | 7,174,523 | |||
2.00%, 11/1/2051 | 15,411,586 | 13,400,876 | |||
2.00%, 1/1/2052 | 4,870,711 | 4,234,487 | |||
2.00%, 3/1/2052 | 3,101,517 | 2,692,619 | |||
2.00%, 4/1/2052 | 5,441,650 | 4,724,233 | |||
2.13%, 4/24/2026 (b) | 200,000 | 193,132 | |||
2.50%, 2/5/2024 | 250,000 | 248,202 | |||
2.50%, 3/1/2029 | 96,687 | 95,384 | |||
2.50%, 7/1/2030 | 526,948 | 519,956 | |||
2.50%, 2/1/2031 | 54,152 | 53,159 | |||
2.50%, 10/1/2031 | 98,090 | 96,026 | |||
2.50%, 12/1/2031 | 174,143 | 170,479 | |||
2.50%, 1/1/2032 | 63,540 | 62,203 | |||
2.50%, 4/1/2032 | 612,100 | 599,222 | |||
2.50%, 6/1/2032 | 1,632,996 | 1,598,640 | |||
2.50%, 10/1/2032 | 207,643 | 202,421 | |||
2.50%, 12/1/2032 | 414,409 | 403,986 | |||
2.50%, 1/1/2033 | 232,122 | 226,284 | |||
2.50% 2/1/2035 | 2,618,883 | 2,563,787 | |||
2.50% 8/1/2035 | 1,425,751 | 1,368,999 | |||
2.50%, 9/1/2035 | 3,383,415 | 3,248,737 | |||
2.50%, 6/1/2040 | 295,480 | 273,181 | |||
2.50%, 8/1/2040 | 171,839 | 158,881 | |||
2.50%, 11/1/2049 | 1,568,269 | 1,425,845 | |||
2.50%, 12/1/2049 | 713,496 | 648,700 | |||
2.50%, 7/1/2050 | 1,289,588 | 1,166,812 | |||
2.50%, 8/1/2050 | 3,126,356 | 2,827,865 | |||
2.50%, 10/1/2050 | 1,987,687 | 1,796,837 | |||
2.50%, 11/1/2050 | 2,437,691 | 2,202,974 | |||
2.50%, 12/1/2050 | 1,384,273 | 1,250,612 | |||
2.50% 4/1/2051 | 8,046,619 | 7,264,479 | |||
2.50%, 7/1/2051 | 7,714,586 | 6,956,788 | |||
2.50%, 8/1/2051 | 13,126,342 | 11,834,917 | |||
2.50%, 9/1/2051 | 4,471,622 | 4,030,992 | |||
2.50% 10/1/2051 | 11,225,249 | 10,117,383 | |||
2.50%, 2/1/2052 | 1,267,565 | 1,141,678 | |||
2.50%, 3/1/2052 | 6,371,723 | 5,735,284 | |||
2.50%, 4/1/2052 | 5,920,732 | 5,328,420 | |||
2.63%, 9/6/2024 (b) | 250,000 | 247,640 | |||
2.88%, 9/12/2023 | 500,000 | 499,955 | |||
3.00%, 10/1/2028 | 30,923 | 30,867 | |||
3.00%, 8/1/2029 | 17,153 | 17,021 | |||
3.00%, 5/1/2030 | 90,359 | 90,234 | |||
3.00%, 6/1/2030 | 16,802 | 16,679 | |||
3.00%, 8/1/2030 | 323,193 | 320,829 | |||
3.00%, 9/1/2030 | 17,308 | 17,182 | |||
3.00%, 11/1/2030 | 37,714 | 37,439 | |||
3.00% 12/1/2030 | 231,414 | 229,722 | |||
3.00%, 4/1/2031 | 121,515 | 120,469 | |||
3.00%, 12/1/2031 | 185,360 | 183,764 | |||
3.00% 2/1/2032 | 598,268 | 593,116 |
Security Description | Principal Amount | Value | |||
3.00%, 5/1/2032 | $ 211,840 | $ 209,742 | |||
3.00%, 8/1/2032 | 68,555 | 67,876 | |||
3.00%, 10/1/2032 | 120,106 | 118,917 | |||
3.00%, 2/1/2034 | 544,207 | 538,818 | |||
3.00%, 7/1/2034 | 143,462 | 141,063 | |||
3.00%, 6/1/2035 | 1,802,517 | 1,772,384 | |||
3.00%, 6/1/2036 | 28,281 | 27,593 | |||
3.00%, 8/1/2036 | 143,103 | 139,621 | |||
3.00%, 9/1/2036 | 257,307 | 251,046 | |||
3.00%, 10/1/2036 | 78,421 | 76,513 | |||
3.00%, 12/1/2036 | 142,860 | 139,384 | |||
3.00%, 4/1/2037 | 725,459 | 707,808 | |||
3.00%, 11/1/2037 | 295,571 | 282,723 | |||
3.00%, 6/1/2042 | 550,003 | 526,095 | |||
3.00%, 6/1/2043 | 169,482 | 162,115 | |||
3.00%, 7/1/2043 | 35,388 | 33,809 | |||
3.00%, 2/1/2044 | 300,306 | 286,905 | |||
3.00%, 1/1/2045 | 528,157 | 504,587 | |||
3.00%, 5/1/2045 | 479,592 | 458,189 | |||
3.00%, 9/1/2045 | 28,278 | 26,843 | |||
3.00% 11/1/2045 | 183,672 | 174,352 | |||
3.00%, 12/1/2045 | 36,879 | 35,008 | |||
3.00%, 5/1/2046 | 261,344 | 247,742 | |||
3.00%, 7/1/2046 | 288,753 | 273,725 | |||
3.00%, 10/1/2046 | 185,106 | 175,473 | |||
3.00%, 11/1/2046 | 393,260 | 372,793 | |||
3.00% 12/1/2046 | 351,408 | 333,118 | |||
3.00% 1/1/2047 | 978,255 | 927,341 | |||
3.00%, 2/1/2047 | 312,370 | 296,112 | |||
3.00%, 5/1/2047 | 357,988 | 338,012 | |||
3.00%, 11/1/2047 | 189,300 | 178,736 | |||
3.00%, 9/1/2049 | 1,798,688 | 1,691,659 | |||
3.00%, 11/1/2049 | 595,763 | 560,313 | |||
3.00%, 12/1/2049 | 1,543,170 | 1,451,346 | |||
3.00%, 1/1/2050 | 1,134,075 | 1,066,593 | |||
3.00%, 2/1/2050 | 4,177,759 | 3,960,327 | |||
3.00%, 3/1/2050 | 1,083,998 | 1,017,515 | |||
3.00%, 5/1/2050 | 1,234,751 | 1,158,547 | |||
3.00%, 7/1/2050 | 1,070,564 | 1,004,081 | |||
3.00%, 8/1/2050 | 449,143 | 421,164 | |||
3.00%, 9/1/2050 | 3,979,236 | 3,718,044 | |||
3.00%, 10/1/2050 | 206,893 | 193,925 | |||
3.00%, 9/1/2051 | 2,563,795 | 2,394,071 | |||
3.00%, 1/1/2052 | 4,864,649 | 4,538,843 | |||
3.00%, 5/1/2052 | 3,471,078 | 3,234,626 | |||
3.50%, 11/1/2025 | 11,435 | 11,423 | |||
3.50%, 1/1/2027 | 11,865 | 11,852 | |||
3.50%, 5/1/2029 | 19,314 | 19,384 | |||
3.50%, 10/1/2029 | 17,706 | 17,770 | |||
3.50%, 2/1/2031 | 131,118 | 130,981 | |||
3.50%, 3/1/2032 | 101,853 | 102,144 | |||
3.50%, 4/1/2032 | 154,672 | 155,115 | |||
3.50%, 2/1/2033 | 303,666 | 304,536 | |||
3.50%, 4/1/2033 | 90,054 | 90,096 | |||
3.50%, 11/1/2034 | 594,060 | 594,153 |
Security Description | Principal Amount | Value | |||
3.50%, 12/1/2035 | $ 18,507 | $ 18,411 | |||
3.50%, 1/1/2037 | 139,320 | 138,746 | |||
3.50%, 2/1/2037 | 197,335 | 196,521 | |||
3.50%, 7/1/2037 | 79,817 | 78,406 | |||
3.50%, 4/1/2038 | 174,956 | 171,843 | |||
3.50%, 2/1/2041 | 60,879 | 59,893 | |||
3.50%, 10/1/2044 | 13,014 | 12,779 | |||
3.50% 1/1/2045 | 36,653 | 35,990 | |||
3.50% 2/1/2045 | 1,585,276 | 1,558,184 | |||
3.50%, 5/1/2045 | 14,161 | 13,860 | |||
3.50% 8/1/2045 | 47,575 | 46,566 | |||
3.50%, 11/1/2045 | 16,071 | 15,730 | |||
3.50% 12/1/2045 | 253,452 | 248,074 | |||
3.50%, 1/1/2046 | 166,613 | 163,078 | |||
3.50% 2/1/2046 | 218,529 | 213,892 | |||
3.50% 4/1/2046 | 124,337 | 121,561 | |||
3.50% 5/1/2046 | 171,075 | 167,255 | |||
3.50%, 6/1/2046 | 44,679 | 43,681 | |||
3.50%, 7/1/2046 | 134,748 | 131,739 | |||
3.50%, 8/1/2046 | 1,414,279 | 1,390,641 | |||
3.50%, 1/1/2047 | 213,153 | 208,393 | |||
3.50% 2/1/2047 | 951,383 | 930,975 | |||
3.50%, 3/1/2047 | 201,827 | 197,320 | |||
3.50%, 4/1/2047 | 401,924 | 392,457 | |||
3.50% 5/1/2047 | 1,540,151 | 1,506,075 | |||
3.50%, 6/1/2047 | 158,351 | 154,621 | |||
3.50% 7/1/2047 | 2,120,320 | 2,084,084 | |||
3.50%, 9/1/2047 | 147,195 | 143,728 | |||
3.50%, 10/1/2047 | 171,605 | 167,563 | |||
3.50%, 11/1/2047 | 38,777 | 37,864 | |||
3.50% 12/1/2047 | 3,515,512 | 3,450,406 | |||
3.50%, 1/1/2048 | 81,650 | 79,727 | |||
3.50%, 2/1/2048 | 128,128 | 125,110 | |||
3.50%, 6/1/2048 | 220,939 | 215,721 | |||
3.50%, 10/1/2048 | 732,677 | 715,418 | |||
3.50% 11/1/2048 | 1,338,627 | 1,307,958 | |||
3.50%, 3/1/2049 | 1,532,974 | 1,496,863 | |||
3.50%, 5/1/2049 | 1,447,309 | 1,406,542 | |||
3.50%, 6/1/2049 | 3,709,906 | 3,622,514 | |||
3.50%, 7/1/2049 | 209,501 | 203,600 | |||
3.50%, 8/1/2049 | 592,539 | 575,849 | |||
3.50%, 6/1/2050 | 339,621 | 328,573 | |||
3.50%, 12/1/2051 | 385,544 | 371,855 | |||
3.50%, 6/1/2052 | 6,075,842 | 5,847,224 | |||
4.00%, 3/1/2031 | 400,488 | 404,660 | |||
4.00%, 10/1/2033 | 70,316 | 71,567 | |||
4.00%, 10/1/2037 | 503,436 | 510,831 | |||
4.00%, 1/1/2039 | 55,222 | 55,707 | |||
4.00%, 2/1/2039 | 49,115 | 49,546 | |||
4.00%, 12/1/2040 | 24,136 | 24,387 | |||
4.00%, 2/1/2043 | 137,654 | 139,087 | |||
4.00% 10/1/2043 | 302,022 | 305,157 | |||
4.00%, 11/1/2043 | 95,130 | 96,017 | |||
4.00%, 12/1/2043 | 105,160 | 106,140 | |||
4.00% 10/1/2044 | 16,445 | 16,571 |
Security Description | Principal Amount | Value | |||
4.00%, 1/1/2045 | $ 289,646 | $ 292,680 | |||
4.00%, 3/1/2045 | 15,507 | 15,567 | |||
4.00%, 5/1/2045 | 818,343 | 824,608 | |||
4.00%, 7/1/2045 | 16,183 | 16,246 | |||
4.00% 9/1/2045 | 63,074 | 63,318 | |||
4.00% 12/1/2045 | 25,765 | 25,865 | |||
4.00%, 2/1/2046 | 1,593,649 | 1,610,364 | |||
4.00%, 4/1/2046 | 61,950 | 62,025 | |||
4.00%, 7/1/2046 | 94,832 | 94,946 | |||
4.00%, 10/1/2046 | 1,613,350 | 1,630,020 | |||
4.00% 11/1/2046 | 814,109 | 819,701 | |||
4.00%, 12/1/2046 | 205,568 | 205,816 | |||
4.00% 4/1/2047 | 316,449 | 316,621 | |||
4.00%, 7/1/2047 | 1,659,275 | 1,660,172 | |||
4.00%, 8/1/2047 | 146,785 | 146,864 | |||
4.00%, 9/1/2047 | 147,742 | 147,822 | |||
4.00%, 12/1/2047 | 204,372 | 204,483 | |||
4.00%, 2/1/2048 | 453,721 | 453,966 | |||
4.00%, 6/1/2048 | 349,212 | 349,019 | |||
4.00%, 7/1/2048 | 145,536 | 145,455 | |||
4.00%, 9/1/2048 | 798,993 | 798,551 | |||
4.00%, 11/1/2048 | 1,515,011 | 1,514,173 | |||
4.00%, 6/1/2049 | 691,585 | 691,958 | |||
4.00%, 7/1/2049 | 508,091 | 506,409 | |||
4.00%, 8/1/2049 | 857,121 | 856,646 | |||
4.00%, 9/1/2049 | 190,322 | 189,692 | |||
4.00%, 2/1/2050 | 581,731 | 579,804 | |||
4.00%, 7/1/2050 | 1,563,726 | 1,562,861 | |||
4.00%, 3/1/2051 | 2,554,819 | 2,546,358 | |||
4.50%, 9/1/2039 | 170,431 | 175,627 | |||
4.50%, 12/1/2040 | 30,757 | 31,693 | |||
4.50%, 1/1/2042 | 31,790 | 32,752 | |||
4.50% 9/1/2043 | 54,921 | 56,578 | |||
4.50%, 11/1/2043 | 30,103 | 30,983 | |||
4.50%, 5/1/2044 | 84,936 | 87,158 | |||
4.50%, 6/1/2044 | 23,439 | 24,052 | |||
4.50%, 2/1/2046 | 106,532 | 109,774 | |||
4.50%, 3/1/2046 | 333,797 | 343,559 | |||
4.50%, 5/1/2046 | 278,872 | 287,370 | |||
4.50%, 7/1/2046 | 86,989 | 88,661 | |||
4.50%, 11/1/2047 | 274,711 | 279,730 | |||
4.50%, 4/1/2048 | 121,778 | 123,831 | |||
4.50%, 7/1/2048 | 620,644 | 631,106 | |||
4.50% 8/1/2048 | 399,907 | 406,648 | |||
4.50%, 12/1/2048 | 149,765 | 152,289 | |||
4.50%, 1/1/2049 | 49,630 | 50,467 | |||
4.50%, 4/1/2049 | 77,691 | 78,840 | |||
4.50%, 3/1/2050 | 530,322 | 538,163 | |||
5.00%, 1/1/2039 | 285,359 | 300,141 | |||
5.00%, 6/1/2040 | 103,763 | 109,334 | |||
5.00%, 7/1/2041 | 17,937 | 18,900 | |||
5.00%, 5/1/2042 | 23,527 | 24,790 | |||
5.00%, 11/1/2044 | 287,709 | 303,155 | |||
5.00%, 1/1/2045 | 16,037 | 16,769 | |||
5.00%, 6/1/2048 | 193,126 | 198,003 |
Security Description | Principal Amount | Value | |||
5.00%, 9/1/2048 | $ 214,671 | $ 220,092 | |||
5.00%, 3/1/2050 | 325,068 | 333,261 | |||
5.50%, 2/1/2037 | 14,310 | 15,283 | |||
5.50%, 4/1/2038 | 67,323 | 71,887 | |||
5.50%, 9/1/2040 | 20,943 | 22,357 | |||
5.50%, 9/1/2041 | 33,473 | 35,742 | |||
5.50% 5/1/2044 | 397,775 | 424,354 | |||
5.63%, 7/15/2037 | 80,000 | 97,509 | |||
6.63%, 11/15/2030 | 365,000 | 451,151 | |||
7.25%, 5/15/2030 | 75,000 | 95,387 | |||
2.00%, 10/1/2051 | 9,280,447 | 8,070,370 | |||
Series 0000, 0.56%, 11/17/2025 | 350,000 | 318,671 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 470,845 | 465,463 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 240,587 | 237,124 | |||
Series 2017-M12, Class A2, 3.17%, 6/25/2027 (c) | 316,819 | 313,197 | |||
Series 2017-M13, Class A2, 3.02%, 9/25/2027 (c) | 286,667 | 281,287 | |||
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (c) | 250,000 | 244,871 | |||
Series 2019-M1, Class A2, 3.67%, 9/25/2028 (c) | 994,902 | 1,004,442 | |||
Series 2020-M14, Class A2, 1.78%, 5/25/2030 | 500,000 | 444,246 | |||
Series 2020-M42, Class A2, 1.27%, 7/25/2030 | 200,000 | 166,777 | |||
Series 2020-M8, Class A2, 1.82%, 2/25/2030 | 144,700 | 129,257 | |||
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (c) | 725,000 | 613,828 | |||
Series 2021-M19, Class A2, 1.80%, 10/25/2031 (c) | 300,000 | 257,918 | |||
TBA, 2.00%, 7/15/2037 (g) | 1,450,000 | 1,352,882 | |||
TBA, 2.50%, 7/15/2037 (g) | 1,250,000 | 1,193,979 | |||
TBA, 3.00%, 7/15/2052 (g) | 3,965,000 | 3,691,022 | |||
TBA, 3.50%, 7/15/2052 (g) | 3,225,000 | 3,101,079 | |||
TBA, 4.50%, 7/15/2052 (g) | 3,000,000 | 3,011,100 | |||
Series 2020-M29, Class A2, VRN, 1.49%, 5/25/2030 (c) | 272,000 | 235,497 | |||
Series 2020-M52, Class A2, VRN, 1.36%, 10/25/2030 (c) | 350,000 | 297,634 | |||
Series 2020-M53, Class A2, VRN, 1.74%, 11/25/2032 (c) | 550,000 | 463,408 |
Security Description | Principal Amount | Value | |||
Series 2021-M1, Class A2, VRN, 1.44%, 11/25/2030 (c) | $ 61,250 | $ 52,124 | |||
Series 2021-M4, Class A2, VRN, 1.51%, 2/25/2031 (c) | 280,000 | 238,013 | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series K080, Class A2, 3.93%, 7/25/2028 (c) | 1,000,000 | 1,026,558 | |||
Government National Mortgage Association: | |||||
2.00%, 9/20/2050 | 744,188 | 665,477 | |||
2.00%, 1/20/2051 | 2,029,903 | 1,815,204 | |||
2.00%, 4/20/2051 | 4,300,933 | 3,844,138 | |||
2.00%, 5/20/2051 | 2,279,811 | 2,031,058 | |||
2.00%, 6/20/2051 | 3,950,534 | 3,515,610 | |||
2.00%, 9/20/2051 | 7,394,094 | 6,580,058 | |||
2.00%, 12/20/2051 | 2,875,617 | 2,559,033 | |||
2.00%, 1/20/2052 | 3,159,888 | 2,812,007 | |||
2.00%, 3/20/2052 | 1,978,875 | 1,756,596 | |||
2.00%, 4/20/2052 | 3,079,133 | 2,733,267 | |||
2.00%, 5/20/2052 | 2,239,005 | 1,987,507 | |||
2.50%, 12/20/2046 | 3,846,888 | 3,540,807 | |||
2.50%, 8/20/2050 | 1,910,608 | 1,761,649 | |||
2.50%, 9/20/2050 | 1,231,718 | 1,135,688 | |||
2.50%, 10/20/2050 | 2,200,125 | 2,028,595 | |||
2.50%, 1/20/2051 | 2,006,323 | 1,849,903 | |||
2.50%, 4/20/2051 | 4,100,764 | 3,770,214 | |||
2.50%, 7/20/2051 | 2,712,493 | 2,491,335 | |||
2.50%, 8/20/2051 | 2,527,294 | 2,320,455 | |||
2.50%, 9/20/2051 | 4,839,882 | 4,442,282 | |||
2.50%, 10/20/2051 | 1,781,510 | 1,634,608 | |||
2.50%, 1/20/2052 | 3,418,358 | 3,134,371 | |||
2.50%, 5/20/2052 | 2,490,874 | 2,279,049 | |||
3.00%, 1/20/2043 | 253,755 | 244,028 | |||
3.00%, 5/20/2043 | 125,593 | 120,696 | |||
3.00%, 12/20/2044 | 19,242 | 18,540 | |||
3.00%, 3/20/2045 | 9,827 | 9,446 | |||
3.00%, 4/20/2045 | 30,118 | 28,952 | |||
3.00%, 6/20/2045 | 460,811 | 442,971 | |||
3.00%, 7/20/2045 | 30,479 | 29,299 | |||
3.00%, 8/20/2045 | 30,035 | 28,872 | |||
3.00%, 2/20/2046 | 869,856 | 835,935 | |||
3.00%, 3/20/2046 | 272,773 | 261,489 | |||
3.00%, 4/20/2046 | 1,506,697 | 1,444,366 | |||
3.00%, 5/20/2046 | 44,722 | 42,872 | |||
3.00%, 7/20/2046 | 28,655 | 27,470 | |||
3.00%, 8/20/2046 | 92,015 | 88,209 | |||
3.00%, 9/20/2046 | 65,883 | 63,158 | |||
3.00%, 10/20/2046 | 1,801,580 | 1,727,050 | |||
3.00%, 11/20/2046 | 121,879 | 116,837 | |||
3.00%, 12/20/2046 | 486,554 | 466,425 | |||
3.00%, 2/20/2047 | 252,251 | 241,816 | |||
3.00%, 4/20/2047 | 359,082 | 343,789 |
Security Description | Principal Amount | Value | |||
3.00%, 6/20/2047 | $ 109,371 | $ 104,713 | |||
3.00%, 7/20/2047 | 206,912 | 198,100 | |||
3.00%, 8/20/2047 | 103,175 | 98,781 | |||
3.00%, 10/20/2047 | 150,148 | 143,753 | |||
3.00%, 1/20/2048 | 561,680 | 537,758 | |||
3.00%, 2/20/2048 | 334,705 | 320,450 | |||
3.00%, 3/20/2048 | 590,993 | 565,823 | |||
3.00%, 11/20/2049 | 911,607 | 868,169 | |||
3.00%, 12/20/2049 | 550,899 | 524,649 | |||
3.00%, 2/20/2050 | 554,044 | 527,347 | |||
3.00%, 6/20/2050 | 1,556,608 | 1,482,859 | |||
3.00%, 7/20/2050 | 1,923,539 | 1,830,978 | |||
3.00%, 12/20/2050 | 2,313,195 | 2,202,263 | |||
3.00%, 8/20/2051 | 4,509,389 | 4,261,389 | |||
3.00%, 12/20/2051 | 1,924,044 | 1,821,936 | |||
3.50%, 10/20/2042 | 196,961 | 194,821 | |||
3.50%, 1/20/2043 | 866,769 | 857,350 | |||
3.50%, 5/20/2043 | 30,473 | 30,160 | |||
3.50%, 9/20/2043 | 19,835 | 19,632 | |||
3.50%, 11/20/2043 | 151,975 | 150,415 | |||
3.50%, 6/20/2044 | 766,236 | 756,124 | |||
3.50%, 10/20/2044 | 17,005 | 16,780 | |||
3.50%, 12/20/2044 | 11,191 | 11,043 | |||
3.50%, 3/20/2045 | 9,824 | 9,676 | |||
3.50%, 4/20/2045 | 33,620 | 33,115 | |||
3.50%, 6/20/2045 | 439,540 | 432,929 | |||
3.50%, 10/20/2045 | 856,738 | 843,852 | |||
3.50% 1/20/2046 | 2,974,386 | 2,929,649 | |||
3.50%, 3/20/2046 | 69,042 | 67,935 | |||
3.50%, 4/20/2046 | 36,621 | 36,033 | |||
3.50%, 5/20/2046 | 37,151 | 36,555 | |||
3.50%, 6/20/2046 | 564,092 | 555,047 | |||
3.50%, 7/20/2046 | 89,183 | 87,753 | |||
3.50%, 10/20/2046 | 179,960 | 177,075 | |||
3.50%, 11/20/2046 | 629,580 | 619,485 | |||
3.50%, 12/20/2046 | 407,159 | 400,630 | |||
3.50%, 5/20/2047 | 271,152 | 266,228 | |||
3.50%, 6/20/2047 | 185,585 | 182,214 | |||
3.50%, 7/20/2047 | 143,710 | 141,100 | |||
3.50%, 8/20/2047 | 229,889 | 225,714 | |||
3.50%, 9/20/2047 | 92,673 | 90,990 | |||
3.50%, 10/20/2047 | 90,657 | 89,011 | |||
3.50%, 11/20/2047 | 1,146,569 | 1,125,746 | |||
3.50%, 12/20/2047 | 427,199 | 419,440 | |||
3.50%, 6/20/2048 | 137,927 | 135,422 | |||
3.50%, 8/20/2048 | 99,735 | 97,961 | |||
3.50%, 8/20/2049 | 343,741 | 336,293 | |||
3.50%, 9/20/2049 | 1,012,598 | 990,386 | |||
3.50%, 12/20/2049 | 209,195 | 204,550 | |||
3.50%, 2/20/2050 | 353,568 | 345,718 | |||
3.50%, 7/20/2050 | 501,982 | 490,636 | |||
3.50%, 10/20/2050 | 1,922,629 | 1,880,199 | |||
3.50%, 6/20/2052 | 2,600,000 | 2,528,516 | |||
4.00%, 4/15/2040 | 23,158 | 23,508 | |||
4.00%, 2/20/2042 | 9,404 | 9,575 |
Security Description | Principal Amount | Value | |||
4.00%, 7/20/2042 | $ 6,814 | $ 6,929 | |||
4.00%, 7/15/2044 | 21,284 | 21,569 | |||
4.00%, 8/20/2044 | 12,222 | 12,403 | |||
4.00%, 10/20/2044 | 109,753 | 111,377 | |||
4.00%, 5/15/2045 | 10,952 | 11,085 | |||
4.00%, 6/15/2045 | 28,487 | 28,832 | |||
4.00%, 8/20/2045 | 10,692 | 10,812 | |||
4.00%, 11/20/2045 | 133,590 | 135,093 | |||
4.00%, 2/20/2046 | 102,944 | 104,102 | |||
4.00%, 5/20/2046 | 104,868 | 106,048 | |||
4.00%, 6/20/2046 | 73,510 | 74,224 | |||
4.00%, 1/20/2047 | 211,991 | 214,050 | |||
4.00%, 3/20/2047 | 88,262 | 89,119 | |||
4.00%, 4/20/2047 | 165,533 | 166,942 | |||
4.00%, 5/20/2047 | 113,067 | 113,909 | |||
4.00%, 7/20/2047 | 114,062 | 114,912 | |||
4.00%, 8/20/2047 | 49,477 | 49,845 | |||
4.00%, 1/20/2048 | 78,964 | 79,552 | |||
4.00%, 5/20/2048 | 1,398,983 | 1,408,564 | |||
4.00%, 6/20/2048 | 2,061,297 | 2,075,415 | |||
4.00%, 8/20/2048 | 426,564 | 429,486 | |||
4.00%, 10/20/2048 | 178,232 | 179,453 | |||
4.00%, 11/20/2048 | 141,814 | 142,786 | |||
4.00%, 4/20/2049 | 125,545 | 125,356 | |||
4.00%, 6/20/2049 | 274,605 | 274,192 | |||
4.00%, 7/20/2049 | 150,930 | 150,703 | |||
4.00%, 1/20/2050 | 231,848 | 231,499 | |||
4.00%, 3/20/2050 | 423,752 | 423,115 | |||
4.50%, 1/20/2044 | 59,990 | 61,939 | |||
4.50%, 11/20/2044 | 16,993 | 17,539 | |||
4.50%, 12/20/2044 | 14,276 | 14,734 | |||
4.50%, 4/20/2046 | 73,919 | 76,293 | |||
4.50%, 6/20/2046 | 49,938 | 51,560 | |||
4.50%, 7/20/2046 | 62,780 | 64,797 | |||
4.50%, 4/20/2047 | 184,493 | 189,630 | |||
4.50%, 8/20/2047 | 53,300 | 54,784 | |||
4.50%, 11/20/2047 | 484,514 | 498,246 | |||
4.50%, 12/20/2047 | 29,720 | 30,562 | |||
4.50%, 11/20/2048 | 166,055 | 169,567 | |||
4.50%, 7/20/2049 | 175,770 | 179,488 | |||
5.00%, 6/15/2040 | 12,017 | 12,634 | |||
5.00%, 10/15/2041 | 62,887 | 66,294 | |||
5.00%, 3/20/2044 | 26,654 | 28,079 | |||
5.00%, 12/20/2045 | 101,739 | 107,176 | |||
5.00%, 1/20/2048 | 131,709 | 137,399 | |||
5.00%, 5/20/2048 | 92,037 | 95,325 | |||
5.00%, 9/20/2048 | 158,235 | 165,423 | |||
5.00%, 3/20/2050 | 187,384 | 195,478 | |||
5.50%, 10/20/2043 | 24,540 | 26,510 | |||
5.50%, 5/20/2045 | 297,143 | 321,510 | |||
TBA, 2.50%, 7/21/2052 (g) | 2,775,000 | 2,536,738 | |||
TBA, 3.00%, 7/21/2052 (g) | 3,750,000 | 3,533,122 | |||
TBA, 4.00%, 7/21/2052 (g) | 950,000 | 945,694 | |||
Tennessee Valley Authority: | |||||
0.75%, 5/15/2025 (b) | 85,000 | 79,497 |
Security Description | Principal Amount | Value | |||
1.50%, 9/15/2031 | $ 75,000 | $ 63,308 | |||
2.88%, 9/15/2024 | 100,000 | 99,463 | |||
3.50%, 12/15/2042 | 525,000 | 475,246 | |||
4.25%, 9/15/2065 | 350,000 | 367,171 | |||
5.25%, 9/15/2039 | 150,000 | 170,619 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 148,076 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $660,354,286) | 602,460,636 | ||||
U.S. TREASURY OBLIGATIONS — 39.6% | |||||
Treasury Bonds: | |||||
1.13%, 5/15/2040 | 2,850,000 | 1,983,867 | |||
1.13%, 8/15/2040 | 4,000,000 | 2,761,875 | |||
1.25%, 5/15/2050 | 2,750,000 | 1,749,258 | |||
1.38%, 11/15/2040 | 3,750,000 | 2,700,000 | |||
1.38%, 8/15/2050 | 3,350,000 | 2,204,719 | |||
1.63%, 11/15/2050 | 4,000,000 | 2,812,500 | |||
1.75%, 8/15/2041 | 5,000,000 | 3,802,344 | |||
1.88%, 2/15/2041 | 8,000,000 | 6,273,750 | |||
1.88%, 2/15/2051 (b) | 4,500,000 | 3,375,703 | |||
1.88%, 11/15/2051 | 5,250,000 | 3,939,961 | |||
2.00%, 11/15/2041 (b) | 4,250,000 | 3,374,766 | |||
2.00%, 2/15/2050 | 2,050,000 | 1,588,750 | |||
2.00%, 8/15/2051 | 5,750,000 | 4,444,570 | |||
2.25%, 5/15/2041 | 5,000,000 | 4,170,312 | |||
2.25%, 8/15/2046 | 3,425,000 | 2,760,871 | |||
2.25%, 8/15/2049 | 2,000,000 | 1,640,938 | |||
2.25%, 2/15/2052 (b) | 3,650,000 | 3,003,836 | |||
2.38%, 2/15/2042 | 8,250,000 | 6,994,453 | |||
2.38%, 11/15/2049 | 2,500,000 | 2,110,938 | |||
2.38%, 5/15/2051 (b) | 5,900,000 | 4,980,891 | |||
2.50%, 2/15/2045 | 3,340,000 | 2,832,738 | |||
2.50%, 2/15/2046 | 3,400,000 | 2,882,563 | |||
2.50%, 5/15/2046 | 1,850,000 | 1,567,875 | |||
2.75%, 8/15/2042 | 900,000 | 806,484 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,342,031 | |||
2.75%, 8/15/2047 | 1,700,000 | 1,520,172 | |||
2.75%, 11/15/2047 | 3,400,000 | 3,045,125 | |||
2.88%, 5/15/2043 | 1,850,000 | 1,685,523 | |||
2.88%, 8/15/2045 | 5,480,000 | 4,977,381 | |||
2.88%, 11/15/2046 | 2,500,000 | 2,278,516 | |||
2.88%, 5/15/2049 | 2,450,000 | 2,284,242 | |||
2.88%, 5/15/2052 | 3,000,000 | 2,833,125 | |||
3.00%, 5/15/2042 | 325,000 | 304,383 | |||
3.00%, 11/15/2044 | 3,075,000 | 2,848,219 | |||
3.00%, 5/15/2045 | 1,875,000 | 1,739,063 | |||
3.00%, 11/15/2045 | 1,900,000 | 1,765,516 | |||
3.00%, 2/15/2047 | 2,200,000 | 2,053,906 | |||
3.00%, 5/15/2047 | 3,300,000 | 3,084,469 | |||
3.00%, 2/15/2048 | 3,200,000 | 3,015,000 | |||
3.00%, 8/15/2048 (b) | 2,950,000 | 2,786,828 | |||
3.00%, 2/15/2049 | 2,650,000 | 2,525,781 | |||
3.13%, 11/15/2041 | 350,000 | 335,781 |
Security Description | Principal Amount | Value | |||
3.13%, 2/15/2042 (b) | $ 725,000 | $ 693,848 | |||
3.13%, 2/15/2043 | 1,075,000 | 1,020,914 | |||
3.13%, 8/15/2044 | 2,500,000 | 2,367,969 | |||
3.13%, 5/15/2048 | 2,375,000 | 2,297,441 | |||
3.25%, 5/15/2042 | 3,500,000 | 3,416,328 | |||
3.38%, 5/15/2044 | 1,900,000 | 1,874,766 | |||
3.38%, 11/15/2048 | 3,100,000 | 3,149,891 | |||
3.50%, 2/15/2039 | 1,000,000 | 1,044,219 | |||
3.63%, 8/15/2043 | 1,600,000 | 1,641,250 | |||
3.63%, 2/15/2044 | 2,725,000 | 2,793,977 | |||
3.75%, 8/15/2041 | 2,000,000 | 2,100,625 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,489,793 | |||
3.88%, 8/15/2040 | 750,000 | 808,125 | |||
4.25%, 5/15/2039 | 1,500,000 | 1,712,578 | |||
4.25%, 11/15/2040 | 1,500,000 | 1,694,063 | |||
4.38%, 2/15/2038 | 650,000 | 756,539 | |||
4.38%, 11/15/2039 | 1,250,000 | 1,443,359 | |||
4.38%, 5/15/2040 | 575,000 | 662,418 | |||
4.38%, 5/15/2041 | 300,000 | 343,500 | |||
4.50%, 2/15/2036 (b) | 1,500,000 | 1,762,969 | |||
4.50%, 5/15/2038 | 200,000 | 235,719 | |||
4.50%, 8/15/2039 | 650,000 | 763,953 | |||
4.63%, 2/15/2040 | 400,000 | 475,875 | |||
4.75%, 2/15/2037 | 350,000 | 422,516 | |||
4.75%, 2/15/2041 | 650,000 | 782,641 | |||
5.00%, 5/15/2037 | 300,000 | 370,688 | |||
5.25%, 11/15/2028 | 450,000 | 505,863 | |||
6.50%, 11/15/2026 (b) | 1,500,000 | 1,706,602 | |||
Treasury Notes: | |||||
0.13%, 9/15/2023 | 5,000,000 | 4,832,422 | |||
0.13%, 10/15/2023 | 3,000,000 | 2,892,539 | |||
0.13%, 12/15/2023 | 6,000,000 | 5,756,953 | |||
0.13%, 1/15/2024 | 4,000,000 | 3,828,906 | |||
0.13%, 2/15/2024 | 7,500,000 | 7,164,844 | |||
0.25%, 11/15/2023 | 3,500,000 | 3,371,895 | |||
0.25%, 3/15/2024 | 4,500,000 | 4,296,094 | |||
0.25%, 5/15/2024 | 2,500,000 | 2,375,879 | |||
0.25%, 6/15/2024 | 10,000,000 | 9,481,641 | |||
0.25%, 5/31/2025 | 7,500,000 | 6,919,922 | |||
0.25%, 6/30/2025 | 3,000,000 | 2,761,875 | |||
0.25%, 8/31/2025 | 5,000,000 | 4,577,734 | |||
0.25%, 9/30/2025 | 5,000,000 | 4,567,187 | |||
0.25%, 10/31/2025 | 7,750,000 | 7,061,582 | |||
0.38%, 10/31/2023 (b) | 3,700,000 | 3,575,270 | |||
0.38%, 4/15/2024 | 5,000,000 | 4,773,047 | |||
0.38%, 7/15/2024 (b) | 5,000,000 | 4,742,578 | |||
0.38%, 8/15/2024 | 2,000,000 | 1,891,875 | |||
0.38%, 9/15/2024 | 7,500,000 | 7,076,953 | |||
0.38%, 4/30/2025 | 4,000,000 | 3,711,563 | |||
0.38%, 11/30/2025 | 3,000,000 | 2,739,844 | |||
0.38%, 12/31/2025 | 6,000,000 | 5,467,031 | |||
0.38%, 1/31/2026 | 7,000,000 | 6,363,984 | |||
0.38%, 7/31/2027 | 2,000,000 | 1,747,813 | |||
0.38%, 9/30/2027 | 6,000,000 | 5,218,125 | |||
0.50%, 11/30/2023 | 5,000,000 | 4,830,078 |
Security Description | Principal Amount | Value | |||
0.50%, 3/31/2025 | $ 2,150,000 | $ 2,006,387 | |||
0.50%, 2/28/2026 | 6,000,000 | 5,468,437 | |||
0.50%, 4/30/2027 | 3,000,000 | 2,655,000 | |||
0.50%, 6/30/2027 | 4,500,000 | 3,965,625 | |||
0.50%, 8/31/2027 | 4,000,000 | 3,509,688 | |||
0.50%, 10/31/2027 | 2,250,000 | 1,965,410 | |||
0.63%, 10/15/2024 (b) | 4,250,000 | 4,026,211 | |||
0.63%, 7/31/2026 | 1,500,000 | 1,360,195 | |||
0.63%, 11/30/2027 | 4,550,000 | 3,995,113 | |||
0.63%, 12/31/2027 | 6,000,000 | 5,257,031 | |||
0.63%, 5/15/2030 | 3,900,000 | 3,252,234 | |||
0.63%, 8/15/2030 (b) | 8,750,000 | 7,254,297 | |||
0.75%, 12/31/2023 | 10,000,000 | 9,673,047 | |||
0.75%, 11/15/2024 | 8,000,000 | 7,583,750 | |||
0.75%, 3/31/2026 | 5,000,000 | 4,592,578 | |||
0.75%, 4/30/2026 | 3,500,000 | 3,208,242 | |||
0.75%, 8/31/2026 | 5,000,000 | 4,550,781 | |||
0.75%, 1/31/2028 | 6,500,000 | 5,725,078 | |||
0.88%, 1/31/2024 | 4,000,000 | 3,870,313 | |||
0.88%, 6/30/2026 | 3,000,000 | 2,753,672 | |||
0.88%, 9/30/2026 | 4,000,000 | 3,653,125 | |||
0.88%, 11/15/2030 (b) | 8,000,000 | 6,753,750 | |||
1.00%, 12/15/2024 | 14,000,000 | 13,330,625 | |||
1.00%, 7/31/2028 | 7,000,000 | 6,191,172 | |||
1.13%, 1/15/2025 | 4,000,000 | 3,814,063 | |||
1.13%, 2/28/2025 | 2,000,000 | 1,903,281 | |||
1.13%, 10/31/2026 | 4,500,000 | 4,147,734 | |||
1.13%, 2/28/2027 | 1,250,000 | 1,145,117 | |||
1.13%, 2/29/2028 (b) | 4,500,000 | 4,045,781 | |||
1.13%, 8/31/2028 | 5,000,000 | 4,450,000 | |||
1.13%, 2/15/2031 (b) | 5,500,000 | 4,725,703 | |||
1.25%, 7/31/2023 | 250,000 | 245,518 | |||
1.25%, 11/30/2026 | 6,500,000 | 6,019,102 | |||
1.25%, 12/31/2026 | 7,500,000 | 6,932,227 | |||
1.25%, 3/31/2028 (b) | 6,000,000 | 5,420,625 | |||
1.25%, 4/30/2028 | 4,000,000 | 3,608,438 | |||
1.25%, 5/31/2028 | 5,500,000 | 4,953,867 | |||
1.25%, 6/30/2028 | 6,000,000 | 5,397,187 | |||
1.25%, 9/30/2028 | 4,000,000 | 3,582,813 | |||
1.25%, 8/15/2031 | 8,500,000 | 7,316,641 | |||
1.38%, 8/31/2023 | 2,250,000 | 2,208,867 | |||
1.38%, 9/30/2023 | 550,000 | 539,279 | |||
1.38%, 1/31/2025 (b) | 2,000,000 | 1,917,969 | |||
1.38%, 8/31/2026 | 3,000,000 | 2,803,828 | |||
1.38%, 10/31/2028 | 5,500,000 | 4,959,023 | |||
1.38%, 12/31/2028 (b) | 3,500,000 | 3,154,375 | |||
1.38%, 11/15/2031 | 4,000,000 | 3,469,375 | |||
1.50%, 2/29/2024 (b) | 7,500,000 | 7,323,340 | |||
1.50%, 9/30/2024 | 5,000,000 | 4,835,937 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,449,023 | |||
1.50%, 11/30/2024 | 1,500,000 | 1,446,797 | |||
1.50%, 2/15/2025 | 5,000,000 | 4,805,078 | |||
1.50%, 8/15/2026 | 1,650,000 | 1,549,453 | |||
1.50%, 1/31/2027 | 6,050,000 | 5,648,242 | |||
1.50%, 11/30/2028 | 5,000,000 | 4,540,625 |
Security Description | Principal Amount | Value | |||
1.50%, 2/15/2030 | $ 5,850,000 | $ 5,254,031 | |||
1.63%, 2/15/2026 | 1,925,000 | 1,829,953 | |||
1.63%, 5/15/2026 | 2,750,000 | 2,606,055 | |||
1.63%, 9/30/2026 | 1,250,000 | 1,179,004 | |||
1.63%, 10/31/2026 | 1,250,000 | 1,177,148 | |||
1.63%, 8/15/2029 | 2,250,000 | 2,048,555 | |||
1.63%, 5/15/2031 | 8,750,000 | 7,817,578 | |||
1.75%, 6/30/2024 | 1,500,000 | 1,463,965 | |||
1.75%, 12/31/2024 | 1,250,000 | 1,211,328 | |||
1.75%, 3/15/2025 | 10,000,000 | 9,667,969 | |||
1.75%, 1/31/2029 | 5,000,000 | 4,610,937 | |||
1.75%, 11/15/2029 (b) | 3,000,000 | 2,752,969 | |||
1.88%, 8/31/2024 (b) | 850,000 | 829,813 | |||
1.88%, 6/30/2026 | 1,250,000 | 1,195,410 | |||
1.88%, 7/31/2026 | 1,000,000 | 955,156 | |||
1.88%, 2/28/2027 | 8,500,000 | 8,069,023 | |||
1.88%, 2/28/2029 (b) | 3,250,000 | 3,021,484 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,718,213 | |||
2.00%, 6/30/2024 (b) | 350,000 | 343,342 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,313,955 | |||
2.00%, 8/15/2025 (b) | 1,500,000 | 1,453,242 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,151,211 | |||
2.13%, 11/30/2023 | 1,000,000 | 988,359 | |||
2.13%, 3/31/2024 | 5,975,000 | 5,887,242 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,456,055 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,471,992 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,223,926 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,292,168 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,415,039 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,731,133 | |||
2.25%, 1/31/2024 | 1,000,000 | 988,594 | |||
2.25%, 3/31/2024 | 5,000,000 | 4,937,109 | |||
2.25%, 4/30/2024 (b) | 1,000,000 | 987,031 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,228,613 | |||
2.25%, 11/15/2024 | 3,000,000 | 2,949,844 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,226,660 | |||
2.25%, 11/15/2025 (b) | 5,475,000 | 5,332,137 | |||
2.25%, 3/31/2026 | 3,000,000 | 2,914,687 | |||
2.25%, 2/15/2027 | 3,000,000 | 2,892,422 | |||
2.25%, 8/15/2027 | 2,000,000 | 1,920,469 | |||
2.25%, 11/15/2027 | 4,750,000 | 4,553,320 | |||
2.38%, 2/29/2024 | 5,000,000 | 4,952,344 | |||
2.38%, 8/15/2024 | 1,950,000 | 1,924,102 | |||
2.38%, 5/15/2027 | 2,900,000 | 2,807,109 | |||
2.38%, 3/31/2029 | 3,750,000 | 3,590,625 | |||
2.38%, 5/15/2029 | 4,350,000 | 4,167,164 | |||
2.50%, 8/15/2023 | 2,500,000 | 2,487,500 | |||
2.50%, 1/31/2024 | 2,000,000 | 1,984,922 | |||
2.50%, 4/30/2024 (b) | 7,500,000 | 7,435,254 | |||
2.50%, 5/15/2024 | 5,000,000 | 4,954,883 | |||
2.50%, 5/31/2024 (b) | 5,000,000 | 4,955,664 | |||
2.50%, 1/31/2025 | 1,000,000 | 986,641 | |||
2.50%, 2/28/2026 | 2,500,000 | 2,451,953 | |||
2.50%, 3/31/2027 | 10,000,000 | 9,757,812 | |||
2.63%, 12/31/2023 (b) | 3,000,000 | 2,984,531 |
Security Description | Principal Amount | Value | ||||
2.63%, 3/31/2025 | $ 1,000,000 | $ 989,688 | ||||
2.63%, 4/15/2025 | 7,500,000 | 7,418,555 | ||||
2.63%, 12/31/2025 | 3,250,000 | 3,204,551 | ||||
2.63%, 1/31/2026 | 2,250,000 | 2,217,480 | ||||
2.63%, 5/31/2027 (b) | 6,000,000 | 5,886,562 | ||||
2.63%, 2/15/2029 | 4,450,000 | 4,331,797 | ||||
2.75%, 7/31/2023 (b) | 1,000,000 | 997,695 | ||||
2.75%, 8/31/2023 (b) | 3,750,000 | 3,741,357 | ||||
2.75%, 11/15/2023 | 1,500,000 | 1,495,313 | ||||
2.75%, 2/15/2024 | 7,100,000 | 7,074,484 | ||||
2.75%, 2/28/2025 | 1,000,000 | 992,656 | ||||
2.75%, 5/15/2025 | 3,500,000 | 3,473,203 | ||||
2.75%, 6/30/2025 | 2,750,000 | 2,728,086 | ||||
2.75%, 8/31/2025 | 2,500,000 | 2,477,344 | ||||
2.75%, 4/30/2027 | 5,000,000 | 4,932,812 | ||||
2.75%, 2/15/2028 | 2,750,000 | 2,701,445 | ||||
2.75%, 5/31/2029 | 4,000,000 | 3,922,500 | ||||
2.88%, 9/30/2023 | 2,000,000 | 1,997,813 | ||||
2.88%, 10/31/2023 | 2,000,000 | 1,997,500 | ||||
2.88%, 11/30/2023 | 3,000,000 | 2,996,016 | ||||
2.88%, 4/30/2025 | 1,250,000 | 1,244,531 | ||||
2.88%, 5/31/2025 | 3,900,000 | 3,882,937 | ||||
2.88%, 6/15/2025 | 3,000,000 | 2,988,281 | ||||
2.88%, 7/31/2025 (b) | 4,000,000 | 3,980,938 | ||||
2.88%, 11/30/2025 | 1,500,000 | 1,490,859 | ||||
2.88%, 5/15/2028 | 4,000,000 | 3,953,125 | ||||
2.88%, 8/15/2028 | 7,750,000 | 7,654,941 | ||||
2.88%, 4/30/2029 | 5,250,000 | 5,189,297 | ||||
2.88%, 5/15/2032 | 3,250,000 | 3,213,945 | ||||
3.00%, 9/30/2025 (b) | 2,500,000 | 2,495,898 | ||||
3.00%, 10/31/2025 | 2,750,000 | 2,745,273 | ||||
3.13%, 11/15/2028 | 5,500,000 | 5,510,742 | ||||
U.S. Treasury Notes 1.88%, 2/15/2032 (Cost $8,067,036) | 8,500,000 | 7,700,469 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $869,153,191) | 795,651,893 | |||||
MUNICIPAL BONDS & NOTES — 0.5% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority: | ||||||
6.91%, 10/1/2050 | 25,000 | 34,416 | ||||
Series F3, 3.13%, 4/1/2055 | 500,000 | 393,088 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 45,698 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 247,000 | ||||
7.30%, 10/1/2039 | 125,000 | 161,701 | ||||
7.50%, 4/1/2034 | 100,000 | 128,349 | ||||
7.55%, 4/1/2039 | 100,000 | 135,649 | ||||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | 100,000 | 93,304 |
Security Description | Principal Amount | Value | |||
Los Angeles Community College District: | |||||
1.61%, 8/1/2028 | $ 50,000 | $ 44,475 | |||
1.81%, 8/1/2030 | 50,000 | 43,124 | |||
2.11%, 8/1/2032 | 50,000 | 42,434 | |||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 115,722 | |||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 27,773 | |||
Regents of the University of California Medical Center Pooled Revenue: | |||||
4.13%, 5/15/2032 | 500,000 | 495,049 | |||
Series H, 6.55%, 5/15/2048 | 50,000 | 62,086 | |||
San Jose Redev. Agency Successor Agency Series T, 3.38%, 8/1/2034 | 275,000 | 250,656 | |||
State of California 7.60%, 11/1/2040 | 250,000 | 345,226 | |||
University of California Series BG, 0.88%, 5/15/2025 | 15,000 | 13,966 | |||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 297,253 | |||
2,976,969 | |||||
FLORIDA — 0.0% (a) | |||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 116,645 | |||
State Board of Administration Finance Corp.: | |||||
Series A, 1.26%, 7/1/2025 | 50,000 | 46,780 | |||
Series A, 1.71%, 7/1/2027 | 50,000 | 45,225 | |||
Series A, 2.15%, 7/1/2030 | 50,000 | 43,436 | |||
252,086 | |||||
GEORGIA — 0.0% (a) | |||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 158,000 | 189,349 | |||
ILLINOIS — 0.0% (a) | |||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | 50,000 | 51,315 | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | 50,000 | 50,590 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 245,851 | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | 50,000 | 50,305 | |||
6.63%, 2/1/2035 | 200,000 | 212,981 | |||
7.35%, 7/1/2035 | 100,000 | 109,080 | |||
720,122 |
Security Description | Principal Amount | Value | |||
MASSACHUSETTS — 0.0% (a) | |||||
Commonwealth of Massachusetts Series C, 2.51%, 7/1/2041 | $ 15,000 | $ 11,625 | |||
Massachusetts School Building Authority: | |||||
Series B, 3.40%, 10/15/2040 | 20,000 | 16,892 | |||
Series C, 2.95%, 5/15/2043 | 100,000 | 76,697 | |||
105,214 | |||||
MICHIGAN — 0.1% | |||||
Michigan Strategic Fund 3.23%, 9/1/2047 | 750,000 | 579,843 | |||
University of Michigan Series A, 4.45%, 4/1/2122 | 250,000 | 227,570 | |||
807,413 | |||||
MISSOURI — 0.0% (a) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue: | |||||
3.23%, 5/15/2050 | 300,000 | 252,184 | |||
3.65%, 8/15/2057 | 100,000 | 89,610 | |||
341,794 | |||||
NEW JERSEY — 0.0% (a) | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 179,929 | |||
4.13%, 6/15/2042 | 160,000 | 138,952 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 129,066 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 27,213 | |||
475,160 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 28,728 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 84,487 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 97,578 | |||
Port Authority of New York & New Jersey: | |||||
3.14%, 2/15/2051 | 500,000 | 395,398 | |||
4.46%, 10/1/2062 | 190,000 | 184,740 | |||
5.65%, 11/1/2040 | 100,000 | 112,000 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
3.18%, 7/15/2060 | 1,000,000 | 747,989 | |||
4.03%, 9/1/2048 | 125,000 | 114,788 |
Security Description | Principal Amount | Value | ||||
Series 192, 4.81%, 10/15/2065 | $ 25,000 | $ 25,805 | ||||
Series AAA, 1.09%, 7/1/2023 | 150,000 | 147,220 | ||||
1,938,733 | ||||||
OHIO — 0.0% (a) | ||||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | 150,000 | 201,876 | ||||
OREGON — 0.0% (a) | ||||||
Port of Morrow, OR, Oregon Transmission Facilities, Revenue 2.54%, 9/1/2040 | 750,000 | 586,617 | ||||
PENNSYLVANIA — 0.0% (a) | ||||||
Commonwealth Financing Authority: | ||||||
Series A, 2.99%, 6/1/2042 | 750,000 | 597,609 | ||||
Series A, 4.14%, 6/1/2038 | 125,000 | 123,134 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 72,697 | ||||
793,440 | ||||||
TEXAS — 0.1% | ||||||
City of San Antonio TX Electric & Gas Systems Revenue 2.91%, 2/1/2048 | 75,000 | 58,434 | ||||
Dallas Area Rapid Transit: | ||||||
5.02%, 12/1/2048 | 100,000 | 109,072 | ||||
Series A, 2.61%, 12/1/2048 | 500,000 | 368,038 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 217,197 | ||||
Grand Parkway Transportation Corp. 3.24%, 10/1/2052 | 65,000 | 52,039 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 129,586 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 42,715 | ||||
Texas, StateTransportation Commission General Obligation: | ||||||
2.47%, 10/1/2044 | 150,000 | 113,125 | ||||
2.56%, 4/1/2042 | 40,000 | 32,348 | ||||
1,122,554 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 43,272 | ||||
University of Virginia, Revenue 2.26%, 9/1/2050 | 150,000 | 103,281 | ||||
146,553 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $12,550,620) | 10,657,880 |
Security Description | Principal Amount | Value | |||
MORTGAGE-BACKED SECURITIES — 1.0% | |||||
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | $ 100,000 | $ 98,163 | |||
BANK 2017-BNK8: | |||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 87,393 | |||
Series 2017-BNK8, Class B, 4.06%, 11/15/2050 (c) | 50,000 | 46,825 | |||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (c) | 143,329 | 142,977 | |||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (c) | 100,000 | 100,698 | |||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 95,771 | |||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 93,228 | |||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2062 | 50,000 | 46,048 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 182,925 | |||
BANK 2020-BNK28 Series 2020-BN28, Class A4, 1.84%, 3/15/2063 | 93,750 | 78,081 | |||
BANK 2020-BNK29 Series 2020-BN29, Class A4, 2.00%, 11/15/2053 | 500,000 | 419,888 | |||
BANK 2021-BNK31 Series 2021-BN31, Class A4, 2.04%, 2/15/2054 | 234,783 | 197,808 | |||
BANK 2021-BNK32 Series 2021-BN32, Class A5, 2.64%, 4/15/2054 | 300,000 | 264,375 | |||
BANK 2021-BNK37 Series 2021-BN37, Class A4, 2.37%, 11/15/2064 | 500,000 | 428,117 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 142,974 | |||
BBCMS Mortgage Trust: | |||||
Series 2020-C8, Class A5, 2.04%, 10/15/2053 | 250,000 | 211,667 | |||
Series 2021-C9, Class A5, 2.30%, 2/15/2054 | 250,000 | 214,186 | |||
Series 2022-C14, Class A5, 2.95%, 2/15/2055 (c) | 450,000 | 402,761 |
Security Description | Principal Amount | Value | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (c) | $ 130,000 | $ 127,230 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 98,596 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 99,394 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 110,888 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 185,349 | |||
Series 2020-B16, Class A5, 2.73%, 2/15/2053 | 750,000 | 674,266 | |||
Series 2020-B18, Class A5, 1.93%, 7/15/2053 | 79,167 | 66,820 | |||
Series 2021-B24, Class A5, 2.58%, 3/15/2054 | 425,000 | 373,202 | |||
Series 2021-B25, Class A5, 2.58%, 4/15/2054 | 500,000 | 437,606 | |||
Series 2021-B28, Class A5, VRN, 2.22%, 8/15/2054 (c) | 300,000 | 254,206 | |||
CD Mortgage Trust: | |||||
Series 2017-CD3, Class A4, 3.63%, 2/10/2050 | 300,000 | 292,168 | |||
Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 182,032 | |||
CFCRE Commercial Mortgage Trust Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 294,259 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 74,505 | |||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 594,581 | |||
Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 239,601 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 90,865 | |||
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 150,000 | 137,603 | |||
Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 750,000 | 669,465 | |||
COMM Mortgage Trust: | |||||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 398,733 |
Security Description | Principal Amount | Value | |||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | $ 100,000 | $ 99,745 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 394,285 | |||
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | 862,702 | 847,666 | |||
Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 98,615 | |||
Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 49,210 | |||
Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 202,188 | 200,054 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 99,030 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 145,567 | |||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | 250,000 | 239,630 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (c) | 50,000 | 50,062 | |||
Series 2018-CX11, Class A4, 3.77%, 4/15/2051 | 500,000 | 488,304 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 182,683 | |||
Federal Home Loan Mortgage Corp. Series K748, Class A2, 2.26%, 1/25/2029 (c) | 500,000 | 466,532 | |||
GS Mortgage Securities Trust: | |||||
Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 86,987 | 86,939 | |||
Series 2014-GC24, Class A5, 3.93%, 9/10/2047 | 600,000 | 595,402 | |||
Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 188,963 | |||
Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 240,003 | |||
Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 137,356 | |||
Series 2020-GSA2, Class A5, 2.01%, 12/12/2053 | 500,000 | 418,342 |
Security Description | Principal Amount | Value | |||
Series 2021-GSA3, Class A5, 2.62%, 12/15/2054 | $ 166,667 | $ 144,125 | |||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 59,904 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 49,134 | |||
Series 2015-C29, Class A4, 3.61%, 5/15/2048 | 100,000 | 98,158 | |||
Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 197,167 | |||
Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 98,405 | |||
Series 2016-C1, Class B, 4.89%, 3/17/2049 (c) | 300,000 | 290,399 | |||
JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 482,714 | |||
JPMDB Commercial Mortgage Securities Trust Series 2020-COR7, Class A5, 2.18%, 5/13/2053 | 1,000,000 | 854,865 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 195,235 | |||
Series 2017-C33, Class A5, 3.60%, 5/15/2050 | 420,000 | 407,762 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 204,049 | 199,082 | |||
Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 148,314 | |||
Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 185,906 | |||
Series 2021-L5, Class A4, 2.73%, 5/15/2054 | 350,000 | 308,199 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 392,982 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 94,785 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 110,114 | 108,967 |
Security Description | Principal Amount | Value | |||
Series 2015-C31, Class A3, 3.43%, 11/15/2048 | $ 83,785 | $ 82,323 | |||
Series 2015-SG1, Class A4, 3.79%, 9/15/2048 | 986,742 | 969,007 | |||
Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 285,689 | |||
Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 241,368 | |||
Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 150,682 | |||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 182,081 | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 100,000 | 91,647 | |||
Series 2021-C59, Class A5, 2.63%, 4/15/2054 | 350,000 | 305,207 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 209,260 | |||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 109,527 | |||
Series 2014-C24, Class A4, 3.34%, 11/15/2047 | 425,000 | 417,054 | |||
Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 99,791 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $23,565,214) | 21,143,381 |
Shares | |||
SHORT-TERM INVESTMENTS — 9.5% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.49% (h) (i) | 64,232,519 | 64,226,095 | |
State Street Navigator Securities Lending Portfolio II (j) (k) | 125,248,986 | 125,248,986 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $189,475,282) | 189,475,081 | ||
TOTAL INVESTMENTS — 109.0% (Cost $2,406,334,587) | 2,188,122,225 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.0)% | (179,879,259) | ||
NET ASSETS — 100.0% | $ 2,008,242,966 |
(a) | Amount shown represents less than 0.05% of net assets. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2022. Maturity date shown is the final maturity. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | When-issued security. |
(g) | Security, or a portion of the security has been designated as collateral for TBA securities. |
(h) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(j) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(k) | 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 | $ — | $ 493,956,661 | $— | $ 493,956,661 | ||||
Asset-Backed Securities | — | 7,175,719 | — | 7,175,719 | ||||
Foreign Government Obligations | — | 67,600,974 | — | 67,600,974 | ||||
U.S. Government Agency Obligations | — | 602,460,636 | — | 602,460,636 | ||||
U.S. Treasury Obligations | — | 795,651,893 | — | 795,651,893 | ||||
Municipal Bonds & Notes | — | 10,657,880 | — | 10,657,880 | ||||
Mortgage-Backed Securities | — | 21,143,381 | — | 21,143,381 | ||||
Short-Term Investments | 189,475,081 | — | — | 189,475,081 | ||||
TOTAL INVESTMENTS | $189,475,081 | $1,998,647,144 | $— | $2,188,122,225 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 114,486,457 | $ 114,497,906 | $279,807,188 | $330,048,497 | $(36,070) | $5,568 | 64,232,519 | $ 64,226,095 | $133,102 | ||||||||
State Street Navigator Securities Lending Portfolio II | 91,540,533 | 91,540,533 | 445,411,319 | 411,702,866 | — | — | 125,248,986 | 125,248,986 | 140,932 | ||||||||
Total | $206,038,439 | $725,218,507 | $741,751,363 | $(36,070) | $5,568 | $189,475,081 | $274,034 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 95.4% | ||||||
ARGENTINA — 0.0% (a) | ||||||
IRSA Inversiones y Representaciones SA ADR (b) | 30 | $ 108 | ||||
AUSTRALIA — 5.2% | ||||||
29Metals, Ltd. (b) | 35,626 | 42,504 | ||||
Abacus Property Group REIT (c) | 78,325 | 138,421 | ||||
Accent Group, Ltd. | 61,268 | 52,242 | ||||
Adbri, Ltd. | 53,726 | 89,406 | ||||
AGL Energy, Ltd. | 116,187 | 659,142 | ||||
Alkane Resources, Ltd. (b) | 52,614 | 22,432 | ||||
Allkem, Ltd. (b) | 92,004 | 652,278 | ||||
ALS, Ltd. | 102,972 | 756,237 | ||||
Altium, Ltd. | 17,678 | 327,125 | ||||
Alumina, Ltd. | 373,383 | 376,149 | ||||
AMP, Ltd. (b) | 550,600 | 361,582 | ||||
Ampol, Ltd. | 39,298 | 925,007 | ||||
Ansell, Ltd. | 20,526 | 313,911 | ||||
APA Group Stapled Security | 190,056 | 1,472,899 | ||||
APM Human Services International, Ltd. (b) | 44,330 | 87,488 | ||||
Appen, Ltd. (c) | 17,500 | 67,510 | ||||
ARB Corp., Ltd. | 11,437 | 222,098 | ||||
Arena REIT (c) | 54,599 | 160,317 | ||||
Aristocrat Leisure, Ltd. | 99,132 | 2,343,620 | ||||
ASX, Ltd. | 31,925 | 1,793,798 | ||||
Atlas Arteria, Ltd. Stapled Security | 166,235 | 921,351 | ||||
AUB Group, Ltd. | 14,234 | 173,052 | ||||
Aurizon Holdings, Ltd. | 317,778 | 830,376 | ||||
Aussie Broadband, Ltd. (b) | 39,567 | 90,059 | ||||
Austal, Ltd. | 128,456 | 158,999 | ||||
Australia & New Zealand Banking Group, Ltd. | 461,173 | 6,986,278 | ||||
Australian Agricultural Co., Ltd. (b) | 66,789 | 99,203 | ||||
Australian Clinical Labs, Ltd. | 11,460 | 36,171 | ||||
Australian Ethical Investment, Ltd. | 10,308 | 33,031 | ||||
Australian Strategic Materials, Ltd. (b) | 12,000 | 28,469 | ||||
AVZ Minerals, Ltd. (b)(c) | 378,780 | 203,165 | ||||
Bank of Queensland, Ltd. | 103,247 | 473,555 | ||||
Bapcor, Ltd. | 67,346 | 281,568 | ||||
Beach Energy, Ltd. | 253,907 | 301,184 | ||||
Bega Cheese, Ltd. | 66,288 | 174,127 | ||||
Bellevue Gold, Ltd. (b)(c) | 140,988 | 62,048 | ||||
Bendigo & Adelaide Bank, Ltd. | 87,304 | 544,514 | ||||
Betmakers Technology Group, Ltd. (b)(c) | 71,137 | 16,632 | ||||
BHP Group, Ltd. | 834,813 | 23,679,943 | ||||
Blackmores, Ltd. | 2,400 | 116,185 | ||||
BlueScope Steel, Ltd. | 79,264 | 866,644 |
Security Description | Shares | Value | |||
Boral, Ltd. (c) | 57,787 | $ 102,919 | |||
Boss Energy, Ltd. (b) | 52,162 | 63,488 | |||
BrainChip Holdings, Ltd. (b)(c) | 199,776 | 109,901 | |||
Brambles, Ltd. | 232,735 | 1,714,031 | |||
Breville Group, Ltd. (c) | 15,270 | 188,902 | |||
Brickworks, Ltd. | 10,320 | 131,570 | |||
BWP Trust REIT (c) | 72,112 | 192,897 | |||
Calix, Ltd. (b) | 20,810 | 87,577 | |||
Capricorn Metals, Ltd. (b) | 37,286 | 80,252 | |||
carsales.com, Ltd. | 41,868 | 529,458 | |||
Centuria Capital Group | 89,988 | 112,003 | |||
Centuria Industrial REIT | 113,993 | 220,268 | |||
Centuria Office REIT (c) | 90,435 | 105,719 | |||
Chalice Mining, Ltd. (b) | 45,916 | 119,350 | |||
Challenger, Ltd. | 95,059 | 447,113 | |||
Champion Iron, Ltd. | 51,740 | 191,771 | |||
Charter Hall Group REIT (c) | 74,687 | 556,213 | |||
Charter Hall Long Wale REIT (c) | 111,685 | 327,937 | |||
Charter Hall Retail REIT | 83,468 | 216,386 | |||
Charter Hall Social Infrastructure REIT (c) | 79,445 | 184,651 | |||
City Chic Collective, Ltd. (b) | 24,622 | 30,984 | |||
Cleanaway Waste Management, Ltd. | 360,005 | 623,845 | |||
Clinuvel Pharmaceuticals, Ltd. (c) | 6,455 | 65,916 | |||
Cochlear, Ltd. | 12,515 | 1,710,000 | |||
Codan, Ltd. | 10,768 | 51,536 | |||
Coles Group, Ltd. | 219,787 | 2,691,742 | |||
Collins Foods, Ltd. | 13,982 | 95,282 | |||
Commonwealth Bank of Australia | 281,396 | 17,488,709 | |||
Computershare, Ltd. | 87,523 | 1,482,963 | |||
Core Lithium, Ltd. (b)(c) | 235,103 | 154,394 | |||
Coronado Global Resources, Inc. CDI (d) | 112,917 | 128,506 | |||
Corporate Travel Management, Ltd. (b) | 19,528 | 248,695 | |||
Costa Group Holdings, Ltd. | 76,579 | 150,606 | |||
Credit Corp. Group, Ltd. | 10,877 | 151,686 | |||
Cromwell Property Group REIT (c) | 181,739 | 94,355 | |||
CSL, Ltd. | 79,236 | 14,660,176 | |||
CSR, Ltd. | 70,162 | 195,882 | |||
Data#3, Ltd. | 21,811 | 69,892 | |||
De Grey Mining, Ltd. (b) | 195,324 | 108,123 | |||
Deterra Royalties, Ltd. | 98,307 | 286,627 | |||
Dexus REIT | 171,550 | 1,047,541 | |||
Dexus Industria REIT (c) | 27,326 | 50,735 | |||
Dicker Data, Ltd. (c) | 13,173 | 100,005 | |||
Domain Holdings Australia, Ltd. | 51,929 | 107,484 | |||
Domino's Pizza Enterprises, Ltd. | 9,484 | 443,474 | |||
Downer EDI, Ltd. | 102,742 | 356,785 |
Security Description | Shares | Value | |||
Eagers Automotive, Ltd. | 22,732 | $ 151,940 | |||
Eclipx Group, Ltd. (b) | 45,962 | 72,693 | |||
Elders, Ltd. | 26,825 | 232,238 | |||
EML Payments, Ltd. (b)(c) | 43,295 | 36,619 | |||
Endeavour Group, Ltd. | 223,384 | 1,162,828 | |||
EVENT Hospitality and Entertainment, Ltd. (b) | 18,245 | 163,728 | |||
Evolution Mining, Ltd. | 297,151 | 486,319 | |||
Firefinch, Ltd. (b) | 180,320 | 24,799 | |||
Flight Centre Travel Group, Ltd. (b)(c) | 25,600 | 305,603 | |||
Fortescue Metals Group, Ltd. | 278,553 | 3,357,819 | |||
G8 Education, Ltd. | 123,292 | 89,445 | |||
GDI Property Group Partnership REIT (c) | 67,675 | 42,348 | |||
Genworth Mortgage Insurance Australia, Ltd. | 52,077 | 82,365 | |||
Glencore PLC (b) | 1,630,098 | 8,811,522 | |||
Gold Road Resources, Ltd. (c) | 127,737 | 99,257 | |||
Goodman Group REIT | 276,574 | 3,392,921 | |||
GPT Group REIT | 310,254 | 900,321 | |||
GrainCorp, Ltd. Class A | 34,811 | 227,648 | |||
Grange Resources, Ltd. | 84,209 | 73,252 | |||
Growthpoint Properties Australia, Ltd. REIT | 38,972 | 91,385 | |||
GUD Holdings, Ltd. | 22,661 | 124,507 | |||
GWA Group, Ltd. | 32,768 | 44,277 | |||
Hansen Technologies, Ltd. | 29,249 | 104,588 | |||
Harvey Norman Holdings, Ltd. | 95,564 | 243,801 | |||
Healius, Ltd. | 100,912 | 254,669 | |||
Home Consortium, Ltd. REIT | 27,298 | 84,659 | |||
HomeCo Daily Needs REIT (c) | 230,064 | 202,501 | |||
HUB24, Ltd. (c) | 11,376 | 158,566 | |||
IDP Education, Ltd. | 34,309 | 561,975 | |||
IGO, Ltd. | 109,942 | 751,480 | |||
Iluka Resources, Ltd. | 73,913 | 479,800 | |||
Imdex, Ltd. | 53,000 | 67,242 | |||
Imugene, Ltd. (b)(c) | 646,853 | 80,066 | |||
Incitec Pivot, Ltd. | 337,899 | 769,099 | |||
Ingenia Communities Group REIT | 49,167 | 134,563 | |||
Inghams Group, Ltd. | 49,503 | 87,825 | |||
Insignia Financial, Ltd. | 99,811 | 184,628 | |||
Insurance Australia Group, Ltd. | 397,075 | 1,190,492 | |||
Integral Diagnostics, Ltd. | 37,623 | 78,391 | |||
InvoCare, Ltd. | 23,100 | 166,154 | |||
ioneer, Ltd. (b) | 192,776 | 54,351 | |||
IPH, Ltd. | 44,341 | 248,807 | |||
IRESS, Ltd. | 27,996 | 221,584 | |||
Irongate Group REIT | 126,513 | 165,294 | |||
JB Hi-Fi, Ltd. | 18,930 | 500,642 | |||
Jervois Global, Ltd. (b) | 208,121 | 75,851 | |||
Johns Lyng Group, Ltd. | 32,604 | 128,692 |
Security Description | Shares | Value | |||
Judo Capital Holdings, Ltd. (b) | 89,055 | $ 73,793 | |||
Jumbo Interactive, Ltd. | 6,701 | 65,525 | |||
Karoon Energy, Ltd. (b) | 70,000 | 83,756 | |||
Kelsian Group, Ltd. | 17,921 | 70,243 | |||
Kogan.com, Ltd. (b)(c) | 10,762 | 20,573 | |||
Lake Resources NL (b)(c) | 185,984 | 100,395 | |||
LendLease Corp., Ltd. Stapled Security | 111,562 | 698,879 | |||
Leo Lithium, Ltd. (b)(c) | 128,800 | 49,156 | |||
Lifestyle Communities, Ltd. | 11,878 | 110,839 | |||
Link Administration Holdings, Ltd. | 83,066 | 216,486 | |||
Liontown Resources, Ltd. (b)(c) | 265,944 | 192,935 | |||
Lottery Corp., Ltd. (b) | 355,299 | 1,104,333 | |||
Lovisa Holdings, Ltd. | 8,077 | 76,703 | |||
Lynas Rare Earths, Ltd. (b) | 144,700 | 868,661 | |||
MA Financial Group, Ltd. | 8,793 | 27,209 | |||
Maas Group Holdings, Ltd. | 10,192 | 25,441 | |||
Macquarie Group, Ltd. | 59,125 | 6,688,534 | |||
Magellan Financial Group, Ltd. | 22,170 | 196,968 | |||
Mayne Pharma Group, Ltd. (b)(c) | 178,522 | 30,690 | |||
McMillan Shakespeare, Ltd. | 10,424 | 69,817 | |||
Medibank Pvt, Ltd. | 454,155 | 1,014,974 | |||
Megaport, Ltd. (b)(c) | 20,407 | 76,479 | |||
Mesoblast, Ltd. (b)(c) | 73,703 | 30,916 | |||
Metcash, Ltd. (c) | 150,901 | 439,972 | |||
Mincor Resources NL (b) | 58,525 | 67,209 | |||
Mineral Resources, Ltd. (b) | 28,028 | 930,330 | |||
Mirvac Group REIT (c) | 632,201 | 858,598 | |||
Monadelphous Group, Ltd. (c) | 13,496 | 92,341 | |||
Mount Gibson Iron, Ltd. (c) | 98,191 | 36,461 | |||
Nanosonics, Ltd. (b) | 34,472 | 79,648 | |||
National Australia Bank, Ltd. | 533,273 | 10,044,056 | |||
National Storage REIT (c) | 177,235 | 260,814 | |||
Nearmap, Ltd. (b)(c) | 42,091 | 29,812 | |||
Neometals, Ltd. (b)(c) | 74,951 | 46,644 | |||
Netwealth Group, Ltd. | 16,421 | 137,310 | |||
New Hope Corp., Ltd. (c) | 83,313 | 198,224 | |||
Newcrest Mining, Ltd. | 135,777 | 1,950,438 | |||
Newcrest Mining, Ltd. | 11,033 | 154,297 | |||
NEXTDC, Ltd. (b) | 71,618 | 524,000 | |||
nib holdings, Ltd. | 89,046 | 451,896 | |||
Nick Scali, Ltd. | 7,545 | 42,856 | |||
Nine Entertainment Co. Holdings, Ltd. | 253,061 | 317,582 | |||
Northern Star Resources, Ltd. | 188,389 | 886,093 | |||
Novonix, Ltd. (b) | 35,826 | 56,170 | |||
NRW Holdings, Ltd. | 47,497 | 55,361 | |||
Nufarm, Ltd. | 72,045 | 252,168 | |||
Objective Corp., Ltd. | 2,964 | 27,984 | |||
OceanaGold Corp. (b) | 131,800 | 252,371 |
Security Description | Shares | Value | |||
Omni Bridgeway, Ltd. (b) | 33,098 | $ 80,797 | |||
oOh!media, Ltd. | 161,946 | 134,748 | |||
Orica, Ltd. | 66,991 | 726,467 | |||
Origin Energy, Ltd. | 283,693 | 1,117,817 | |||
Orora, Ltd. | 139,332 | 349,713 | |||
OZ Minerals, Ltd. | 57,611 | 703,584 | |||
Pact Group Holdings, Ltd. | 44,824 | 55,636 | |||
Paladin Energy, Ltd. (b) | 405,086 | 161,563 | |||
Pendal Group, Ltd. | 46,433 | 141,129 | |||
Pepper Money, Ltd. | 84,260 | 68,371 | |||
Perenti Global, Ltd. | 51,384 | 23,144 | |||
Perpetual, Ltd. | 8,866 | 176,073 | |||
Perseus Mining, Ltd. | 186,940 | 203,751 | |||
PEXA Group, Ltd. (b) | 13,165 | 125,745 | |||
Pilbara Minerals, Ltd. (b) | 499,501 | 786,574 | |||
Pinnacle Investment Management Group, Ltd. (c) | 13,754 | 66,489 | |||
Platinum Asset Management, Ltd. | 87,073 | 104,184 | |||
PointsBet Holdings, Ltd. (b)(c) | 23,912 | 44,067 | |||
PolyNovo, Ltd. (b)(c) | 74,443 | 69,363 | |||
Premier Investments, Ltd. | 16,862 | 223,439 | |||
Pro Medicus, Ltd. | 7,353 | 213,628 | |||
PWR Holdings, Ltd. | 12,163 | 52,860 | |||
Qantas Airways, Ltd. (b) | 148,188 | 455,500 | |||
QBE Insurance Group, Ltd. | 244,065 | 2,039,150 | |||
Qube Holdings, Ltd. | 292,506 | 549,117 | |||
Ramelius Resources, Ltd. | 102,763 | 61,479 | |||
Ramsay Health Care, Ltd. | 30,195 | 1,520,726 | |||
REA Group, Ltd. | 8,474 | 651,650 | |||
Red 5, Ltd. (b) | 342,900 | 58,949 | |||
Reece, Ltd. | 48,002 | 454,858 | |||
Regis Resources, Ltd. | 121,027 | 108,191 | |||
Rio Tinto PLC | 185,257 | 11,061,406 | |||
Rio Tinto, Ltd. | 61,061 | 4,312,229 | |||
Rural Funds Group REIT (c) | 76,850 | 132,643 | |||
Sandfire Resources, Ltd. | 81,203 | 248,485 | |||
Santos, Ltd. | 529,260 | 2,700,477 | |||
Sayona Mining, Ltd. (b)(c) | 845,068 | 87,167 | |||
Scentre Group REIT | 855,931 | 1,524,425 | |||
SEEK, Ltd. | 55,446 | 800,676 | |||
Select Harvests, Ltd. (c) | 16,224 | 52,435 | |||
Seven Group Holdings, Ltd. | 24,216 | 276,592 | |||
Seven West Media, Ltd. (b) | 154,264 | 43,493 | |||
SG Fleet Group, Ltd. | 15,018 | 22,203 | |||
Shopping Centres Australasia Property Group REIT | 173,786 | 328,636 | |||
Sigma Healthcare, Ltd. (c) | 183,261 | 73,091 | |||
Silver Lake Resources, Ltd. (b) | 138,597 | 115,321 | |||
SiteMinder, Ltd. (b) | 35,031 | 84,553 | |||
SmartGroup Corp., Ltd. | 16,016 | 67,292 | |||
SolGold PLC (b)(c) | 80,170 | 28,430 | |||
Sonic Healthcare, Ltd. | 73,480 | 1,667,947 | |||
South32, Ltd. (e) | 10,757 | 28,740 |
Security Description | Shares | Value | ||||
South32, Ltd. (e) | 744,586 | $ 2,017,338 | ||||
Southern Cross Media Group, Ltd. | 24,760 | 16,941 | ||||
St Barbara, Ltd. | 100,779 | 51,976 | ||||
Star Entertainment Group, Ltd. (b) | 137,389 | 263,587 | ||||
Steadfast Group, Ltd. | 164,053 | 566,312 | ||||
Stockland REIT (c) | 386,635 | 959,789 | ||||
Suncorp Group, Ltd. | 208,213 | 1,572,091 | ||||
Super Retail Group, Ltd. | 23,661 | 138,136 | ||||
Syrah Resources, Ltd. (b) | 102,414 | 86,975 | ||||
Tabcorp Holdings, Ltd. | 355,299 | 260,202 | ||||
Tassal Group, Ltd. | 28,059 | 92,422 | ||||
Technology One, Ltd. | 42,590 | 313,664 | ||||
Telix Pharmaceuticals, Ltd. (b) | 22,367 | 69,674 | ||||
Telstra Corp., Ltd. | 667,003 | 1,765,859 | ||||
Temple & Webster Group, Ltd. (b)(c) | 8,580 | 19,588 | ||||
Transurban Group Stapled Security | 505,092 | 4,994,556 | ||||
Treasury Wine Estates, Ltd. | 115,747 | 903,385 | ||||
Tyro Payments, Ltd. (b) | 40,390 | 16,665 | ||||
United Malt Grp, Ltd. | 70,342 | 158,172 | ||||
Uniti Group, Ltd. (b) | 100,180 | 338,933 | ||||
Ventia Services Group Pty, Ltd. | 41,497 | 71,053 | ||||
Vicinity Centres REIT | 638,097 | 805,175 | ||||
Viva Energy Group, Ltd. (d) | 128,374 | 255,119 | ||||
Vulcan Energy Resources, Ltd. (b)(c) | 11,701 | 43,610 | ||||
Vulcan Steel, Ltd. | 8,527 | 44,856 | ||||
Washington H Soul Pattinson & Co., Ltd. | 35,700 | 577,886 | ||||
Waypoint REIT, Ltd. (c) | 110,238 | 175,868 | ||||
Webjet, Ltd. (b)(c) | 56,729 | 208,312 | ||||
Wesfarmers, Ltd. | 186,556 | 5,376,435 | ||||
West African Resources, Ltd. (b) | 174,419 | 145,126 | ||||
Westgold Resources, Ltd. | 74,307 | 60,550 | ||||
Westpac Banking Corp. | 594,178 | 7,967,438 | ||||
Whitehaven Coal, Ltd. | 144,945 | 482,410 | ||||
WiseTech Global, Ltd. | 23,862 | 621,070 | ||||
Woodside Energy Group, Ltd. | 310,751 | 6,803,824 | ||||
Woolworths Group, Ltd. | 199,358 | 4,880,352 | ||||
Worley, Ltd. | 50,969 | 499,095 | ||||
Zip Co., Ltd. (b)(c) | 122,254 | 36,990 | ||||
231,121,000 | ||||||
AUSTRIA — 0.2% | ||||||
Agrana Beteiligungs AG | 3,687 | 65,528 | ||||
ams-OSRAM AG (b) | 48,221 | 433,075 | ||||
ANDRITZ AG | 11,545 | 463,960 | ||||
AT&S Austria Technologie & Systemtechnik AG | 4,273 | 227,828 | ||||
BAWAG Group AG (d) | 13,644 | 572,847 |
Security Description | Shares | Value | ||||
CA Immobilien Anlagen AG (b) | 8,392 | $ 265,396 | ||||
DO & Co. AG (b) | 1,342 | 111,538 | ||||
Erste Group Bank AG | 57,175 | 1,446,521 | ||||
EVN AG | 5,757 | 121,577 | ||||
FACC AG (b)(c) | 6,220 | 44,283 | ||||
IMMOFINANZ AG | 12,435 | 188,242 | ||||
Kontron AG | 8,066 | 118,562 | ||||
Lenzing AG (c) | 2,503 | 201,752 | ||||
Mondi PLC (e) | 62,386 | 1,102,376 | ||||
Mondi PLC (c)(e) | 15,186 | 268,069 | ||||
Oesterreichische Post AG (c) | 5,472 | 155,603 | ||||
OMV AG | 23,713 | 1,109,634 | ||||
Palfinger AG | 2,748 | 62,629 | ||||
Porr AG | 3,398 | 43,553 | ||||
Raiffeisen Bank International AG | 26,294 | 284,237 | ||||
S IMMO AG | 7,618 | 181,186 | ||||
Schoeller-Bleckmann Oilfield Equipment AG | 2,703 | 151,748 | ||||
Semperit AG Holding (c) | 2,674 | 51,606 | ||||
Strabag SE | 3,504 | 148,545 | ||||
Telekom Austria AG | 27,016 | 179,349 | ||||
UNIQA Insurance Group AG | 23,821 | 167,851 | ||||
Verbund AG | 10,963 | 1,069,909 | ||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 7,801 | 177,791 | ||||
Voestalpine AG | 19,358 | 410,423 | ||||
Wienerberger AG | 19,402 | 415,413 | ||||
10,241,031 | ||||||
BELGIUM — 0.6% | ||||||
Ackermans & van Haaren NV | 3,874 | 577,135 | ||||
Aedifica SA REIT | 6,002 | 574,143 | ||||
Ageas SA/NV | 27,846 | 1,222,105 | ||||
AGFA-Gevaert NV (b) | 20,285 | 74,542 | ||||
Anheuser-Busch InBev SA/NV | 140,675 | 7,553,447 | ||||
Barco NV | 11,307 | 238,309 | ||||
Befimmo SA REIT | 6,132 | 302,585 | ||||
Bekaert SA | 5,874 | 190,739 | ||||
bpost SA | 27,427 | 161,575 | ||||
Cie d'Entreprises CFE (b) | 1,142 | 9,850 | ||||
Cofinimmo SA REIT | 5,191 | 562,230 | ||||
D'ieteren Group | 4,009 | 585,093 | ||||
Dredging Environmental & Marine Engineering NV | 1,142 | 125,360 | ||||
Econocom Group SA | 27,987 | 97,725 | ||||
Elia Group SA (c) | 5,432 | 767,785 | ||||
Etablissements Franz Colruyt NV | 8,622 | 233,910 | ||||
Euronav NV | 32,908 | 395,298 | ||||
Fagron | 9,324 | 150,506 | ||||
Galapagos NV (b) | 7,802 | 432,626 | ||||
Gimv NV | 4,562 | 251,344 |
Security Description | Shares | Value | ||||
Groupe Bruxelles Lambert SA | 17,651 | $ 1,470,354 | ||||
Immobel SA | 500 | 31,520 | ||||
Intervest Offices & Warehouses NV REIT | 5,766 | 150,702 | ||||
Ion Beam Applications | 4,121 | 67,037 | ||||
KBC Ancora | 5,707 | 208,943 | ||||
KBC Group NV | 40,494 | 2,266,586 | ||||
Kinepolis Group NV (b) | 2,953 | 141,456 | ||||
Melexis NV | 3,801 | 272,004 | ||||
Mithra Pharmaceuticals SA (b)(c) | 8,258 | 62,764 | ||||
Montea NV REIT | 1,662 | 158,637 | ||||
Ontex Group NV (b) | 20,660 | 161,345 | ||||
Orange Belgium SA (b) | 3,420 | 64,072 | ||||
Proximus SADP | 25,813 | 379,561 | ||||
Recticel SA | 8,030 | 119,544 | ||||
Retail Estates NV REIT | 1,714 | 113,786 | ||||
Shurgard Self Storage SA | 4,330 | 201,216 | ||||
Sofina SA | 2,499 | 509,453 | ||||
Solvay SA | 11,903 | 962,169 | ||||
Telenet Group Holding NV | 9,284 | 192,275 | ||||
Tessenderlo Group SA (b) | 3,925 | 123,922 | ||||
UCB SA | 20,365 | 1,716,873 | ||||
Umicore SA | 33,743 | 1,175,417 | ||||
Van de Velde NV | 2,134 | 76,858 | ||||
VGP NV | 1,371 | 217,863 | ||||
Warehouses De Pauw CVA REIT | 23,964 | 751,595 | ||||
X-Fab Silicon Foundries SE (b)(d) | 6,093 | 39,589 | ||||
Xior Student Housing NV REIT | 3,232 | 140,393 | ||||
26,282,241 | ||||||
BRAZIL — 1.4% | ||||||
3R Petroleum Oleo E Gas SA (b) | 31,240 | 209,981 | ||||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA | 72,400 | 38,765 | ||||
AES Brasil Energia SA | 33,800 | 68,900 | ||||
Aliansce Sonae Shopping Centers SA | 20,000 | 61,230 | ||||
Alpargatas SA Preference Shares | 41,207 | 150,819 | ||||
Alupar Investimento SA | 19,900 | 98,749 | ||||
Ambev SA | 761,967 | 1,952,473 | ||||
Ambipar Participacoes e Empreendimentos S/A | 11,000 | 46,971 | ||||
Americanas SA | 120,142 | 308,542 | ||||
Anima Holding SA (b) | 73,989 | 55,179 | ||||
Arezzo Industria e Comercio SA | 12,117 | 161,152 | ||||
Armac Locacao Logistica E Servicos SA | 35,900 | 83,341 | ||||
Atacadao SA | 79,800 | 254,380 | ||||
Auren Energia SA | 48,330 | 125,875 |
Security Description | Shares | Value | |||
Azul SA Preference Shares (b) | 39,000 | $ 92,327 | |||
B3 SA - Brasil Bolsa Balcao | 989,503 | 2,073,823 | |||
Banco ABC Brasil SA Preference Shares | 16,392 | 48,648 | |||
Banco Bradesco SA Preference Shares | 837,182 | 2,753,546 | |||
Banco Bradesco SA | 247,940 | 681,788 | |||
Banco BTG Pactual SA | 183,208 | 781,606 | |||
Banco do Brasil SA | 144,600 | 922,993 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 21,600 | 37,009 | |||
Banco Pan SA Preference Shares | 45,500 | 53,161 | |||
Banco Santander Brasil SA | 66,000 | 363,606 | |||
BB Seguridade Participacoes SA | 110,400 | 548,047 | |||
Blau Farmaceutica SA (b) | 18,200 | 87,216 | |||
Boa Vista Servicos SA | 62,800 | 64,248 | |||
BR Malls Participacoes SA | 145,082 | 208,629 | |||
BR Properties SA | 23,500 | 39,770 | |||
Bradespar SA Preference Shares | 47,336 | 228,468 | |||
Braskem SA Class A, Preference Shares | 30,800 | 219,333 | |||
BRF SA (b) | 137,309 | 356,831 | |||
Camil Alimentos SA | 18,200 | 34,246 | |||
CCR SA | 221,300 | 530,245 | |||
Centrais Eletricas Brasileiras SA | 112,319 | 992,291 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 52,400 | 467,942 | |||
Cia Brasileira de Aluminio | 56,800 | 125,777 | |||
Cia Brasileira de Distribuicao | 47,300 | 147,794 | |||
Cia de Locacao das Americas | 49,500 | 224,430 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 62,700 | 505,609 | |||
Cia de Saneamento de Minas Gerais-COPASA | 25,800 | 56,835 | |||
Cia de Saneamento do Parana Preference Shares | 41,300 | 29,616 | |||
Cia de Saneamento do Parana | 20,500 | 71,503 | |||
Cia Energetica de Minas Gerais Preference Shares | 232,804 | 462,096 | |||
Cia Energetica do Ceara Class A, Preference Shares | 1,500 | 14,184 | |||
Cia Ferro Ligas da Bahia - FERBASA Preference Shares | 4,400 | 39,150 | |||
Cia Paranaense de Energia Preference Shares | 123,000 | 160,646 | |||
Cia Paranaense de Energia | 8,700 | 55,633 | |||
Cia Siderurgica Nacional SA | 121,800 | 359,616 |
Security Description | Shares | Value | |||
Cielo SA | 206,639 | $ 148,179 | |||
CM Hospitalar SA | 38,500 | 101,009 | |||
Cogna Educacao (b) | 280,063 | 114,608 | |||
Cosan SA | 174,080 | �� | 605,849 | ||
Cruzeiro do Sul Educacional SA | 39,700 | 22,092 | |||
CVC Brasil Operadora e Agencia de Viagens SA (b) | 50,184 | 66,983 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 46,400 | 104,877 | |||
Dexco SA | 47,080 | 88,858 | |||
EcoRodovias Infraestrutura e Logistica SA (b) | 81,929 | 89,301 | |||
EDP - Energias do Brasil SA | 41,700 | 163,548 | |||
Embraer SA (b) | 123,400 | 269,951 | |||
Enauta Participacoes SA | 35,800 | 120,282 | |||
Energisa SA | 35,700 | 275,458 | |||
Eneva SA (b) | 170,312 | 481,027 | |||
Engie Brasil Energia SA | 28,066 | 221,654 | |||
Equatorial Energia SA | 174,133 | 760,538 | |||
ERO Copper Corp. (b) | 12,000 | 101,120 | |||
Ez Tec Empreendimentos e Participacoes SA | 13,200 | 36,474 | |||
Fleury SA | 24,200 | 75,431 | |||
Gerdau SA Preference Shares | 170,100 | 726,986 | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (b) | 26,856 | 46,579 | |||
GPS Participacoes e Empreendimentos SA (d) | 31,500 | 63,549 | |||
Grendene SA | 42,700 | 57,402 | |||
Grupo De Mona Soma SA | 81,572 | 143,507 | |||
Grupo Mateus SA (b) | 120,500 | 77,884 | |||
Grupo SBF SA | 10,267 | 37,165 | |||
Guararapes Confeccoes SA | 16,300 | 21,133 | |||
Hapvida Participacoes e Investimentos SA (d) | 730,170 | 763,757 | |||
Hidrovias do Brasil SA (b) | 120,200 | 51,947 | |||
Hospital Mater Dei SA | 44,500 | 64,927 | |||
Hypera SA | 65,900 | 479,369 | |||
Iguatemi SA (e) | 38,285 | 131,705 | |||
Iguatemi SA (e) | 8,505 | 3,757 | |||
Infracommerce CXAAS SA (b) | 44,400 | 38,037 | |||
Instituto Hermes Pardini SA | 9,200 | 35,168 | |||
Intelbras SA Industria de Telecomunicacao Eletronica Brasileira | 24,100 | 113,876 | |||
Inter & Co., Inc. (b) | 1,213 | 3,235 | |||
Iochpe Maxion SA | 18,100 | 54,375 | |||
IRB Brasil Resseguros SA (b) | 214,993 | 83,457 | |||
Itau Unibanco Holding SA Preference Shares | 767,303 | 3,326,308 | |||
Itausa SA Preference Shares | 746,503 | 1,190,533 | |||
JHSF Participacoes SA | 32,024 | 35,702 |
Security Description | Shares | Value | |||
Klabin SA | 124,628 | $ 481,405 | |||
Light SA | 74,600 | 82,454 | |||
Localiza Rent a Car SA | 89,666 | 898,640 | |||
Locaweb Servicos de Internet SA (b)(d) | 60,765 | 65,303 | |||
LOG Commercial Properties e Participacoes SA | 7,400 | 25,853 | |||
Lojas Quero Quero S/A | 30,200 | 32,917 | |||
Lojas Renner SA | 165,249 | 714,785 | |||
M Dias Branco SA | 11,500 | 57,396 | |||
Magazine Luiza SA | 460,961 | 206,264 | |||
Mahle-Metal Leve SA | 4,100 | 18,181 | |||
Marcopolo SA Preference Shares | 86,300 | 40,762 | |||
Marfrig Global Foods SA | 58,600 | 135,702 | |||
Meliuz SA (b)(d) | 95,334 | 19,689 | |||
Metalurgica Gerdau SA Preference Shares | 111,300 | 203,256 | |||
Minerva SA | 36,335 | 92,202 | |||
Movida Participacoes SA | 19,000 | 47,414 | |||
MRV Engenharia e Participacoes SA | 49,600 | 74,076 | |||
Multilaser Industrial SA | 93,200 | 70,576 | |||
Multiplan Empreendimentos Imobiliarios SA | 56,314 | 236,371 | |||
Natura & Co. Holding SA | 151,037 | 387,597 | |||
Odontoprev SA | 38,060 | 68,049 | |||
Omega Energia SA (b) | 88,637 | 203,395 | |||
Oncoclinicas do Brasil Servicos Medicos SA (b) | 76,500 | 66,707 | |||
Pet Center Comercio e Participacoes SA | 54,208 | 102,933 | |||
Petro Rio SA (b) | 99,310 | 417,602 | |||
Petroleo Brasileiro SA Preference Shares | 752,300 | 4,017,963 | |||
Petroleo Brasileiro SA | 599,300 | 3,499,913 | |||
Qualicorp Consultoria e Corretora de Seguros SA | 32,700 | 69,721 | |||
Raia Drogasil SA | 161,100 | 591,481 | |||
Randon SA Implementos e Participacoes Preference Shares | 25,700 | 46,098 | |||
Rede D'Or Sao Luiz SA (d) | 64,200 | 355,777 | |||
Rumo SA | 218,271 | 666,569 | |||
Santos Brasil Participacoes SA | 104,381 | 130,141 | |||
Sao Martinho SA | 33,600 | 233,426 | |||
Sendas Distribuidora SA | 141,300 | 385,576 | |||
SIMPAR SA | 66,400 | 117,831 | |||
SLC Agricola SA | 14,520 | 122,531 | |||
Smartfit Escola de Ginastica e Danca SA (b) | 44,300 | 85,475 | |||
Sul America SA | 45,059 | 190,422 | |||
Suzano SA | 120,809 | 1,147,922 | |||
Telefonica Brasil SA | 86,285 | 776,482 | |||
TIM SA | 149,700 | 365,272 | |||
TOTVS SA | 88,001 | 391,418 |
Security Description | Shares | Value | ||||
Transmissora Alianca de Energia Eletrica SA | 28,600 | $ 211,214 | ||||
Tres Tentos Agroindustrial SA | 17,015 | 26,030 | ||||
Tupy SA | 11,000 | 46,760 | ||||
Ultrapar Participacoes SA | 126,800 | 298,484 | ||||
Unipar Carbocloro SA Class B, Preference Shares | 8,470 | 147,552 | ||||
Vale SA | 650,218 | 9,519,297 | ||||
Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | 61,200 | 137,042 | ||||
Via SA (b) | 171,980 | 63,143 | ||||
Vibra Energia SA | 180,800 | 577,722 | ||||
Vivara Participacoes SA | 13,600 | 57,162 | ||||
WEG SA | 257,340 | 1,301,598 | ||||
Wheaton Precious Metals Corp. | 74,000 | 2,660,661 | ||||
Yara International ASA | 26,702 | 1,112,431 | ||||
YDUQS Participacoes SA | 42,100 | 105,221 | ||||
63,060,480 | ||||||
BURKINA FASO — 0.0% (a) | ||||||
IAMGOLD Corp. (b) | 86,200 | 138,326 | ||||
CANADA — 7.5% | ||||||
Absolute Software Corp. | 12,200 | 104,981 | ||||
Advantage Energy, Ltd. (b)(c) | 43,000 | 266,677 | ||||
Aecon Group, Inc. (c) | 12,400 | 126,216 | ||||
Ag Growth International, Inc. (c) | 4,900 | 112,780 | ||||
Agnico Eagle Mines, Ltd. | 74,708 | 3,412,377 | ||||
Air Canada (b)(c) | 28,900 | 359,360 | ||||
AirBoss of America Corp. (c) | 4,300 | 51,769 | ||||
Alamos Gold, Inc. Class A | 63,261 | 442,844 | ||||
Algoma Steel Group, Inc. | 10,000 | 89,151 | ||||
Algonquin Power & Utilities Corp. (c) | 108,375 | 1,453,457 | ||||
Alimentation Couche-Tard, Inc. | 139,600 | 5,433,789 | ||||
Allied Properties Real Estate Investment Trust | 10,000 | 257,297 | ||||
AltaGas, Ltd. | 44,500 | 936,951 | ||||
Altius Minerals Corp. | 8,500 | 119,532 | ||||
Altus Group, Ltd. | 6,800 | 235,057 | ||||
Anaergia, Inc. (b) | 3,300 | 17,268 | ||||
Andlauer Healthcare Group, Inc. (c) | 4,000 | 135,633 | ||||
ARC Resources, Ltd. | 111,985 | 1,408,982 | ||||
Aritzia, Inc. (b) | 14,200 | 383,635 | ||||
Artis Real Estate Investment Trust | 14,000 | 127,633 | ||||
Atco, Ltd. Class I | 11,700 | 399,992 | ||||
Athabasca Oil Corp. (b) | 85,600 | 165,234 | ||||
Atlas Corp. (c) | 16,000 | 171,360 | ||||
ATS Automation Tooling Systems, Inc. (b) | 11,900 | 326,110 | ||||
Aurora Cannabis, Inc. (b)(c) | 33,341 | 43,939 |
Security Description | Shares | Value | |||
AutoCanada, Inc. (b) | 3,300 | $ 62,830 | |||
Aya Gold & Silver, Inc. (b) | 17,600 | 89,504 | |||
B2Gold Corp. | 170,800 | 577,300 | |||
Badger Infrastructure Solutions, Ltd. (c) | 7,200 | 157,625 | |||
Ballard Power Systems, Inc. (b)(c) | 40,700 | 256,515 | |||
Bank of Montreal (c) | 105,887 | 10,160,621 | |||
Bank of Nova Scotia | 198,900 | 11,746,348 | |||
Barrick Gold Corp. (e) | 247,917 | 4,374,271 | |||
Barrick Gold Corp. (e) | 45,552 | 803,555 | |||
Baytex Energy Corp. (b) | 105,400 | 510,679 | |||
BCE, Inc. | 19,479 | 955,414 | |||
Birchcliff Energy, Ltd. | 43,800 | 297,105 | |||
BlackBerry, Ltd. (b) | 94,500 | 508,415 | |||
Boardwalk Real Estate Investment Trust | 4,500 | 146,099 | |||
Bombardier, Inc. Class B (b) | 13,972 | 209,263 | |||
Boralex, Inc. Class A | 13,500 | 448,762 | |||
Boyd Group Services, Inc. | 3,600 | 386,973 | |||
Brookfield Asset Management Reinsurance Partners, Ltd. Class A (c) | 1,107 | 49,199 | |||
Brookfield Asset Management, Inc. Class A | 232,725 | 10,330,504 | |||
Brookfield Infrastructure Corp. Class A | 16,050 | 679,725 | |||
BSR Real Estate Investment Trust | 5,000 | 73,569 | |||
CAE, Inc. (b) | 51,300 | 1,261,472 | |||
Calibre Mining Corp. (b) | 95,400 | 71,738 | |||
Cameco Corp. | 64,600 | 1,355,150 | |||
Canaccord Genuity Group, Inc. | 20,300 | 132,663 | |||
Canada Goose Holdings, Inc. (b)(c) | 9,200 | 165,606 | |||
Canadian Apartment Properties REIT | 14,000 | 486,437 | |||
Canadian Imperial Bank of Commerce | 147,600 | 7,152,584 | |||
Canadian National Railway Co. | 114,600 | 12,863,238 | |||
Canadian Natural Resources, Ltd. | 192,600 | 10,327,642 | |||
Canadian Pacific Railway, Ltd. | 152,100 | 10,601,427 | |||
Canadian Tire Corp., Ltd. Class A (c) | 9,300 | 1,170,836 | |||
Canadian Utilities, Ltd. Class A | 21,900 | 651,762 | |||
Canadian Western Bank | 13,700 | 276,453 | |||
Canfor Corp. (b) | 11,300 | 196,663 | |||
Canopy Growth Corp. (b)(c) | 42,000 | 119,167 | |||
Capital Power Corp. | 21,700 | 757,174 | |||
Capstone Mining Corp. (b)(c) | 56,300 | 141,847 | |||
Cardinal Energy, Ltd. (c) | 20,900 | 117,142 | |||
Cargojet, Inc. | 1,600 | 176,763 |
Security Description | Shares | Value | |||
Cascades, Inc. | 17,800 | $ 139,784 | |||
CCL Industries, Inc. Class B | 24,300 | 1,146,100 | |||
Celestica, Inc. (b) | 17,400 | 168,881 | |||
Cenovus Energy, Inc. | 228,513 | 4,338,372 | |||
Centerra Gold, Inc. | 38,100 | 257,850 | |||
CGI, Inc. (b) | 35,100 | 2,790,150 | |||
Choice Properties Real Estate Investment Trust | 26,600 | 289,724 | |||
Chorus Aviation, Inc. (b)(c) | 11,000 | 27,885 | |||
CI Financial Corp. | 30,900 | 327,457 | |||
Cineplex, Inc. (b)(c) | 8,600 | 72,069 | |||
Cogeco Communications, Inc. (c) | 2,900 | 195,746 | |||
Cogeco, Inc. | 1,700 | 89,945 | |||
Colliers International Group, Inc. (c) | 6,000 | 655,979 | |||
Columbia Care, Inc. (b) | 58,000 | 76,887 | |||
Constellation Software, Inc. | 3,300 | 4,888,462 | |||
Converge Technology Solutions Corp. (b) | 36,000 | 143,168 | |||
Corby Spirit and Wine, Ltd. | 1,300 | 17,384 | |||
Corus Entertainment, Inc. Class B (c) | 42,500 | 116,303 | |||
Crescent Point Energy Corp. (c) | 95,000 | 673,863 | |||
Crew Energy, Inc. (b) | 23,200 | 83,092 | |||
Crombie Real Estate Investment Trust | 10,200 | 127,544 | |||
Cronos Group, Inc. (b)(c) | 33,600 | 93,771 | |||
CT Real Estate Investment Trust | 8,000 | 102,764 | |||
Definity Financial Corp. | 13,300 | 343,030 | |||
Denison Mines Corp. (b)(c) | 149,500 | 147,188 | |||
dentalcorp Holdings, Ltd. (b) | 16,600 | 153,266 | |||
Descartes Systems Group, Inc. (b) | 13,400 | 830,936 | |||
Docebo, Inc. (b) | 3,100 | 88,846 | |||
Dollarama, Inc. | 46,600 | 2,677,617 | |||
Dream Industrial Real Estate Investment Trust | 20,400 | 191,040 | |||
Dream Office Real Estate Investment Trust | 6,000 | 90,143 | |||
DREAM Unlimited Corp. Class A | 4,365 | 107,776 | |||
Dundee Precious Metals, Inc. | 35,800 | 177,897 | |||
Dye & Durham, Ltd. (c) | 8,800 | 148,378 | |||
ECN Capital Corp. | 41,500 | 177,267 | |||
Element Fleet Management Corp. | 68,200 | 709,519 | |||
Emera, Inc. | 41,700 | 1,949,308 | |||
Empire Co., Ltd. Class A | 27,300 | 839,137 | |||
Enbridge, Inc. | 334,100 | 14,079,364 | |||
Endeavour Silver Corp. (b)(c) | 40,100 | 125,589 | |||
Enerflex, Ltd. | 21,200 | 99,759 | |||
Enerplus Corp. | 43,000 | 567,022 | |||
Enghouse Systems, Ltd. | 7,000 | 154,277 |
Security Description | Shares | Value | |||
Enthusiast Gaming Holdings, Inc. (b) | 23,800 | $ 47,048 | |||
EQB, Inc. | 4,400 | 181,294 | |||
Equinox Gold Corp. (b)(c) | 41,218 | 183,411 | |||
Evertz Technologies, Ltd. | 3,400 | 34,397 | |||
Exchange Income Corp. (c) | 4,200 | 137,205 | |||
Extendicare, Inc. (c) | 19,700 | 104,765 | |||
Fairfax Financial Holdings, Ltd. | 4,000 | 2,115,121 | |||
Fiera Capital Corp. (c) | 16,100 | 116,074 | |||
Filo Mining Corp. (b)(c) | 10,000 | 137,990 | |||
Finning International, Inc. | 25,800 | 541,821 | |||
First Capital Real Estate Investment Trust | 19,000 | 220,644 | |||
First Majestic Silver Corp. | 46,100 | 329,860 | |||
First National Financial Corp. (c) | 2,400 | 61,602 | |||
FirstService Corp. | 6,300 | 762,574 | |||
Fortis, Inc. | 76,494 | 3,608,403 | |||
Fortuna Silver Mines, Inc. (b) | 53,863 | 152,827 | |||
Franco-Nevada Corp. | 30,831 | 4,046,905 | |||
Freehold Royalties, Ltd. (c) | 22,400 | 221,230 | |||
GDI Integrated Facility Services, Inc. (b)(c) | 3,100 | 109,730 | |||
George Weston, Ltd. | 12,027 | 1,401,992 | |||
GFL Environmental, Inc. (c) | 25,900 | 665,796 | |||
Gibson Energy, Inc. | 23,600 | 436,160 | |||
Gildan Activewear, Inc. | 32,200 | 924,850 | |||
goeasy, Ltd. | 2,100 | 159,704 | |||
GoGold Resources, Inc. (b) | 65,900 | 104,729 | |||
Granite Real Estate Investment Trust | 5,200 | 318,260 | |||
Great-West Lifeco, Inc. | 45,000 | 1,096,438 | |||
H&R Real Estate Investment Trust | 23,700 | 228,741 | |||
Headwater Exploration, Inc. (b) | 49,000 | 205,504 | |||
HLS Therapeutics, Inc. (c) | 2,600 | 24,530 | |||
Home Capital Group, Inc. (c) | 8,283 | 156,420 | |||
Hudbay Minerals, Inc. | 39,600 | 161,169 | |||
Hut 8 Mining Corp. (b)(c) | 28,200 | 38,039 | |||
Hydro One, Ltd. (d) | 58,400 | 1,566,901 | |||
iA Financial Corp., Inc. | 17,300 | 858,596 | |||
IGM Financial, Inc. (c) | 13,500 | 361,061 | |||
Imperial Oil, Ltd. | 39,000 | 1,834,583 | |||
Innergex Renewable Energy, Inc. | 21,800 | 292,368 | |||
Intact Financial Corp. | 28,600 | 4,025,440 | |||
Interfor Corp. (b) | 9,800 | 197,071 | |||
InterRent Real Estate Investment Trust | 14,312 | 133,029 | |||
Ivanhoe Mines, Ltd. Class A (b) | 96,900 | 556,633 | |||
Jamieson Wellness, Inc. (d) | 5,900 | 163,789 | |||
K92 Mining, Inc. (b)(c) | 38,400 | 231,302 | |||
Kelt Exploration, Ltd. (b) | 22,000 | 104,376 | |||
Keyera Corp. (c) | 38,600 | 879,755 |
Security Description | Shares | Value | |||
Killam Apartment Real Estate Investment Trust | 9,200 | $ 122,315 | |||
Kinaxis, Inc. (b)(c) | 4,500 | 484,763 | |||
Kinross Gold Corp. | 202,100 | 717,561 | |||
Knight Therapeutics, Inc. (b) | 26,600 | 110,116 | |||
Labrador Iron Ore Royalty Corp. (c) | 9,300 | 204,392 | |||
Largo, Inc. (b)(c) | 4,440 | 30,255 | |||
Lassonde Industries, Inc. Class A | 400 | 36,919 | |||
Laurentian Bank of Canada | 7,900 | 236,887 | |||
LifeWorks, Inc. | 11,500 | 275,297 | |||
Lightspeed Commerce, Inc. (b) | 21,900 | 487,251 | |||
Linamar Corp. | 7,000 | 295,965 | |||
Lion Electric Co. (b)(c) | 6,500 | 27,311 | |||
Lithium Americas Corp. (b)(c) | 23,000 | 462,336 | |||
Loblaw Cos., Ltd. | 26,900 | 2,420,885 | |||
Lundin Gold, Inc. (b) | 18,100 | 129,652 | |||
MAG Silver Corp. (b) | 14,400 | 175,374 | |||
Magna International, Inc. | 45,800 | 2,509,511 | |||
Magnet Forensics, Inc. (b) | 3,500 | 46,858 | |||
Major Drilling Group International, Inc. (b) | 12,200 | 85,403 | |||
Manulife Financial Corp. | 320,400 | 5,543,880 | |||
Maple Leaf Foods, Inc. | 13,900 | 272,731 | |||
Martinrea International, Inc. | 17,800 | 114,670 | |||
Maverix Metals, Inc. (c) | 11,300 | 48,881 | |||
MEG Energy Corp. (b) | 44,900 | 620,271 | |||
Methanex Corp. | 10,500 | 400,236 | |||
Metro, Inc. | 39,457 | 2,113,325 | |||
Minto Apartment Real Estate Investment Trust (d) | 6,300 | 71,500 | |||
Morguard Corp. | 1,200 | 101,399 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 64,761 | |||
MTY Food Group, Inc. (c) | 4,300 | 170,840 | |||
Mullen Group, Ltd. (c) | 18,900 | 165,418 | |||
NanoXplore, Inc. (b) | 15,200 | 38,767 | |||
National Bank of Canada (c) | 55,000 | 3,601,574 | |||
Neighbourly Pharmacy, Inc. (c) | 2,400 | 45,583 | |||
New Gold, Inc. (b) | 124,900 | 132,651 | |||
New Pacific Metals Corp. (b) | 9,100 | 25,890 | |||
NexGen Energy, Ltd. (b)(c) | 68,300 | 244,619 | |||
NFI Group, Inc. (c) | 12,700 | 131,829 | |||
North West Co., Inc. | 8,900 | 229,684 | |||
Northland Power, Inc. | 36,500 | 1,084,290 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 20,400 | 190,724 | |||
Novagold Resources, Inc. (b)(c) | 41,600 | 198,333 | |||
Nutrien, Ltd. | 92,018 | 7,312,504 | |||
Nuvei Corp. (b)(c)(d) | 10,800 | 389,485 | |||
NuVista Energy, Ltd. (b) | 41,100 | 328,813 |
Security Description | Shares | Value | |||
Obsidian Energy, Ltd. (b) | 11,300 | $ 87,075 | |||
Onex Corp. | 12,000 | 596,302 | |||
Open Text Corp. | 43,400 | 1,638,161 | |||
Organigram Holdings, Inc. (b)(c) | 32,100 | 29,364 | |||
Orla Mining, Ltd. (b)(c) | 36,500 | 99,601 | |||
Osisko Gold Royalties, Ltd. | 28,198 | 283,740 | |||
Osisko Mining, Inc. (b) | 60,500 | 143,517 | |||
Pan American Silver Corp. | 36,600 | 717,558 | |||
Paramount Resources, Ltd. Class A | 13,400 | 319,327 | |||
Parex Resources, Inc. | 20,900 | 353,207 | |||
Park Lawn Corp. (c) | 6,600 | 174,165 | |||
Parkland Corp. | 24,173 | 655,132 | |||
Pason Systems, Inc. | 21,600 | 244,307 | |||
Pembina Pipeline Corp. | 89,948 | 3,172,707 | |||
Pet Valu Holdings, Ltd. | 7,100 | 170,076 | |||
Peyto Exploration & Development Corp. | 27,200 | 253,877 | |||
Pollard Banknote, Ltd. (c) | 1,300 | 20,327 | |||
Power Corp. of Canada | 89,753 | 2,304,445 | |||
PrairieSky Royalty, Ltd. | 31,594 | 397,022 | |||
Precision Drilling Corp. (b) | 2,200 | 141,061 | |||
Premium Brands Holdings Corp. (c) | 6,400 | 462,852 | |||
Primaris Real Estate Investment Trust | 5,925 | 56,175 | |||
PyroGenesis Canada, Inc. (b)(c) | 24,900 | 48,065 | |||
Quebecor, Inc. Class B | 27,300 | 582,211 | |||
Real Matters, Inc. (b)(c) | 11,000 | 43,320 | |||
Recipe Unlimited Corp. (b)(c) | 1,800 | 17,443 | |||
Restaurant Brands International, Inc. | 46,646 | 2,334,922 | |||
Richelieu Hardware, Ltd. | 9,200 | 240,208 | |||
RioCan Real Estate Investment Trust | 25,100 | 389,552 | |||
Ritchie Bros Auctioneers, Inc. | 17,600 | 1,142,680 | |||
Rogers Communications, Inc. Class B | 58,000 | 2,773,317 | |||
Rogers Sugar, Inc. (c) | 17,400 | 81,608 | |||
Royal Bank of Canada (c) | 233,500 | 22,561,681 | |||
Russel Metals, Inc. (c) | 10,700 | 215,833 | |||
Sabina Gold & Silver Corp. (b) | 54,400 | 44,703 | |||
Sandstorm Gold, Ltd. | 35,400 | 209,664 | |||
Saputo, Inc. (c) | 39,500 | 859,541 | |||
Savaria Corp. (c) | 7,800 | 78,850 | |||
Seabridge Gold, Inc. (b) | 12,400 | 153,324 | |||
Secure Energy Services, Inc. (c) | 62,000 | 288,383 | |||
Shaw Communications, Inc. Class B | 78,008 | 2,293,766 | |||
Shopify, Inc. Class A (b)(c) | 186,000 | 5,799,388 | |||
Sienna Senior Living, Inc. (c) | 14,400 | 145,010 | |||
Sierra Wireless, Inc. (b) | 7,300 | 170,623 | |||
Silvercorp Metals, Inc. | 23,700 | 58,609 |
Security Description | Shares | Value | |||
SilverCrest Metals, Inc. (b)(c) | 26,200 | $ 159,847 | |||
Slate Grocery REIT Class U | 20,300 | 228,974 | |||
Sleep Country Canada Holdings, Inc. (d) | 7,500 | 139,657 | |||
SmartCentres Real Estate Investment Trust | 12,400 | 264,255 | |||
SNC-Lavalin Group, Inc. | 27,900 | 478,860 | |||
Softchoice Corp. Class WI | 3,300 | 57,586 | |||
Solaris Resources, Inc. (b) | 14,800 | 85,591 | |||
Spartan Delta Corp. (b) | 21,000 | 201,380 | |||
Spin Master Corp. (b)(d) | 5,800 | 188,889 | |||
Sprott, Inc. (c) | 4,870 | 168,833 | |||
SSR Mining, Inc. (c) | 34,104 | 568,422 | |||
Stantec, Inc. | 17,700 | 773,753 | |||
Stelco Holdings, Inc. (c) | 8,200 | 204,563 | |||
Stella-Jones, Inc. | 9,600 | 241,870 | |||
StorageVault Canada, Inc. | 30,000 | 137,912 | |||
Summit Industrial Income REIT | 15,800 | 209,572 | |||
Sun Life Financial, Inc. | 94,500 | 4,320,795 | |||
Suncor Energy, Inc. | 235,964 | 8,260,889 | |||
SunOpta, Inc. (b)(c) | 9,300 | 71,735 | |||
Superior Plus Corp. | 29,000 | 255,390 | |||
Surge Energy, Inc. | 11,700 | 82,629 | |||
Tamarack Valley Energy, Ltd. (c) | 86,000 | 288,678 | |||
TC Energy Corp. | 160,536 | 8,298,415 | |||
Teck Resources, Ltd. Class B (b) | 75,800 | 2,312,871 | |||
TECSYS, Inc. (c) | 1,600 | 41,540 | |||
TELUS Corp. | 72,729 | 1,616,451 | |||
TFI International, Inc. | 13,500 | 1,081,402 | |||
Thomson Reuters Corp. | 27,330 | 2,843,066 | |||
Timbercreek Financial Corp. | 17,500 | 107,853 | |||
TMX Group, Ltd. | 9,600 | 974,922 | |||
Topaz Energy Corp. | 14,600 | 229,874 | |||
Torex Gold Resources, Inc. (b) | 16,700 | 128,686 | |||
Toromont Industries, Ltd. | 13,400 | 1,081,183 | |||
Toronto-Dominion Bank (c) | 300,457 | 19,660,898 | |||
Tourmaline Oil Corp. | 50,400 | 2,615,041 | |||
TransAlta Corp. | 38,700 | 440,717 | |||
TransAlta Renewables, Inc. | 18,000 | 229,544 | |||
Transcontinental, Inc. Class A (c) | 13,900 | 164,975 | |||
Trican Well Service, Ltd. (b) | 30,700 | 87,820 | |||
Tricon Residential, Inc. | 47,000 | 475,484 | |||
Trisura Group, Ltd. (b)(c) | 6,800 | 175,700 | |||
Uni-Select, Inc. (b) | 6,400 | 141,897 | |||
Vermilion Energy, Inc. | 26,100 | 495,717 | |||
Victoria Gold Corp. (b) | 10,400 | 80,543 | |||
Well Health Technologies Corp. (b)(c) | 27,500 | 65,448 | |||
Wesdome Gold Mines, Ltd. (b) | 25,300 | 218,687 | |||
Westshore Terminals Investment Corp. (c) | 8,200 | 203,101 |
Security Description | Shares | Value | ||||
Whitecap Resources, Inc. | 97,700 | $ 677,110 | ||||
Winpak, Ltd. | 6,400 | 218,253 | ||||
WSP Global, Inc. | 18,900 | 2,132,413 | ||||
Yamana Gold, Inc. | 154,700 | 718,364 | ||||
328,415,203 | ||||||
CHILE — 0.2% | ||||||
Aguas Andinas SA Class A | 787,060 | 124,041 | ||||
Antofagasta PLC | 63,232 | 886,949 | ||||
Banco de Chile | 7,052,944 | 628,608 | ||||
Banco de Credito e Inversiones SA | 9,823 | 281,647 | ||||
Banco Santander Chile | 10,798,372 | 427,041 | ||||
CAP SA | 18,785 | 165,819 | ||||
Cencosud SA | 249,298 | 310,803 | ||||
Cencosud Shopping SA | 148,562 | 132,441 | ||||
Cia Cervecerias Unidas SA | 24,209 | 149,875 | ||||
Colbun SA | 2,338,950 | 158,557 | ||||
Embotelladora Andina SA Class B, Preference Shares | 91,953 | 160,730 | ||||
Empresa Nacional de Telecomunicaciones SA | 36,914 | 113,043 | ||||
Empresas CMPC SA | 202,191 | 329,120 | ||||
Empresas COPEC SA | 63,993 | 462,428 | ||||
Enel Americas SA | 3,225,974 | 299,918 | ||||
Enel Chile SA | 5,627,525 | 124,640 | ||||
Engie Energia Chile SA | 71,134 | 27,106 | ||||
Falabella SA | 127,487 | 292,568 | ||||
Inversiones Aguas Metropolitanas SA | 105,572 | 36,003 | ||||
Itau CorpBanca Chile SA | 38,993,616 | 71,464 | ||||
Lundin Mining Corp. | 114,500 | 724,307 | ||||
Parque Arauco SA | 130,868 | 99,946 | ||||
Plaza SA | 84,877 | 64,414 | ||||
SMU SA | 1,137,230 | 105,607 | ||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 19,840 | 1,620,041 | ||||
Vina Concha y Toro SA | 73,303 | 98,195 | ||||
7,895,311 | ||||||
CHINA — 9.3% | ||||||
360 DigiTech, Inc. ADR | 12,700 | 219,710 | ||||
360 Security Technology, Inc. Class A | 81,800 | 103,955 | ||||
361 Degrees International, Ltd. (b) | 183,000 | 98,882 | ||||
37 Interactive Entertainment Network Technology Group Co., Ltd. Class A | 11,500 | 36,417 | ||||
3SBio, Inc. (d) | 367,000 | 291,843 | ||||
AAC Technologies Holdings, Inc. (c) | 116,000 | 266,978 | ||||
Advanced Micro-Fabrication Equipment, Inc. China Class A (b) | 6,506 | 113,298 |
Security Description | Shares | Value | |||
AECC Aero-Engine Control Co., Ltd. Class A | 99,703 | $ 417,895 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 242,342 | |||
Agile Group Holdings, Ltd. | 174,000 | 69,627 | |||
Agora, Inc. ADR (b)(c) | 7,800 | 51,246 | |||
Agricultural Bank of China, Ltd. Class A | 953,100 | 429,337 | |||
Agricultural Bank of China, Ltd. Class H | 5,015,000 | 1,891,741 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 51,300 | 342,576 | |||
Air China, Ltd. Class A (b) | 43,000 | 74,465 | |||
Air China, Ltd. Class H (b)(c) | 450,000 | 391,107 | |||
Airtac International Group | 22,743 | 758,011 | |||
AK Medical Holdings, Ltd. (d) | 48,000 | 35,968 | |||
Akeso, Inc. (b)(c)(d) | 94,000 | 276,120 | |||
Alibaba Group Holding, Ltd. ADR (b) | 6,900 | 784,392 | |||
Alibaba Group Holding, Ltd. (b) | 2,427,000 | 34,609,791 | |||
Alibaba Health Information Technology, Ltd. (b)(c) | 759,500 | 522,662 | |||
A-Living Smart City Services Co., Ltd. (d) | 70,000 | 112,579 | |||
Alphamab Oncology (b)(c)(d) | 125,000 | 128,872 | |||
Aluminum Corp. of China, Ltd. Class A (b) | 84,600 | 59,940 | |||
Aluminum Corp. of China, Ltd. Class H | 636,000 | 240,720 | |||
Angel Yeast Co., Ltd. Class A | 12,900 | 93,803 | |||
Anhui Conch Cement Co., Ltd. Class A | 28,700 | 151,030 | |||
Anhui Conch Cement Co., Ltd. Class H | 200,500 | 868,745 | |||
Anhui Expressway Co., Ltd. Class H | 114,000 | 92,107 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 2,100 | 78,203 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 20,900 | 326,007 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 9,700 | 84,800 | |||
Anhui Yingjia Distillery Co., Ltd. Class A | 9,200 | 89,390 | |||
Anjoy Foods Group Co., Ltd. Class A | 1,600 | 40,063 | |||
ANTA Sports Products, Ltd. | 195,800 | 2,405,408 | |||
Antengene Corp., Ltd. (b)(d) | 54,500 | 48,965 | |||
Ascentage Pharma Group International (b)(c)(d) | 36,900 | 100,162 | |||
Asia Cement China Holdings Corp. | 63,000 | 34,523 | |||
Asiainfo Technologies, Ltd. (d) | 35,600 | 61,337 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 241,401 | |||
Autohome, Inc. ADR | 12,300 | 483,759 |
Security Description | Shares | Value | |||
Avary Holding Shenzhen Co., Ltd. Class A | 11,300 | $ 50,919 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 142,200 | 261,951 | |||
AviChina Industry & Technology Co., Ltd. Class H | 901,000 | 515,549 | |||
AVICOPTER PLC Class A | 35,500 | 239,343 | |||
Baidu, Inc. Class A (b) | 383,900 | 7,265,135 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 127,108 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 192,653 | |||
Bank of China, Ltd. Class A | 249,100 | 121,128 | |||
Bank of China, Ltd. Class H | 13,379,000 | 5,336,630 | |||
Bank of Communications Co., Ltd. Class A | 379,900 | 282,197 | |||
Bank of Communications Co., Ltd. Class H | 1,521,000 | 1,050,576 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 131,607 | |||
Bank of Jiangsu Co., Ltd. Class A | 156,780 | 166,504 | |||
Bank of Nanjing Co., Ltd. Class A | 96,900 | 150,607 | |||
Bank of Ningbo Co., Ltd. Class A | 72,840 | 389,070 | |||
Bank of Shanghai Co., Ltd. Class A | 154,800 | 151,240 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 184,000 | 165,222 | |||
Baozun, Inc. ADR (b) | 9,900 | 108,306 | |||
BeiGene, Ltd. ADR (b) | 8,000 | 1,294,800 | |||
Beijing Capital International Airport Co., Ltd. Class H (b) | 220,000 | 149,995 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A (b) | 67,200 | 78,284 | |||
Beijing Easpring Material Technology Co., Ltd. Class A | 7,100 | 95,673 | |||
Beijing Enterprises Holdings, Ltd. | 82,000 | 291,553 | |||
Beijing Enterprises Water Group, Ltd. | 820,000 | 247,663 | |||
Beijing Jingneng Clean Energy Co., Ltd. Class H | 138,000 | 31,656 | |||
Beijing Kingsoft Office Software, Inc. Class A | 4,000 | 117,610 | |||
Beijing New Building Materials PLC Class A | 10,400 | 53,705 | |||
Beijing Roborock Technology Co., Ltd. Class A | 1,459 | 134,209 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 25,800 | 103,212 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 12,600 | 45,632 |
Security Description | Shares | Value | |||
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. | 30,000 | $ 48,401 | |||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 6,380 | 147,790 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 357,100 | 267,391 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 2,800 | 25,393 | |||
BGI Genomics Co., Ltd. Class A | 2,500 | 26,737 | |||
Bilibili, Inc. ADR (b) | 25,600 | 655,360 | |||
Bilibili, Inc. Class Z (b) | 4,540 | 116,292 | |||
Bloomage Biotechnology Corp., Ltd. Class A | 2,442 | 51,789 | |||
BOC Hong Kong Holdings, Ltd. | 593,000 | 2,342,694 | |||
BOE Technology Group Co., Ltd. Class A | 738,800 | 434,186 | |||
BOE Varitronix, Ltd. | 80,000 | 160,674 | |||
Bosideng International Holdings, Ltd. | 708,000 | 439,401 | |||
Brii Biosciences, Ltd. (b) | 50,000 | 53,906 | |||
Budweiser Brewing Co. APAC, Ltd. (d) | 292,800 | 876,876 | |||
Burning Rock Biotech Ltd. ADR (b) | 32,600 | 94,866 | |||
BYD Co., Ltd. Class A | 17,000 | 845,639 | |||
BYD Co., Ltd. Class H | 133,000 | 5,322,068 | |||
BYD Electronic International Co., Ltd. (c) | 127,500 | 402,147 | |||
By-health Co., Ltd. Class A | 11,400 | 36,814 | |||
C&D International Investment Group, Ltd. | 66,700 | 180,203 | |||
Caitong Securities Co., Ltd. Class A | 30,160 | 35,405 | |||
Canaan, Inc. (b)(c) | 22,500 | 72,450 | |||
CanSino Biologics, Inc. Class A (b) | 697 | 20,697 | |||
CanSino Biologics, Inc. Class H (c)(d) | 14,600 | 149,499 | |||
CARsgen Therapeutics Holdings, Ltd. (b)(c)(d) | 40,000 | 74,526 | |||
Central China Management Co., Ltd. | 89,000 | 13,270 | |||
CGN New Energy Holdings Co., Ltd. (c) | 158,000 | 74,500 | |||
CGN Power Co., Ltd. Class H (d) | 2,791,600 | 675,937 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 3,200 | 111,414 | |||
Changjiang Securities Co., Ltd. Class A | 35,800 | 31,666 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 117,329 |
Security Description | Shares | Value | |||
Chaowei Power Holdings, Ltd. | 4,000 | $ 938 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 111,794 | |||
Chengxin Lithium Group Co., Ltd. Class A | 11,700 | 105,339 | |||
China Aoyuan Group, Ltd. (f) | 128,000 | 14,436 | |||
China Baoan Group Co., Ltd. Class A | 34,300 | 69,017 | |||
China BlueChemical, Ltd. Class H | 204,000 | 58,754 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,770,592 | 277,538 | |||
China CITIC Bank Corp., Ltd. Class H | 1,884,000 | 842,727 | |||
China Coal Energy Co., Ltd. Class H | 281,000 | 238,137 | |||
China Common Rich Renewable Energy Investment, Ltd. (f) | 68,000 | — | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 109,915 | |||
China Conch Environment Protection Holdings, Ltd. (b) | 262,000 | 182,303 | |||
China Conch Venture Holdings, Ltd. | 283,000 | 616,711 | |||
China Construction Bank Corp. Class A | 52,100 | 47,094 | |||
China Construction Bank Corp. Class H | 15,813,000 | 10,619,987 | |||
China CSSC Holdings, Ltd. Class A | 32,600 | 92,293 | |||
China Datang Corp. Renewable Power Co., Ltd. Class H | 556,000 | 189,184 | |||
China East Education Holdings, Ltd. (d) | 63,000 | 33,399 | |||
China Eastern Airlines Corp., Ltd. Class A (b) | 60,800 | 49,788 | |||
China Education Group Holdings, Ltd. | 86,000 | 85,047 | |||
China Energy Engineering Corp, Ltd. (b) | 293,500 | 103,755 | |||
China Everbright Bank Co., Ltd. Class A | 384,100 | 172,450 | |||
China Everbright Bank Co., Ltd. Class H | 1,095,300 | 354,541 | |||
China Everbright Environment Group, Ltd. | 575,518 | 339,578 | |||
China Everbright Water, Ltd. (c) | 330,100 | 68,786 | |||
China Everbright, Ltd. | 208,000 | 195,623 | |||
China Evergrande Group (b)(c)(f) | 547,000 | 86,264 | |||
China Feihe, Ltd. (d) | 583,000 | 670,153 |
Security Description | Shares | Value | |||
China Foods, Ltd. | 362,000 | $ 128,249 | |||
China Galaxy Securities Co., Ltd. Class A | 27,500 | 39,665 | |||
China Galaxy Securities Co., Ltd. Class H | 1,315,300 | 759,315 | |||
China Gas Holdings, Ltd. | 493,000 | 761,463 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 54,228 | |||
China Harmony Auto Holding, Ltd. | 85,500 | 38,790 | |||
China Hongqiao Group, Ltd. | 342,500 | 387,154 | |||
China International Capital Corp., Ltd. Class A | 6,300 | 41,808 | |||
China International Capital Corp., Ltd. Class H (c)(d) | 216,800 | 461,950 | |||
China Jinmao Holdings Group, Ltd. | 754,000 | 202,746 | |||
China Jushi Co., Ltd. Class A | 25,717 | 66,784 | |||
China Lesso Group Holdings, Ltd. | 128,000 | 193,135 | |||
China Life Insurance Co., Ltd. Class A | 15,100 | 70,002 | |||
China Life Insurance Co., Ltd. Class H | 1,270,000 | 2,210,821 | |||
China Lilang, Ltd. | 100,000 | 49,701 | |||
China Literature, Ltd. (b)(d) | 71,000 | 342,923 | |||
China Longyuan Power Group Corp., Ltd. Class H | 511,000 | 987,232 | |||
China Maple Leaf Educational Systems, Ltd. (b)(c) | 136,000 | 6,153 | |||
China Medical System Holdings, Ltd. | 234,000 | 365,003 | |||
China Meidong Auto Holdings, Ltd. | 96,000 | 302,181 | |||
China Mengniu Dairy Co., Ltd. | 510,000 | 2,544,492 | |||
China Merchants Bank Co., Ltd. Class A | 189,200 | 1,190,931 | |||
China Merchants Bank Co., Ltd. Class H | 659,500 | 4,412,383 | |||
China Merchants Port Holdings Co., Ltd. | 206,151 | 350,462 | |||
China Merchants Securities Co., Ltd. Class A | 71,800 | 154,327 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 82,900 | 166,067 | |||
China Minmetals Rare Earth Co., Ltd. Class A | 14,100 | 65,724 | |||
China Minsheng Banking Corp., Ltd. Class A | 325,200 | 180,446 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 1,745,600 | 622,876 | |||
China Modern Dairy Holdings, Ltd. (c) | 574,000 | 86,316 | |||
China National Building Material Co., Ltd. Class H | 652,000 | 696,291 |
Security Description | Shares | Value | |||
China National Chemical Engineering Co., Ltd. Class A | 71,900 | $ 100,919 | |||
China National Nuclear Power Co., Ltd. Class A | 197,300 | 201,885 | |||
China New Higher Education Group, Ltd. (d) | 79,000 | 27,082 | |||
China Nonferrous Mining Corp., Ltd. | 212,000 | 97,801 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 23,500 | 123,245 | |||
China Oilfield Services, Ltd. Class H | 258,000 | 252,840 | |||
China Oriental Group Co., Ltd. | 192,000 | 46,734 | |||
China Overseas Grand Oceans Group, Ltd. | 201,000 | 106,815 | |||
China Overseas Land & Investment, Ltd. | 618,000 | 1,953,167 | |||
China Overseas Property Holdings, Ltd. | 280,000 | 301,518 | |||
China Pacific Insurance Group Co., Ltd. Class A | 66,000 | 231,643 | |||
China Pacific Insurance Group Co., Ltd. Class H | 449,600 | 1,098,940 | |||
China Petroleum & Chemical Corp. Class A | 378,200 | 230,163 | |||
China Petroleum & Chemical Corp. Class H | 4,106,000 | 1,847,110 | |||
China Power International Development, Ltd. | 817,000 | 518,502 | |||
China Railway Group, Ltd. Class A | 197,100 | 180,513 | |||
China Railway Group, Ltd. Class H | 640,000 | 395,568 | |||
China Railway Signal & Communication Corp., Ltd. Class A | 561,045 | 379,096 | |||
China Renaissance Holdings, Ltd. (d) | 18,400 | 23,073 | |||
China Resources Beer Holdings Co., Ltd. | 282,721 | 2,107,721 | |||
China Resources Cement Holdings, Ltd. | 430,000 | 288,787 | |||
China Resources Gas Group, Ltd. | 150,000 | 698,679 | |||
China Resources Land, Ltd. | 521,333 | 2,431,618 | |||
China Resources Medical Holdings Co., Ltd. | 86,000 | 55,675 | |||
China Resources Microelectronics Ltd. Class A | 9,895 | 87,184 | |||
China Resources Mixc Lifestyle Services, Ltd. (d) | 110,200 | 546,299 | |||
China Resources Power Holdings Co., Ltd. | 296,055 | 611,204 |
Security Description | Shares | Value | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | $ 116,121 | |||
China Ruyi Holdings, Ltd. (b) | 747,200 | 274,239 | |||
China SCE Group Holdings, Ltd. | 565,000 | 77,763 | |||
China Shenhua Energy Co., Ltd. Class A | 83,500 | 414,747 | |||
China Shenhua Energy Co., Ltd. Class H | 530,000 | 1,519,699 | |||
China South City Holdings, Ltd. | 476,000 | 40,036 | |||
China Southern Airlines Co., Ltd. Class A (b) | 56,500 | 61,605 | |||
China Southern Airlines Co., Ltd. Class H (b) | 552,000 | 319,370 | |||
China State Construction Engineering Corp., Ltd. Class A | 394,000 | 312,652 | |||
China State Construction International Holdings, Ltd. | 320,750 | 354,802 | |||
China Suntien Green Energy Corp., Ltd. Class H | 239,000 | 121,831 | |||
China Taiping Insurance Holdings Co., Ltd. | 318,600 | 393,025 | |||
China Three Gorges Renewables Group Co., Ltd. Class A | 262,000 | 245,813 | |||
China Tobacco International HK Co., Ltd. | 93,000 | 150,991 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 19,700 | 684,455 | |||
China Tower Corp., Ltd. Class H (d) | 6,774,000 | 871,898 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 318,000 | 196,548 | |||
China Travel International Investment Hong Kong, Ltd. (b)(c) | 266,000 | 55,594 | |||
China United Network Communications, Ltd. Class A | 240,700 | 124,224 | |||
China Vanke Co., Ltd. Class A | 70,100 | 214,351 | |||
China Vanke Co., Ltd. Class H | 277,600 | 697,631 | |||
China Water Affairs Group, Ltd. (c) | 126,000 | 117,218 | |||
China XLX Fertiliser, Ltd. | 86,000 | 65,648 | |||
China Yangtze Power Co., Ltd. Class A | 363,000 | 1,251,836 | |||
China Youran Dairy Group, Ltd. (b)(c)(d) | 204,000 | 84,231 | |||
China Yuchai International, Ltd. | 2,300 | 20,286 | |||
China Yuhua Education Corp., Ltd. (d) | 184,000 | 32,594 |
Security Description | Shares | Value | |||
China Zhenhua Group Science & Technology Co., Ltd. Class A | 4,300 | $ 87,210 | |||
China Zheshang Bank Co., Ltd. Class A | 158,600 | 78,541 | |||
China Zhongwang Holdings, Ltd. (b)(c)(f) | 231,200 | 24,749 | |||
Chinasoft International, Ltd. | 452,000 | 462,544 | |||
Chindata Group Holdings, Ltd. ADR (b) | 15,600 | 121,056 | |||
Chlitina Holding, Ltd. | 6,000 | 39,148 | |||
Chongqing Brewery Co., Ltd. Class A | 7,200 | 157,442 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 69,680 | 180,015 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 15,400 | 254,997 | |||
Chow Tai Fook Jewellery Group, Ltd. | 323,800 | 609,063 | |||
CIFI Ever Sunshine Services Group, Ltd. (c) | 142,000 | 180,962 | |||
CIFI Holdings Group Co., Ltd. | 611,303 | 306,939 | |||
CIMC Enric Holdings, Ltd. (c) | 78,000 | 83,796 | |||
CITIC Securities Co., Ltd. Class A | 107,985 | 348,879 | |||
CITIC Securities Co., Ltd. Class H | 443,275 | 990,836 | |||
CITIC Telecom International Holdings, Ltd. | 239,000 | 79,190 | |||
CITIC, Ltd. | 917,000 | 929,042 | |||
CMGE Technology Group, Ltd. (b) | 118,000 | 34,737 | |||
CMOC Group, Ltd. Class A | 95,900 | 81,965 | |||
CMOC Group, Ltd. Class H | 573,000 | 319,836 | |||
COFCO Joycome Foods., Ltd. | 220,000 | 106,538 | |||
Contemporary Amperex Technology Co., Ltd. Class A (b) | 23,400 | 1,863,847 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A | 120,000 | 248,799 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H | 510,900 | 713,585 | |||
COSCO SHIPPING Ports, Ltd. | 317,826 | 224,387 | |||
Country Garden Holdings Co., Ltd. (c) | 1,217,052 | 753,780 | |||
Country Garden Services Holdings Co., Ltd. | 326,000 | 1,451,991 | |||
CRRC Corp., Ltd. Class A | 188,900 | 146,517 | |||
CRRC Corp., Ltd. Class H | 599,000 | 222,899 | |||
CSC Financial Co., Ltd. Class A | 31,500 | 135,835 | |||
CSPC Pharmaceutical Group, Ltd. | 1,451,280 | 1,440,747 | |||
CStone Pharmaceuticals (b)(c)(d) | 54,500 | 36,463 |
Security Description | Shares | Value | |||
Dada Nexus, Ltd. ADR (b) | 15,600 | $ 126,516 | |||
Dali Foods Group Co., Ltd. (d) | 387,500 | 205,924 | |||
Daqin Railway Co., Ltd. Class A | 134,500 | 132,209 | |||
Daqo New Energy Corp. ADR (b) | 10,900 | 778,042 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 6,048 | 28,236 | |||
Differ Group Holding Co., Ltd. (c) | 304,000 | 73,221 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 132,744 | |||
Dongfeng Motor Group Co., Ltd. Class H | 434,000 | 329,636 | |||
Dongyue Group, Ltd. | 236,000 | 295,340 | |||
DouYu International Holdings, Ltd. ADR (b)(c) | 37,800 | 45,360 | |||
East Money Information Co., Ltd. Class A | 111,484 | 422,376 | |||
Eastern Communications Co., Ltd. Class B | 135,500 | 58,401 | |||
Ecovacs Robotics Co., Ltd. Class A | 3,400 | 61,816 | |||
EHang Holdings, Ltd. ADR (b) | 6,200 | 57,350 | |||
ENN Energy Holdings, Ltd. | 129,500 | 2,127,266 | |||
ESR Group, Ltd. (b)(d) | 353,400 | 954,776 | |||
Eve Energy Co., Ltd. Class A | 13,306 | 193,511 | |||
Everbright Securities Co., Ltd. Class A | 35,500 | 83,452 | |||
Everest Medicines, Ltd. (b)(c)(d) | 30,000 | 86,021 | |||
Excellence Commercial Property & Facilities Management Group, Ltd. | 69,000 | 34,645 | |||
Fangda Carbon New Material Co., Ltd. Class A (b) | 27,600 | 31,288 | |||
Far East Horizon, Ltd. | 238,000 | 199,573 | |||
FAW Jiefang Group Co., Ltd. Class A | 253,201 | 352,749 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 24,400 | 52,700 | |||
FIH Mobile, Ltd. (b) | 297,000 | 42,391 | |||
FinVolution Group ADR | 18,700 | 88,825 | |||
Fire Rock Holdings, Ltd. (b)(c) | 290,000 | 20,696 | |||
Flat Glass Group Co., Ltd. Class A (b) | 16,900 | 96,043 | |||
Flat Glass Group Co., Ltd. Class H (c) | 76,000 | 267,314 | |||
Focus Media Information Technology Co., Ltd. Class A | 101,100 | 101,489 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 31,858 | 429,386 |
Security Description | Shares | Value | |||
Fosun International, Ltd. | 344,000 | $ 317,830 | |||
Fosun Tourism Group (b)(d) | 50,600 | 85,763 | |||
Founder Securities Co., Ltd. Class A | 44,900 | 44,939 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 192,600 | 282,686 | |||
Fu Shou Yuan International Group, Ltd. | 141,000 | 101,524 | |||
Fufeng Group, Ltd. | 138,000 | 88,460 | |||
Futu Holdings, Ltd. ADR (b)(c) | 9,100 | 475,111 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 12,300 | 76,708 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (d) | 88,000 | 446,339 | |||
Ganfeng Lithium Co., Ltd. Class A | 10,700 | 237,327 | |||
Ganfeng Lithium Co., Ltd. Class H (d) | 59,080 | 650,133 | |||
Gaotu Techedu, Inc. (b)(c) | 14,900 | 29,204 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 92,599 | |||
GCL New Energy Holdings, Ltd. (b) | 258,000 | 6,642 | |||
GD Power Development Co., Ltd. Class A | 239,700 | 139,797 | |||
GDS Holdings, Ltd. Class A (b) | 143,000 | 602,291 | |||
Geely Automobile Holdings, Ltd. | 951,000 | 2,162,094 | |||
GEM Co., Ltd. Class A | 32,900 | 44,657 | |||
Gemdale Corp. Class A | 24,500 | 49,115 | |||
Gemdale Properties & Investment Corp., Ltd. | 808,000 | 73,109 | |||
Genertec Universal Medical Group Co., Ltd. (d) | 93,000 | 56,770 | |||
Genscript Biotech Corp. (b) | 190,000 | 688,866 | |||
GF Securities Co., Ltd. Class A | 60,100 | 167,637 | |||
GF Securities Co., Ltd. Class H | 178,200 | 235,724 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 35,895 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 3,528 | 74,836 | |||
Ginlong Technologies Co., Ltd. Class A | 3,000 | 95,313 | |||
GoerTek, Inc. Class A | 28,300 | 141,833 | |||
Golden Solar New Energy Technology Holdings, Ltd. (b)(c) | 100,000 | 138,143 | |||
GOME Retail Holdings, Ltd. (b)(c) | 1,427,000 | 69,105 | |||
Gotion High-tech Co., Ltd. Class A | 8,500 | 57,815 | |||
Great Wall Motor Co., Ltd. Class A | 14,400 | 79,558 |
Security Description | Shares | Value | |||
Great Wall Motor Co., Ltd. Class H | 502,000 | $ 1,032,539 | |||
Greatview Aseptic Packaging Co., Ltd. | 208,000 | 41,616 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 25,000 | 125,742 | |||
Greentown China Holdings, Ltd. | 142,000 | 294,244 | |||
Greentown Service Group Co., Ltd. | 174,000 | 196,907 | |||
Guangdong Haid Group Co., Ltd. Class A | 22,500 | 201,400 | |||
Guangdong Investment, Ltd. | 604,000 | 638,872 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 4,700 | 90,941 | |||
Guanghui Energy Co., Ltd. Class A | 204,300 | 321,190 | |||
Guangzhou Automobile Group Co., Ltd. Class A | 48,200 | 109,568 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 498,800 | 482,467 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 10,100 | 47,591 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 69,285 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 81,267 | |||
Guangzhou R&F Properties Co., Ltd. Class H (c) | 333,200 | 87,897 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 8,307 | 93,327 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 26,860 | 248,640 | |||
Guosen Securities Co., Ltd. Class A | 26,700 | 38,113 | |||
Guotai Junan Securities Co., Ltd. Class A | 54,200 | 122,884 | |||
Haichang Ocean Park Holdings, Ltd. (b)(c)(d) | 165,000 | 167,377 | |||
Haidilao International Holding, Ltd. (b)(c)(d) | 202,000 | 471,087 | |||
Haier Smart Home Co., Ltd. Class A | 74,500 | 305,148 | |||
Haier Smart Home Co., Ltd. Class H | 405,200 | 1,500,081 | |||
Hainan Meilan International Airport Co., Ltd. Class H (b) | 25,000 | 73,595 | |||
Haitian International Holdings, Ltd. | 104,000 | 265,734 | |||
Haitong Securities Co., Ltd. Class A | 61,800 | 90,430 | |||
Haitong Securities Co., Ltd. Class H | 714,000 | 524,107 |
Security Description | Shares | Value | |||
Hangzhou First Applied Material Co., Ltd. Class A | 15,792 | $ 154,335 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 101,573 | |||
Hangzhou Silan Microelectronics Co., Ltd. Class A | 9,600 | 74,461 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 147,160 | 211,918 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 134,864 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (d) | 18,000 | 208,055 | |||
Hansoh Pharmaceutical Group Co., Ltd. (d) | 188,000 | 379,500 | |||
Harbin Electric Co., Ltd. Class H (b) | 36,000 | 10,460 | |||
Health & Happiness H&H International Holdings, Ltd. | 69,000 | 90,922 | |||
Helens International Holdings Co., Ltd. (b) | 30,000 | 69,199 | |||
Hello Group, Inc. ADR | 33,300 | 168,165 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 28,100 | 122,808 | |||
Hengan International Group Co., Ltd. | 119,500 | 561,183 | |||
Hengli Petrochemical Co., Ltd. Class A | 40,400 | 134,020 | |||
Hengyi Petrochemical Co., Ltd. Class A | 291,090 | 456,334 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | 51,630 | |||
Hongfa Technology Co., Ltd. Class A | 7,140 | 44,570 | |||
Hope Education Group Co., Ltd. (c)(d) | 186,000 | 15,407 | |||
Hopson Development Holdings, Ltd. | 97,284 | 148,524 | |||
Hoshine Silicon Industry Co., Ltd. Class A | 3,500 | 61,582 | |||
Hua Hong Semiconductor, Ltd. (b)(d) | 89,000 | 322,112 | |||
Hua Medicine (b)(d) | 84,000 | 39,822 | |||
Huadong Medicine Co., Ltd. Class A | 11,260 | 75,848 | |||
Huafon Chemical Co., Ltd. Class A | 33,800 | 42,551 | |||
Hualan Biological Engineering, Inc. Class A | 28,860 | 98,149 | |||
Huaneng Power International, Inc. Class A | 89,900 | 94,403 | |||
Huaneng Power International, Inc. Class H | 648,000 | 322,887 |
Security Description | Shares | Value | |||
Huangshan Tourism Development Co., Ltd. Class B | 20,400 | $ 16,157 | |||
Huatai Securities Co., Ltd. Class A | 50,600 | 107,175 | |||
Huatai Securities Co., Ltd. Class H (d) | 228,400 | 338,804 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 59,289 | |||
Huaxia Bank Co., Ltd. Class A | 152,200 | 118,278 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 61,752 | |||
Huazhu Group, Ltd. ADR | 32,400 | 1,234,440 | |||
Hubei Xingfa Chemicals Group Co., Ltd. Class A | 16,000 | 104,985 | |||
Huijing Holdings Co., Ltd. | 208,000 | 47,448 | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 3,400 | 75,057 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 11,800 | 28,161 | |||
Hunan Valin Steel Co., Ltd. Class A | 44,000 | 33,406 | |||
Hundsun Technologies, Inc. Class A | 8,008 | 52,007 | |||
Hutchmed China, Ltd. ADR (b)(c) | 15,200 | 192,128 | |||
HUYA, Inc. ADR (b) | 25,100 | 97,388 | |||
Hygeia Healthcare Holdings Co., Ltd. (c)(d) | 45,000 | 299,065 | |||
iDreamSky Technology Holdings, Ltd. (b)(c)(d) | 134,400 | 99,341 | |||
Iflytek Co., Ltd. Class A | 24,100 | 148,176 | |||
I-Mab ADR (b)(c) | 6,600 | 74,580 | |||
Imeik Technology Development Co., Ltd. Class A | 1,900 | 170,045 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 674,300 | 479,761 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 9,319,000 | 5,534,194 | |||
Industrial Bank Co., Ltd. Class A | 186,800 | 554,476 | |||
Industrial Securities Co., Ltd. Class A | 42,900 | 45,113 | |||
Ingenic Semiconductor Co., Ltd. Class A | 3,500 | 55,469 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A | 292,000 | 102,354 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 219,500 | 159,774 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 49,900 | 289,909 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | 285,678 | |||
Innovent Biologics, Inc. (b)(d) | 190,000 | 845,042 |
Security Description | Shares | Value | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,900 | $ 31,203 | |||
Inspur International, Ltd. (b) | 14,000 | 5,049 | |||
Intco Medical Technology Co., Ltd. Class A | 9,000 | 34,044 | |||
iQIYI, Inc. ADR (b)(c) | 49,400 | 207,480 | |||
JA Solar Technology Co., Ltd. Class A | 16,800 | 197,715 | |||
Jacobio Pharmaceuticals Group Co., Ltd. (b)(d) | 52,200 | 40,579 | |||
Jafron Biomedical Co., Ltd. Class A | 30,500 | 231,518 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 5,330 | 45,022 | |||
JCET Group Co., Ltd. Class A | 57,900 | 233,182 | |||
JD Health International, Inc. (b)(d) | 177,600 | 1,393,061 | |||
JD.com, Inc. Class A | 328,154 | 10,571,920 | |||
Jiangsu Eastern Shenghong Co., Ltd. Class A | 23,500 | 59,274 | |||
Jiangsu Expressway Co., Ltd. Class H | 224,000 | 225,514 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 13,468 | 123,989 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 52,824 | 292,241 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 7,700 | 58,575 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 14,700 | 401,585 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 2,100 | 41,748 | |||
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. Class A | 72,900 | 279,021 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 24,900 | 85,795 | |||
Jiangxi Copper Co., Ltd. Class A | 32,700 | 86,967 | |||
Jiangxi Copper Co., Ltd. Class H | 142,000 | 194,353 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A (b) | 25,800 | 23,321 | |||
Jiayuan International Group, Ltd. (b)(c) | 119,815 | 6,642 | |||
Jinchuan Group International Resources Co., Ltd. (c) | 832,000 | 109,209 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 17,704 | |||
JinkoSolar Holding Co., Ltd. ADR (b)(c) | 6,700 | 463,506 | |||
Jinxin Fertility Group, Ltd. (d) | 162,000 | 149,263 | |||
JiuGui Liquor Co., Ltd. Class A | 2,200 | 60,974 |
Security Description | Shares | Value | |||
Jiumaojiu International Holdings, Ltd. (c)(d) | 88,000 | $ 233,823 | |||
Joinn Laboratories China Co., Ltd. Class A | 2,380 | 40,399 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 34,900 | 62,000 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A (b) | 5,170 | 26,690 | |||
JOYY, Inc. ADR | 8,800 | 262,768 | |||
Juewei Food Co., Ltd. Class A | 4,000 | 34,498 | |||
JW Cayman Therapeutics Co., Ltd. (b)(d) | 68,000 | 70,193 | |||
Kaisa Group Holdings, Ltd. (f) | 333,714 | 26,793 | |||
Kangji Medical Holdings, Ltd. (c) | 92,000 | 91,332 | |||
Kanzhun, Ltd. ADR (b) | 12,800 | 336,384 | |||
KE Holdings, Inc. ADR (b) | 58,900 | 1,057,255 | |||
Kerry Logistics Network, Ltd. | 101,500 | 218,342 | |||
Kingboard Holdings, Ltd. | 104,000 | 393,631 | |||
Kingdee International Software Group Co., Ltd. (b) | 408,000 | 956,703 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 16,800 | 23,856 | |||
Kingsoft Cloud Holdings, Ltd. ADR (b)(c) | 16,400 | 72,980 | |||
Kingsoft Corp., Ltd. | 155,600 | 606,778 | |||
Kintor Pharmaceutical, Ltd. (b)(d) | 28,500 | 67,918 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,416 | |||
Koolearn Technology Holding, Ltd. (b)(c)(d) | 21,500 | 51,620 | |||
Kuaishou Technology (b)(d) | 262,200 | 2,920,406 | |||
Kuang-Chi Technologies Co., Ltd. Class A (b) | 107,500 | 276,920 | |||
Kunlun Energy Co., Ltd. | 632,000 | 517,878 | |||
Kweichow Moutai Co., Ltd. Class A | 12,200 | 3,721,399 | |||
KWG Group Holdings, Ltd. | 202,000 | 64,356 | |||
KWG Living Group Holdings, Ltd. | 104,000 | 32,471 | |||
LB Group Co., Ltd. Class A | 11,000 | 32,897 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 66,997 | |||
Lenovo Group, Ltd. | 1,128,000 | 1,053,688 | |||
Lens Technology Co., Ltd. Class A | 26,800 | 44,252 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 9,700 | 26,868 | |||
LexinFintech Holdings, Ltd. ADR (b) | 28,100 | 62,663 | |||
Li Auto, Inc. ADR (b) | 87,000 | 3,332,970 | |||
Li Ning Co., Ltd. | 387,000 | 3,585,457 | |||
Lifetech Scientific Corp. (b)(c) | 1,054,000 | 388,184 |
Security Description | Shares | Value | |||
Lingyi iTech Guangdong Co. Class A (b) | 50,400 | $ 37,739 | |||
Logan Group Co., Ltd. (f) | 189,000 | 39,380 | |||
Longfor Group Holdings, Ltd. (d) | 295,000 | 1,392,866 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 86,492 | 859,605 | |||
Lonking Holdings, Ltd. | 174,000 | 42,131 | |||
Lufax Holding, Ltd. ADR | 136,200 | 817,200 | |||
Luoyang Glass Co., Ltd. Class H (b)(c) | 34,000 | 63,780 | |||
Luxshare Precision Industry Co., Ltd. Class A | 73,168 | 368,776 | |||
Luye Pharma Group, Ltd. (b)(c)(d) | 305,000 | 100,281 | |||
Luzhou Laojiao Co., Ltd. Class A | 13,800 | 507,481 | |||
Mango Excellent Media Co., Ltd. Class A | 9,700 | 48,267 | |||
Maoyan Entertainment (b)(d) | 41,600 | 42,411 | |||
Maxscend Microelectronics Co., Ltd. Class A | 4,000 | 80,547 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (b) | 24,000 | 19,940 | |||
Meitu, Inc. (b)(c)(d) | 176,500 | 23,393 | |||
Meituan Class B (b)(d) | 669,900 | 16,578,999 | |||
Metallurgical Corp. of China, Ltd. Class A | 116,300 | 60,716 | |||
Microport Scientific Corp. (b)(c) | 97,308 | 282,117 | |||
Midea Real Estate Holding, Ltd. (c)(d) | 42,400 | 68,515 | |||
Ming Yang Smart Energy Group, Ltd. Class A | 25,500 | 128,561 | |||
Ming Yuan Cloud Group Holdings, Ltd. | 94,000 | 150,458 | |||
Minth Group, Ltd. | 122,000 | 332,715 | |||
MMG, Ltd. (b) | 576,000 | 214,341 | |||
Mobvista, Inc. (b)(d) | 53,000 | 35,325 | |||
Montage Technology Co., Ltd. Class A | 9,953 | 89,937 | |||
Muyuan Foods Co., Ltd. Class A | 56,823 | 468,454 | |||
Nam Tai Property, Inc. (b)(c) | 2,400 | 10,104 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 33,969 | 142,884 | |||
Nanjing Securities Co., Ltd. Class A | 23,900 | 29,732 | |||
NARI Technology Co., Ltd. Class A | 48,240 | 194,278 | |||
National Silicon Industry Group Co., Ltd. Class A (b) | 25,200 | 86,378 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 165,341 |
Security Description | Shares | Value | |||
Nayuki Holdings, Ltd. (b)(c) | 70,000 | $ 59,322 | |||
NetDragon Websoft Holdings, Ltd. | 19,000 | 40,872 | |||
NetEase, Inc. | 336,300 | 6,175,754 | |||
New China Life Insurance Co., Ltd. Class A | 11,300 | 54,257 | |||
New China Life Insurance Co., Ltd. Class H | 154,000 | 432,741 | |||
New Hope Liuhe Co., Ltd. Class A (b) | 42,400 | 96,763 | |||
New Horizon Health, Ltd. (b)(d) | 24,000 | 72,181 | |||
New Oriental Education & Technology Group, Inc. (b) | 25,430 | 517,755 | |||
Nexteer Automotive Group, Ltd. | 160,000 | 115,000 | |||
Ninestar Corp. Class A | 16,800 | 126,848 | |||
Ningbo Ronbay New Energy Technology Co., Ltd. Class A | 4,054 | 78,272 | |||
Ningbo Shanshan Co., Ltd. Class A | 19,400 | 86,001 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 16,500 | 168,416 | |||
Ningxia Baofeng Energy Group Co., Ltd. Class A | 44,500 | 97,241 | |||
NIO, Inc. ADR (b) | 215,000 | 4,669,800 | |||
Niu Technologies ADR (b) | 7,700 | 66,220 | |||
Noah Holdings, Ltd. ADR (b) | 6,600 | 133,518 | |||
Nongfu Spring Co., Ltd. Class H (c)(d) | 293,800 | 1,686,731 | |||
Ocumension Therapeutics (b)(d) | 19,000 | 33,995 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 57,197 | |||
OneConnect Financial Technology Co., Ltd. (b) | 14,200 | 24,282 | |||
Oppein Home Group, Inc. Class A | 6,300 | 141,595 | |||
Orient Securities Co., Ltd. Class A | 41,728 | 63,549 | |||
Ovctek China, Inc. Class A | 4,620 | 39,411 | |||
Peijia Medical, Ltd. (b)(d) | 20,000 | 19,778 | |||
People's Insurance Co. Group of China, Ltd. Class A | 77,000 | 58,116 | |||
People's Insurance Co. Group of China, Ltd. Class H | 2,128,000 | 650,852 | |||
Perfect World Co., Ltd. Class A | 10,650 | 22,828 | |||
PetroChina Co., Ltd. Class A | 124,800 | 98,661 | |||
PetroChina Co., Ltd. Class H | 3,302,000 | 1,573,794 | |||
Pharmaron Beijing Co., Ltd. Class A | 7,200 | 102,262 | |||
Pharmaron Beijing Co., Ltd. Class H (d) | 24,450 | 244,751 | |||
PICC Property & Casualty Co., Ltd. Class H | 1,053,700 | 1,095,737 | |||
Pinduoduo, Inc. ADR (b) | 70,700 | 4,369,260 |
Security Description | Shares | Value | |||
Ping An Bank Co., Ltd. Class A | 200,400 | $ 447,778 | |||
Ping An Healthcare & Technology Co., Ltd. (b)(c)(d) | 70,700 | 209,479 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 99,290 | 691,484 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 1,047,000 | 7,118,364 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 86,300 | 224,754 | |||
Poly Property Group Co., Ltd. | 182,000 | 43,836 | |||
Pop Mart International Group, Ltd. (d) | 80,000 | 386,392 | |||
Postal Savings Bank of China Co., Ltd. Class A | 225,400 | 181,216 | |||
Postal Savings Bank of China Co., Ltd. Class H (c)(d) | 1,288,000 | 1,022,593 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 166,927 | |||
Powerlong Commercial Management Holdings, Ltd. | 16,000 | 10,848 | |||
Powerlong Real Estate Holdings, Ltd. | 175,000 | 29,215 | |||
Prinx Chengshan Holdings, Ltd. | 1,500 | 1,382 | |||
Prosus NV (b) | 151,135 | 9,872,094 | |||
Proya Cosmetics Co., Ltd. Class A | 1,960 | 48,291 | |||
Q Technology Group Co., Ltd. (b) | 47,000 | 32,344 | |||
Radiance Holdings Group Co., Ltd. | 99,000 | 58,035 | |||
Raytron Technology Co., Ltd. Class A | 5,962 | 35,323 | |||
Redco Properties Group, Ltd. (b)(c)(d) | 108,000 | 27,664 | |||
Redsun Properties Group, Ltd. | 120,000 | 39,302 | |||
ReneSola, Ltd. ADR (b) | 13,300 | 63,175 | |||
RLX Technology, Inc. ADR (b) | 114,100 | 243,033 | |||
Rongsheng Petrochemical Co., Ltd. Class A | 103,050 | 236,559 | |||
Ronshine China Holdings, Ltd. (b) | 54,500 | 13,543 | |||
SAIC Motor Corp., Ltd. Class A | 73,500 | 195,256 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 38,700 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 128,000 | 136,043 | |||
Sany Heavy Industry Co., Ltd. Class A | 58,300 | 165,747 | |||
Satellite Chemical Co., Ltd. Class A | 17,629 | 67,974 |
Security Description | Shares | Value | |||
SDIC Power Holdings Co., Ltd. Class A | 41,600 | $ 65,153 | |||
Seazen Group, Ltd. (b) | 249,333 | 123,285 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 52,725 | |||
SF Holding Co., Ltd. Class A | 40,500 | 337,148 | |||
SG Micro Corp. Class A | 2,250 | 61,088 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 73,400 | 231,886 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 99,370 | |||
Shandong Gold Mining Co., Ltd. Class A | 16,800 | 46,509 | |||
Shandong Gold Mining Co., Ltd. Class H (d) | 133,750 | 234,196 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 13,650 | 59,452 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 95,392 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 82,200 | 45,243 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 17,800 | 32,684 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 546,000 | 634,580 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 6,664 | 29,860 | |||
Shanghai Baosight Software Co., Ltd. Class A | 27,821 | 226,578 | |||
Shanghai Baosight Software Co., Ltd. Class B | 52,934 | 223,276 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 75,569 | |||
Shanghai Electric Group Co., Ltd. Class A | 55,900 | 34,269 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 10,900 | 71,684 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 81,000 | 299,868 | |||
Shanghai Haixin Group Co. Class B | 42,000 | 13,188 | |||
Shanghai Highly Group Co., Ltd. Class B | 24,100 | 12,195 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 76,593 | |||
Shanghai Industrial Urban Development Group, Ltd. | 63,600 | 5,430 | |||
Shanghai International Airport Co., Ltd. Class A (b) | 5,200 | 43,978 | |||
Shanghai International Port Group Co., Ltd. Class A | 63,800 | 55,481 |
Security Description | Shares | Value | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 5,500 | $ 51,602 | |||
Shanghai Jinqiao Export Processing Zone Development Co., Ltd. Class B | 85,900 | 87,704 | |||
Shanghai Junshi Biosciences Co., Ltd. Class A (b) | 14,779 | 166,082 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 135,985 | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | 51,026 | |||
Shanghai Mechanical and Electrical Industry Co., Ltd. Class B | 62,000 | 74,276 | |||
Shanghai New Power Automotive Technology Co., Ltd. Class B | 32,500 | 16,673 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 25,600 | 69,039 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 167,160 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 334,800 | 400,010 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 20,160 | 253,797 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 110,000 | 97,297 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 42,500 | 59,843 | |||
Shangri-La Asia, Ltd. (b) | 156,000 | 126,439 | |||
Shanxi Coking Coal Energy Group Co., Ltd. Class A | 129,480 | 258,605 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 150,034 | |||
Shanxi Meijin Energy Co., Ltd. Class A | 34,400 | 62,600 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 42,100 | 34,224 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 10,960 | 530,982 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 80,335 | |||
Shennan Circuits Co., Ltd. Class A | 4,760 | 66,534 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 224,600 | 143,721 | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 9,000 | 70,559 | |||
Shenzhen Energy Group Co., Ltd. Class A | 52,200 | 49,909 |
Security Description | Shares | Value | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 30,750 | $ 302,124 | |||
Shenzhen International Holdings, Ltd. | 181,746 | 178,806 | |||
Shenzhen Investment, Ltd. | 724,301 | 143,993 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 15,360 | 103,512 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 15,900 | 742,800 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 50,300 | 48,693 | |||
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A | 7,200 | 30,178 | |||
Shenzhen SC New Energy Technology Corp. Class A | 2,200 | 29,320 | |||
Shenzhen Transsion Holdings Co., Ltd. Class A | 5,516 | 73,416 | |||
Shenzhou International Group Holdings, Ltd. | 133,400 | 1,615,872 | |||
Shimao Group Holdings, Ltd. (c)(f) | 220,500 | 93,152 | |||
Shimao Services Holdings, Ltd. (d) | 71,000 | 34,202 | |||
Shoucheng Holdings, Ltd. | 176,000 | 26,466 | |||
Shougang Fushan Resources Group, Ltd. | 244,000 | 101,369 | |||
Shui On Land, Ltd. | 328,000 | 44,308 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 136,372 | |||
Sichuan Expressway Co., Ltd. Class H | 20,000 | 5,047 | |||
Sichuan Road & Bridge Co., Ltd. Class A | 39,400 | 61,884 | |||
Sichuan Swellfun Co., Ltd. Class A | 3,400 | 46,931 | |||
Sieyuan Electric Co., Ltd. Class A | 11,100 | 59,042 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 463,000 | 75,525 | |||
Silergy Corp. | 14,000 | 1,127,684 | |||
Sinolink Securities Co., Ltd. Class A | 19,600 | 26,312 | |||
Sinoma Science & Technology Co., Ltd. Class A | 11,600 | 47,582 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 50,170 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 64,458 | |||
Sinopec Kantons Holdings, Ltd. | 120,000 | 41,137 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 63,181 | |||
Sinopharm Group Co., Ltd. Class H | 206,400 | 500,287 |
Security Description | Shares | Value | |||
Sinotruk Hong Kong, Ltd. | 87,000 | $ 121,958 | |||
SITC International Holdings Co., Ltd. | 200,000 | 565,825 | |||
Skshu Paint Co., Ltd. Class A (b) | 2,520 | 48,651 | |||
Smoore International Holdings, Ltd. (c)(d) | 292,000 | 900,528 | |||
SOHO China, Ltd. (b) | 353,000 | 67,029 | |||
Sohu.com, Ltd. ADR (b) | 8,000 | 132,560 | |||
Songcheng Performance Development Co., Ltd. Class A | 32,040 | 73,359 | |||
StarPower Semiconductor, Ltd. Class A | 1,900 | 109,366 | |||
Sun King Technology Group, Ltd. (b) | 146,000 | 54,143 | |||
Sunac China Holdings, Ltd. (f) | 491,000 | 143,290 | |||
Sunac Services Holdings, Ltd. (d) | 193,000 | 117,321 | |||
Sungrow Power Supply Co., Ltd. Class A | 13,900 | 203,704 | |||
Sunny Optical Technology Group Co., Ltd. | 111,600 | 1,819,005 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 89,084 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 11,100 | 37,965 | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 1,280 | 93,725 | |||
Suzhou TA&A Ultra Clean Technology Co., Ltd. Class A | 4,800 | 62,576 | |||
SY Holdings Group, Ltd. | 92,500 | 69,431 | |||
TAL Education Group ADR (b) | 69,600 | 338,952 | |||
TBEA Co., Ltd. Class A | 113,000 | 461,661 | |||
TCL Electronics Holdings, Ltd. | 73,000 | 34,514 | |||
TCL Technology Group Corp. Class A | 139,900 | 99,955 | |||
TCL Zhonghuan Renewable Energy Technology Co., Ltd. Class A | 65,100 | 571,841 | |||
Tencent Holdings, Ltd. | 1,021,500 | 46,135,072 | |||
Tencent Music Entertainment Group ADR (b) | 116,800 | 586,336 | |||
Theme International Holdings, Ltd. (b)(c) | 750,000 | 101,313 | |||
Thunder Software Technology Co., Ltd. Class A | 6,400 | 124,560 | |||
TI Fluid Systems PLC (d) | 47,364 | 86,972 | |||
Tiangong International Co., Ltd. | 104,000 | 37,508 | |||
Tianjin ZhongXin Pharmaceutical Group Corp., Ltd. Class S | 67,900 | 74,690 |
Security Description | Shares | Value | |||
Tianma Microelectronics Co., Ltd. Class A | 16,900 | $ 25,132 | |||
Tianneng Power International, Ltd. (c) | 78,000 | 84,392 | |||
Tianshui Huatian Technology Co., Ltd. Class A | 237,400 | 332,152 | |||
Tingyi Cayman Islands Holding Corp. | 318,000 | 544,660 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 42,831 | |||
Tongcheng Travel Holdings, Ltd. (b) | 196,400 | 422,487 | |||
Tongdao Liepin Group (b) | 19,400 | 24,426 | |||
TongFu Microelectronics Co., Ltd. Class A (b) | 89,900 | 206,506 | |||
Tongkun Group Co., Ltd. Class A | 12,700 | 30,082 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | 168,684 | |||
Tongwei Co., Ltd. Class A | 37,800 | 337,506 | |||
Topchoice Medical Corp. Class A (b) | 2,000 | 52,039 | |||
Topsports International Holdings, Ltd. (d) | 301,000 | 273,499 | |||
Towngas Smart Energy Co., Ltd. | 96,803 | 51,566 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 64,739 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 207,811 | |||
Trina Solar Co., Ltd. Class A | 15,600 | 151,830 | |||
Trip.com Group, Ltd. ADR (b) | 87,600 | 2,404,620 | |||
Tsingtao Brewery Co., Ltd. Class A | 4,500 | 69,753 | |||
Tsingtao Brewery Co., Ltd. Class H | 102,000 | 1,060,692 | |||
Tuya, Inc. ADR (b)(c) | 50,200 | 131,524 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 6,300 | 178,282 | |||
Uni-President China Holdings, Ltd. | 197,000 | 168,959 | |||
Unisplendour Corp., Ltd. Class A | 12,880 | 37,271 | |||
Up Fintech Holding, Ltd. ADR (b)(c) | 21,800 | 102,678 | |||
Venus MedTech Hangzhou, Inc. Class H (b)(c)(d) | 26,500 | 59,099 | |||
Vesync Co., Ltd. | 57,000 | 34,867 | |||
Vipshop Holdings, Ltd. ADR (b) | 76,500 | 756,585 | |||
Viva Biotech Holdings (b)(c)(d) | 81,500 | 28,250 | |||
Vnet Group, Inc. ADR (b) | 14,400 | 86,976 | |||
VSTECS Holdings, Ltd. | 136,000 | 108,842 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 158,071 |
Security Description | Shares | Value | |||
Wanhua Chemical Group Co., Ltd. Class A | 25,400 | $ 367,463 | |||
Want Want China Holdings, Ltd. | 775,000 | 673,574 | |||
Weibo Corp. ADR (b) | 10,710 | 247,722 | |||
Weichai Power Co., Ltd. Class A | 79,100 | 147,128 | |||
Weichai Power Co., Ltd. Class H | 296,000 | 470,012 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 89,567 | |||
Weimob, Inc. (b)(c)(d) | 245,000 | 167,352 | |||
Wens Foodstuffs Group Co., Ltd. Class A (b) | 85,960 | 272,976 | |||
West China Cement, Ltd. | 262,000 | 33,055 | |||
Western Securities Co., Ltd. Class A | 30,800 | 30,046 | |||
Westone Information Industry, Inc. Class A | 11,900 | 76,166 | |||
Wharf Holdings, Ltd. | 247,000 | 900,248 | |||
Will Semiconductor Co., Ltd. Shanghai Class A | 8,100 | 209,054 | |||
Wilmar International, Ltd. | 308,900 | 896,713 | |||
Wingtech Technology Co., Ltd. Class A | 8,000 | 101,560 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 134,444 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 46,648 | 89,550 | |||
Wuliangye Yibin Co., Ltd. Class A | 38,100 | 1,147,569 | |||
Wuling Motors Holdings Ltd. | 320,000 | 52,606 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 13,640 | 30,030 | |||
WuXi AppTec Co., Ltd. Class A | 21,000 | 325,735 | |||
WuXi AppTec Co., Ltd. Class H (d) | 53,903 | 717,841 | |||
Wuxi Biologics Cayman, Inc. (b)(d) | 578,000 | 5,288,730 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 23,680 | 223,159 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 2,800 | 65,149 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 90,367 | |||
XD, Inc. (b)(c) | 22,000 | 57,334 | |||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (d) | 140,500 | 76,813 | |||
Xiamen C & D, Inc. Class A | 72,000 | 140,366 | |||
Xiamen Faratronic Co., Ltd. Class A | 1,900 | 58,143 | |||
Xiaomi Corp. Class B (b)(d) | 2,471,200 | 4,295,576 |
Security Description | Shares | Value | |||
Xinhua Winshare Publishing and Media Co., Ltd. Class H | 66,000 | $ 46,933 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 22,900 | 50,553 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 149,400 | 279,496 | |||
Xinyi Glass Holdings, Ltd. | 275,000 | 659,556 | |||
Xinyi Solar Holdings, Ltd. | 845,811 | 1,306,397 | |||
XPeng, Inc. ADR (b) | 68,100 | 2,161,494 | |||
Xtep International Holdings, Ltd. | 201,474 | 364,591 | |||
Yadea Group Holdings, Ltd. (d) | 194,000 | 379,745 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 486,600 | 325,169 | |||
Yankuang Energy Group Co., Ltd. Class H | 234,000 | 733,584 | |||
Yanlord Land Group, Ltd. | 128,800 | 98,102 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | 70,331 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 27,700 | 163,121 | |||
Yeahka, Ltd. (b)(c) | 28,000 | 79,215 | |||
Yealink Network Technology Corp., Ltd. Class A | 8,400 | 95,412 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 6,916 | 54,499 | |||
Yihai International Holding, Ltd. (c) | 76,000 | 274,094 | |||
Yihai Kerry Arawana Holdings Co., Ltd. Class A (b) | 10,000 | 80,576 | |||
Yixin Group, Ltd. (b)(c)(d) | 141,000 | 19,047 | |||
YongXing Special Materials Technology Co., Ltd. Class A | 3,400 | 77,193 | |||
Yonyou Network Technology Co., Ltd. Class A | 20,930 | 67,777 | |||
Youdao, Inc. ADR (b) | 10,100 | 49,692 | |||
YTO Express Group Co., Ltd. Class A | 44,600 | 135,645 | |||
Yuexiu Property Co., Ltd. | 305,800 | 392,044 | |||
Yuexiu Transport Infrastructure, Ltd. | 208,000 | 120,077 | |||
Yum China Holdings, Inc. | 69,000 | 3,346,500 | |||
Yunda Holding Co., Ltd. Class A | 18,850 | 47,967 | |||
Yunnan Aluminium Co., Ltd. Class A | 41,400 | 61,011 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 12,880 | 116,020 | |||
Yunnan Energy New Material Co., Ltd. Class A | 8,000 | 298,857 | |||
Yuzhou Group Holdings Co., Ltd. (c) | 326,648 | 19,357 | |||
Zai Lab, Ltd. ADR (b) | 15,795 | 547,771 |
Security Description | Shares | Value | |||
Zensun Enterprises, Ltd. (c) | 120,000 | $ 47,407 | |||
Zepp Health Corp. ADR | 5,700 | 10,545 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 5,600 | 297,976 | |||
Zhaojin Mining Industry Co., Ltd. Class H (b) | 161,000 | 140,750 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (b) | 45,800 | 32,928 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 13,200 | 70,448 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 18,400 | 45,065 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 8,260 | 62,466 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 158,696 | |||
Zhejiang HangKe Technology, Inc. Co. Class A | 5,639 | 58,928 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 27,000 | 91,420 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 9,490 | 135,353 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 20,600 | 207,684 | |||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 11,900 | 91,768 | |||
Zhejiang NHU Co., Ltd. Class A | 16,848 | 57,323 | |||
Zhejiang Supor Co., Ltd. Class A | 3,800 | 31,934 | |||
Zhejiang Weiming Environment Protection Co., Ltd. Class A | 18,000 | 89,595 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | 96,234 | |||
Zhejiang Yongtai Technology Co., Ltd. Class A | 12,100 | 59,433 | |||
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H | 27,200 | 31,890 | |||
Zhenro Properties Group, Ltd. (b) | 342,000 | 25,279 | |||
Zheshang Securities Co., Ltd. Class A (b) | 21,700 | 36,835 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (b)(d) | 100,300 | 326,581 | |||
Zhongliang Holdings Group Co., Ltd. | 192,500 | 32,382 | |||
Zhongsheng Group Holdings, Ltd. | 141,000 | 994,571 | |||
Zhongtai Securities Co., Ltd. Class A | 72,500 | 82,728 |
Security Description | Shares | Value | ||||
Zhou Hei Ya International Holdings Co., Ltd. (c)(d) | 202,000 | $ 139,009 | ||||
Zhuzhou CRRC Times Electric Co., Ltd. | 75,000 | 369,889 | ||||
Zhuzhou Kibing Group Co., Ltd. Class A | 19,700 | 37,465 | ||||
Zijin Mining Group Co., Ltd. Class A | 239,700 | 333,582 | ||||
Zijin Mining Group Co., Ltd. Class H | 926,000 | 1,134,053 | ||||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A | 87,400 | 80,305 | ||||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class H | 198,800 | 106,152 | ||||
ZTE Corp. Class A | 25,000 | 95,202 | ||||
ZTE Corp. Class H | 150,800 | 351,299 | ||||
ZTO Express Cayman, Inc. ADR | 71,100 | 1,951,695 | ||||
407,609,019 | ||||||
COLOMBIA — 0.1% | ||||||
Bancolombia SA ADR | 500 | 15,415 | ||||
Bancolombia SA | 36,061 | 290,665 | ||||
Bancolombia SA Preference Shares | 65,472 | 498,777 | ||||
Canacol Energy, Ltd. (c) | 16,900 | 33,015 | ||||
Cementos Argos SA | 60,790 | 67,786 | ||||
Corp. Financiera Colombiana SA (b) | 9,211 | 45,379 | ||||
Ecopetrol SA ADR | 700 | 7,602 | ||||
Ecopetrol SA | 722,316 | 391,093 | ||||
Grupo Argos SA | 49,231 | 178,179 | ||||
Interconexion Electrica SA ESP | 67,960 | 334,810 | ||||
Millicom International Cellular SA SDR (b)(c) | 26,546 | 378,215 | ||||
2,240,936 | ||||||
CYPRUS — 0.0% (a) | ||||||
Atalaya Mining PLC | 10,407 | 40,760 | ||||
CZECH REPUBLIC — 0.0% (a) | ||||||
CEZ A/S | 23,879 | 1,072,832 | ||||
Komercni banka A/S | 11,765 | 329,428 | ||||
Moneta Money Bank A/S (d) | 69,836 | 252,955 | ||||
Philip Morris CR A/S | 128 | 88,074 | ||||
1,743,289 | ||||||
DENMARK — 1.6% | ||||||
ALK-Abello A/S (b) | 22,600 | 391,422 | ||||
Alm Brand A/S | 158,651 | 232,177 | ||||
Ambu A/S Class B | 27,020 | 261,792 | ||||
AP Moller - Maersk A/S Class A | 524 | 1,204,411 | ||||
AP Moller - Maersk A/S Class B | 938 | 2,183,021 | ||||
Bavarian Nordic A/S (b) | 10,381 | 341,346 |
Security Description | Shares | Value | ||||
Better Collective A/S (b) | 4,859 | $ 64,866 | ||||
Carlsberg AS Class B | 16,261 | 2,066,529 | ||||
cBrain A/S | 1,152 | 27,418 | ||||
Cementir Holding NV | 5,474 | 35,424 | ||||
Chemometec A/S | 2,807 | 298,720 | ||||
Chr. Hansen Holding A/S | 16,891 | 1,226,692 | ||||
Coloplast A/S Class B | 19,241 | 2,186,653 | ||||
D/S Norden A/S | 5,060 | 174,989 | ||||
Danske Bank A/S (b) | 111,104 | 1,566,594 | ||||
Demant A/S (b) | 17,406 | 651,622 | ||||
Dfds A/S | 6,404 | 193,200 | ||||
Drilling Co. of 1972 A/S (b) | 3,800 | 156,309 | ||||
DSV A/S | 33,041 | 4,604,053 | ||||
FLSmidth & Co. A/S | 8,910 | 218,512 | ||||
Genmab A/S (b) | 10,840 | 3,500,387 | ||||
GN Store Nord A/S | 20,109 | 703,060 | ||||
H Lundbeck A/S | 46,588 | 225,757 | ||||
H Lundbeck A/S Class A (b) | 11,647 | 55,768 | ||||
ISS A/S (b) | 25,421 | 399,897 | ||||
Jyske Bank A/S (b) | 9,331 | 454,524 | ||||
Matas A/S | 12,409 | 129,178 | ||||
Netcompany Group A/S (b)(d) | 6,939 | 378,295 | ||||
Nilfisk Holding A/S (b) | 3,415 | 72,012 | ||||
NKT A/S (b) | 7,446 | 315,704 | ||||
Novo Nordisk A/S Class B | 277,693 | 30,730,940 | ||||
Novozymes A/S Class B | 33,272 | 1,992,573 | ||||
NTG Nordic Transport Group A/S Class A (b) | 870 | 30,882 | ||||
Orsted A/S (d) | 30,639 | 3,195,551 | ||||
Pandora A/S | 16,196 | 1,016,612 | ||||
Per Aarsleff Holding A/S | 2,547 | 75,909 | ||||
Ringkjoebing Landbobank A/S | 4,482 | 487,054 | ||||
ROCKWOOL A/S Class B | 1,436 | 322,494 | ||||
Royal Unibrew A/S | 7,861 | 694,448 | ||||
Scandinavian Tobacco Group A/S Class A (d) | 10,671 | 208,219 | ||||
Schouw & Co. A/S | 2,520 | 175,183 | ||||
SimCorp A/S | 6,828 | 494,533 | ||||
Solar A/S Class B | 889 | 75,736 | ||||
Spar Nord Bank A/S | 14,608 | 154,226 | ||||
Sydbank A/S | 9,665 | 295,112 | ||||
Topdanmark A/S | 7,847 | 407,499 | ||||
Trifork Holding AG (c) | 1,282 | 32,981 | ||||
Tryg A/S | 58,317 | 1,306,391 | ||||
Vestas Wind Systems A/S | 166,534 | 3,509,380 | ||||
Zealand Pharma A/S (b) | 6,002 | 78,301 | ||||
69,604,356 | ||||||
EGYPT — 0.0% (a) | ||||||
Centamin PLC | 201,929 | 192,557 | ||||
Commercial International Bank Egypt SAE | 299,141 | 593,190 | ||||
Eastern Co SAE | 112,565 | 61,671 | ||||
ElSewedy Electric Co. (b) | 69,110 | 22,277 |
Security Description | Shares | Value | ||||
Energean PLC (b) | 22,295 | $ 297,567 | ||||
1,167,262 | ||||||
FAEROE ISLANDS — 0.0% (a) | ||||||
Bakkafrost P/F | 8,463 | 539,658 | ||||
FINLAND — 0.8% | ||||||
Aktia Bank Oyj | 16,282 | 155,581 | ||||
Anora Group Oyj | 4,874 | 39,439 | ||||
BasWare Oyj (b) | 3,905 | 162,074 | ||||
Cargotec Oyj Class B | 7,304 | 191,510 | ||||
Caverion Oyj | 14,031 | 64,762 | ||||
Citycon Oyj (c) | 19,217 | 130,186 | ||||
Elisa Oyj | 23,834 | 1,336,063 | ||||
Finnair Oyj (b)(c) | 99,297 | 42,458 | ||||
Fortum Oyj | 74,395 | 1,113,367 | ||||
Harvia Oyj (c) | 3,370 | 95,337 | ||||
Huhtamaki Oyj | 16,373 | 647,028 | ||||
Kamux Corp. | 8,863 | 71,995 | ||||
Kemira Oyj | 20,338 | 247,919 | ||||
Kempower Oyj (b)(c) | 5,722 | 69,619 | ||||
Kesko Oyj Class B | 43,889 | 1,032,843 | ||||
Kojamo Oyj | 24,325 | 418,587 | ||||
Kone Oyj Class B | 56,029 | 2,656,985 | ||||
Konecranes Oyj | 11,121 | 258,340 | ||||
Marimekko Oyj | 4,180 | 53,926 | ||||
Metsa Board Oyj Class B | 32,480 | 269,952 | ||||
Metso Outotec Oyj | 112,609 | 841,748 | ||||
Musti Group Oyj | 7,349 | 130,918 | ||||
Neste Oyj | 69,602 | 3,073,611 | ||||
Nokia Oyj (e) | 874,439 | 4,058,512 | ||||
Nokia Oyj (e) | 12,368 | 57,513 | ||||
Nokian Renkaat Oyj | 20,812 | 226,935 | ||||
Nordea Bank Abp (e) | 543,191 | 4,770,692 | ||||
Nordea Bank Abp (e) | 4,394 | 38,569 | ||||
Oriola Oyj Class B | 11,775 | 23,340 | ||||
Orion Oyj Class B | 16,964 | 755,511 | ||||
Outokumpu Oyj | 68,881 | 284,158 | ||||
Puuilo Oyj (c) | 13,810 | 68,896 | ||||
QT Group Oyj (b) | 2,926 | 215,353 | ||||
Remedy Entertainment Oyj (c) | 2,493 | 63,203 | ||||
Revenio Group Oyj | 3,977 | 176,788 | ||||
Rovio Entertainment Oyj (d) | 11,604 | 80,007 | ||||
Sampo Oyj Class A | 81,880 | 3,554,172 | ||||
Sanoma Oyj | 11,067 | 153,881 | ||||
Spinnova Oyj (b)(c) | 2,218 | 15,768 | ||||
Stora Enso Oyj Class R | 92,460 | 1,446,551 | ||||
Talenom Oyj (c) | 3,511 | 35,605 | ||||
TietoEVRY Oyj | 15,531 | 382,541 | ||||
Tokmanni Group Corp. | 9,924 | 116,512 | ||||
UPM-Kymmene Oyj | 87,822 | 2,663,510 | ||||
Uponor Oyj | 8,507 | 117,129 | ||||
Valmet Oyj | 28,226 | 690,803 | ||||
Wartsila OYJ Abp | 82,285 | 639,165 | ||||
WithSecure Oyj (b) | 14,547 | 76,041 |
Security Description | Shares | Value | ||||
YIT Oyj | 22,823 | $ 75,876 | ||||
33,891,279 | ||||||
FRANCE — 5.6% | ||||||
AB Science SA (b) | 2,718 | 23,272 | ||||
ABC arbitrage | 11,541 | 84,700 | ||||
Accor SA (b) | 27,799 | 750,683 | ||||
Adevinta ASA (b) | 46,998 | 338,461 | ||||
Aeroports de Paris (b) | 4,760 | 601,391 | ||||
Air France-KLM (b) | 200,576 | 234,331 | ||||
Air Liquide SA | 86,099 | 11,532,362 | ||||
Airbus SE | 97,170 | 9,391,660 | ||||
AKWEL | 1,074 | 17,987 | ||||
Albioma SA | 4,135 | 215,628 | ||||
ALD SA (d) | 15,843 | 184,181 | ||||
Alstom SA | 50,799 | 1,146,598 | ||||
Altarea SCA REIT | 636 | 86,837 | ||||
Alten SA | 4,574 | 496,360 | ||||
Amundi SA (d) | 10,128 | 552,710 | ||||
Antin Infrastructure Partners SA | 5,000 | 117,718 | ||||
Aramis Group SAS (b)(d) | 2,795 | 12,635 | ||||
Arkema SA | 9,900 | 878,918 | ||||
Atos SE (b) | 15,529 | 207,562 | ||||
Aubay | 1,140 | 57,684 | ||||
AXA SA | 319,766 | 7,240,923 | ||||
Believe SA (b) | 2,588 | 21,361 | ||||
Beneteau SA | 8,515 | 85,726 | ||||
BioMerieux | 6,863 | 668,703 | ||||
BNP Paribas SA | 182,180 | 8,640,221 | ||||
Boiron SA | 454 | 19,555 | ||||
Bollore SE | 138,415 | 639,600 | ||||
Bonduelle SCA | 1,324 | 21,538 | ||||
Bouygues SA | 37,009 | 1,135,969 | ||||
Bureau Veritas SA | 47,017 | 1,201,813 | ||||
Capgemini SE | 27,118 | 4,633,891 | ||||
Carmila SA REIT | 9,871 | 139,315 | ||||
Carrefour SA | 100,694 | 1,777,493 | ||||
Casino Guichard Perrachon SA (b) | 4,904 | 63,317 | ||||
CGG SA (b) | 253,845 | 220,161 | ||||
Chargeurs SA | 5,285 | 81,607 | ||||
Cie de Saint-Gobain | 82,037 | 3,511,671 | ||||
Cie des Alpes (b) | 3,159 | 47,161 | ||||
Cie Generale des Etablissements Michelin SCA | 109,880 | 2,983,853 | ||||
Cie Plastic Omnium SA | 11,639 | 201,137 | ||||
Coface SA (b) | 17,138 | 178,542 | ||||
Covivio REIT | 8,160 | 451,710 | ||||
Credit Agricole SA | 205,380 | 1,874,672 | ||||
Danone SA | 107,980 | 6,012,398 | ||||
Dassault Aviation SA | 4,061 | 632,166 | ||||
Dassault Systemes SE | 110,649 | 4,062,032 | ||||
Derichebourg SA | 21,744 | 125,027 | ||||
Edenred | 40,251 | 1,892,356 | ||||
Eiffage SA | 13,434 | 1,206,148 |
Security Description | Shares | Value | |||
Electricite de France SA | 98,692 | $ 805,404 | |||
Elior Group SA (b)(d) | 27,606 | 61,127 | |||
Elis SA | 33,092 | 439,370 | |||
Engie SA | 301,197 | 3,453,044 | |||
Equasens | 412 | 32,821 | |||
Eramet SA | 1,844 | 191,142 | |||
Esker SA | 715 | 95,156 | |||
EssilorLuxottica SA | 48,350 | 7,223,238 | |||
Eurazeo SE | 6,349 | 392,280 | |||
Euroapi SA (b) | 8,007 | 126,016 | |||
Eutelsat Communications SA | 31,606 | 354,876 | |||
Faurecia SE (b)(e) | 22,084 | 436,704 | |||
Faurecia SE (b)(c)(e) | 2,032 | 40,065 | |||
Fnac Darty SA | 3,113 | 131,611 | |||
Gaztransport Et Technigaz SA | 3,875 | 484,109 | |||
Gecina SA REIT | 7,409 | 689,371 | |||
Getlink SE | 70,769 | 1,245,175 | |||
Groupe Guillin | 1,195 | 25,236 | |||
Hermes International | 5,238 | 5,842,963 | |||
ICADE REIT | 6,427 | 312,707 | |||
ID Logistics Group (b) | 344 | 95,123 | |||
Imerys SA | 6,084 | 184,837 | |||
Interparfums SA | 3,080 | 145,382 | |||
Ipsen SA | 6,083 | 572,670 | |||
IPSOS | 6,272 | 297,035 | |||
JCDecaux SA (b) | 11,798 | 197,718 | |||
Kaufman & Broad SA | 1,893 | 51,455 | |||
Kering SA | 12,360 | 6,332,955 | |||
Klepierre SA REIT (b) | 35,479 | 681,000 | |||
Korian SA | 11,920 | 178,079 | |||
La Francaise des Jeux SAEM (d) | 18,506 | 638,841 | |||
Lagardere SA | 5,606 | 96,176 | |||
Legrand SA | 44,104 | 3,248,806 | |||
LISI | 3,054 | 58,364 | |||
LNA Sante SA | 455 | 16,030 | |||
L'Oreal SA | 40,645 | 13,992,718 | |||
LVMH Moet Hennessy Louis Vuitton SE | 45,781 | 27,841,175 | |||
Maisons du Monde SA (d) | 4,452 | 44,216 | |||
Manitou BF SA | 1,060 | 19,681 | |||
McPhy Energy SA (b) | 2,265 | 30,333 | |||
Mercialys SA REIT | 13,227 | 106,615 | |||
Mersen SA | 3,522 | 104,755 | |||
Metropole Television SA | 3,965 | 58,406 | |||
Neoen SA (d) | 9,031 | 339,515 | |||
Nexans SA | 3,774 | 291,772 | |||
Nexity SA | 6,162 | 164,273 | |||
Orange SA | 328,997 | 3,859,118 | |||
Orpea SA | 8,339 | 202,606 | |||
Pernod Ricard SA | 34,614 | 6,343,617 | |||
PEUGEOT INVEST | 1,682 | 152,106 | |||
Publicis Groupe SA | 36,558 | 1,783,325 | |||
Quadient SA | 11,950 | 203,388 | |||
Remy Cointreau SA | 3,687 | 642,557 |
Security Description | Shares | Value | ||||
Renault SA (b) | 30,999 | $ 770,984 | ||||
Rexel SA | 41,789 | 641,126 | ||||
Rubis SCA | 16,146 | 376,083 | ||||
Safran SA | 56,554 | 5,570,107 | ||||
Sanofi | 187,048 | 18,839,221 | ||||
Sartorius Stedim Biotech | 4,460 | 1,395,548 | ||||
SCOR SE | 26,085 | 559,047 | ||||
SEB SA | 4,336 | 415,003 | ||||
SES-imagotag SA (b) | 637 | 53,942 | ||||
SMCP SA (b)(d) | 4,538 | 23,702 | ||||
Societe BIC SA | 4,123 | 225,002 | ||||
Societe Generale SA | 131,456 | 2,870,927 | ||||
Sodexo SA | 14,187 | 994,620 | ||||
SOITEC (b) | 4,554 | 645,113 | ||||
Solutions 30 SE (b) | 23,486 | 88,098 | ||||
Somfy SA | 1,100 | 142,599 | ||||
Sopra Steria Group SACA | 2,498 | 372,405 | ||||
SPIE SA | 21,501 | 465,299 | ||||
Technicolor SA (b) | 32,324 | 95,432 | ||||
Technip Energies NV | 19,962 | 248,240 | ||||
Teleperformance | 9,524 | 2,920,348 | ||||
Television Francaise 1 | 4,354 | 30,748 | ||||
Thales SA | 17,597 | 2,153,343 | ||||
TotalEnergies SE | 408,850 | 21,529,759 | ||||
Trigano SA | 1,440 | 140,609 | ||||
Ubisoft Entertainment SA (b) | 14,845 | 650,276 | ||||
Unibail-Rodamco-Westfield CDI (b)(e) | 34,100 | 88,168 | ||||
Unibail-Rodamco-Westfield REIT (b)(e) | 18,708 | 951,510 | ||||
Valeo | 36,952 | 711,785 | ||||
Vallourec SA (b) | 21,556 | 256,569 | ||||
Valneva SE (b) | 11,513 | 130,654 | ||||
Veolia Environnement SA | 110,780 | 2,697,330 | ||||
Verallia SA (d) | 11,993 | 285,617 | ||||
Vicat SA | 3,900 | 107,232 | ||||
Vilmorin & Cie SA | 622 | 26,173 | ||||
Vinci SA | 87,993 | 7,815,663 | ||||
Virbac SA | 654 | 254,004 | ||||
Vivendi SE | 125,827 | 1,275,468 | ||||
Voltalia SA (b) | 2,962 | 59,146 | ||||
Wavestone | 2,248 | 103,290 | ||||
Wendel SE | 4,213 | 351,257 | ||||
Worldline SA (b)(d) | 38,438 | 1,421,745 | ||||
246,811,998 | ||||||
GABON — 0.0% (a) | ||||||
BW Energy, Ltd. (b) | 11,791 | 30,505 | ||||
GEORGIA — 0.0% (a) | ||||||
Bank of Georgia Group PLC | 5,714 | 90,628 | ||||
TBC Bank Group PLC | 4,451 | 68,326 | ||||
158,954 | ||||||
GERMANY — 4.3% | ||||||
1&1 AG | 6,659 | 125,310 | ||||
Aareal Bank AG (b) | 10,882 | 361,775 | ||||
About You Holding SE (b) | 5,000 | 35,650 |
Security Description | Shares | Value | |||
Adesso SE | 472 | $ 72,241 | |||
adidas AG | 30,873 | 5,446,927 | |||
ADLER Group SA (b)(d) | 8,987 | 35,421 | |||
ADVA Optical Networking SE (b) | 10,788 | 146,618 | |||
AIXTRON SE | 18,270 | 461,847 | |||
Allianz SE | 67,187 | 12,792,226 | |||
Amadeus Fire AG | 922 | 114,705 | |||
Aroundtown SA (c) | 161,121 | 510,890 | |||
Atoss Software AG | 537 | 67,930 | |||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,824 | 81,155 | |||
Aurubis AG | 5,046 | 341,631 | |||
Auto1 Group SE (b)(d) | 13,870 | 101,285 | |||
BASF SE | 151,081 | 6,558,775 | |||
Basler AG | 379 | 30,311 | |||
Bayer AG | 161,599 | 9,582,484 | |||
Bayerische Motoren Werke AG | 54,462 | 4,182,613 | |||
Bayerische Motoren Werke AG Preference Shares | 9,580 | 677,042 | |||
BayWa AG | 2,500 | 110,556 | |||
Bechtle AG | 12,795 | 521,818 | |||
Beiersdorf AG | 16,345 | 1,665,726 | |||
Bertrandt AG | 1,559 | 58,267 | |||
Bike24 Holding AG (b) | 2,894 | 9,682 | |||
Bilfinger SE | 5,632 | 164,157 | |||
Borussia Dortmund GmbH & Co. KGaA (b) | 7,994 | 29,903 | |||
Brenntag SE | 24,916 | 1,617,607 | |||
CANCOM SE | 5,720 | 191,957 | |||
Carl Zeiss Meditec AG | 6,747 | 803,411 | |||
CECONOMY AG | 17,753 | 49,369 | |||
Cewe Stiftung & Co. KGaA | 785 | 66,065 | |||
Commerzbank AG (b) | 175,101 | 1,223,935 | |||
CompuGroup Medical SE & Co. KgaA | 4,308 | 183,034 | |||
Continental AG | 17,617 | 1,224,776 | |||
Covestro AG (d) | 31,392 | 1,082,363 | |||
CropEnergies AG | 4,161 | 55,246 | |||
CTS Eventim AG & Co. KGaA (b) | 9,039 | 472,491 | |||
CureVac NV (b)(c) | 8,000 | 108,593 | |||
Daimler Truck Holding AG (b) | 72,853 | 1,897,249 | |||
Datagroup SE | 430 | 30,839 | |||
Dermapharm Holding SE | 3,546 | 176,090 | |||
Deutsche Bank AG | 335,128 | 2,914,291 | |||
Deutsche Beteiligungs AG | 2,337 | 61,813 | |||
Deutsche Boerse AG | 31,253 | 5,214,682 | |||
Deutsche EuroShop AG | 10,327 | 239,679 | |||
Deutsche Lufthansa AG (b) | 95,847 | 557,531 | |||
Deutsche Pfandbriefbank AG (d) | 21,805 | 195,590 | |||
Deutsche Post AG | 163,051 | 6,092,299 | |||
Deutsche Telekom AG | 533,146 | 10,560,073 | |||
Deutz AG | 19,492 | 75,031 |
Security Description | Shares | Value | |||
DIC Asset AG | 5,992 | $ 66,026 | |||
Draegerwerk AG & Co. KGaA | 314 | 13,869 | |||
Draegerwerk AG & Co. KGaA Preference Shares | 947 | 49,156 | |||
Duerr AG | 7,444 | 170,900 | |||
E.ON SE | 369,301 | 3,091,774 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 2,138 | 81,405 | |||
Einhell Germany AG Preference Shares | 242 | 36,533 | |||
Elmos Semiconductor SE | 932 | 35,467 | |||
ElringKlinger AG | 2,938 | 22,100 | |||
Encavis AG | 18,152 | 331,623 | |||
Energiekontor AG | 858 | 69,069 | |||
Evonik Industries AG | 34,081 | 725,426 | |||
Evotec SE (b) | 22,022 | 529,527 | |||
Fielmann AG | 4,064 | 201,814 | |||
Flatex DEGIRO AG (b) | 9,844 | 93,446 | |||
Fraport AG Frankfurt Airport Services Worldwide (b) | 5,965 | 258,799 | |||
Freenet AG | 21,418 | 530,006 | |||
Fresenius Medical Care AG & Co. KGaA | 32,900 | 1,638,248 | |||
Fresenius SE & Co. KGaA | 68,586 | 2,072,223 | |||
FUCHS PETROLUB SE Preference Shares | 11,208 | 311,683 | |||
GEA Group AG | 25,646 | 881,834 | |||
Gerresheimer AG | 5,064 | 328,238 | |||
GFT Technologies SE | 2,760 | 109,214 | |||
Grand City Properties SA | 18,482 | 248,867 | |||
GRENKE AG | 4,025 | 98,297 | |||
Hamborner REIT AG | 13,775 | 122,985 | |||
Hamburger Hafen und Logistik AG | 4,381 | 61,832 | |||
Hannover Rueck SE | 9,724 | 1,407,985 | |||
HeidelbergCement AG | 23,740 | 1,137,702 | |||
Heidelberger Druckmaschinen AG (b) | 30,000 | 44,693 | |||
HelloFresh SE (b) | 26,715 | 861,616 | |||
Henkel AG & Co. KGaA Preference Shares | 28,568 | 1,755,548 | |||
Henkel AG & Co. KGaA | 16,663 | 1,017,347 | |||
Hensoldt AG | 7,515 | 189,343 | |||
HOCHTIEF AG | 3,685 | 178,948 | |||
Hornbach Holding AG & Co. KGaA | 1,539 | 126,141 | |||
HUGO BOSS AG | 9,595 | 505,166 | |||
Hypoport SE (b) | 665 | 131,467 | |||
Indus Holding AG | 4,262 | 98,917 | |||
Infineon Technologies AG | 214,811 | 5,185,417 | |||
Instone Real Estate Group SE (d) | 7,035 | 83,256 | |||
Jenoptik AG | 8,308 | 184,830 | |||
JOST Werke AG (d) | 3,047 | 113,403 | |||
Jungheinrich AG Preference Shares | 10,101 | 219,650 | |||
K+S AG | 31,291 | 758,618 |
Security Description | Shares | Value | |||
KION Group AG | 12,245 | $ 506,813 | |||
Kloeckner & Co. SE | 12,637 | 96,047 | |||
Knorr-Bremse AG | 12,215 | 694,953 | |||
Krones AG | 2,176 | 165,613 | |||
KWS Saat SE & Co. KGaA | 1,667 | 98,466 | |||
LANXESS AG | 13,168 | 470,538 | |||
LEG Immobilien SE | 12,129 | 1,003,262 | |||
MBB SE | 230 | 24,526 | |||
Medios AG (b) | 1,048 | 28,706 | |||
Mercedes-Benz Group AG | 138,779 | 8,011,676 | |||
Merck KGaA | 21,259 | 3,578,260 | |||
METRO AG (b) | 18,554 | 156,148 | |||
MLP SE | 12,808 | 76,591 | |||
Montana Aerospace AG (b)(d) | 3,894 | 59,955 | |||
MorphoSys AG (b) | 4,985 | 97,847 | |||
MTU Aero Engines AG | 8,598 | 1,561,351 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 23,045 | 5,401,514 | |||
Nagarro SE (b) | 1,607 | 182,116 | |||
Nemetschek SE | 9,898 | 597,693 | |||
Nordex SE (b) | 15,250 | 129,713 | |||
Norma Group SE | 5,838 | 130,001 | |||
Northern Data AG (b) | 970 | 22,006 | |||
OHB SE | 540 | 19,590 | |||
PATRIZIA AG | 12,942 | 152,621 | |||
Pfeiffer Vacuum Technology AG | 515 | 80,761 | |||
PNE AG | 3,945 | 54,771 | |||
Porsche Automobil Holding SE Preference Shares | 24,553 | 1,620,223 | |||
ProSiebenSat.1 Media SE | 29,028 | 267,360 | |||
Puma SE | 16,882 | 1,109,081 | |||
PVA TePla AG (b) | 2,642 | 50,491 | |||
Rational AG | 911 | 528,108 | |||
Rheinmetall AG | 7,776 | 1,790,911 | |||
RWE AG | 105,670 | 3,875,382 | |||
Salzgitter AG | 5,203 | 126,305 | |||
SAP SE | 171,766 | 15,610,259 | |||
Sartorius AG Preference Shares | 4,275 | 1,490,064 | |||
Schaeffler AG Preference Shares | 16,805 | 94,871 | |||
Scout24 SE (d) | 13,512 | 692,039 | |||
Secunet Security Networks AG | 245 | 72,358 | |||
SGL Carbon SE (b) | 6,303 | 39,438 | |||
Siemens AG | 125,835 | 12,772,596 | |||
Siemens Energy AG (b) | 71,716 | 1,048,532 | |||
Siemens Healthineers AG (d) | 46,386 | 2,351,486 | |||
Siltronic AG | 2,468 | 182,934 | |||
Sirius Real Estate, Ltd. | 193,470 | 209,584 | |||
Sixt SE | 2,056 | 210,323 | |||
Sixt SE Preference Shares | 2,921 | 182,309 | |||
SMA Solar Technology AG (b) | 2,210 | 89,507 | |||
Software AG | 10,373 | 342,902 |
Security Description | Shares | Value | ||||
Softwareone Holding AG (c) | 16,060 | $ 191,911 | ||||
Stabilus SE | 3,524 | 171,866 | ||||
Steico SE | 1,042 | 73,532 | ||||
STO SE & Co. KGaA Preference Shares | 608 | 88,607 | ||||
STRATEC SE | 1,583 | 144,311 | ||||
Stroeer SE & Co. KGaA | 5,595 | 250,935 | ||||
Suedzucker AG | 10,311 | 165,791 | ||||
Symrise AG | 21,842 | 2,371,385 | ||||
Synlab AG | 17,055 | 296,159 | ||||
TAG Immobilien AG | 26,077 | 296,885 | ||||
Takkt AG | 5,349 | 83,882 | ||||
TeamViewer AG (b)(d) | 25,942 | 257,596 | ||||
Telefonica Deutschland Holding AG | 166,938 | 478,199 | ||||
Thyssenkrupp AG (b) | 72,531 | 410,227 | ||||
TUI AG (b) | 184,209 | 296,307 | ||||
Uniper SE | 26,583 | 393,801 | ||||
United Internet AG | 15,885 | 452,208 | ||||
Varta AG (c) | 2,625 | 217,184 | ||||
VERBIO Vereinigte BioEnergie AG | 7,261 | 364,369 | ||||
Vitesco Technologies Group AG Class A (b) | 3,550 | 136,949 | ||||
Volkswagen AG | 5,205 | 946,288 | ||||
Volkswagen AG Preference Shares | 30,527 | 4,066,539 | ||||
Vonovia SE | 125,620 | 3,861,085 | ||||
Vossloh AG | 1,786 | 56,669 | ||||
Wacker Neuson SE | 5,915 | 101,971 | ||||
Wuestenrot & Wuerttembergische AG | 3,780 | 66,706 | ||||
Zalando SE (b)(d) | 35,708 | 931,780 | ||||
Zeal Network SE | 2,348 | 92,052 | ||||
190,985,162 | ||||||
GHANA — 0.0% (a) | ||||||
Tullow Oil PLC (b) | 180,053 | 102,467 | ||||
GREECE — 0.1% | ||||||
Aegean Airlines SA (b) | 8,153 | 40,529 | ||||
Alpha Services & Holdings SA (b) | 652,497 | 567,551 | ||||
Athens Water Supply & Sewage Co. SA | 4,435 | 33,151 | ||||
Eurobank Ergasias Services & Holdings SA Class A (b) | 574,115 | 506,096 | ||||
FF Group (b)(f) | 122 | — | ||||
GEK Terna Holding Real Estate Construction SA (b) | 9,885 | 96,109 | ||||
Hellenic Petroleum Holdings SA | 14,090 | 92,360 | ||||
Hellenic Telecommunications Organization SA | 36,648 | 634,857 | ||||
Holding Co. ADMIE IPTO SA | 31,100 | 60,540 | ||||
JUMBO SA | 15,734 | 227,985 | ||||
LAMDA Development SA (b) | 12,062 | 70,617 |
Security Description | Shares | Value | ||||
Motor Oil Hellas Corinth Refineries SA | 15,114 | $ 278,886 | ||||
Mytilineos SA | 14,458 | 211,612 | ||||
National Bank of Greece SA (b) | 79,333 | 234,136 | ||||
OPAP SA | 37,433 | 534,184 | ||||
Piraeus Financial Holdings SA (b) | 197,793 | 193,797 | ||||
Public Power Corp. SA (b) | 47,658 | 261,327 | ||||
Sarantis SA | 9,794 | 67,578 | ||||
Terna Energy SA | 8,992 | 161,316 | ||||
4,272,631 | ||||||
GUERNSEY — 0.0% (a) | ||||||
BMO Commercial Property Trust, Ltd. REIT | 140,782 | 190,464 | ||||
HONG KONG — 1.8% | ||||||
AIA Group, Ltd. | 1,953,000 | 21,167,798 | ||||
Alibaba Pictures Group, Ltd. (b) | 1,680,000 | 164,854 | ||||
Apollo Future Mobility Group, Ltd. (b) | 1,040,000 | 45,062 | ||||
ASM Pacific Technology, Ltd. | 48,200 | 409,399 | ||||
Bank of East Asia, Ltd. | 223,837 | 314,920 | ||||
Beijing Energy International Holding Co., Ltd. (b) | 158,000 | 4,913 | ||||
Cafe de Coral Holdings, Ltd. | 40,000 | 64,331 | ||||
Champion REIT | 300,000 | 133,428 | ||||
China High Speed Transmission Equipment Group Co., Ltd. (b) | 107,000 | 63,407 | ||||
China Huishan Dairy Holdings Co., Ltd. (f) | 66,000 | — | ||||
China Youzan, Ltd. (b)(c) | 1,724,000 | 52,509 | ||||
Chinese Estates Holdings, Ltd. (b) | 55,000 | 15,630 | ||||
Chow Sang Sang Holdings International, Ltd. | 60,000 | 66,905 | ||||
Citychamp Watch & Jewellery Group, Ltd. (b) | 286,000 | 48,475 | ||||
CK Asset Holdings, Ltd. | 321,681 | 2,275,189 | ||||
CK Infrastructure Holdings, Ltd. | 216,500 | 1,327,095 | ||||
CK Life Sciences Int'l Holdings, Inc. | 310,000 | 31,605 | ||||
CLP Holdings, Ltd. | 261,000 | 2,165,313 | ||||
C-Mer Eye Care Holdings, Ltd. (b) | 40,000 | 25,029 | ||||
Comba Telecom Systems Holdings, Ltd. (b) | 280,000 | 47,815 | ||||
Concord New Energy Group, Ltd. | 620,000 | 61,629 | ||||
Cowell e Holdings, Inc. (b)(c) | 46,000 | 59,794 | ||||
Crystal International Group, Ltd. (d) | 65,500 | 22,621 | ||||
Dah Sing Banking Group, Ltd. | 110,000 | 89,015 |
Security Description | Shares | Value | |||
Dah Sing Financial Holdings, Ltd. | 23,200 | $ 66,079 | |||
Digital China Holdings, Ltd. | 68,000 | 33,710 | |||
EC Healthcare | 54,000 | 54,503 | |||
Far East Consortium International, Ltd. | 111,154 | 35,413 | |||
Fortune Real Estate Investment Trust | 216,000 | 178,923 | |||
Glory Sun Financial Group, Ltd. (b)(c) | 4,116,000 | 24,129 | |||
Grand Pharmaceutical Group, Ltd. Class A | 130,000 | 75,214 | |||
Guotai Junan International Holdings, Ltd. | 757,000 | 89,718 | |||
Haitong International Securities Group, Ltd. (c) | 416,900 | 59,504 | |||
Hang Lung Group, Ltd. | 131,000 | 247,077 | |||
Hang Lung Properties, Ltd. | 302,000 | 572,676 | |||
Hang Seng Bank, Ltd. | 122,200 | 2,156,851 | |||
Henderson Land Development Co., Ltd. | 229,466 | 859,735 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 583,664 | 535,543 | |||
HKBN, Ltd. | 114,000 | 129,444 | |||
HKT Trust & HKT, Ltd. Stapled Security | 593,000 | 796,516 | |||
Hong Kong & China Gas Co., Ltd. | 2,187,101 | 2,355,183 | |||
Hong Kong Exchanges & Clearing, Ltd. | 195,361 | 9,610,020 | |||
Hong Kong Technology Venture Co., Ltd. | 127,000 | 99,859 | |||
Hongkong Land Holdings, Ltd. | 172,500 | 865,950 | |||
Huabao International Holdings, Ltd. (c) | 113,000 | 86,979 | |||
Hutchison Port Holdings Trust Stapled Security | 883,800 | 207,693 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 346,000 | 66,140 | |||
Hysan Development Co., Ltd. | 107,000 | 322,488 | |||
IVD Medical Holding, Ltd. | 218,000 | 68,065 | |||
Jardine Matheson Holdings, Ltd. | 33,800 | 1,776,528 | |||
Johnson Electric Holdings, Ltd. | 52,500 | 68,243 | |||
K Wah International Holdings, Ltd. | 225,000 | 82,867 | |||
Kerry Properties, Ltd. | 103,000 | 286,149 | |||
Kingboard Laminates Holdings, Ltd. | 158,500 | 195,526 | |||
Lifestyle International Holdings, Ltd. (b) | 41,000 | 16,615 | |||
Link REIT | 342,290 | 2,791,729 | |||
LK Technology Holdings, Ltd. (c) | 75,000 | 143,368 |
Security Description | Shares | Value | |||
Luk Fook Holdings International, Ltd. | 51,000 | $ 130,962 | |||
Man Wah Holdings, Ltd. | 257,600 | 278,382 | |||
Melco International Development, Ltd. (b) | 139,000 | 102,741 | |||
Melco Resorts & Entertainment, Ltd. ADR (b)(c) | 40,530 | 233,047 | |||
MTR Corp., Ltd. | 290,381 | 1,517,229 | |||
New World Development Co., Ltd. | 228,581 | 820,007 | |||
Nine Dragons Paper Holdings, Ltd. | 242,000 | 204,778 | |||
Nissin Foods Co., Ltd. (c) | 76,000 | 50,848 | |||
NWS Holdings, Ltd. | 225,968 | 214,537 | |||
Orient Overseas International, Ltd. | 20,000 | 530,142 | |||
Pacific Basin Shipping, Ltd. | 790,000 | 302,028 | |||
Pacific Textiles Holdings, Ltd. | 229,000 | 91,636 | |||
PAX Global Technology, Ltd. | 81,000 | 63,070 | |||
PCCW, Ltd. | 714,471 | 377,861 | |||
Perfect Medical Health Management, Ltd. | 80,000 | 43,023 | |||
Pou Sheng International Holdings, Ltd. | 219,000 | 24,839 | |||
Power Assets Holdings, Ltd. | 227,000 | 1,427,618 | |||
Prosperity REIT | 191,000 | 58,418 | |||
Prudential PLC | 454,305 | 5,605,584 | |||
Realord Group Holdings, Ltd. (b)(c) | 46,000 | 61,787 | |||
Sa Sa International Holdings, Ltd. (b) | 124,000 | 22,755 | |||
Shun Tak Holdings, Ltd. (b) | 122,000 | 24,409 | |||
Sino Biopharmaceutical, Ltd. | 1,665,000 | 1,054,556 | |||
Sino Land Co., Ltd. | 510,906 | 753,961 | |||
Skyworth Group, Ltd. | 160,000 | 79,114 | |||
SmarTone Telecommunications Holdings, Ltd. | 38,500 | 20,312 | |||
SSY Group, Ltd. | 204,000 | 108,929 | |||
Stella International Holdings, Ltd. | 45,500 | 43,488 | |||
Sun Hung Kai & Co., Ltd. | 57,000 | 26,659 | |||
Sun Hung Kai Properties, Ltd. | 233,500 | 2,758,454 | |||
SUNeVision Holdings, Ltd. | 101,000 | 76,970 | |||
Sunlight Real Estate Investment Trust | 122,000 | 56,748 | |||
Swire Pacific, Ltd. Class A | 72,000 | 428,956 | |||
Swire Properties, Ltd. | 188,200 | 467,205 | |||
Techtronic Industries Co., Ltd. | 221,000 | 2,305,208 | |||
Texhong Textile Group, Ltd. | 30,500 | 32,261 | |||
Truly International Holdings, Ltd. | 248,000 | 75,851 | |||
United Energy Group, Ltd. (c) | 1,270,000 | 152,136 | |||
United Laboratories International Holdings, Ltd. | 166,000 | 98,369 |
Security Description | Shares | Value | ||||
Value Partners Group, Ltd. | 187,000 | $ 70,539 | ||||
Vinda International Holdings, Ltd. | 87,000 | 222,851 | ||||
Vitasoy International Holdings, Ltd. | 136,000 | 237,789 | ||||
Viva China Holdings, Ltd. | 528,000 | 84,109 | ||||
VTech Holdings, Ltd. | 23,700 | 186,351 | ||||
WH Group, Ltd. (d) | 1,352,702 | 1,044,657 | ||||
Wharf Real Estate Investment Co., Ltd. | 276,000 | 1,315,467 | ||||
Yue Yuen Industrial Holdings, Ltd. | 148,000 | 192,758 | ||||
Yuexiu Real Estate Investment Trust | 547,000 | 213,308 | ||||
Zhuguang Holdings Group Co., Ltd. | 174,000 | 24,835 | ||||
77,932,715 | ||||||
HUNGARY — 0.0% (a) | ||||||
Magyar Telekom Telecommunications PLC | 65,543 | 55,261 | ||||
MOL Hungarian Oil & Gas PLC | 64,252 | 493,986 | ||||
Opus Global Nyrt (b) | 38,512 | 16,824 | ||||
OTP Bank Nyrt | 35,128 | 779,491 | ||||
Richter Gedeon Nyrt | 21,921 | 394,478 | ||||
1,740,040 | ||||||
INDIA — 3.8% | ||||||
3M India, Ltd. (b) | 304 | 84,126 | ||||
Aarti Drugs, Ltd. | 792 | 4,050 | ||||
Aarti Industries, Ltd. | 30,791 | 272,420 | ||||
Aavas Financiers, Ltd. (b) | 7,143 | 182,296 | ||||
ACC, Ltd. | 11,017 | 296,021 | ||||
Adani Enterprises, Ltd. | 44,289 | 1,228,691 | ||||
Adani Green Energy, Ltd. (b) | 63,073 | 1,541,114 | ||||
Adani Ports & Special Economic Zone, Ltd. | 76,986 | 655,145 | ||||
Adani Power, Ltd. (b) | 121,118 | 403,126 | ||||
Adani Total Gas, Ltd. | 43,171 | 1,308,099 | ||||
Adani Transmission, Ltd. (b) | 45,265 | 1,417,832 | ||||
Aditya Birla Capital, Ltd. (b) | 106,473 | 120,532 | ||||
Aditya Birla Fashion & Retail, Ltd. (b) | 76,383 | 229,277 | ||||
Aegis Logistics, Ltd. | 34,324 | 90,838 | ||||
Affle India, Ltd. (b) | 5,330 | 71,562 | ||||
AIA Engineering, Ltd. | 5,614 | 158,086 | ||||
Ajanta Pharma Ltd. | 2,836 | 44,364 | ||||
Ajanta Pharma, Ltd. | 5,671 | 88,728 | ||||
Alembic Pharmaceuticals, Ltd. | 7,522 | 69,365 | ||||
Alkyl Amines Chemicals | 1,560 | 49,733 | ||||
Allcargo Logistics, Ltd. | 10,620 | 35,361 | ||||
Alok Industries, Ltd. (b) | 102,260 | 28,487 | ||||
Amara Raja Batteries, Ltd. | 11,750 | 68,248 | ||||
Amber Enterprises India, Ltd. (b) | 3,821 | 108,702 | ||||
Ambuja Cements, Ltd. | 97,798 | 449,532 |
Security Description | Shares | Value | |||
Angel One, Ltd. | 3,338 | $ 50,984 | |||
APL Apollo Tubes, Ltd. (b) | 21,488 | 231,267 | |||
Apollo Hospitals Enterprise, Ltd. | 16,167 | 754,074 | |||
Apollo Tyres, Ltd. | 31,067 | 72,817 | |||
Aptus Value Housing Finance India, Ltd. (b) | 27,028 | 96,445 | |||
Asahi India Glass, Ltd. | 8,757 | 59,834 | |||
Ashok Leyland, Ltd. | 236,765 | 443,115 | |||
Asian Paints, Ltd. | 61,616 | 2,102,852 | |||
Astral, Ltd. | 13,028 | 273,106 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 44,120 | |||
Atul, Ltd. | 2,138 | 217,416 | |||
AU Small Finance Bank, Ltd. (b)(d) | 27,974 | 209,595 | |||
Aurobindo Pharma, Ltd. | 46,396 | 301,444 | |||
Avanti Feeds, Ltd. | 15,964 | 87,499 | |||
Avenue Supermarts, Ltd. (b)(d) | 26,086 | 1,125,094 | |||
Axis Bank, Ltd. | 372,880 | 3,006,743 | |||
Bajaj Auto, Ltd. | 11,266 | 528,773 | |||
Bajaj Electricals, Ltd. | 14,427 | 187,059 | |||
Bajaj Finance, Ltd. | 43,554 | 2,978,421 | |||
Bajaj Finserv, Ltd. | 5,989 | 829,026 | |||
Balaji Amines, Ltd. | 1,401 | 50,867 | |||
Balkrishna Industries, Ltd. | 12,535 | 341,126 | |||
Balrampur Chini Mills, Ltd. | 31,845 | 144,945 | |||
Bandhan Bank, Ltd. (d) | 107,528 | 358,778 | |||
BASF India, Ltd. | 5,048 | 174,412 | |||
Bata India, Ltd. | 10,694 | 225,966 | |||
Bayer CropScience, Ltd. | 1,511 | 95,803 | |||
BEML, Ltd. | 2,700 | 42,909 | |||
Berger Paints India, Ltd. | 33,671 | 242,302 | |||
Bharat Electronics, Ltd. | 415,308 | 1,231,107 | |||
Bharat Forge, Ltd. | 37,864 | 312,511 | |||
Bharat Heavy Electricals, Ltd. (b) | 104,240 | 59,332 | |||
Bharat Petroleum Corp., Ltd. | 143,457 | 560,222 | |||
Bharti Airtel, Ltd. (b) | 398,092 | 3,452,760 | |||
Biocon, Ltd. | 102,362 | 399,740 | |||
Birla Corp., Ltd. | 3,296 | 36,350 | |||
Birlasoft, Ltd. | 16,592 | 74,217 | |||
Blue Dart Express, Ltd. | 2,241 | 221,401 | |||
Blue Star, Ltd. | 6,804 | 77,864 | |||
Bombay Burmah Trading Co. | 6,225 | 71,199 | |||
Borosil Renewables, Ltd. (b) | 17,601 | 134,104 | |||
Brigade Enterprises, Ltd. | 14,178 | 79,784 | |||
Brightcom Group, Ltd. | 83,290 | 33,064 | |||
Britannia Industries, Ltd. | 20,435 | 896,969 | |||
Brookfield India Real Estate Trust REIT (d) | 15,270 | 63,385 | |||
BSE, Ltd. | 9,567 | 72,311 | |||
Can Fin Homes, Ltd. | 8,634 | 46,613 | |||
Canara Bank | 39,938 | 91,662 | |||
Carborundum Universal, Ltd. | 16,876 | 153,198 | |||
Castrol India, Ltd. | 94,135 | 123,133 |
Security Description | Shares | Value | |||
CCL Products India, Ltd. | 10,542 | $ 51,187 | |||
Ceat, Ltd. | 2,422 | 28,498 | |||
Central Depository Services India, Ltd. | 6,262 | 88,365 | |||
Century Plyboards India, Ltd. | 8,003 | 53,274 | |||
Century Textiles & Industries, Ltd. | 6,458 | 65,886 | |||
CESC, Ltd. | 147,320 | 132,821 | |||
CG Power & Industrial Solutions, Ltd. (b) | 65,451 | 158,836 | |||
Chambal Fertilizers and Chemicals, Ltd. | 19,934 | 67,181 | |||
Chemplast Sanmar, Ltd. (b) | 18,532 | 110,327 | |||
Cholamandalam Financial Holdings, Ltd. | 22,915 | 172,125 | |||
Cholamandalam Investment & Finance Co., Ltd. | 59,111 | 463,696 | |||
Cipla, Ltd. | 76,006 | 882,747 | |||
City Union Bank, Ltd. | 109,083 | 183,779 | |||
Clean Science & Technology, Ltd. (b) | 2,912 | 54,944 | |||
Coal India, Ltd. | 228,420 | 536,829 | |||
Coforge, Ltd. | 4,514 | 202,303 | |||
Colgate-Palmolive India, Ltd. | 27,197 | 512,050 | |||
Computer Age Management Services, Ltd. | 2,662 | 76,104 | |||
Container Corp. Of India, Ltd. | 42,000 | 316,067 | |||
Coromandel International, Ltd. | 19,045 | 229,862 | |||
CreditAccess Grameen, Ltd. (b) | 5,585 | 71,838 | |||
CRISIL, Ltd. | 2,098 | 87,315 | |||
Crompton Greaves Consumer Electricals, Ltd. | 83,106 | 357,954 | |||
Cummins India, Ltd. | 17,973 | 233,093 | |||
Cyient, Ltd. | 18,747 | 179,618 | |||
Dabur India, Ltd. | 130,117 | 817,139 | |||
Dalmia Bharat, Ltd. | 10,785 | 175,304 | |||
Deepak Fertilisers & Petrochemicals Corp., Ltd. | 8,754 | 65,905 | |||
Deepak Nitrite, Ltd. | 9,858 | 216,752 | |||
Devyani International, Ltd. (b) | 34,765 | 68,388 | |||
Dhani Services, Ltd. (b) | 93,195 | 42,306 | |||
Divi's Laboratories, Ltd. | 26,165 | 1,202,816 | |||
Dixon Technologies India, Ltd. | 4,648 | 210,410 | |||
DLF, Ltd. | 88,211 | 349,281 | |||
Dr Lal PathLabs, Ltd. (d) | 4,040 | 110,520 | |||
Dr Reddy's Laboratories, Ltd. | 18,709 | 1,040,914 | |||
eClerx Services, Ltd. | 2,262 | 55,001 | |||
Edelweiss Financial Services, Ltd. | 131,214 | 85,651 | |||
Eicher Motors, Ltd. | 22,178 | 784,743 | |||
EID Parry India, Ltd. | 12,949 | 87,002 | |||
Emami, Ltd. | 42,613 | 226,764 | |||
Embassy Office Parks REIT | 58,471 | 277,064 |
Security Description | Shares | Value | |||
Endurance Technologies, Ltd. (d) | 7,581 | $ 135,517 | |||
EPL ,Ltd. | 15,437 | 29,155 | |||
Equitas Small Finance Bank, Ltd. (b)(d) | 93,926 | 46,920 | |||
Exide Industries, Ltd. | 109,934 | 191,825 | |||
FDC, Ltd. (b) | 14,730 | 44,513 | |||
Federal Bank, Ltd. | 213,984 | 244,406 | |||
Fine Organic Industries, Ltd. | 1,104 | 67,072 | |||
Finolex Cables, Ltd. | 8,417 | 40,107 | |||
Finolex Industries, Ltd. | 49,960 | 86,164 | |||
Firstsource Solutions, Ltd. | 34,036 | 44,348 | |||
Fortis Healthcare, Ltd. (b) | 65,478 | 198,990 | |||
GAIL India, Ltd. | 235,634 | 403,403 | |||
GAIL India, Ltd. GDR | 1,422 | 14,718 | |||
Galaxy Surfactants, Ltd. | 4,286 | 158,477 | |||
Garware Technical Fibres, Ltd. | 1,337 | 52,116 | |||
GHCL, Ltd. | 10,036 | 71,757 | |||
Gillette India, Ltd. | 2,474 | 156,573 | |||
GlaxoSmithKline Pharmaceuticals, Ltd. | 4,500 | 85,450 | |||
Glenmark Pharmaceuticals, Ltd. | 20,328 | 99,449 | |||
GMM Pfaudler, Ltd. | 804 | 44,242 | |||
GMR Infrastructure, Ltd. (b) | 229,459 | 99,079 | |||
Godrej Consumer Products, Ltd. (b) | 78,939 | 757,229 | |||
Godrej Industries, Ltd. (b) | 10,074 | 55,343 | |||
Godrej Properties, Ltd. (b) | 17,243 | 258,287 | |||
Granules India, Ltd. | 19,628 | 67,666 | |||
Graphite India, Ltd. | 7,019 | 34,934 | |||
Grasim Industries, Ltd. | 42,410 | 709,272 | |||
Great Eastern Shipping Co., Ltd. | 12,319 | 61,710 | |||
Grindwell Norton, Ltd. | 5,900 | 125,740 | |||
Gujarat Fluorochemicals, Ltd. | 3,012 | 105,836 | |||
Gujarat Gas, Ltd. | 23,682 | 125,603 | |||
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. | 11,197 | 81,072 | |||
Gujarat Pipavav Port, Ltd. | 38,312 | 37,404 | |||
Gujarat State Fertilizers & Chemicals, Ltd. | 54,769 | 91,545 | |||
Gujarat State Petronet, Ltd. | 30,640 | 84,542 | |||
Happiest Minds Technologies, Ltd. | 7,184 | 75,408 | |||
Havells India, Ltd. | 46,001 | 639,695 | |||
HCL Technologies, Ltd. | 174,358 | 2,148,772 | |||
HDFC Life Insurance Co., Ltd. (d) | 169,026 | 1,177,173 | |||
HeidelbergCement India, Ltd. | 37,912 | 81,803 | |||
Hero MotoCorp, Ltd. | 18,857 | 649,408 | |||
HFCL, Ltd. | 79,838 | 55,754 | |||
Hindalco Industries, Ltd. | 245,186 | 1,051,407 | |||
Hindustan Petroleum Corp., Ltd. | 91,978 | 252,969 |
Security Description | Shares | Value | |||
Hindustan Unilever, Ltd. | 141,966 | $ 4,009,869 | |||
Hitachi Energy India, Ltd. | 2,802 | 111,825 | |||
Housing Development Finance Corp., Ltd. | 279,233 | 7,675,747 | |||
ICICI Bank, Ltd. ADR | 61,022 | 1,082,530 | |||
ICICI Bank, Ltd. | 711,861 | 6,374,727 | |||
ICICI Lombard General Insurance Co., Ltd. (d) | 42,674 | 605,722 | |||
ICICI Prudential Life Insurance Co., Ltd. (d) | 68,094 | 421,640 | |||
ICICI Securities, Ltd. (d) | 9,852 | 53,506 | |||
IDFC First Bank, Ltd. (b) | 848,930 | 338,078 | |||
IDFC, Ltd. | 302,285 | 188,133 | |||
IIFL Finance, Ltd. | 39,096 | 160,275 | |||
IIFL Wealth Management, Ltd. | 4,034 | 75,654 | |||
India Cements, Ltd. | 20,093 | 39,818 | |||
Indiabulls Housing Finance, Ltd. | 83,213 | 99,838 | |||
Indiabulls Real Estate, Ltd. (b) | 26,024 | 20,085 | |||
IndiaMart InterMesh, Ltd. (d) | 1,265 | 61,017 | |||
Indian Bank | 61,871 | 117,400 | |||
Indian Energy Exchange, Ltd. (d) | 52,728 | 105,993 | |||
Indian Hotels Co., Ltd. | 117,898 | 336,126 | |||
Indian Oil Corp., Ltd. | 303,284 | 285,148 | |||
Indian Oil Corp., Ltd. (b) | 151,642 | 142,574 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 34,240 | 249,822 | |||
Indraprastha Gas, Ltd. | 45,210 | 203,745 | |||
Indus Towers, Ltd. | 97,059 | 256,989 | |||
Info Edge India, Ltd. | 12,451 | 592,622 | |||
Infosys, Ltd. ADR | 70,069 | 1,296,977 | |||
Infosys, Ltd. | 474,774 | 8,788,782 | |||
Inox Leisure, Ltd. (b) | 20,361 | 131,091 | |||
Intellect Design Arena, Ltd. (b) | 9,675 | 77,592 | |||
InterGlobe Aviation, Ltd. (b)(d) | 19,361 | 393,778 | |||
Ipca Laboratories, Ltd. | 22,647 | 257,377 | |||
IRB Infrastructure Developers, Ltd. (b) | 17,724 | 45,391 | |||
ITC, Ltd. | 479,768 | 1,661,547 | |||
JB Chemicals & Pharmaceuticals, Ltd. | 4,324 | 86,108 | |||
Jindal Stainless Hisar, Ltd. (b) | 13,598 | 35,126 | |||
Jindal Stainless, Ltd. (b) | 25,431 | 32,138 | |||
Jindal Steel & Power, Ltd. | 58,977 | 245,885 | |||
JK Cement, Ltd. | 4,955 | 132,323 | |||
JK Lakshmi Cement, Ltd. | 7,195 | 38,288 | |||
JM Financial, Ltd. | 51,311 | 39,601 | |||
JSW Steel, Ltd. | 132,344 | 946,003 | |||
Jubilant Foodworks, Ltd. | 71,064 | 460,952 | |||
Jubilant Ingrevia, Ltd. | 9,180 | 56,477 | |||
Jubilant Pharmova, Ltd. | 16,358 | 71,192 |
Security Description | Shares | Value | |||
Just Dial, Ltd. (b) | 718 | $ 5,139 | |||
Jyothy Labs, Ltd. | 25,097 | 47,558 | |||
Kajaria Ceramics, Ltd. | 12,979 | 155,753 | |||
Kansai Nerolac Paints, Ltd. | 27,581 | 129,396 | |||
Karur Vysya Bank, Ltd. | 105,611 | 60,112 | |||
Kaveri Seed Co., Ltd. | 10,556 | 67,983 | |||
KEC International, Ltd. | 26,603 | 131,798 | |||
KEI Industries, Ltd. | 9,323 | 136,063 | |||
KNR Constructions, Ltd. | 18,235 | 53,812 | |||
Kotak Mahindra Bank, Ltd. | 94,826 | 1,994,561 | |||
KPIT Technologies, Ltd. | 20,116 | 131,857 | |||
KPR Mill, Ltd. | 11,678 | 76,251 | |||
Krishna Institute of Medical Sciences, Ltd. (b)(d) | 4,518 | 67,768 | |||
L&T Finance Holdings, Ltd. (b) | 80,402 | 68,824 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 165,142 | |||
Larsen & Toubro Infotech, Ltd. (d) | 7,572 | 381,172 | |||
Larsen & Toubro, Ltd. GDR | 2,055 | 40,484 | |||
Larsen & Toubro, Ltd. | 108,518 | 2,141,229 | |||
Laurus Labs, Ltd. (d) | 56,662 | 333,418 | |||
LIC Housing Finance, Ltd. | 53,162 | 220,363 | |||
Linde India, Ltd. | 2,553 | 103,389 | |||
Lupin, Ltd. | 36,629 | 283,371 | |||
LUX Industries, Ltd. | 1,083 | 24,060 | |||
Mahanagar Gas, Ltd. | 7,097 | 68,353 | |||
Mahindra & Mahindra Financial Services, Ltd. | 73,974 | 164,298 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 44,907 | |||
Mahindra & Mahindra, Ltd. | 137,076 | 1,897,428 | |||
Mahindra CIE Automotive, Ltd. | 16,385 | 48,363 | |||
Mahindra Lifespace Developers, Ltd. (b) | 12,533 | 64,718 | |||
Manappuram Finance, Ltd. | 62,089 | 66,828 | |||
Marico, Ltd. | 83,878 | 507,585 | |||
Maruti Suzuki India, Ltd. | 21,835 | 2,342,066 | |||
Mastek, Ltd. | 1,831 | 49,732 | |||
Max Financial Services, Ltd. (b) | 39,277 | 389,102 | |||
Max Healthcare Institute, Ltd. (b) | 77,857 | 361,767 | |||
Medplus Health Services, Ltd. (b) | 9,643 | 93,692 | |||
Metropolis Healthcare, Ltd. (d) | 2,766 | 49,261 | |||
Minda Industries, Ltd. | 17,749 | 207,477 | |||
Mindspace Business Parks REIT (d) | 37,000 | 164,164 | |||
Mindtree, Ltd. | 9,323 | 340,827 | |||
Motherson Sumi Wiring India, Ltd. (b) | 173,998 | 155,110 | |||
Motilal Oswal Financial Services, Ltd. | 5,294 | 51,383 | |||
Mphasis, Ltd. | 12,445 | 361,511 |
Security Description | Shares | Value | |||
MRF, Ltd. | 408 | $ 365,783 | |||
Multi Commodity Exchange of India, Ltd. | 5,986 | 99,141 | |||
Muthoot Finance, Ltd. | 16,519 | 204,217 | |||
Narayana Hrudayalaya, Ltd. (b) | 8,685 | 69,565 | |||
Natco Pharma, Ltd. | 13,136 | 108,085 | |||
National Aluminium Co., Ltd. | 208,978 | 182,059 | |||
Navin Fluorine International, Ltd. | 4,638 | 214,456 | |||
NBCC India, Ltd. | 75,439 | 27,129 | |||
NCC, Ltd. | 48,477 | 33,209 | |||
NESCO, Ltd. | 5,149 | 35,915 | |||
Nestle India, Ltd. | 5,738 | 1,269,339 | |||
NIIT, Ltd. | 10,587 | 55,447 | |||
Nippon Life India Asset Management, Ltd. (d) | 14,668 | 50,381 | |||
NTPC, Ltd. | 761,255 | 1,377,484 | |||
Nuvoco Vistas Corp., Ltd. (b) | 27,030 | 101,603 | |||
Oberoi Realty, Ltd. | 18,337 | 171,278 | |||
Oil & Natural Gas Corp., Ltd. | 405,283 | 777,747 | |||
Oil India, Ltd. | 33,154 | 105,584 | |||
Oracle Financial Services Software, Ltd. | 2,609 | 102,358 | |||
Orient Electric, Ltd. | 13,712 | 47,236 | |||
Page Industries, Ltd. | 883 | 449,106 | |||
PB Fintech, Ltd. (b) | 25,629 | 185,940 | |||
Persistent Systems, Ltd. | 8,644 | 372,347 | |||
Petronet LNG, Ltd. | 108,066 | 297,353 | |||
Phoenix Mills, Ltd. | 13,628 | 204,267 | |||
PI Industries, Ltd. | 13,454 | 436,044 | |||
Pidilite Industries, Ltd. | 24,591 | 650,767 | |||
Piramal Enterprises, Ltd. | 19,534 | 409,541 | |||
PNB Housing Finance, Ltd. (b)(d) | 16,082 | 67,262 | |||
Polycab India, Ltd. | 8,196 | 228,447 | |||
Polyplex Corp., Ltd. | 4,159 | 115,982 | |||
Poonawalla Fincorp, Ltd. (b) | 22,032 | 63,524 | |||
Power Grid Corp. of India, Ltd. | 513,042 | 1,376,601 | |||
Praj Industries, Ltd. | 15,877 | 73,160 | |||
Prestige Estates Projects, Ltd. | 13,088 | 64,162 | |||
Procter & Gamble Health, Ltd. | 760 | 40,331 | |||
PVR, Ltd. (b) | 7,370 | 173,661 | |||
Quess Corp., Ltd. (d) | 7,670 | 59,599 | |||
Radico Khaitan, Ltd. | 12,968 | 143,272 | |||
Rain Industries, Ltd. | 24,232 | 44,952 | |||
Rajesh Exports, Ltd. | 10,314 | 81,679 | |||
Rallis India, Ltd. | 37,687 | 90,027 | |||
Ramco Cements, Ltd. (b) | 18,699 | 150,781 | |||
Ratnamani Metals & Tubes, Ltd. | 2,937 | 61,527 | |||
RBL Bank, Ltd. (b)(d) | 140,013 | 147,951 | |||
REC, Ltd. | 149,512 | 234,285 | |||
Redington India, Ltd. | 90,456 | 143,806 |
Security Description | Shares | Value | |||
Relaxo Footwears, Ltd. | 16,812 | $ 205,188 | |||
Reliance Industries, Ltd. GDR (b)(d) | 10,202 | 663,640 | |||
Reliance Industries, Ltd. | 460,144 | 15,123,907 | |||
Reliance Industries, Ltd. GDR (c)(d) | 3,000 | 195,150 | |||
Reliance Power, Ltd. (b) | 342,941 | 49,939 | |||
Restaurant Brands Asia, Ltd. (b) | 40,914 | 57,507 | |||
Route Mobile, Ltd. | 2,470 | 38,872 | |||
Samvardhana Motherson International, Ltd. | 212,705 | 318,226 | |||
Sanofi India, Ltd. | 1,186 | 96,676 | |||
Saregama India, Ltd. | 9,720 | 44,549 | |||
SBI Cards & Payment Services, Ltd. | 38,019 | 369,851 | |||
SBI Life Insurance Co., Ltd. (d) | 71,033 | 972,861 | |||
Schaeffler India, Ltd. | 7,607 | 220,632 | |||
Sheela Foam, Ltd. (b) | 2,006 | 67,579 | |||
Shree Cement, Ltd. | 1,635 | 393,566 | |||
Shriram City Union Finance, Ltd. | 2,825 | 59,401 | |||
Shriram Transport Finance Co., Ltd. | 32,681 | 530,258 | |||
Siemens, Ltd. | 10,262 | 311,924 | |||
SKF India, Ltd. | 2,698 | 124,281 | |||
Sobha, Ltd. | 12,486 | 91,235 | |||
Solar Industries India, Ltd. | 3,000 | 104,288 | |||
Sonata Software, Ltd. | 7,624 | 64,629 | |||
SpiceJet, Ltd. (b) | 6,570 | 3,174 | |||
SRF, Ltd. | 23,858 | 680,401 | |||
State Bank of India | 276,511 | 1,631,283 | |||
State Bank of India GDR | 1,020 | 59,364 | |||
Sterlite Technologies, Ltd. | 54,517 | 102,479 | |||
Strides Pharma Science, Ltd. | 26,243 | 109,893 | |||
Sumitomo Chemical India, Ltd. | 12,208 | 65,567 | |||
Sun Pharma Advanced Research Co., Ltd. (b) | 8,505 | 22,519 | |||
Sun Pharmaceutical Industries, Ltd. | 150,891 | 1,587,009 | |||
Sun TV Network, Ltd. | 9,639 | 50,354 | |||
Sundram Fasteners, Ltd. | 23,040 | 211,487 | |||
Sunteck Realty, Ltd. | 14,806 | 93,095 | |||
Suprajit Engineering, Ltd. | 9,970 | 41,971 | |||
Supreme Industries, Ltd. | 9,151 | 204,735 | |||
Suven Pharmaceuticals, Ltd. | 10,286 | 60,214 | |||
Suzlon Energy, Ltd. (b) | 1,382,752 | 119,939 | |||
Symphony, Ltd. | 3,877 | 43,040 | |||
Syngene International, Ltd. (d) | 15,667 | 110,054 | |||
Tanla Platforms, Ltd. | 9,605 | 122,190 | |||
Tata Chemicals, Ltd. | 23,860 | 239,695 | |||
Tata Communications, Ltd. | 21,223 | 245,695 | |||
Tata Consultancy Services, Ltd. | 150,018 | 6,206,259 |
Security Description | Shares | Value | |||
Tata Consumer Products, Ltd. | 96,115 | $ 859,677 | |||
Tata Elxsi, Ltd. | 5,517 | 570,793 | |||
Tata Motors, Ltd. ADR (b)(c) | 7,545 | 195,189 | |||
Tata Motors, Ltd. (b) | 231,619 | 1,207,771 | |||
Tata Power Co., Ltd. | 265,960 | 680,960 | |||
Tata Steel, Ltd. | 117,570 | 1,290,817 | |||
Tata Steel, Ltd. GDR | 1,300 | 14,105 | |||
Tata Teleservices Maharashtra, Ltd. (b) | 66,994 | 102,732 | |||
TCI Express, Ltd. | 1,941 | 39,187 | |||
TeamLease Services, Ltd. (b) | 1,645 | 67,409 | |||
Tech Mahindra, Ltd. | 101,298 | 1,282,700 | |||
Thermax, Ltd. | 9,721 | 258,146 | |||
Timken India, Ltd. | 6,375 | 191,906 | |||
Titan Co., Ltd. | 65,122 | 1,600,786 | |||
Torrent Pharmaceuticals, Ltd. | 6,693 | 242,409 | |||
Torrent Power, Ltd. | 20,143 | 115,199 | |||
Trent, Ltd. | 26,123 | 355,314 | |||
Trident, Ltd. | 139,708 | 68,463 | |||
TTK Prestige, Ltd. | 4,980 | 52,387 | |||
Tube Investments of India, Ltd. | 17,036 | 397,206 | |||
TV18 Broadcast, Ltd. (b) | 322,994 | 159,304 | |||
TVS Motor Co., Ltd. | 27,382 | 291,928 | |||
UltraTech Cement, Ltd. | 15,864 | 1,126,395 | |||
United Spirits, Ltd. (b) | 54,791 | 527,113 | |||
UPL, Ltd. | 79,996 | 640,596 | |||
UTI Asset Management Co., Ltd. | 5,427 | 44,386 | |||
Vaibhav Global, Ltd. | 5,835 | 22,159 | |||
Vardhman Textiles, Ltd. | 15,810 | 53,062 | |||
Vedanta, Ltd. | 170,770 | 482,215 | |||
V-Guard Industries, Ltd. | 20,544 | 58,584 | |||
Vinati Organics, Ltd. | 4,690 | 117,760 | |||
VIP Industries, Ltd. | 8,149 | 64,647 | |||
V-Mart Retail, Ltd. (b) | 2,562 | 80,624 | |||
Vodafone Idea, Ltd. (b) | 1,677,930 | 178,475 | |||
Voltas, Ltd. | 33,050 | 406,950 | |||
Welspun India, Ltd. | 35,592 | 31,300 | |||
Westlife Development, Ltd. (b) | 16,453 | 103,607 | |||
Whirlpool of India, Ltd. | 4,000 | 79,058 | |||
Wipro, Ltd. ADR | 19,054 | 101,177 | |||
Wipro, Ltd. | 193,852 | 1,021,268 | |||
Wockhardt, Ltd. (b) | 21,369 | 56,431 | |||
Yes Bank, Ltd. (b) | 2,045,987 | 327,731 | |||
Zee Entertainment Enterprises, Ltd. | 139,247 | 377,508 | |||
Zensar Technologies, Ltd. | 13,013 | 44,836 | |||
ZF Commercial Vehicle Control Systems India, Ltd. | 1,191 | 116,376 | |||
Zomato, Ltd. (b) | 240,000 | 163,652 | |||
Zydus Wellness, Ltd. | 2,541 | 52,667 | |||
167,504,482 |
Security Description | Shares | Value | ||||
INDONESIA — 0.6% | ||||||
Ace Hardware Indonesia Tbk PT | 1,445,300 | $ 74,703 | ||||
Adaro Energy Indonesia Tbk PT | 1,979,100 | 379,945 | ||||
Adaro Minerals Indonesia Tbk PT (b) | 640,300 | 67,909 | ||||
AKR Corporindo Tbk PT | 3,026,000 | 209,215 | ||||
Aneka Tambang Tbk | 2,322,500 | 280,618 | ||||
Astra Agro Lestari Tbk PT | 154,200 | 101,437 | ||||
Astra International Tbk PT | 3,187,700 | 1,417,588 | ||||
Bank Aladin Syariah Tbk PT (b) | 1,000,000 | 128,545 | ||||
Bank BTPN Syariah Tbk PT | 170,800 | 32,331 | ||||
Bank Central Asia Tbk PT | 9,619,500 | 4,681,415 | ||||
Bank Jago Tbk PT (b) | 655,100 | 402,360 | ||||
Bank Mandiri Persero Tbk PT | 2,958,400 | 1,573,775 | ||||
Bank Negara Indonesia Persero Tbk PT | 1,007,600 | 530,939 | ||||
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 555,000 | 51,225 | ||||
Bank Pembangunan Daerah Jawa Timur Tbk PT | 959,000 | 47,636 | ||||
Bank Rakyat Indonesia Persero Tbk PT | 11,474,017 | 3,196,320 | ||||
Bank Tabungan Negara Persero Tbk PT | 1,217,700 | 118,930 | ||||
Barito Pacific Tbk PT | 4,756,200 | 241,043 | ||||
Berkah Beton Sadaya Tbk PT | 657,400 | 163,274 | ||||
BFI Finance Indonesia Tbk PT | 2,268,000 | 166,703 | ||||
Bukit Asam Tbk PT | 469,600 | 120,414 | ||||
Bumi Serpong Damai Tbk PT (b) | 1,332,000 | 81,364 | ||||
Bumitama Agri, Ltd. | 133,900 | 63,982 | ||||
Charoen Pokphand Indonesia Tbk PT | 1,602,300 | 645,330 | ||||
Ciputra Development Tbk PT | 929,100 | 53,635 | ||||
Digital Mediatama Maxima Tbk PT (b) | 388,500 | 39,117 | ||||
Erajaya Swasembada Tbk PT | 1,523,700 | 53,696 | ||||
First Pacific Co., Ltd. | 386,000 | 149,541 | ||||
First Resources, Ltd. | 108,800 | 127,430 | ||||
Golden Agri-Resources, Ltd. | 957,100 | 171,930 | ||||
Gudang Garam Tbk PT | 69,400 | 145,229 | ||||
Indah Kiat Pulp & Paper Tbk PT | 403,700 | 205,949 | ||||
Indo Tambangraya Megah Tbk PT | 115,300 | 237,411 | ||||
Indocement Tunggal Prakarsa Tbk PT | 240,300 | 152,834 | ||||
Indofood CBP Sukses Makmur Tbk PT | 604,300 | 387,385 | ||||
Indofood Sukses Makmur Tbk PT | 1,089,000 | 515,352 | ||||
Industri Jamu Dan Farmasi Sido Muncul Tbk PT | 2,079,505 | 139,588 |
Security Description | Shares | Value | ||||
Japfa Comfeed Indonesia Tbk PT | 2,105,200 | $ 217,621 | ||||
Jasa Marga Persero Tbk PT (b) | 371,675 | 88,319 | ||||
Kalbe Farma Tbk PT | 3,975,800 | 443,016 | ||||
Link Net Tbk PT | 158,100 | 49,560 | ||||
Lippo Karawaci Tbk PT (b) | 12,717,700 | 95,612 | ||||
Medco Energi Internasional Tbk PT (b) | 3,023,500 | 128,875 | ||||
Media Nusantara Citra Tbk PT | 1,186,900 | 74,492 | ||||
Merdeka Copper Gold Tbk PT (b) | 1,980,252 | 530,371 | ||||
Metro Healthcare Indonesia Tbk PT (b) | 5,468,200 | 183,527 | ||||
Mitra Adiperkasa Tbk PT (b) | 2,793,900 | 183,791 | ||||
Nickel Industries, Ltd. | 234,700 | 157,357 | ||||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 57,670 | ||||
Pacific Strategic Financial Tbk PT (b) | 2,687,400 | 182,197 | ||||
Pakuwon Jati Tbk PT (b) | 1,357,000 | 42,994 | ||||
Perusahaan Gas Negara Tbk PT | 2,224,000 | 237,366 | ||||
Sarana Menara Nusantara Tbk PT | 5,358,300 | 395,646 | ||||
Semen Indonesia Persero Tbk PT | 547,200 | 261,708 | ||||
Smartfren Telecom Tbk PT (b) | 6,214,000 | 34,621 | ||||
Sumber Alfaria Trijaya Tbk PT | 1,960,000 | 268,394 | ||||
Summarecon Agung Tbk PT (b) | 988,789 | 37,832 | ||||
Surya Citra Media Tbk PT (b) | 2,556,000 | 37,746 | ||||
Telkom Indonesia Persero Tbk PT | 7,528,900 | 2,021,520 | ||||
Timah Tbk PT | 378,800 | 36,869 | ||||
Tower Bersama Infrastructure Tbk PT | 1,144,200 | 225,806 | ||||
Transcoal Pacific Tbk PT (b) | 285,500 | 202,183 | ||||
Unilever Indonesia Tbk PT | 2,067,100 | 661,860 | ||||
United Tractors Tbk PT | 219,300 | 418,065 | ||||
Waskita Karya Persero Tbk PT (b) | 3,149,800 | 116,287 | ||||
Wijaya Karya Persero Tbk PT (b) | 1,310,600 | 85,335 | ||||
XL Axiata Tbk PT | 464,200 | 81,015 | ||||
24,713,753 | ||||||
IRAQ — 0.0% (a) | ||||||
Gulf Keystone Petroleum, Ltd. | 34,974 | 110,433 | ||||
IRELAND — 0.4% | ||||||
AerCap Holdings NV (b) | 21,723 | 889,340 | ||||
AIB Group PLC | 120,641 | 274,194 | ||||
Bank of Ireland Group PLC | 155,812 | 982,574 | ||||
C&C Group PLC (b) | 56,746 | 127,011 |
Security Description | Shares | Value | ||||
Cairn Homes PLC (b) | 98,009 | $ 101,951 | ||||
COSMO Pharmaceuticals NV | 2,102 | 102,756 | ||||
CRH PLC | 123,971 | 4,276,980 | ||||
Dalata Hotel Group PLC (b) | 26,175 | 95,092 | ||||
Flutter Entertainment PLC (b)(c)(e) | 15,093 | 1,522,356 | ||||
Flutter Entertainment PLC (b)(e) | 11,326 | 1,133,951 | ||||
Glanbia PLC | 30,127 | 325,356 | ||||
Glenveagh Properties PLC (b)(c)(d) | 87,042 | 85,083 | ||||
Greencore Group PLC (b) | 60,591 | 73,070 | ||||
Irish Residential Properties REIT PLC | 52,453 | 69,424 | ||||
Kerry Group PLC Class A | 25,541 | 2,438,946 | ||||
Keywords Studios PLC | 11,452 | 305,139 | ||||
Kingspan Group PLC (c) | 24,730 | 1,484,018 | ||||
Origin Enterprises PLC | 14,761 | 63,425 | ||||
Smurfit Kappa Group PLC | 39,490 | 1,324,417 | ||||
Uniphar PLC (b) | 37,380 | 113,133 | ||||
15,788,216 | ||||||
ISRAEL — 0.6% | ||||||
AFI Properties, Ltd. | 2,220 | 106,466 | ||||
Airport City, Ltd. (b) | 13,375 | 227,541 | ||||
Alony Hetz Properties & Investments, Ltd. | 22,632 | 282,791 | ||||
Altshuler Shaham Penn, Ltd. | 6,613 | 17,459 | ||||
Amot Investments, Ltd. | 39,500 | 236,629 | ||||
Arad Investment & Industrial Development, Ltd. | 1,074 | 118,681 | ||||
Ashtrom Group, Ltd. | 6,844 | 150,241 | ||||
AudioCodes, Ltd. | 6,116 | 132,950 | ||||
Azorim-Investment Development & Construction Co., Ltd. | 27,782 | 103,999 | ||||
Azrieli Group, Ltd. | 6,328 | 441,604 | ||||
Bank Hapoalim BM | 208,847 | 1,738,926 | ||||
Bank Leumi Le-Israel BM | 238,987 | 2,118,854 | ||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 309,270 | 478,633 | ||||
Big Shopping Centers, Ltd. | 1,641 | 201,438 | ||||
Blue Square Real Estate, Ltd. | 992 | 68,236 | ||||
Camtek, Ltd. (b) | 5,820 | 140,309 | ||||
Cellcom Israel, Ltd. (b) | 30,780 | 151,169 | ||||
Check Point Software Technologies, Ltd. (b) | 16,710 | 2,034,944 | ||||
Clal Insurance Enterprises Holdings, Ltd. (b) | 14,033 | 248,873 | ||||
Cognyte Software, Ltd. (b) | 11,500 | 48,875 | ||||
Danel Adir Yeoshua, Ltd. | 765 | 96,222 | ||||
Delek Automotive Systems, Ltd. | 5,899 | 64,007 | ||||
Delek Group, Ltd. (b) | 1,436 | 186,524 | ||||
Delta Galil Industries, Ltd. | 1,156 | 56,576 | ||||
Doral Group Renewable Energy Resources, Ltd. (b) | 9,230 | 32,839 |
Security Description | Shares | Value | |||
Elbit Systems, Ltd. | 4,164 | $ 947,858 | |||
Elco, Ltd. | 2,531 | 162,463 | |||
Electra Consumer Products 1970, Ltd. | 1,135 | 47,543 | |||
Electra Real Estate, Ltd. | 7,672 | 107,342 | |||
Electra, Ltd. | 418 | 231,597 | |||
Energix-Renewable Energies, Ltd. | 29,187 | 88,091 | |||
Enlight Renewable Energy, Ltd. (b) | 145,016 | 274,492 | |||
Equital, Ltd. (b) | 3,137 | 98,620 | |||
Fattal Holdings 1998, Ltd. (b) | 970 | 100,403 | |||
FIBI Holdings, Ltd. | 2,643 | 110,485 | |||
First International Bank Of Israel, Ltd. | 8,228 | 305,659 | |||
Formula Systems 1985, Ltd. | 1,091 | 98,099 | |||
Fox Wizel, Ltd. | 1,116 | 126,349 | |||
G City, Ltd. | 12,106 | 68,720 | |||
Gav-Yam Lands Corp., Ltd. | — | 3 | |||
Gilat Satellite Networks, Ltd. (b) | 8,589 | 51,331 | |||
Harel Insurance Investments & Financial Services, Ltd. | 18,440 | 179,127 | |||
Hilan, Ltd. | 1,722 | 90,325 | |||
ICL Group, Ltd. | 116,448 | 1,053,706 | |||
IDI Insurance Co., Ltd. | 1,267 | 32,922 | |||
Isracard, Ltd. | 49,413 | 175,662 | |||
Israel Canada T.R, Ltd. | 13,300 | 51,079 | |||
Israel Corp., Ltd. (b) | 754 | 330,480 | |||
Israel Discount Bank, Ltd. Class A | 203,476 | 1,055,102 | |||
Isras Investment Co., Ltd. | 573 | 109,114 | |||
Ituran Location & Control, Ltd. | 6,200 | 151,838 | |||
Kornit Digital, Ltd. (b) | 7,300 | 231,410 | |||
M Yochananof & Sons, Ltd. | 756 | 45,203 | |||
Magic Software Enterprises, Ltd. | 2,818 | 49,148 | |||
Matrix IT, Ltd. | 4,080 | 94,330 | |||
Maytronics, Ltd. | 9,751 | 136,848 | |||
Mega Or Holdings, Ltd. | 3,524 | 105,655 | |||
Mehadrin, Ltd. (b) | — | 10 | |||
Melisron, Ltd. (b) | 3,929 | 261,399 | |||
Menora Mivtachim Holdings, Ltd. (b) | 2,913 | 53,333 | |||
Migdal Insurance & Financial Holding, Ltd. | 42,449 | 62,871 | |||
Mivne Real Estate KD, Ltd. | 93,990 | 272,672 | |||
Mizrahi Tefahot Bank, Ltd. (b) | 25,314 | 834,849 | |||
Nano Dimension, Ltd. ADR (b) | 41,300 | 129,682 | |||
Nano-X Imaging, Ltd. (b)(c) | 11,300 | 127,690 | |||
Naphtha Israel Petroleum Corp., Ltd. (b) | 12,597 | 82,729 | |||
Neto Malinda Trading, Ltd. (b) | 1,889 | 75,514 | |||
Nice, Ltd. (b) | 10,383 | 1,987,865 |
Security Description | Shares | Value | ||||
Nova Ltd. (b) | 4,483 | $ 388,629 | ||||
Oil Refineries, Ltd. | 276,499 | 98,610 | ||||
One Software Technologies, Ltd. | 3,910 | 61,506 | ||||
OPC Energy, Ltd. (b) | 14,607 | 142,852 | ||||
OY Nofar Energy, Ltd. (b) | 2,491 | 61,511 | ||||
Partner Communications Co., Ltd. (b) | 17,416 | 123,428 | ||||
Paz Oil Co., Ltd. (b) | 1,506 | 179,921 | ||||
Perion Network, Ltd. (b) | 7,513 | 135,494 | ||||
Phoenix Holdings, Ltd. | 23,754 | 233,731 | ||||
Plus500, Ltd. | 17,814 | 361,940 | ||||
Prashkovsky Investments and Construction, Ltd. | 1,044 | 32,404 | ||||
Property & Building Corp., Ltd. (b) | 682 | 53,358 | ||||
RADA Electronic Industries, Ltd. (b)(c) | 6,900 | 63,756 | ||||
Radware, Ltd. (b) | 6,900 | 149,523 | ||||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 105,480 | ||||
REIT 1, Ltd. | 26,757 | 139,662 | ||||
Retailors, Ltd. | 1,806 | 32,787 | ||||
Sapiens International Corp. NV | 3,605 | 84,408 | ||||
Sella Capital Real Estate, Ltd. REIT | 33,394 | 90,585 | ||||
Shapir Engineering and Industry, Ltd. | 29,728 | 241,922 | ||||
Shikun & Binui, Ltd. (b) | 36,982 | 150,160 | ||||
Shufersal, Ltd. | 39,563 | 258,696 | ||||
Strauss Group, Ltd. | 10,127 | 247,930 | ||||
Summit Real Estate Holdings, Ltd. | 5,965 | 94,768 | ||||
Taboola.com, Ltd. (b) | 7,700 | 19,481 | ||||
Tadiran Group, Ltd. | 1,085 | 144,061 | ||||
Taptica International, Ltd. (b)(c) | 12,248 | 52,091 | ||||
Teva Pharmaceutical Industries, Ltd. ADR (b) | 158,253 | 1,190,063 | ||||
Teva Pharmaceutical Industries, Ltd. (b) | 19,463 | 148,384 | ||||
Tower Semiconductor, Ltd. (b) | 17,942 | 833,535 | ||||
Wix.com, Ltd. (b) | 8,600 | 563,730 | ||||
YH Dimri Construction & Development, Ltd. | 968 | 73,661 | ||||
ZIM Integrated Shipping Services, Ltd. (c) | 13,800 | 651,774 | ||||
27,294,245 | ||||||
ITALY — 1.2% | ||||||
A2A SpA | 231,550 | 293,394 | ||||
ACEA SpA | 6,680 | 98,539 | ||||
AMCO - Asset Management Co. SpA Class B (c)(f) | 403 | — | ||||
Amplifon SpA | 19,491 | 596,023 |
Security Description | Shares | Value | |||
Anima Holding SpA (d) | 38,797 | $ 141,880 | |||
Antares Vision SpA (b) | 8,788 | 79,563 | |||
Ariston Holding NV | 18,227 | 148,918 | |||
Arnoldo Mondadori Editore SpA | 41,346 | 73,915 | |||
Ascopiave SpA | 16,517 | 49,817 | |||
Assicurazioni Generali SpA | 184,269 | 2,933,005 | |||
Atlantia SpA | 79,810 | 1,867,328 | |||
Autogrill SpA (b) | 35,578 | 235,668 | |||
Azimut Holding SpA | 15,778 | 273,571 | |||
Banca Generali SpA | 8,653 | 243,888 | |||
Banca IFIS SpA | 5,425 | 76,623 | |||
Banca Mediolanum SpA | 33,032 | 216,800 | |||
Banca Monte dei Paschi di Siena SpA (b)(c) | 25,614 | 14,487 | |||
Banca Popolare di Sondrio SPA | 68,167 | 234,177 | |||
Banco BPM SpA | 233,081 | 661,820 | |||
BFF Bank SpA (d) | 25,075 | 168,167 | |||
Biesse SpA | 4,132 | 54,602 | |||
BPER Banca (c) | 166,223 | 272,397 | |||
Brembo SpA | 21,681 | 210,117 | |||
Brunello Cucinelli SpA | 5,684 | 255,402 | |||
Buzzi Unicem SpA | 13,897 | 226,792 | |||
Carel Industries SpA (d) | 5,036 | 99,822 | |||
CIR SpA-Compagnie Industriali (b) | 81,273 | 34,242 | |||
Coca-Cola HBC AG | 30,858 | 682,804 | |||
Credito Emiliano SpA | 12,829 | 70,413 | |||
Cromwell European Real Estate Investment Trust | 48,960 | 99,811 | |||
Danieli & C Officine Meccaniche SpA | 5,774 | 81,009 | |||
Danieli & C Officine Meccaniche SpA | 1,537 | 31,334 | |||
Davide Campari-Milano NV | 90,134 | 945,604 | |||
De' Longhi SpA | 14,428 | 267,586 | |||
DiaSorin SpA (c) | 3,941 | 515,839 | |||
Digital Value SpA (b)(c) | 503 | 30,500 | |||
doValue SpA (d) | 6,479 | 38,135 | |||
El.En. SpA | 10,888 | 140,578 | |||
Enav SpA (d) | 44,871 | 186,985 | |||
Enel SpA | 1,342,326 | 7,325,406 | |||
Eni SpA | 417,345 | 4,942,557 | |||
ERG SpA | 9,874 | 305,967 | |||
Esprinet SpA (c) | 3,797 | 27,132 | |||
Ferrari NV | 20,932 | 3,833,964 | |||
Fila SpA | 4,681 | 40,667 | |||
Fincantieri SpA (b)(c) | 59,925 | 33,204 | |||
FinecoBank Banca Fineco SpA | 98,895 | 1,180,711 | |||
Gruppo MutuiOnline SpA | 3,985 | 100,487 | |||
GVS SpA (c)(d) | 12,903 | 104,948 | |||
Hera SpA | 128,476 | 370,710 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT | 13,675 | 50,753 |
Security Description | Shares | Value | |||
Infrastrutture Wireless Italiane SpA (d) | 52,703 | $ 533,572 | |||
Interpump Group SpA | 11,078 | 421,335 | |||
Intesa Sanpaolo SpA | 2,733,642 | 5,087,037 | |||
Iren SpA | 115,861 | 252,428 | |||
Italgas SpA | 76,134 | 442,146 | |||
Italmobiliare SpA | 2,891 | 79,640 | |||
Iveco Group NV (b) | 29,530 | 155,657 | |||
Juventus Football Club SpA (b)(c) | 93,321 | 35,259 | |||
Leonardo SpA | 63,467 | 642,150 | |||
Maire Tecnimont SpA | 17,380 | 49,786 | |||
MARR SpA | 3,554 | 48,896 | |||
Mediobanca Banca di Credito Finanziario SpA | 97,401 | 840,894 | |||
MFE-MediaForEurope NV Class A (b)(c) | 40,137 | 18,379 | |||
MFE-MediaForEurope NV Class B (c) | 40,137 | 28,219 | |||
Moncler SpA | 33,283 | 1,424,188 | |||
Nexi SpA (b)(d) | 82,187 | 679,131 | |||
OVS SpA (d) | 29,909 | 48,654 | |||
Pharmanutra SpA | 582 | 36,690 | |||
Piaggio & C SpA | 24,484 | 57,183 | |||
Pirelli & C SpA (d) | 51,939 | 210,465 | |||
Poste Italiane SpA (d) | 81,931 | 763,355 | |||
Prysmian SpA | 43,271 | 1,185,679 | |||
RAI Way SpA (d) | 11,872 | 63,299 | |||
Recordati Industria Chimica e Farmaceutica SpA | 16,398 | 711,618 | |||
Reply SpA | 4,075 | 492,906 | |||
Safilo Group SpA (b) | 36,831 | 47,631 | |||
Saipem SpA (c) | 1,373 | 3,667 | |||
Salcef Group SpA | 3,946 | 68,481 | |||
Salvatore Ferragamo SpA | 6,814 | 104,718 | |||
Sanlorenzo SpA/Ameglia | 2,587 | 86,817 | |||
Saras SpA (b) | 89,482 | 129,752 | |||
Seco SpA (b)(c) | 5,196 | 34,386 | |||
Sesa SpA | 1,926 | 244,443 | |||
Snam SpA | 324,817 | 1,697,560 | |||
SOL SpA | 4,973 | 85,680 | |||
Spaxs SpA (b)(c) | 8,543 | 92,885 | |||
Tamburi Investment Partners SpA (c) | 17,060 | 130,733 | |||
Technogym SpA (c)(d) | 19,420 | 126,282 | |||
Technoprobe SpA (b) | 20,000 | 140,718 | |||
Telecom Italia SpA (b) | 1,562,595 | 407,914 | |||
Terna - Rete Elettrica Nazionale | 226,637 | 1,774,189 | |||
Tinexta SpA | 5,449 | 126,808 | |||
Tod's SpA (b) | 3,016 | 93,583 | |||
UniCredit SpA | 351,375 | 3,329,982 | |||
Unipol Gruppo SpA | 56,938 | 258,104 | |||
Webuild SpA (c) | 51,213 | 79,187 | |||
Wiit SpA | 1,415 | 25,740 |
Security Description | Shares | Value | ||||
Zignago Vetro SpA | 3,618 | $ 43,952 | ||||
54,409,839 | ||||||
JAPAN — 14.1% | ||||||
77 Bank, Ltd. | 8,100 | 108,215 | ||||
ABC-Mart, Inc. | 4,900 | 216,407 | ||||
Activia Properties, Inc. REIT | 105 | 312,631 | ||||
Adastria Co., Ltd. | 2,800 | 46,146 | ||||
ADEKA Corp. | 13,800 | 237,999 | ||||
Advance Logistics Investment Corp. REIT | 64 | 70,852 | ||||
Advance Residence Investment Corp. REIT | 217 | 576,622 | ||||
Advantest Corp. | 31,800 | 1,699,371 | ||||
Aeon Co., Ltd. | 107,800 | 1,867,883 | ||||
Aeon Delight Co., Ltd. | 3,300 | 72,070 | ||||
AEON Financial Service Co., Ltd. | 15,600 | 146,751 | ||||
Aeon Hokkaido Corp. (c) | 3,200 | 25,580 | ||||
Aeon Mall Co., Ltd. | 15,200 | 185,616 | ||||
AEON REIT Investment Corp. | 303 | 341,462 | ||||
AGC, Inc. (c) | 31,900 | 1,120,040 | ||||
Ai Holdings Corp. | 4,100 | 46,778 | ||||
Aica Kogyo Co., Ltd. | 7,500 | 156,343 | ||||
Aichi Corp. | 11,000 | 69,471 | ||||
Aida Engineering, Ltd. | 8,700 | 58,211 | ||||
Aiful Corp. | 60,800 | 156,638 | ||||
Ain Holdings, Inc. | 3,800 | 202,790 | ||||
Air Water, Inc. | 28,200 | 353,707 | ||||
Airtrip Corp. (c) | 1,800 | 33,707 | ||||
Aisin Corp. | 22,800 | 704,869 | ||||
Ajinomoto Co., Inc. | 74,900 | 1,819,366 | ||||
Alfresa Holdings Corp. | 29,100 | 390,913 | ||||
Alpen Co., Ltd. (c) | 6,500 | 96,695 | ||||
Alpha Systems, Inc | 1,000 | 31,394 | ||||
Alps Alpine Co., Ltd. | 32,000 | 324,346 | ||||
Amada Co., Ltd. | 51,600 | 378,677 | ||||
Amano Corp. | 9,900 | 170,884 | ||||
Amvis Holdings, Inc. | 3,300 | 91,818 | ||||
ANA Holdings, Inc. (b) | 25,100 | 461,797 | ||||
AnGes, Inc. (b)(c) | 16,700 | 41,426 | ||||
Anicom Holdings, Inc. | 7,200 | 34,343 | ||||
Anritsu Corp. | 20,000 | 216,113 | ||||
Aozora Bank, Ltd. (c) | 17,500 | 339,682 | ||||
Appier Group, Inc. (b) | 9,200 | 57,629 | ||||
Arata Corp. | 1,900 | 54,613 | ||||
Arcland Sakamoto Co., Ltd. (c) | 7,200 | 79,974 | ||||
Arcland Service Holdings Co., Ltd. (c) | 4,100 | 63,346 | ||||
Arcs Co., Ltd. | 8,800 | 129,615 | ||||
Argo Graphics, Inc. | 2,900 | 68,415 | ||||
Ariake Japan Co., Ltd. | 2,700 | 110,898 | ||||
ARTERIA Networks Corp. | 5,200 | 46,773 | ||||
As One Corp. | 6,000 | 236,281 | ||||
Asahi Group Holdings, Ltd. | 73,900 | 2,417,912 |
Security Description | Shares | Value | |||
Asahi Holdings, Inc. | 11,500 | $ 180,387 | |||
Asahi Intecc Co., Ltd. | 32,400 | 488,427 | |||
Asahi Kasei Corp. | 206,900 | 1,577,773 | |||
Asics Corp. | 26,600 | 480,290 | |||
ASKUL Corp. | 4,800 | 57,167 | |||
Astellas Pharma, Inc. | 304,700 | 4,743,591 | |||
Atom Corp. (b)(c) | 21,200 | 122,030 | |||
Autobacs Seven Co., Ltd. | 32,700 | 336,496 | |||
Avex, Inc. | 6,600 | 65,487 | |||
Awa Bank, Ltd. | 4,900 | 72,893 | |||
Axial Retailing, Inc. | 2,100 | 48,228 | |||
Azbil Corp. | 18,700 | 490,711 | |||
Bandai Namco Holdings, Inc. | 32,700 | 2,305,644 | |||
Bank of Kyoto, Ltd. | 8,600 | 365,890 | |||
BayCurrent Consulting, Inc. | 2,000 | 531,449 | |||
Belc Co., Ltd. | 1,500 | 57,083 | |||
Bell System24 Holdings, Inc. | 3,500 | 35,681 | |||
Belluna Co., Ltd. (c) | 8,800 | 48,257 | |||
Benefit One, Inc. | 11,000 | 147,687 | |||
Benesse Holdings, Inc. | 11,900 | 192,443 | |||
BeNext-Yumeshin Group Co. (c) | 10,803 | 119,198 | |||
Bengo4.com, Inc. (b) | 1,400 | 39,211 | |||
Bic Camera, Inc. | 14,200 | 122,501 | |||
BIPROGY, Inc. | 10,700 | 212,653 | |||
BML, Inc. | 3,000 | 77,840 | |||
Bridgestone Corp. (c) | 93,900 | 3,421,332 | |||
Brother Industries, Ltd. | 38,200 | 670,619 | |||
Bunka Shutter Co., Ltd. | 10,500 | 77,134 | |||
C Uyemura & Co., Ltd. | 2,600 | 98,178 | |||
Calbee, Inc. | 14,300 | 287,989 | |||
Canon Electronics, Inc. | 2,900 | 32,638 | |||
Canon Marketing Japan, Inc. | 6,900 | 143,125 | |||
Canon, Inc. (c) | 163,700 | 3,717,305 | |||
Capcom Co., Ltd. | 27,500 | 666,979 | |||
Casio Computer Co., Ltd. | 35,400 | 328,060 | |||
Cawachi, Ltd. | 5,300 | 83,603 | |||
Cellebrite DI, Ltd. (b)(c) | 5,100 | 26,010 | |||
Central Glass Co., Ltd. | 4,900 | 111,269 | |||
Central Japan Railway Co. | 23,400 | 2,696,456 | |||
Change, Inc. (c) | 4,900 | 77,366 | |||
Chiba Bank, Ltd. | 82,100 | 447,802 | |||
Chiyoda Corp. (b)(c) | 14,600 | 45,996 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 40,229 | |||
Chubu Electric Power Co., Inc. | 113,900 | 1,145,246 | |||
Chudenko Corp. | 3,000 | 47,212 | |||
Chugai Pharmaceutical Co., Ltd. | 110,800 | 2,830,047 | |||
Chugoku Bank, Ltd. | 22,200 | 160,632 | |||
Chugoku Electric Power Co., Inc. | 53,500 | 343,789 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 54,473 | |||
CI Takiron Corp. | 12,200 | 48,403 | |||
Citizen Watch Co., Ltd. | 36,600 | 148,711 | |||
CKD Corp. | 7,700 | 97,940 |
Security Description | Shares | Value | |||
Coca-Cola Bottlers Japan Holdings, Inc. | 22,100 | $ 263,531 | |||
COLOPL, Inc. (c) | 4,900 | 23,624 | |||
Colowide Co., Ltd. (c) | 11,900 | 160,821 | |||
Comforia Residential REIT, Inc. | 118 | 290,972 | |||
COMSYS Holdings Corp. | 16,700 | 317,885 | |||
Comture Corp. | 6,200 | 120,527 | |||
Concordia Financial Group, Ltd. | 174,700 | 604,387 | |||
CONEXIO Corp. | 5,500 | 53,763 | |||
Cosmo Energy Holdings Co., Ltd. | 11,900 | 329,351 | |||
Cosmos Pharmaceutical Corp. | 3,000 | 287,733 | |||
CRE Logistics REIT, Inc. (c) | 137 | 190,190 | |||
Create Restaurants Holdings, Inc. | 31,600 | 217,249 | |||
Create SD Holdings Co., Ltd. (c) | 4,000 | 88,064 | |||
Credit Saison Co., Ltd. | 21,600 | 247,870 | |||
Curves Holdings Co., Ltd. | 4,300 | 20,890 | |||
CyberAgent, Inc. | 73,800 | 733,899 | |||
CYBERDYNE, Inc. (b)(c) | 11,000 | 25,910 | |||
Cybozu, Inc. (c) | 7,400 | 51,093 | |||
Dai Nippon Printing Co., Ltd. | 34,600 | 745,203 | |||
Daicel Corp. | 38,100 | 235,294 | |||
Daido Steel Co., Ltd. | 4,200 | 108,049 | |||
Daifuku Co., Ltd. | 15,900 | 908,204 | |||
Daihen Corp. | 2,300 | 70,936 | |||
Daiho Corp. | 2,700 | 91,520 | |||
Dai-ichi Life Holdings, Inc. | 165,400 | 3,055,861 | |||
Daiichi Sankyo Co., Ltd. | 288,200 | 7,291,181 | |||
Daiichikosho Co., Ltd. | 4,700 | 136,653 | |||
Daiken Corp. | 4,000 | 53,940 | |||
Daiki Aluminium Industry Co., Ltd. | 3,800 | 33,481 | |||
Daikin Industries, Ltd. | 41,100 | 6,579,993 | |||
Daikokutenbussan Co., Ltd. (c) | 2,200 | 63,156 | |||
Daio Paper Corp. | 12,300 | 128,111 | |||
Daiseki Co., Ltd. | 6,360 | 198,494 | |||
Daishi Hokuetsu Financial Group, Inc. | 5,500 | 101,535 | |||
Daito Trust Construction Co., Ltd. | 10,300 | 887,807 | |||
Daiwa House Industry Co., Ltd. | 98,900 | 2,301,879 | |||
Daiwa House REIT Investment Corp. | 349 | 789,941 | |||
Daiwa Industries, Ltd. | 6,600 | 53,439 | |||
Daiwa Office Investment Corp. REIT | 49 | 251,032 | |||
Daiwa Securities Group, Inc. | 226,100 | 1,008,550 | |||
Daiwa Securities Living Investments Corp. REIT | 300 | 262,780 | |||
Daiwabo Holdings Co., Ltd. | 11,900 | 154,953 |
Security Description | Shares | Value | |||
DCM Holdings Co., Ltd. | 20,900 | $ 159,686 | |||
Demae-Can Co., Ltd. (b)(c) | 2,700 | 8,546 | |||
DeNA Co., Ltd. | 12,800 | 177,978 | |||
Denka Co., Ltd. | 13,800 | 333,687 | |||
Denso Corp. | 70,900 | 3,761,711 | |||
Dentsu Group, Inc. (c) | 35,700 | 1,070,829 | |||
Descente, Ltd. | 4,200 | 97,074 | |||
Dexerials Corp. | 9,400 | 250,127 | |||
DIC Corp. (c) | 10,400 | 184,108 | |||
Digital Arts, Inc. | 1,700 | 73,203 | |||
Digital Garage, Inc. | 4,800 | 129,668 | |||
Dip Corp. | 5,500 | 152,019 | |||
Direct Marketing MiX, Inc. (c) | 6,600 | 83,608 | |||
Disco Corp. | 4,700 | 1,113,982 | |||
DMG Mori Co., Ltd. | 18,900 | 233,720 | |||
Doshisha Co., Ltd. | 4,900 | 56,663 | |||
Doutor Nichires Holdings Co., Ltd. | 3,100 | 35,140 | |||
Dowa Holdings Co., Ltd. | 7,200 | 238,755 | |||
DTS Corp. | 5,600 | 124,280 | |||
Duskin Co., Ltd. | 11,700 | 249,063 | |||
DyDo Group Holdings, Inc. (c) | 1,000 | 37,025 | |||
Earth Corp. | 3,300 | 126,311 | |||
East Japan Railway Co. | 49,000 | 2,502,389 | |||
Ebara Corp. | 14,400 | 538,456 | |||
EDION Corp. (c) | 11,900 | 111,506 | |||
eGuarantee, Inc. | 5,300 | 83,720 | |||
Eiken Chemical Co., Ltd. | 8,200 | 107,680 | |||
Eisai Co., Ltd. | 40,800 | 1,719,333 | |||
Eizo Corp. | 1,600 | 44,400 | |||
Elan Corp. | 4,000 | 30,768 | |||
Elecom Co., Ltd. | 10,000 | 112,178 | |||
Electric Power Development Co., Ltd. | 22,100 | 365,039 | |||
EM Systems Co., Ltd. (c) | 15,200 | 107,521 | |||
en japan, Inc. | 9,200 | 119,999 | |||
ENEOS Holdings, Inc. | 497,000 | 1,879,275 | |||
eRex Co., Ltd. (c) | 3,000 | 48,559 | |||
ES-Con Japan, Ltd. (c) | 18,200 | 102,484 | |||
euglena Co., Ltd. (b)(c) | 22,900 | 158,111 | |||
Exedy Corp. | 3,100 | 39,271 | |||
EXEO Group, Inc. | 16,800 | 262,533 | |||
Ezaki Glico Co., Ltd. (c) | 9,400 | 271,576 | |||
Fancl Corp. | 13,900 | 253,946 | |||
FANUC Corp. | 31,400 | 4,909,175 | |||
Fast Retailing Co., Ltd. | 9,600 | 5,022,767 | |||
FCC Co., Ltd. | 3,600 | 35,720 | |||
Ferrotec Holdings Corp. (c) | 7,100 | 134,312 | |||
Financial Products Group Co., Ltd. | 7,200 | 48,016 | |||
Food & Life Cos., Ltd. | 16,300 | 347,465 | |||
FP Corp. | 7,000 | 146,229 | |||
Freee KK (b)(c) | 4,500 | 108,645 | |||
Frontier Real Estate Investment Corp. REIT | 67 | 257,929 |
Security Description | Shares | Value | |||
Fuji Co., Ltd. (c) | 4,000 | $ 62,302 | |||
Fuji Corp. | 9,900 | 145,744 | |||
Fuji Electric Co., Ltd. | 20,600 | 852,173 | |||
Fuji Kyuko Co., Ltd. | 2,700 | 83,471 | |||
Fuji Media Holdings, Inc. | 5,100 | 43,133 | |||
Fuji Oil Holdings, Inc. | 9,500 | 149,785 | |||
Fuji Seal International, Inc. | 6,200 | 67,269 | |||
Fuji Soft, Inc. | 3,600 | 205,631 | |||
Fujicco Co., Ltd. | 4,500 | 66,048 | |||
FUJIFILM Holdings Corp. | 59,300 | 3,176,809 | |||
Fujikura, Ltd. | 39,500 | 223,588 | |||
Fujimi, Inc. | 2,900 | 121,460 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 69,063 | |||
Fujio Food Group, Inc. (c) | 4,800 | 46,391 | |||
Fujitec Co., Ltd. | 9,700 | 214,556 | |||
Fujitsu General, Ltd. | 11,300 | 223,663 | |||
Fujitsu, Ltd. | 32,200 | 4,021,000 | |||
Fujiya Co., Ltd. | 3,600 | 63,677 | |||
Fukui Computer Holdings, Inc. | 3,000 | 75,411 | |||
Fukuoka Financial Group, Inc. | 26,000 | 467,734 | |||
Fukuoka REIT Corp. | 76 | 94,206 | |||
Fukushima Galilei Co., Ltd. | 2,400 | 60,947 | |||
Fukuyama Transporting Co., Ltd. | 4,200 | 95,219 | |||
FULLCAST Holdings Co., Ltd. | 7,200 | 115,164 | |||
Funai Soken Holdings, Inc. (c) | 9,400 | 149,246 | |||
Furukawa Co., Ltd. | 5,200 | 45,855 | |||
Furukawa Electric Co., Ltd. | 16,900 | 277,157 | |||
Fuso Chemical Co., Ltd. | 3,100 | 81,005 | |||
Future Corp. | 8,700 | 89,142 | |||
Fuyo General Lease Co., Ltd. | 2,900 | 164,366 | |||
G-7 Holdings, Inc. (c) | 8,400 | 88,727 | |||
Genky DrugStores Co., Ltd. (c) | 3,300 | 81,616 | |||
Geo Holdings Corp. | 5,700 | 51,816 | |||
Giken, Ltd. | 2,200 | 49,877 | |||
Global One Real Estate Investment Corp. REIT | 139 | 108,556 | |||
GLOBERIDE, Inc. | 2,100 | 32,894 | |||
Glory, Ltd. | 9,800 | 147,734 | |||
GLP J-REIT (b) | 685 | 835,483 | |||
GMO Financial Holdings, Inc. (c) | 5,300 | 30,312 | |||
GMO GlobalSign Holdings KK | 500 | 18,163 | |||
GMO internet, Inc. | 11,300 | 193,470 | |||
GMO Payment Gateway, Inc. | 6,400 | 449,891 | |||
GNI Group, Ltd. (b)(c) | 3,600 | 33,442 | |||
Goldcrest Co., Ltd. | 3,600 | 45,605 | |||
Goldwin, Inc. | 3,600 | 201,921 | |||
Gree, Inc. (c) | 15,200 | 92,192 | |||
GS Yuasa Corp. | 11,800 | 184,398 | |||
G-Tekt Corp. | 3,300 | 30,946 |
Security Description | Shares | Value | |||
GungHo Online Entertainment, Inc. | 7,200 | $ 126,929 | |||
Gunma Bank, Ltd. | 44,800 | 126,299 | |||
Gunze, Ltd. | 1,500 | 40,632 | |||
H.U. Group Holdings, Inc. | 13,300 | 288,703 | |||
H2O Retailing Corp. | 13,300 | 102,891 | |||
Hachijuni Bank, Ltd. | 54,100 | 199,109 | |||
Hakuhodo DY Holdings, Inc. | 35,400 | 324,412 | |||
Halows Co., Ltd. | 1,500 | 33,455 | |||
Hamakyorex Co., Ltd. | 2,200 | 46,411 | |||
Hamamatsu Photonics KK | 22,000 | 853,410 | |||
Hankyu Hanshin Holdings, Inc. | 36,500 | 994,075 | |||
Hankyu Hanshin REIT, Inc. | 94 | 103,372 | |||
Hanwa Co., Ltd. | 5,100 | 106,576 | |||
Harmonic Drive Systems, Inc. (c) | 8,900 | 259,096 | |||
Haseko Corp. | 43,300 | 506,450 | |||
Hazama Ando Corp. | 38,400 | 238,278 | |||
Heiwa Corp. | 10,800 | 160,027 | |||
Heiwa Real Estate Co., Ltd. | 4,500 | 128,851 | |||
Heiwa Real Estate REIT, Inc. | 115 | 123,672 | |||
Heiwado Co., Ltd. | 3,000 | 44,098 | |||
Hiday Hidaka Corp. | 3,500 | 53,149 | |||
Hikari Tsushin, Inc. | 3,200 | 327,643 | |||
Hino Motors, Ltd. | 41,500 | 212,915 | |||
Hioki EE Corp. (c) | 2,100 | 98,156 | |||
Hirata Corp. (c) | 1,100 | 34,047 | |||
Hirogin Holdings, Inc. | 54,100 | 251,674 | |||
Hirose Electric Co., Ltd. | 4,900 | 649,582 | |||
HIS Co., Ltd. (b) | 6,400 | 95,678 | |||
Hisamitsu Pharmaceutical Co., Inc. | 8,800 | 226,388 | |||
Hitachi Construction Machinery Co., Ltd. | 17,700 | 391,509 | |||
Hitachi Metals, Ltd. (b) | 59,300 | 896,124 | |||
Hitachi Transport System, Ltd. | 7,600 | 478,863 | |||
Hitachi Zosen Corp. | 36,800 | 231,329 | |||
Hitachi, Ltd. | 159,700 | 7,567,985 | |||
Hogy Medical Co., Ltd. | 6,600 | 146,229 | |||
Hokkaido Electric Power Co., Inc. | 31,100 | 113,316 | |||
Hokkoku Financial Holdings, Inc. | 3,200 | 108,586 | |||
Hokuetsu Corp. | 18,500 | 95,322 | |||
Hokuhoku Financial Group, Inc. | 15,100 | 93,142 | |||
Hokuriku Electric Power Co. (c) | 25,500 | 99,856 | |||
Hokuto Corp. | 6,300 | 89,639 | |||
Honda Motor Co., Ltd. | 268,200 | 6,500,921 | |||
Horiba, Ltd. | 6,500 | 276,545 | |||
Hoshino Resorts REIT, Inc. | 28 | 135,203 | |||
Hoshizaki Corp. (c) | 17,000 | 506,165 | |||
Hosiden Corp. | 7,100 | 64,543 | |||
House Foods Group, Inc. | 8,700 | 181,038 |
Security Description | Shares | Value | |||
Hoya Corp. | 62,700 | $ 5,346,726 | |||
Hulic Co., Ltd. | 63,200 | 488,462 | |||
Hulic REIT, Inc. | 195 | 229,370 | |||
Hyakugo Bank, Ltd. | 22,900 | 55,288 | |||
Ibiden Co., Ltd. | 19,500 | 549,023 | |||
Ichibanya Co., Ltd. | 4,100 | 141,993 | |||
Ichigo Office REIT Investment Corp. | 183 | 113,689 | |||
Ichigo, Inc. | 57,100 | 131,554 | |||
Idec Corp. | 3,800 | 78,207 | |||
Idemitsu Kosan Co., Ltd. | 34,377 | 827,447 | |||
IDOM, Inc. | 21,200 | 116,412 | |||
IHI Corp. | 24,200 | 646,616 | |||
Iida Group Holdings Co., Ltd. | 22,300 | 342,900 | |||
Iino Kaiun Kaisha, Ltd. | 10,500 | 52,865 | |||
Inaba Denki Sangyo Co., Ltd. | 7,300 | 143,200 | |||
Inabata & Co., Ltd. | 5,700 | 92,976 | |||
Inageya Co., Ltd. (c) | 2,600 | 23,693 | |||
Industrial & Infrastructure Fund Investment Corp. REIT (b) | 324 | 428,089 | |||
Infocom Corp. | 2,800 | 41,901 | |||
Infomart Corp. | 36,200 | 99,923 | |||
Information Services International-Dentsu, Ltd. | 3,500 | 103,437 | |||
INFRONEER Holdings, Inc. | 48,680 | 345,782 | |||
Inpex Corp. | 172,400 | 1,865,430 | |||
Insource Co., Ltd. | 3,200 | 53,280 | |||
Internet Initiative Japan, Inc. | 7,400 | 258,459 | |||
Invincible Investment Corp. REIT | 880 | 258,452 | |||
IR Japan Holdings, Ltd. (c) | 1,100 | 16,461 | |||
Iriso Electronics Co., Ltd. (c) | 4,100 | 97,026 | |||
Isetan Mitsukoshi Holdings, Ltd. | 50,400 | 408,082 | |||
Isuzu Motors, Ltd. | 96,200 | 1,062,870 | |||
Ito En, Ltd. | 7,800 | 349,078 | |||
ITOCHU Corp. | 195,500 | 5,276,939 | |||
Itochu Enex Co., Ltd. | 5,600 | 43,446 | |||
Itochu Techno-Solutions Corp. | 14,100 | 345,092 | |||
Itochu-Shokuhin Co., Ltd. | 800 | 28,854 | |||
Itoham Yonekyu Holdings, Inc. | 22,500 | 114,442 | |||
Iwatani Corp. | 6,900 | 265,629 | |||
Iyo Bank, Ltd. | 34,300 | 168,148 | |||
Izumi Co., Ltd. | 4,800 | 107,939 | |||
J Front Retailing Co., Ltd. | 36,800 | 314,217 | |||
JAC Recruitment Co., Ltd. | 8,300 | 106,182 | |||
Jaccs Co., Ltd. | 3,300 | 81,495 | |||
JAFCO Group Co., Ltd. | 10,800 | 130,056 | |||
Japan Airlines Co., Ltd. (b) | 20,800 | 363,623 | |||
Japan Airport Terminal Co., Ltd. (b) | 9,500 | 378,308 | |||
Japan Aviation Electronics Industry, Ltd. | 5,700 | 85,717 | |||
Japan Display, Inc. (b)(c) | 89,600 | 45,507 |
Security Description | Shares | Value | |||
Japan Elevator Service Holdings Co., Ltd. | 8,300 | $ 86,266 | |||
Japan Excellent, Inc. REIT | 180 | 162,305 | |||
Japan Exchange Group, Inc. | 81,400 | 1,173,171 | |||
Japan Hotel REIT Investment Corp. | 691 | 344,852 | |||
Japan Lifeline Co., Ltd. | 15,700 | 105,626 | |||
Japan Logistics Fund, Inc. REIT | 127 | 293,066 | |||
Japan Material Co., Ltd. | 14,200 | 202,461 | |||
Japan Metropolitan Fund Invest REIT | 1,121 | 872,178 | |||
Japan Petroleum Exploration Co., Ltd. | 4,700 | 110,879 | |||
Japan Post Bank Co., Ltd. | 66,400 | 515,638 | |||
Japan Post Holdings Co., Ltd. | 403,900 | 2,881,156 | |||
Japan Post Insurance Co., Ltd. | 32,500 | 519,359 | |||
Japan Prime Realty Investment Corp. REIT | 140 | 410,658 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 56,163 | |||
Japan Real Estate Investment Corp. REIT | 197 | 904,847 | |||
Japan Securities Finance Co., Ltd. | 13,800 | 86,647 | |||
Japan Steel Works, Ltd. | 8,100 | 175,767 | |||
Japan Tobacco, Inc. (c) | 197,400 | 3,408,784 | |||
Japan Wool Textile Co., Ltd. | 5,100 | 36,977 | |||
JCR Pharmaceuticals Co., Ltd. | 9,800 | 166,994 | |||
JCU Corp. | 3,500 | 87,207 | |||
Jeol, Ltd. | 8,000 | 307,975 | |||
JFE Holdings, Inc. | 76,900 | 809,444 | |||
JGC Holdings Corp. | 36,400 | 469,954 | |||
JINS Holdings, Inc. (c) | 2,000 | 62,714 | |||
JMDC, Inc. | 3,800 | 165,309 | |||
J-Oil Mills, Inc. (c) | 3,600 | 42,610 | |||
Joshin Denki Co., Ltd. (c) | 3,500 | 50,083 | |||
Joyful Honda Co., Ltd. (c) | 6,400 | 74,621 | |||
JSR Corp. | 33,000 | 855,029 | |||
JTEKT Corp. | 29,700 | 222,988 | |||
JTOWER, Inc. (b) | 900 | 44,386 | |||
Juroku Financial Group, Inc. | 3,000 | 51,673 | |||
Justsystems Corp. | 4,900 | 138,320 | |||
Kadokawa Corp. | 21,100 | 453,979 | |||
Kaga Electronics Co., Ltd. | 2,000 | 44,606 | |||
Kagome Co., Ltd. | 10,900 | 265,570 | |||
Kajima Corp. | 69,900 | 801,106 | |||
Kakaku.com, Inc. | 20,200 | 332,764 | |||
Kaken Pharmaceutical Co., Ltd. | 5,700 | 160,064 | |||
Kameda Seika Co., Ltd. | 1,600 | 56,825 | |||
Kamigumi Co., Ltd. | 17,100 | 330,282 | |||
Kanamoto Co., Ltd. | 4,700 | 66,597 | |||
Kandenko Co., Ltd. | 27,300 | 170,003 | |||
Kaneka Corp. | 6,900 | 169,637 |
Security Description | Shares | Value | |||
Kanematsu Corp. | 15,600 | $ 153,755 | |||
Kanematsu Electronics, Ltd. | 1,000 | 29,664 | |||
Kansai Electric Power Co., Inc. | 157,500 | 1,558,132 | |||
Kansai Paint Co., Ltd. | 26,800 | 341,276 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 59,146 | |||
Kao Corp. | 78,300 | 3,153,786 | |||
Kappa Create Co., Ltd. (b)(c) | 7,600 | 80,333 | |||
Katakura Industries Co., Ltd. | 5,600 | 83,471 | |||
Katitas Co., Ltd. | 7,000 | 150,558 | |||
Kato Sangyo Co., Ltd. | 3,500 | 83,858 | |||
Kawasaki Heavy Industries, Ltd. | 24,900 | 466,274 | |||
Kawasaki Kisen Kaisha, Ltd. | 9,000 | 546,539 | |||
KDDI Corp. | 266,000 | 8,397,733 | |||
KeePer Technical Laboratory Co., Ltd. | 4,900 | 127,320 | |||
Keihan Holdings Co., Ltd. | 14,600 | 363,240 | |||
Keihanshin Building Co., Ltd. | 6,200 | 59,921 | |||
Keikyu Corp. | 36,400 | 398,416 | |||
Keio Corp. | 17,000 | 607,523 | |||
Keisei Electric Railway Co., Ltd. | 24,000 | 660,704 | |||
Keiyo Bank, Ltd. | 11,200 | 39,324 | |||
Keiyo Co., Ltd. | 22,400 | 149,548 | |||
Kenedix Office Investment Corp. REIT | 62 | 310,787 | |||
Kenedix Residential Next Investment Corp. REIT | 153 | 245,061 | |||
Kenedix Retail REIT Corp. (b) | 97 | 196,635 | |||
Kewpie Corp. | 18,800 | 317,450 | |||
Keyence Corp. | 32,100 | 10,958,728 | |||
KFC Holdings Japan, Ltd. | 1,700 | 35,575 | |||
KH Neochem Co., Ltd. | 5,100 | 93,362 | |||
Kikkoman Corp. | 23,100 | 1,224,246 | |||
Kinden Corp. | 24,000 | 276,825 | |||
Kintetsu Group Holdings Co., Ltd. | 26,700 | 830,352 | |||
Kintetsu World Express, Inc. | 7,400 | 227,139 | |||
Kirin Holdings Co., Ltd. | 133,200 | 2,095,727 | |||
Kisoji Co., Ltd. (c) | 6,300 | 101,232 | |||
Kissei Pharmaceutical Co., Ltd. | 3,200 | 62,514 | |||
Ki-Star Real Estate Co., Ltd. (c) | 1,200 | 41,515 | |||
Kitz Corp. | 7,300 | 34,013 | |||
Kiyo Bank, Ltd. | 12,500 | 122,649 | |||
Koa Corp. (c) | 3,000 | 35,707 | |||
Kobayashi Pharmaceutical Co., Ltd. | 8,800 | 541,519 | |||
Kobe Bussan Co., Ltd. | 24,800 | 606,971 | |||
Kobe Steel, Ltd. | 63,800 | 289,755 | |||
Koei Tecmo Holdings Co., Ltd. | 9,660 | 311,441 | |||
Kohnan Shoji Co., Ltd. | 3,300 | 88,904 | |||
Koito Manufacturing Co., Ltd. | 16,100 | 510,180 | |||
Kokuyo Co., Ltd. | 11,600 | 146,692 |
Security Description | Shares | Value | |||
Komatsu, Ltd. | 152,100 | $ 3,367,685 | |||
KOMEDA Holdings Co., Ltd. | 6,800 | 115,173 | |||
Komeri Co., Ltd. | 5,500 | 106,757 | |||
Konami Holdings Corp. | 14,600 | 807,081 | |||
Konica Minolta, Inc. | 71,100 | 237,079 | |||
Konishi Co., Ltd. | 5,200 | 59,098 | |||
Konoike Transport Co., Ltd. | 4,700 | 43,902 | |||
Kose Corp. (c) | 5,000 | 454,161 | |||
Koshidaka Holdings Co., Ltd. | 4,300 | 24,055 | |||
Kotobuki Spirits Co., Ltd. | 2,800 | 152,309 | |||
K's Holdings Corp. | 25,500 | 248,140 | |||
Kubota Corp. (c) | 166,400 | 2,482,741 | |||
Kumagai Gumi Co., Ltd. | 7,000 | 141,747 | |||
Kumiai Chemical Industry Co., Ltd. | 12,100 | 98,417 | |||
Kura Sushi, Inc. (c) | 3,100 | 72,220 | |||
Kuraray Co., Ltd. (c) | 52,700 | 424,765 | |||
Kureha Corp. | 2,400 | 169,063 | |||
Kurita Water Industries, Ltd. | 18,100 | 654,161 | |||
Kusuri no Aoki Holdings Co., Ltd. | 3,000 | 128,078 | |||
KYB Corp. | 2,700 | 61,510 | |||
Kyocera Corp. | 52,000 | 2,777,314 | |||
Kyoei Steel, Ltd. | 3,100 | 31,535 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 61,349 | |||
KYORIN Holdings, Inc. | 6,100 | 79,654 | |||
Kyoritsu Maintenance Co., Ltd. (c) | 4,400 | 163,881 | |||
Kyowa Kirin Co., Ltd. | 42,300 | 949,652 | |||
Kyudenko Corp. | 6,400 | 129,267 | |||
Kyushu Electric Power Co., Inc. | 68,500 | 439,675 | |||
Kyushu Financial Group, Inc. | 69,300 | 197,920 | |||
Kyushu Railway Co. | 20,200 | 420,489 | |||
LaSalle Logiport REIT | 258 | 316,197 | |||
Lasertec Corp. | 12,400 | 1,474,072 | |||
Lawson, Inc. | 8,000 | 266,166 | |||
Leopalace21 Corp. (b) | 27,000 | 56,840 | |||
Life Corp. | 1,600 | 30,491 | |||
Lintec Corp. | 6,100 | 103,227 | |||
Lion Corp. | 42,100 | 463,594 | |||
LITALICO, Inc. (c) | 2,400 | 37,717 | |||
Lixil Corp. | 47,900 | 895,558 | |||
M&A Capital Partners Co., Ltd. (b) | 2,200 | 57,731 | |||
M3, Inc. | 71,500 | 2,051,503 | |||
Mabuchi Motor Co., Ltd. (c) | 8,100 | 208,380 | |||
Macnica Fuji Electronics Holdings, Inc. | 7,200 | 138,589 | |||
Maeda Kosen Co., Ltd. | 1,800 | 38,940 | |||
Makino Milling Machine Co., Ltd. | 3,400 | 105,613 | |||
Makita Corp. | 35,100 | 873,786 | |||
Mandom Corp. | 3,500 | 41,040 | |||
Mani, Inc. | 12,800 | 124,274 | |||
Marubeni Corp. | 258,000 | 2,324,478 |
Security Description | Shares | Value | |||
Maruha Nichiro Corp. | 6,800 | $ 127,836 | |||
Marui Group Co., Ltd. | 27,500 | 480,752 | |||
Maruichi Steel Tube, Ltd. | 10,400 | 219,552 | |||
MARUKA FURUSATO Corp. | 4,600 | 82,211 | |||
Maruwa Co., Ltd. | 1,300 | 148,224 | |||
Maruwa Unyu Kikan Co., Ltd. | 5,400 | 53,223 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 58,467 | |||
Matsuda Sangyo Co., Ltd. | 1,700 | 25,102 | |||
Matsui Securities Co., Ltd. | 17,600 | 104,288 | |||
MatsukiyoCocokara & Co. | 18,640 | 753,256 | |||
Matsuyafoods Holdings Co., Ltd. (c) | 2,200 | 63,075 | |||
Max Co., Ltd. | 4,200 | 49,805 | |||
Maxell , Ltd. | 4,900 | 47,790 | |||
Maxvalu Tokai Co., Ltd. | 1,400 | 27,906 | |||
Mazda Motor Corp. | 92,100 | 752,501 | |||
McDonald's Holdings Co. Japan, Ltd. | 15,100 | 549,071 | |||
MCJ Co., Ltd. | 10,000 | 64,628 | |||
Mebuki Financial Group, Inc. | 149,000 | 292,834 | |||
Medipal Holdings Corp. | 28,500 | 401,524 | |||
Medley, Inc. (b)(c) | 4,300 | 84,667 | |||
MedPeer, Inc. (b)(c) | 1,400 | 19,106 | |||
Megachips Corp. | 1,800 | 41,802 | |||
Megmilk Snow Brand Co., Ltd. | 6,600 | 88,126 | |||
Meidensha Corp. | 4,000 | 58,592 | |||
MEIJI Holdings Co., Ltd. | 20,500 | 1,004,969 | |||
Meiko Electronics Co., Ltd. | 3,800 | 88,948 | |||
Meitec Corp. | 24,900 | 400,841 | |||
Menicon Co., Ltd. | 11,500 | 263,682 | |||
Mercari, Inc. (b) | 14,900 | 213,868 | |||
METAWATER Co., Ltd. | 4,200 | 62,202 | |||
Micronics Japan Co., Ltd. (c) | 8,600 | 78,432 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 70,400 | |||
Milbon Co., Ltd. | 3,900 | 136,789 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 66,595 | |||
MINEBEA MITSUMI, Inc. | 59,900 | 1,018,505 | |||
Mirai Corp. REIT | 251 | 92,193 | |||
Mirait Holdings Corp. | 13,900 | 163,397 | |||
MISUMI Group, Inc. | 44,500 | 936,808 | |||
Mitani Sekisan Co., Ltd. (c) | 3,400 | 107,615 | |||
Mitsubishi Chemical Holdings Corp. | 211,100 | 1,145,197 | |||
Mitsubishi Corp. | 207,700 | 6,171,910 | |||
Mitsubishi Electric Corp. | 317,900 | 3,395,333 | |||
Mitsubishi Estate Co., Ltd. | 195,000 | 2,826,212 | |||
Mitsubishi Estate Logistics REIT Investment Corp. (b) | 65 | 220,088 | |||
Mitsubishi Gas Chemical Co., Inc. | 27,500 | 395,734 | |||
Mitsubishi HC Capital, Inc. | 99,830 | 460,002 | |||
Mitsubishi Heavy Industries, Ltd. | 52,700 | 1,840,650 |
Security Description | Shares | Value | |||
Mitsubishi Logisnext Co., Ltd. | 4,000 | $ 25,616 | |||
Mitsubishi Logistics Corp. | 6,900 | 164,812 | |||
Mitsubishi Materials Corp. | 18,000 | 257,304 | |||
Mitsubishi Motors Corp. (b) | 99,400 | 335,833 | |||
Mitsubishi Pencil Co., Ltd. (c) | 5,800 | 62,673 | |||
Mitsubishi Research Institute, Inc. | 1,100 | 33,359 | |||
Mitsubishi Shokuhin Co., Ltd. | 1,300 | 36,410 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,971,300 | 10,583,830 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 87,305 | |||
Mitsui & Co., Ltd. | 252,700 | 5,569,984 | |||
Mitsui Chemicals, Inc. | 28,600 | 608,399 | |||
Mitsui DM Sugar Holdings Co., Ltd. | 2,500 | 35,074 | |||
Mitsui Fudosan Co., Ltd. | 150,300 | 3,227,708 | |||
Mitsui Fudosan Logistics Park, Inc. REIT (b) | 78 | 294,535 | |||
Mitsui High-Tec, Inc. (c) | 3,200 | 198,329 | |||
Mitsui Mining & Smelting Co., Ltd. | 9,500 | 221,670 | |||
Mitsui OSK Lines, Ltd. | 54,600 | 1,247,897 | |||
Mitsui-Soko Holdings Co., Ltd. | 7,100 | 150,618 | |||
Mitsuuroko Group Holdings Co., Ltd. | 3,800 | 25,957 | |||
Miura Co., Ltd. | 12,500 | 246,770 | |||
Mixi, Inc. | 14,000 | 232,071 | |||
Mizuho Financial Group, Inc. | 394,720 | 4,483,110 | |||
Mizuho Leasing Co., Ltd. | 4,100 | 93,707 | |||
Mizuno Corp. | 3,400 | 58,587 | |||
Mochida Pharmaceutical Co., Ltd. | 3,500 | 84,115 | |||
Modec, Inc. | 2,400 | 20,669 | |||
Monex Group, Inc. | 23,500 | 72,997 | |||
Money Forward, Inc. (b) | 6,100 | 151,765 | |||
Monogatari Corp. | 1,400 | 60,388 | |||
MonotaRO Co., Ltd. | 45,200 | 670,739 | |||
Mori Hills REIT Investment Corp. | 215 | 241,025 | |||
Mori Trust Hotel REIT, Inc. | 98 | 90,602 | |||
Mori Trust Sogo REIT, Inc. | 181 | 189,187 | |||
Morinaga & Co., Ltd. | 7,300 | 233,742 | |||
Morinaga Milk Industry Co., Ltd. | 5,400 | 193,177 | |||
Morita Holdings Corp. | 4,400 | 42,751 | |||
MOS Food Services, Inc. | 3,100 | 71,194 | |||
MS&AD Insurance Group Holdings, Inc. | 73,200 | 2,240,371 | |||
Murata Manufacturing Co., Ltd. | 94,500 | 5,144,617 | |||
Musashi Seimitsu Industry Co., Ltd. | 6,900 | 70,648 | |||
Musashino Bank, Ltd. | 4,100 | 53,870 | |||
Nabtesco Corp. (c) | 16,200 | 378,006 | |||
Nachi-Fujikoshi Corp. | 2,300 | 58,746 | |||
Nafco Co., Ltd. (c) | 2,000 | 23,142 |
Security Description | Shares | Value | |||
Nagaileben Co., Ltd. | 6,300 | $ 87,738 | |||
Nagase & Co., Ltd. | 17,400 | 238,737 | |||
Nagawa Co., Ltd. (c) | 1,000 | 59,402 | |||
Nagoya Railroad Co., Ltd. | 27,700 | 426,138 | |||
Nakanishi, Inc. | 22,500 | 396,323 | |||
Nankai Electric Railway Co., Ltd. | 14,200 | 280,958 | |||
Nanto Bank, Ltd. | 3,100 | 45,409 | |||
NEC Corp. | 39,800 | 1,543,896 | |||
NEC Networks & System Integration Corp. | 9,300 | 125,547 | |||
NET One Systems Co., Ltd. | 13,000 | 287,071 | |||
Nexon Co., Ltd. | 81,500 | 1,666,534 | |||
Nextage Co., Ltd. | 6,800 | 116,875 | |||
NGK Insulators, Ltd. | 38,400 | 516,692 | |||
NGK Spark Plug Co., Ltd. | 23,900 | 433,298 | |||
NH Foods, Ltd. | 12,100 | 378,083 | |||
NHK Spring Co., Ltd. | 28,100 | 184,706 | |||
Nichias Corp. | 12,200 | 202,592 | |||
Nichicon Corp. | 5,100 | 47,263 | |||
Nichiden Corp. | 3,800 | 52,921 | |||
Nichiha Corp. | 2,600 | 50,524 | |||
Nichi-iko Pharmaceutical Co., Ltd. (b)(c) | 6,000 | 15,590 | |||
Nichirei Corp. | 15,500 | 269,144 | |||
Nidec Corp. | 73,200 | 4,515,226 | |||
Nifco, Inc. | 11,600 | 270,244 | |||
Nihon Kohden Corp. | 23,900 | 488,010 | |||
Nihon M&A Center Holdings, Inc. | 45,800 | 486,470 | |||
Nihon Parkerizing Co., Ltd. | 12,300 | 80,669 | |||
Nikkiso Co., Ltd. (c) | 4,200 | 24,763 | |||
Nikkon Holdings Co., Ltd. | 8,800 | 139,331 | |||
Nikon Corp. | 49,900 | 576,299 | |||
Nintendo Co., Ltd. | 18,200 | 7,861,146 | |||
Nippn Corp. | 17,000 | 204,218 | |||
Nippon Accommodations Fund, Inc. REIT | 83 | 416,665 | |||
Nippon Building Fund, Inc. REIT (c) | 256 | 1,273,829 | |||
Nippon Carbon Co., Ltd. | 1,200 | 35,243 | |||
Nippon Ceramic Co., Ltd. | 2,800 | 42,127 | |||
Nippon Densetsu Kogyo Co., Ltd. | 3,100 | 40,115 | |||
Nippon Electric Glass Co., Ltd. (c) | 12,700 | 242,773 | |||
Nippon Express Holdings, Inc. | 12,100 | 656,413 | |||
Nippon Gas Co., Ltd. | 15,400 | 218,097 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 76,376 | |||
Nippon Kayaku Co., Ltd. | 19,200 | 155,177 | |||
Nippon Light Metal Holdings Co., Ltd. | 14,500 | 159,457 | |||
Nippon Paint Holdings Co., Ltd. | 129,900 | 966,684 | |||
Nippon Paper Industries Co., Ltd. | 14,900 | 105,508 |
Security Description | Shares | Value | |||
Nippon Parking Development Co., Ltd. | 44,800 | $ 56,060 | |||
Nippon Prologis REIT, Inc. (b) | 362 | 889,978 | |||
NIPPON REIT Investment Corp. (c) | 79 | 211,667 | |||
Nippon Road Co., Ltd. | 1,200 | 56,089 | |||
Nippon Sanso Holdings Corp. | 28,100 | 447,391 | |||
Nippon Seiki Co., Ltd. | 4,600 | 29,221 | |||
Nippon Shinyaku Co., Ltd. | 7,400 | 449,376 | |||
Nippon Shokubai Co., Ltd. | 4,000 | 154,577 | |||
Nippon Signal Company, Ltd. (c) | 6,300 | 45,585 | |||
Nippon Soda Co., Ltd. | 2,900 | 93,177 | |||
Nippon Steel Corp. | 138,500 | 1,935,972 | |||
Nippon Steel Trading Corp. | 1,600 | 59,946 | |||
Nippon Suisan Kaisha, Ltd. | 42,500 | 179,254 | |||
Nippon Telegraph & Telephone Corp. | 195,600 | 5,609,345 | |||
Nippon Television Holdings, Inc. | 5,700 | 50,641 | |||
Nippon Yusen KK | 26,600 | 1,815,038 | |||
Nipro Corp. | 42,300 | 332,223 | |||
Nishimatsu Construction Co., Ltd. | 6,200 | 185,514 | |||
Nishimatsuya Chain Co., Ltd. | 9,000 | 94,667 | |||
Nishi-Nippon Financial Holdings, Inc. | 38,200 | 210,887 | |||
Nishi-Nippon Railroad Co., Ltd. | 9,000 | 192,183 | |||
Nishio Rent All Co., Ltd. | 2,900 | 57,571 | |||
Nissan Chemical Corp. | 20,800 | 956,903 | |||
Nissan Motor Co., Ltd. | 382,800 | 1,488,314 | |||
Nissan Shatai Co., Ltd. | 6,700 | 28,308 | |||
Nissha Co., Ltd. (c) | 4,100 | 44,394 | |||
Nisshin Oillio Group, Ltd. | 3,600 | 83,074 | |||
Nisshin Seifun Group, Inc. | 30,200 | 353,006 | |||
Nisshinbo Holdings, Inc. (c) | 27,200 | 204,418 | |||
Nissin Electric Co., Ltd. | 5,200 | 58,448 | |||
Nissin Foods Holdings Co., Ltd. | 10,300 | 710,397 | |||
Nitori Holdings Co., Ltd. | 12,700 | 1,205,451 | |||
Nitta Corp. | 3,000 | 60,925 | |||
Nittetsu Mining Co., Ltd. | 800 | 30,209 | |||
Nitto Boseki Co., Ltd. | 3,600 | 61,901 | |||
Nitto Denko Corp. | 23,400 | 1,512,289 | |||
Nitto Kogyo Corp. | 3,700 | 63,920 | |||
Noevir Holdings Co., Ltd. | 2,300 | 97,516 | |||
NOF Corp. | 9,700 | 359,140 | |||
Nohmi Bosai, Ltd. | 1,800 | 24,564 | |||
Nojima Corp. | 5,400 | 111,931 | |||
NOK Corp. | 14,600 | 118,644 | |||
Nomura Co., Ltd. | 11,200 | 76,670 | |||
Nomura Holdings, Inc. | 493,000 | 1,799,556 | |||
Nomura Real Estate Holdings, Inc. | 19,600 | 479,703 | |||
Nomura Real Estate Master Fund, Inc. REIT (b) | 687 | 856,632 |
Security Description | Shares | Value | |||
Nomura Research Institute, Ltd. | 55,200 | $ 1,466,799 | |||
Noritake Co., Ltd. | 3,300 | 97,891 | |||
Noritsu Koki Co., Ltd. | 2,100 | 35,522 | |||
Noritz Corp. | 6,800 | 72,427 | |||
North Pacific Bank, Ltd. | 27,700 | 45,468 | |||
NS Solutions Corp. | 4,800 | 127,901 | |||
NS United Kaiun Kaisha, Ltd. | 1,400 | 37,974 | |||
NSD Co., Ltd. | 9,100 | 158,415 | |||
NSK, Ltd. | 55,700 | 299,297 | |||
NTN Corp. (b) | 79,600 | 151,753 | |||
NTT Data Corp. | 102,200 | 1,411,263 | |||
NTT UD REIT Investment Corp. | 231 | 251,651 | |||
Obara Group, Inc. | 1,300 | 27,664 | |||
Obayashi Corp. | 102,000 | 739,538 | |||
OBIC Business Consultants Co., Ltd. | 3,900 | 133,919 | |||
Obic Co., Ltd. | 11,500 | 1,624,416 | |||
Odakyu Electric Railway Co., Ltd. | 44,700 | 600,475 | |||
Ogaki Kyoritsu Bank, Ltd. | 5,100 | 64,681 | |||
Ohsho Food Service Corp. | 1,900 | 97,759 | |||
Oiles Corp. | 4,900 | 55,040 | |||
Oisix ra daichi, Inc. (b)(c) | 3,700 | 45,019 | |||
Oji Holdings Corp. | 133,800 | 579,106 | |||
Okamoto Industries, Inc. (c) | 1,900 | 53,215 | |||
Okamura Corp. | 6,100 | 54,420 | |||
Okasan Securities Group, Inc. | 15,600 | 38,812 | |||
Oki Electric Industry Co., Ltd. | 10,000 | 54,543 | |||
Okinawa Cellular Telephone Co. | 1,500 | 59,733 | |||
Okinawa Electric Power Co., Inc. | 19,635 | 189,622 | |||
Okinawa Financial Group, Inc. | 2,300 | 37,076 | |||
OKUMA Corp. | 5,500 | 205,660 | |||
Okumura Corp. | 4,600 | 102,087 | |||
Olympus Corp. | 202,300 | 4,059,997 | |||
Omron Corp. | 30,100 | 1,526,768 | |||
One REIT, Inc. | 31 | 61,290 | |||
Ono Pharmaceutical Co., Ltd. | 59,900 | 1,535,253 | |||
Open House Group Co., Ltd. | 15,400 | 612,123 | |||
Optex Group Co., Ltd. (c) | 4,700 | 69,883 | |||
Optorun Co., Ltd. | 2,400 | 31,799 | |||
Oracle Corp. Japan | 5,800 | 335,564 | |||
Organo Corp. | 1,500 | 93,740 | |||
Orient Corp. | 55,000 | 51,820 | |||
Oriental Land Co., Ltd. | 32,700 | 4,554,002 | |||
ORIX Corp. | 195,900 | 3,281,943 | |||
Orix JREIT, Inc. | 397 | 538,275 | |||
Osaka Gas Co., Ltd. | 65,700 | 1,255,436 | |||
Osaka Organic Chemical Industry, Ltd. (c) | 1,600 | 26,051 | |||
Osaka Soda Co., Ltd. | 2,700 | 63,597 | |||
OSG Corp. | 15,000 | 174,009 |
Security Description | Shares | Value | |||
Otsuka Corp. | 17,200 | $ 509,587 | |||
Otsuka Holdings Co., Ltd. | 64,400 | 2,283,900 | |||
Outsourcing, Inc. | 22,100 | 168,367 | |||
Pacific Industrial Co., Ltd. | 3,700 | 28,569 | |||
Pacific Metals Co., Ltd. | 2,700 | 46,863 | |||
PAL GROUP Holdings Co., Ltd. | 4,400 | 58,265 | |||
PALTAC Corp. | 6,400 | 197,858 | |||
Pan Pacific International Holdings Corp. | 66,500 | 1,059,751 | |||
Panasonic Holdings Corp. | 364,200 | 2,939,497 | |||
Paramount Bed Holdings Co., Ltd. | 10,400 | 168,568 | |||
Park24 Co., Ltd. (b) | 25,800 | 356,458 | |||
Pasona Group, Inc. | 4,800 | 66,424 | |||
Penta-Ocean Construction Co., Ltd. | 45,600 | 245,697 | |||
PeptiDream, Inc. (b) | 14,700 | 153,866 | |||
Persol Holdings Co., Ltd. | 31,700 | 575,409 | |||
Pharma Foods International Co., Ltd. (c) | 2,400 | 24,891 | |||
Pigeon Corp. (c) | 17,400 | 238,353 | |||
Pilot Corp. (c) | 3,800 | 135,240 | |||
Piolax, Inc. | 2,400 | 35,367 | |||
PKSHA Technology, Inc. (b)(c) | 1,700 | 23,137 | |||
Plaid, Inc. (b)(c) | 1,800 | 5,578 | |||
Plenus Co., Ltd. | 4,100 | 60,208 | |||
Plus Alpha Consulting Co., Ltd. | 1,600 | 25,003 | |||
Pola Orbis Holdings, Inc. (c) | 14,500 | 178,348 | |||
Pressance Corp. | 1,700 | 18,895 | |||
Prestige International, Inc. | 14,500 | 72,150 | |||
Prima Meat Packers, Ltd. | 3,400 | 56,986 | |||
Raito Kogyo Co., Ltd. | 9,300 | 127,053 | |||
Raiznext Corp. | 6,900 | 58,103 | |||
Raksul, Inc. (b)(c) | 3,200 | 43,882 | |||
Rakus Co., Ltd. | 14,900 | 175,372 | |||
Rakuten Group, Inc. | 136,500 | 614,906 | |||
Recruit Holdings Co., Ltd. | 237,700 | 6,989,890 | |||
Relia, Inc. | 5,700 | 44,893 | |||
Relo Group, Inc. | 20,900 | 336,449 | |||
Renesas Electronics Corp. (b) | 205,000 | 1,860,550 | |||
Rengo Co., Ltd. | 26,600 | 144,107 | |||
RENOVA, Inc. (b)(c) | 4,800 | 86,492 | |||
Resona Holdings, Inc. | 349,902 | 1,308,639 | |||
Resorttrust, Inc. | 15,100 | 246,748 | |||
Restar Holdings Corp. | 4,300 | 60,359 | |||
Retail Partners Co., Ltd. | 8,600 | 72,165 | |||
Ricoh Co., Ltd. | 107,200 | 837,210 | |||
Ricoh Leasing Co., Ltd. | 2,100 | 54,025 | |||
Riken Keiki Co., Ltd. | 3,700 | 97,910 | |||
Riken Vitamin Co., Ltd. | 4,400 | 55,059 | |||
Ringer Hut Co., Ltd. | 4,000 | 68,573 | |||
Rinnai Corp. | 6,100 | 418,925 | |||
Riso Kagaku Corp. (c) | 1,800 | 29,387 |
Security Description | Shares | Value | |||
Riso Kyoiku Co., Ltd. | 12,100 | $ 28,412 | |||
Rohm Co., Ltd. | 14,400 | 1,002,716 | |||
Rohto Pharmaceutical Co., Ltd. | 16,200 | 467,440 | |||
Roland Corp. | 1,500 | 44,551 | |||
Rorze Corp. | 1,500 | 93,519 | |||
Round One Corp. | 8,600 | 96,663 | |||
Royal Holdings Co., Ltd. (c) | 2,800 | 49,176 | |||
RS Technologies Co., Ltd. | 800 | 37,216 | |||
Ryohin Keikaku Co., Ltd. | 38,200 | 388,875 | |||
Ryosan Co., Ltd. | 2,800 | 45,178 | |||
Ryoyo Electro Corp. | 4,900 | 80,828 | |||
S Foods, Inc. | 2,700 | 61,908 | |||
Saibu Gas Holdings Co., Ltd. | 2,400 | 33,336 | |||
Saizeriya Co., Ltd. | 4,300 | 85,079 | |||
Sakai Moving Service Co., Ltd. | 1,200 | 40,102 | |||
Sakata INX Corp. (c) | 6,900 | 46,422 | |||
Sakata Seed Corp. | 4,200 | 141,438 | |||
SAMTY Co., Ltd. | 4,100 | 60,841 | |||
Samty Residential Investment Corp. REIT | 129 | 128,853 | |||
San-A Co., Ltd. | 2,700 | 81,484 | |||
San-Ai Oil Co., Ltd. | 7,300 | 51,746 | |||
SanBio Co., Ltd. (b)(c) | 2,600 | 20,267 | |||
Sangetsu Corp. | 11,700 | 134,177 | |||
San-In Godo Bank, Ltd. | 20,900 | 100,612 | |||
Sanken Electric Co., Ltd. | 3,300 | 114,409 | |||
Sanki Engineering Co., Ltd. | 7,100 | 80,274 | |||
Sankyo Co., Ltd. | 8,800 | 265,901 | |||
Sankyu, Inc. | 7,600 | 218,174 | |||
Sanrio Co., Ltd. | 6,700 | 152,144 | |||
Sansan, Inc. (b)(c) | 11,600 | 78,554 | |||
Santen Pharmaceutical Co., Ltd. | 54,400 | 426,054 | |||
Sanwa Holdings Corp. | 26,700 | 255,493 | |||
Sanyo Chemical Industries, Ltd. | 1,300 | 45,501 | |||
Sanyo Denki Co., Ltd. | 1,500 | 57,635 | |||
Sanyo Special Steel Co., Ltd. | 8,000 | 115,712 | |||
Sapporo Holdings, Ltd. | 9,400 | 208,266 | |||
Sato Holdings Corp. | 2,600 | 35,712 | |||
Sawai Group Holdings Co., Ltd. | 7,900 | 239,288 | |||
SB Technology Corp. | 1,400 | 22,362 | |||
SBI Holdings, Inc. | 39,700 | 775,853 | |||
SBS Holdings, Inc. | 8,700 | 174,506 | |||
SCREEN Holdings Co., Ltd. (c) | 6,300 | 425,240 | |||
SCSK Corp. | 23,600 | 398,849 | |||
Secom Co., Ltd. | 34,000 | 2,097,987 | |||
Sega Sammy Holdings, Inc. | 27,800 | 445,684 | |||
Seibu Holdings, Inc. | 42,700 | 448,829 | |||
Seiko Epson Corp. | 46,100 | 651,518 | |||
Seiko Holdings Corp. | 2,900 | 61,862 | |||
Seino Holdings Co., Ltd. | 21,700 | 173,466 | |||
Seiren Co., Ltd. (c) | 6,100 | 90,655 |
Security Description | Shares | Value | |||
Sekisui Chemical Co., Ltd. | 59,200 | $ 809,204 | |||
Sekisui House REIT, Inc. | 632 | 374,022 | |||
Sekisui House, Ltd. | 156,200 | 2,732,393 | |||
Sekisui Jushi Corp. | 3,600 | 44,677 | |||
Senko Group Holdings Co., Ltd. | 21,600 | 139,596 | |||
Septeni Holdings Co., Ltd. (c) | 11,000 | 42,347 | |||
Seria Co., Ltd. | 9,800 | 173,847 | |||
Seven & i Holdings Co., Ltd. | 123,900 | 4,803,513 | |||
Seven Bank, Ltd. | 89,200 | 170,055 | |||
SG Holdings Co., Ltd. | 61,600 | 1,037,889 | |||
Sharp Corp. | 40,400 | 311,947 | |||
Shibaura Machine Co., Ltd. | 2,900 | 56,376 | |||
Shibuya Corp. | 1,200 | 20,696 | |||
SHIFT, Inc. (b) | 2,100 | 272,982 | |||
Shiga Bank, Ltd. | 4,200 | 85,481 | |||
Shikoku Chemicals Corp. | 6,600 | 60,289 | |||
Shikoku Electric Power Co., Inc. | 23,200 | 135,079 | |||
Shima Seiki Manufacturing, Ltd. (c) | 2,400 | 36,904 | |||
Shimadzu Corp. | 39,100 | 1,234,691 | |||
Shimamura Co., Ltd. | 3,600 | 315,601 | |||
Shimano, Inc. | 12,100 | 2,041,382 | |||
Shimizu Corp. | 82,600 | 456,001 | |||
Shin-Etsu Chemical Co., Ltd. | 61,800 | 6,959,920 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 87,800 | |||
Shinko Electric Industries Co., Ltd. | 11,900 | 306,577 | |||
Shinmaywa Industries, Ltd. | 5,600 | 44,518 | |||
Shinsei Bank, Ltd. | 18,300 | 275,466 | |||
Shionogi & Co., Ltd. | 42,900 | 2,164,657 | |||
Ship Healthcare Holdings, Inc. | 11,300 | 200,706 | |||
Shiseido Co., Ltd. | 66,000 | 2,645,733 | |||
Shizuoka Bank, Ltd. | 67,500 | 404,935 | |||
Shizuoka Gas Co., Ltd. (c) | 8,100 | 54,197 | |||
SHO-BOND Holdings Co., Ltd. | 7,500 | 329,579 | |||
Shochiku Co., Ltd. (b) | 2,800 | 248,147 | |||
Shoei Co., Ltd. | 3,200 | 125,075 | |||
Shoei Foods Corp. (c) | 2,300 | 63,318 | |||
Showa Denko KK | 26,600 | 451,508 | |||
Showa Sangyo Co., Ltd. | 2,400 | 44,907 | |||
Siix Corp. (c) | 3,200 | 22,400 | |||
Simplex Holdings, Inc. | 4,100 | 52,210 | |||
SKY Perfect JSAT Holdings, Inc. | 14,300 | 56,840 | |||
Skylark Holdings Co., Ltd. (b)(c) | 34,600 | 404,692 | |||
SMC Corp. | 9,400 | 4,184,005 | |||
SMS Co., Ltd. | 12,500 | 246,034 | |||
Snow Peak, Inc. (c) | 3,200 | 63,927 | |||
Softbank Corp. | 470,000 | 5,211,844 | |||
SoftBank Group Corp. | 198,900 | 7,664,359 | |||
Sohgo Security Services Co., Ltd. | 10,700 | 296,927 |
Security Description | Shares | Value | |||
Sojitz Corp. | 39,220 | $ 554,574 | |||
Solasto Corp. | 6,300 | 33,806 | |||
Sompo Holdings, Inc. | 51,500 | 2,268,039 | |||
Sony Group Corp. | 207,400 | 16,937,934 | |||
Sosei Group Corp. (b)(c) | 13,900 | 115,616 | |||
SOSiLA Logistics REIT, Inc. | 112 | 119,374 | |||
Sotetsu Holdings, Inc. | 18,600 | 321,329 | |||
S-Pool, Inc. | 7,200 | 59,569 | |||
Square Enix Holdings Co., Ltd. | 13,500 | 597,218 | |||
SRE Holdings Corp. (b) | 800 | 13,420 | |||
Stanley Electric Co., Ltd. | 18,900 | 309,957 | |||
Star Asia Investment Corp. REIT | 230 | 103,949 | |||
Star Micronics Co., Ltd. | 4,800 | 57,343 | |||
Starts Corp., Inc. | 4,500 | 92,315 | |||
Starts Proceed Investment Corp. REIT | 62 | 110,350 | |||
Strike Co., Ltd. | 1,300 | 32,535 | |||
Subaru Corp. | 100,700 | 1,787,480 | |||
Sugi Holdings Co., Ltd. | 6,600 | 289,058 | |||
SUMCO Corp. | 59,600 | 771,679 | |||
Sumitomo Bakelite Co., Ltd. | 4,800 | 143,624 | |||
Sumitomo Chemical Co., Ltd. | 245,700 | 960,338 | |||
Sumitomo Corp. | 185,700 | 2,538,331 | |||
Sumitomo Densetsu Co., Ltd. | 1,800 | 34,369 | |||
Sumitomo Electric Industries, Ltd. | 121,000 | 1,335,093 | |||
Sumitomo Forestry Co., Ltd. (c) | 21,300 | 301,497 | |||
Sumitomo Heavy Industries, Ltd. | 18,200 | 401,229 | |||
Sumitomo Metal Mining Co., Ltd. | 40,800 | 1,276,361 | |||
Sumitomo Mitsui Construction Co., Ltd. | 22,100 | 75,155 | |||
Sumitomo Mitsui Financial Group, Inc. | 214,800 | 6,374,985 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 55,700 | 1,713,783 | |||
Sumitomo Osaka Cement Co., Ltd. | 4,800 | 118,891 | |||
Sumitomo Pharma Co., Ltd. (c) | 27,100 | 217,630 | |||
Sumitomo Realty & Development Co., Ltd. | 51,000 | 1,345,059 | |||
Sumitomo Rubber Industries, Ltd. (c) | 25,900 | 220,957 | |||
Sumitomo Warehouse Co., Ltd. | 10,700 | 157,915 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 47,730 | |||
Sundrug Co., Ltd. | 16,200 | 361,312 | |||
Suntory Beverage & Food, Ltd. | 22,300 | 842,067 | |||
Suruga Bank, Ltd. | 34,300 | 92,658 | |||
Suzuken Co., Ltd. | 11,400 | 321,806 |
Security Description | Shares | Value | |||
Suzuki Motor Corp. | 59,700 | $ 1,873,768 | |||
Sysmex Corp. | 27,500 | 1,652,976 | |||
Systena Corp. | 40,900 | 118,616 | |||
T Hasegawa Co., Ltd. | 4,000 | 81,234 | |||
T&D Holdings, Inc. | 85,100 | 1,017,279 | |||
Tadano, Ltd. | 23,700 | 155,784 | |||
Taihei Dengyo Kaisha, Ltd. | 3,100 | 67,337 | |||
Taiheiyo Cement Corp. | 17,900 | 266,810 | |||
Taikisha, Ltd. | 3,300 | 77,244 | |||
Taisei Corp. | 31,500 | 979,629 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,700 | 224,887 | |||
Taiyo Holdings Co., Ltd. | 5,000 | 104,781 | |||
Taiyo Yuden Co., Ltd. | 18,000 | 610,798 | |||
Takamatsu Construction Group Co., Ltd. | 1,300 | 19,741 | |||
Takara Bio, Inc. | 7,300 | 103,384 | |||
Takara Holdings, Inc. | 21,100 | 156,089 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 73,391 | |||
Takara Standard Co., Ltd. | 3,300 | 30,363 | |||
Takasago International Corp. | 2,900 | 51,957 | |||
Takasago Thermal Engineering Co., Ltd. | 6,800 | 80,636 | |||
Takashimaya Co., Ltd. | 20,500 | 200,692 | |||
Takeda Pharmaceutical Co., Ltd. | 256,238 | 7,201,183 | |||
Takeuchi Manufacturing Co., Ltd. | 5,200 | 88,839 | |||
Takuma Co., Ltd. | 9,400 | 91,817 | |||
Tama Home Co., Ltd. (c) | 2,200 | 39,675 | |||
Tamron Co., Ltd. | 2,900 | 53,665 | |||
TBS Holdings, Inc. | 5,200 | 65,031 | |||
TDK Corp. | 63,000 | 1,943,027 | |||
TechMatrix Corp. | 5,400 | 66,737 | |||
TechnoPro Holdings, Inc. | 19,700 | 393,985 | |||
Teijin, Ltd. | 29,700 | 308,904 | |||
Tenma Corp. | 3,800 | 64,333 | |||
Terumo Corp. | 119,000 | 3,580,818 | |||
T-Gaia Corp. | 5,400 | 64,313 | |||
THK Co., Ltd. | 18,400 | 344,962 | |||
TIS, Inc. | 38,200 | 999,603 | |||
TKC Corp. | 4,400 | 106,555 | |||
Toa Corp. | 2,000 | 36,583 | |||
Toagosei Co., Ltd. | 18,700 | 138,886 | |||
Tobu Railway Co., Ltd. | 31,100 | 708,509 | |||
TOC Co., Ltd. | 8,700 | 46,044 | |||
Tocalo Co., Ltd. | 8,100 | 73,514 | |||
Toda Corp. | 34,200 | 181,252 | |||
Toei Animation Co., Ltd. (c) | 1,400 | 111,295 | |||
Toei Co., Ltd. | 800 | 104,700 | |||
Toenec Corp. | 1,200 | 30,915 | |||
Toho Bank, Ltd. | 30,200 | 46,238 | |||
Toho Co., Ltd. | 18,500 | 667,936 | |||
Toho Gas Co., Ltd. | 11,300 | 272,404 | |||
Toho Holdings Co., Ltd. | 11,800 | 182,314 | |||
Toho Titanium Co., Ltd. | 4,900 | 79,710 |
Security Description | Shares | Value | |||
Tohoku Electric Power Co., Inc. | 67,200 | $ 359,607 | |||
Tokai Carbon Co., Ltd. (c) | 33,400 | 254,209 | |||
Tokai Corp. | 2,300 | 28,188 | |||
TOKAI Holdings Corp. | 14,600 | 95,324 | |||
Tokai Rika Co., Ltd. | 7,800 | 84,973 | |||
Tokai Tokyo Financial Holdings, Inc. | 29,600 | 80,615 | |||
Token Corp. | 1,100 | 62,427 | |||
Tokio Marine Holdings, Inc. | 102,700 | 5,974,297 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 46,447 | |||
Tokuyama Corp. | 9,300 | 118,154 | |||
Tokyo Century Corp. | 5,200 | 171,860 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 282,900 | 1,180,702 | |||
Tokyo Electron, Ltd. | 24,500 | 7,989,032 | |||
Tokyo Gas Co., Ltd. | 66,500 | 1,374,005 | |||
Tokyo Ohka Kogyo Co., Ltd. | 4,800 | 234,603 | |||
Tokyo Seimitsu Co., Ltd. | 5,200 | 170,711 | |||
Tokyo Steel Manufacturing Co., Ltd. | 15,900 | 175,087 | |||
Tokyo Tatemono Co., Ltd. (c) | 28,500 | 392,083 | |||
Tokyotokeiba Co., Ltd. | 1,600 | 46,226 | |||
Tokyu Construction Co., Ltd. | 9,200 | 43,137 | |||
Tokyu Corp. | 90,000 | 1,058,629 | |||
Tokyu Fudosan Holdings Corp. | 92,400 | 485,618 | |||
Tokyu REIT, Inc. | 123 | 179,989 | |||
TOMONY Holdings, Inc. | 28,300 | 64,993 | |||
Tomy Co., Ltd. | 12,400 | 124,406 | |||
Topcon Corp. | 14,800 | 192,605 | |||
TOPPAN, INC. | 41,000 | 684,163 | |||
Topre Corp. | 2,800 | 20,507 | |||
Toray Industries, Inc. | 228,700 | 1,281,414 | |||
Toridoll Holdings Corp. (c) | 6,600 | 112,028 | |||
Torii Pharmaceutical Co., Ltd. | 3,800 | 89,787 | |||
Tosei Corp. | 5,700 | 52,865 | |||
Toshiba Corp. | 64,300 | 2,610,243 | |||
Toshiba TEC Corp. | 4,700 | 150,145 | |||
Tosho Co., Ltd. | 2,300 | 21,061 | |||
Tosoh Corp. | 39,300 | 487,435 | |||
Totetsu Kogyo Co., Ltd. | 2,900 | 51,722 | |||
TOTO, Ltd. | 23,300 | 768,349 | |||
Towa Pharmaceutical Co., Ltd. | 2,800 | 50,763 | |||
Toyo Construction Co., Ltd. | 16,800 | 109,935 | |||
Toyo Gosei Co., Ltd. (c) | 500 | 30,253 | |||
Toyo Ink SC Holdings Co., Ltd. | 4,100 | 57,401 | |||
Toyo Seikan Group Holdings, Ltd. | 20,700 | 216,211 | |||
Toyo Suisan Kaisha, Ltd. | 13,300 | 517,883 | |||
Toyo Tanso Co., Ltd. (c) | 1,800 | 37,430 | |||
Toyo Tire Corp. | 16,300 | 203,248 | |||
Toyobo Co., Ltd. | 20,100 | 148,248 | |||
Toyoda Gosei Co., Ltd. | 12,600 | 198,755 |
Security Description | Shares | Value | |||
Toyota Boshoku Corp. | 12,400 | $ 183,917 | |||
Toyota Industries Corp. | 23,400 | 1,446,837 | |||
Toyota Motor Corp. | 1,748,840 | 27,032,969 | |||
Toyota Tsusho Corp. | 34,000 | 1,108,682 | |||
Trancom Co., Ltd. | 1,300 | 65,356 | |||
Transcosmos, Inc. | 3,700 | 94,914 | |||
TRE Holdings Corp. | 5,800 | 80,390 | |||
Trend Micro, Inc. | 25,000 | 1,218,211 | |||
Tri Chemical Laboratories, Inc. | 3,600 | 58,059 | |||
Trusco Nakayama Corp. | 8,700 | 109,891 | |||
TS Tech Co., Ltd. | 11,600 | 120,137 | |||
Tsubakimoto Chain Co. | 3,800 | 84,892 | |||
Tsugami Corp. | 4,400 | 36,533 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 33,377 | |||
Tsumura & Co. | 7,900 | 177,067 | |||
Tsuruha Holdings, Inc. | 6,000 | 325,494 | |||
TV Asahi Holdings Corp. | 1,900 | 20,671 | |||
UACJ Corp. | 3,400 | 51,680 | |||
UBE Corp. | 19,000 | 282,088 | |||
Ulvac, Inc. (c) | 7,900 | 268,654 | |||
Unicharm Corp. | 66,400 | 2,218,954 | |||
Union Tool Co. | 2,400 | 56,884 | |||
United Arrows, Ltd. | 2,300 | 35,400 | |||
United Super Markets Holdings, Inc. | 5,500 | 43,197 | |||
United Urban Investment Corp. REIT | 465 | 487,060 | |||
Universal Entertainment Corp. (b) | 3,600 | 38,556 | |||
Usen-Next Holdings Co., Ltd. (c) | 5,600 | 79,968 | |||
Ushio, Inc. | 13,700 | 169,214 | |||
USS Co., Ltd. | 63,100 | 1,091,030 | |||
UT Group Co., Ltd. | 3,200 | 52,644 | |||
Valor Holdings Co., Ltd. | 4,500 | 60,450 | |||
ValueCommerce Co., Ltd. | 1,500 | 34,614 | |||
Vector, Inc. | 3,200 | 22,754 | |||
Vision, Inc. (b)(c) | 2,300 | 21,856 | |||
Visional, Inc. (b)(c) | 1,700 | 76,206 | |||
VT Holdings Co., Ltd. | 20,000 | 70,958 | |||
Wacoal Holdings Corp. | 7,800 | 123,096 | |||
Wacom Co., Ltd. | 24,300 | 150,248 | |||
Wakita & Co., Ltd. | 7,000 | 61,573 | |||
WDB Holdings Co., Ltd. (c) | 4,900 | 82,992 | |||
WealthNavi, Inc. (b)(c) | 2,800 | 36,439 | |||
Weathernews, Inc. | 2,600 | 126,885 | |||
Welcia Holdings Co., Ltd. | 14,200 | 284,303 | |||
West Holdings Corp. (c) | 3,110 | 83,556 | |||
West Japan Railway Co. | 36,200 | 1,329,905 | |||
Workman Co., Ltd. (c) | 3,300 | 128,983 | |||
Yakult Honsha Co., Ltd. | 21,200 | 1,221,862 | |||
YAMABIKO Corp. (c) | 6,300 | 53,097 | |||
Yamada Holdings Co., Ltd. | 125,200 | 449,727 | |||
Yamaguchi Financial Group, Inc. | 30,000 | 164,293 | |||
Yamaha Corp. | 22,700 | 935,704 |
Security Description | Shares | Value | ||||
Yamaha Motor Co., Ltd. (c) | 47,800 | $ 874,688 | ||||
YA-MAN, Ltd. | 3,100 | 39,430 | ||||
Yamato Holdings Co., Ltd. | 60,500 | 966,361 | ||||
Yamato Kogyo Co., Ltd. | 7,700 | 254,485 | ||||
Yamazaki Baking Co., Ltd. | 24,500 | 298,822 | ||||
Yamazen Corp. | 8,300 | 60,606 | ||||
Yaoko Co., Ltd. | 2,600 | 116,551 | ||||
Yaskawa Electric Corp. | 38,800 | 1,248,066 | ||||
Yellow Hat, Ltd. | 4,700 | 59,435 | ||||
Yodogawa Steel Works, Ltd. | 1,700 | 28,180 | ||||
Yokogawa Bridge Holdings Corp. | 3,400 | 48,877 | ||||
Yokogawa Electric Corp. | 42,100 | 694,462 | ||||
Yokohama Reito Co., Ltd. | 11,000 | 71,252 | ||||
Yokohama Rubber Co., Ltd. (c) | 17,100 | 231,222 | ||||
Yokowo Co., Ltd. (c) | 1,700 | 26,053 | ||||
Yonex Co., Ltd. | 14,000 | 117,787 | ||||
Yoshinoya Holdings Co., Ltd. (c) | 14,000 | 257,009 | ||||
Yuasa Trading Co., Ltd. | 3,200 | 79,025 | ||||
Yurtec Corp. | 5,500 | 29,877 | ||||
Z Holdings Corp. | 425,500 | 1,241,531 | ||||
Zenkoku Hosho Co., Ltd. | 9,100 | 284,679 | ||||
Zenrin Co., Ltd. | 3,600 | 24,458 | ||||
Zensho Holdings Co., Ltd. | 14,800 | 355,143 | ||||
Zeon Corp. | 19,300 | 186,671 | ||||
ZERIA Pharmaceutical Co., Ltd. | 2,600 | 41,051 | ||||
Zojirushi Corp. (c) | 5,000 | 50,826 | ||||
ZOZO, Inc. | 18,800 | 338,346 | ||||
Zuken, Inc. | 1,600 | 35,980 | ||||
621,171,487 | ||||||
JERSEY — 0.0% (a) | ||||||
JTC PLC (d) | 17,708 | 126,882 | ||||
Sanne Group PLC (b) | 28,034 | 308,456 | ||||
435,338 | ||||||
JORDAN — 0.0% (a) | ||||||
Hikma Pharmaceuticals PLC | 27,226 | 534,820 | ||||
KENYA — 0.0% (a) | ||||||
Vivo Energy PLC (d) | 59,856 | 106,130 | ||||
KUWAIT — 0.2% | ||||||
Agility Public Warehousing Co. KSC | 372,202 | 985,990 | ||||
Al Ahli Bank of Kuwait KSCP | 47,773 | 49,812 | ||||
Boubyan Bank KSCP | 205,764 | 518,265 | ||||
Boubyan Petrochemicals Co. KSCP | 46,160 | 138,826 | ||||
Burgan Bank SAK | 147,195 | 115,588 | ||||
Gulf Bank KSCP | 171,150 | 177,898 | ||||
Humansoft Holding Co. KSC | 9,000 | 90,763 | ||||
Kuwait Finance House KSCP | 762,153 | 2,163,034 | ||||
Kuwait International Bank KSCP | 162,500 | 109,075 |
Security Description | Shares | Value | ||||
Kuwait Projects Co. Holding KSCP | 194,949 | $ 93,377 | ||||
Mabanee Co. KPSC | 66,292 | 162,652 | ||||
Mezzan Holding Co. KSCC | 29,758 | 41,015 | ||||
Mobile Telecommunications Co. KSCP | 355,817 | 688,678 | ||||
National Bank of Kuwait SAKP | 1,136,115 | 3,861,088 | ||||
National Industries Group Holding SAK | 291,600 | 240,387 | ||||
Qurain Petrochemical Industries Co. | 111,227 | 114,163 | ||||
Shamal Az-Zour Al-Oula for the First Phase of Az-Zour Power Plant KSC | 68,318 | 46,080 | ||||
Warba Bank KSCP (b) | 149,233 | 118,161 | ||||
9,714,852 | ||||||
LIECHTENSTEIN — 0.0% (a) | ||||||
Implantica AG SDR (b) | 2,687 | 12,337 | ||||
LUXEMBOURG — 0.1% | ||||||
APERAM SA | 7,659 | 212,188 | ||||
ArcelorMittal SA | 104,617 | 2,352,588 | ||||
B&S Group Sarl (d) | 10,280 | 53,736 | ||||
Eurofins Scientific SE | 21,511 | 1,688,450 | ||||
Global Fashion Group SA (b) | 11,973 | 18,113 | ||||
Reinet Investments SCA | 23,256 | 405,711 | ||||
SES SA | 62,178 | 542,263 | ||||
5,273,049 | ||||||
MACAU — 0.1% | ||||||
Galaxy Entertainment Group, Ltd. | 350,000 | 2,087,435 | ||||
MECOM Power and Construction, Ltd. (c) | 252,000 | 75,790 | ||||
MGM China Holdings, Ltd. (b)(c) | 261,200 | 148,126 | ||||
Sands China, Ltd. (b) | 410,000 | 978,113 | ||||
SJM Holdings, Ltd. (b) | 417,000 | 189,184 | ||||
Wynn Macau, Ltd. (b)(c) | 325,600 | 221,162 | ||||
3,699,810 | ||||||
MALAYSIA — 0.5% | ||||||
Sports Toto Bhd | 115,544 | 47,974 | ||||
Alliance Bank Malaysia Bhd | 140,600 | 101,443 | ||||
AMMB Holdings Bhd | 372,600 | 315,326 | ||||
Axiata Group Bhd | 730,611 | 469,116 | ||||
Axis Real Estate Investment Trust | 239,618 | 104,383 | ||||
Bank Islam Malaysia Bhd | 62,000 | 37,699 | ||||
Bermaz Auto Bhd | 173,300 | 66,843 | ||||
British American Tobacco Malaysia Bhd | 23,500 | 57,584 | ||||
Bursa Malaysia Bhd | 132,900 | 199,915 | ||||
Carlsberg Brewery Malaysia Bhd Class B | 27,200 | 138,731 | ||||
CIMB Group Holdings Bhd | 1,223,387 | 1,376,744 | ||||
CTOS Digital Bhd | 342,900 | 98,805 |
Security Description | Shares | Value | |||
D&O Green Technologies Bhd | 50,200 | $ 43,850 | |||
Dialog Group Bhd | 573,500 | 277,154 | |||
DiGi.Com Bhd | 722,300 | 573,579 | |||
DRB-Hicom Bhd | 194,800 | 53,037 | |||
Fraser & Neave Holdings Bhd | 40,800 | 196,247 | |||
Frencken Group, Ltd. | 40,300 | 32,143 | |||
Frontken Corp. Bhd | 92,850 | 48,242 | |||
Gamuda Bhd | 282,616 | 229,555 | |||
Genting Bhd | 683,000 | 703,533 | |||
Genting Malaysia Bhd | 880,900 | 567,613 | |||
Genting Plantations Bhd | 53,800 | 78,732 | |||
Greatech Technology Bhd (b) | 38,300 | 31,804 | |||
HAP Seng Consolidated Bhd | 67,500 | 109,195 | |||
Hartalega Holdings Bhd | 224,200 | 155,656 | |||
Heineken Malaysia Bhd | 28,800 | 150,420 | |||
Hong Leong Bank Bhd | 171,432 | 795,802 | |||
Hong Leong Financial Group Bhd | 57,800 | 242,609 | |||
Hong Seng Consolidated Bhd (b) | 590,000 | 109,767 | |||
IGB Real Estate Investment Trust | 371,200 | 134,752 | |||
IHH Healthcare Bhd | 282,500 | 413,415 | |||
IJM Corp. Bhd | 331,300 | 130,039 | |||
Inari Amertron Bhd | 485,100 | 290,565 | |||
IOI Corp. Bhd | 455,200 | 396,589 | |||
IOI Properties Group Bhd | 371,500 | 84,288 | |||
Kossan Rubber Industries Bhd | 156,300 | 46,810 | |||
KPJ Healthcare Bhd | 237,200 | 44,937 | |||
Kuala Lumpur Kepong Bhd | 69,469 | 345,808 | |||
Magnum Bhd | 110,393 | 41,828 | |||
Malakoff Corp. Bhd | 123,000 | 17,581 | |||
Malayan Banking Bhd | 921,865 | 1,796,669 | |||
Malaysia Airports Holdings Bhd (b) | 173,224 | 259,394 | |||
Malaysia Building Society Bhd | 371,600 | 48,900 | |||
Malaysian Pacific Industries Bhd | 23,900 | 151,832 | |||
Maxis Bhd | 577,200 | 432,163 | |||
Mega First Corp. BHD | 55,600 | 44,026 | |||
Mi Technovation Bhd | 17,800 | 6,219 | |||
MISC Bhd | 215,100 | 346,503 | |||
My EG Services Bhd | 1,041,890 | 208,023 | |||
Nestle Malaysia Bhd | 19,800 | 595,685 | |||
Pentamaster Corp. Bhd | 53,300 | 44,623 | |||
Petronas Chemicals Group Bhd | 385,500 | 787,181 | |||
Petronas Dagangan Bhd | 50,900 | 243,904 | |||
Petronas Gas Bhd | 126,100 | 470,354 | |||
PPB Group Bhd | 132,480 | 476,718 | |||
Press Metal Aluminium Holdings Bhd | 482,100 | 520,657 | |||
Public Bank Bhd | 2,645,600 | 2,623,091 |
Security Description | Shares | Value | ||||
QL Resources Bhd | 177,750 | $ 209,711 | ||||
RHB Bank Bhd | 369,763 | 480,713 | ||||
Scientex Bhd | 136,600 | 107,235 | ||||
Sime Darby Bhd | 350,035 | 169,160 | ||||
Sime Darby Plantation Bhd | 312,943 | 307,440 | ||||
Sime Darby Property Bhd | 142,535 | 14,553 | ||||
SKP Resources Bhd | 339,125 | 120,800 | ||||
SP Setia Bhd Group | 134,214 | 20,707 | ||||
Sunway Bhd | 241,400 | 93,109 | ||||
Sunway Real Estate Investment Trust | 449,800 | 152,059 | ||||
Supermax Corp. Bhd | 400,272 | 79,464 | ||||
Syarikat Takaful Malaysia Keluarga Bhd | 36,789 | 26,961 | ||||
Telekom Malaysia Bhd | 257,503 | 306,725 | ||||
Tenaga Nasional Bhd | 470,200 | 851,321 | ||||
TIME dotCom Bhd | 123,300 | 122,531 | ||||
Top Glove Corp. Bhd | 856,900 | 202,195 | ||||
United Plantations Bhd | 33,700 | 107,045 | ||||
UWC Bhd | 40,400 | 30,157 | ||||
ViTrox Corp. Bhd | 70,600 | 115,331 | ||||
VS Industry Bhd | 444,000 | 100,234 | ||||
Yinson Holdings Bhd | 197,960 | 89,829 | ||||
YTL Corp. Bhd | 970,500 | 128,813 | ||||
YTL Power International Bhd | 329,600 | 51,225 | ||||
22,303,373 | ||||||
MALTA — 0.0% (a) | ||||||
Kambi Group PLC (b)(c) | 4,950 | 80,862 | ||||
Kindred Group PLC SDR | 37,113 | 308,062 | ||||
Media & Games Invest SE (b) | 11,300 | 27,065 | ||||
415,989 | ||||||
MEXICO — 0.6% | ||||||
Alfa SAB de CV Class A | 517,600 | 366,347 | ||||
Alsea SAB de CV (b) | 104,100 | 196,480 | ||||
America Movil SAB de CV Series L | 5,267,600 | 5,365,311 | ||||
Arca Continental SAB de CV | 78,800 | 517,502 | ||||
Banco del Bajio SA (d) | 139,700 | 279,113 | ||||
Bolsa Mexicana de Valores SAB de CV | 116,900 | 206,791 | ||||
Cemex SAB de CV Series CPO (b) | 2,435,964 | 945,373 | ||||
Coca-Cola Femsa SAB de CV | 93,560 | 516,311 | ||||
Concentradora Fibra Danhos SA de CV REIT | 88,800 | 98,766 | ||||
Controladora Vuela Cia de Aviacion SAB de CV Class A (b) | 174,300 | 178,829 | ||||
Corp. Inmobiliaria Vesta SAB de CV | 142,000 | 263,227 | ||||
Fibra Uno Administracion SA de CV REIT | 527,200 | 523,392 | ||||
Fomento Economico Mexicano SAB de CV | 305,000 | 2,052,305 |
Security Description | Shares | Value | |||
GCC SAB de CV (c) | 39,000 | $ 242,999 | |||
Genomma Lab Internacional SAB de CV Class B (c) | 212,600 | 212,118 | |||
Gentera SAB de CV | 285,400 | 227,887 | |||
Gruma SAB de CV Class B (c) | 38,450 | 424,125 | |||
Grupo Aeroportuario del Centro Norte SAB de CV | 54,054 | 344,593 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 61,500 | 853,774 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 35,635 | 698,067 | |||
Grupo Bimbo SAB de CV Class A | 266,100 | 862,172 | |||
Grupo Carso SAB de CV Series A1 | 102,200 | 379,658 | |||
Grupo Comercial Chedraui SA de CV | 58,995 | 159,127 | |||
Grupo Financiero Banorte SAB de CV Series O | 404,900 | 2,251,100 | |||
Grupo Financiero Inbursa SAB de CV Series O (b)(c) | 399,200 | 633,552 | |||
Grupo Herdez SAB de CV | 61,517 | 81,410 | |||
Grupo Mexico SAB de CV Class B | 489,900 | 2,021,931 | |||
Grupo Rotoplas SAB de CV | 110,255 | 136,290 | |||
Grupo Televisa SAB Series CPO | 405,200 | 662,957 | |||
Grupo Traxion SAB de CV (b)(c)(d) | 93,900 | 127,569 | |||
Industrias Penoles SAB de CV | 26,420 | 243,828 | |||
Kimberly-Clark de Mexico SAB de CV Class A (c) | 264,700 | 357,250 | |||
La Comer SAB de CV (c) | 115,600 | 214,690 | |||
Macquarie Mexico Real Estate Management SA de CV REIT (d) | 194,700 | 242,510 | |||
Nemak SAB de CV (b)(d) | 609,961 | 120,325 | |||
Operadora De Sites Mexicanos SAB de CV (c) | 239,200 | 276,359 | |||
Orbia Advance Corp. SAB de CV | 197,557 | 460,802 | |||
PLA Administradora Industrial S de RL de CV REIT | 187,600 | 249,938 | |||
Prologis Property Mexico SA de CV REIT | 107,914 | 282,090 | |||
Promotora y Operadora de Infraestructura SAB de CV | 43,590 | 318,265 | |||
Qualitas Controladora SAB de CV (c) | 41,700 | 191,224 | |||
Regional SAB de CV | 49,700 | 234,240 | |||
Wal-Mart de Mexico SAB de CV | 814,900 | 2,800,244 | |||
27,820,841 |
Security Description | Shares | Value | ||||
MONGOLIA — 0.0% (a) | ||||||
Turquoise Hill Resources, Ltd. (b) | 17,270 | $ 461,622 | ||||
NETHERLANDS — 2.8% | ||||||
Aalberts NV | 16,313 | 634,254 | ||||
ABN AMRO Bank NV (d) | 72,493 | 812,066 | ||||
Adyen NV (b)(d) | 3,546 | 5,145,546 | ||||
Aegon NV | 290,308 | 1,252,858 | ||||
Akzo Nobel NV | 30,361 | 1,987,615 | ||||
Alfen Beheer B.V. (b)(d) | 3,697 | 340,741 | ||||
AMG Advanced Metallurgical Group NV | 5,803 | 149,242 | ||||
Arcadis NV | 12,265 | 411,600 | ||||
Argenx SE (b) | 7,796 | 2,913,742 | ||||
ASM International NV | 7,585 | 1,892,035 | ||||
ASML Holding NV | 67,022 | 31,940,563 | ||||
ASR Nederland NV | 22,137 | 892,630 | ||||
Basic-Fit NV (b)(c)(d) | 7,846 | 295,950 | ||||
BE Semiconductor Industries NV | 10,709 | 513,548 | ||||
Boskalis Westminster | 12,534 | 419,317 | ||||
Brunel International NV | 7,083 | 76,863 | ||||
CM.com NV (b)(c) | 3,999 | 56,482 | ||||
Corbion NV | 10,434 | 314,811 | ||||
Eurocommercial Properties NV | 7,494 | 160,923 | ||||
Euronext NV (d) | 13,819 | 1,125,427 | ||||
EXOR NV | 18,468 | 1,148,402 | ||||
Fastned B.V. (b)(c) | 521 | 13,922 | ||||
Flow Traders (d) | 4,876 | 139,267 | ||||
Fugro NV (b) | 15,515 | 195,291 | ||||
Heineken Holding NV | 18,660 | 1,354,837 | ||||
Heineken NV | 42,030 | 3,822,803 | ||||
IMCD NV | 9,230 | 1,263,602 | ||||
ING Groep NV | 632,316 | 6,234,407 | ||||
Intertrust NV (b)(d) | 14,461 | 289,363 | ||||
JDE Peet's NV (c) | 16,097 | 457,065 | ||||
Koninklijke Ahold Delhaize NV | 169,369 | 4,401,881 | ||||
Koninklijke BAM Groep NV (b) | 39,909 | 94,127 | ||||
Koninklijke DSM NV | 28,688 | 4,111,885 | ||||
Koninklijke KPN NV | 541,776 | 1,926,325 | ||||
Koninklijke Philips NV | 154,200 | 3,313,638 | ||||
Koninklijke Vopak NV | 11,201 | 281,979 | ||||
Meltwater NV (b)(c) | 16,118 | 16,836 | ||||
NN Group NV | 45,248 | 2,050,178 | ||||
NSI NV REIT | 2,948 | 101,243 | ||||
OCI NV | 16,167 | 532,068 | ||||
Pharming Group NV (b)(c) | 152,999 | 120,285 | ||||
PostNL NV (c) | 96,364 | 291,653 | ||||
Randstad NV (c) | 19,762 | 954,500 | ||||
SBM Offshore NV | 24,203 | 327,295 | ||||
Shell PLC | 1,254,694 | 32,517,106 | ||||
Shop Apotheke Europe NV (b)(d) | 2,189 | 194,110 |
Security Description | Shares | Value | ||||
Sligro Food Group NV (b) | 3,660 | $ 69,180 | ||||
TKH Group NV | 6,561 | 247,480 | ||||
TomTom NV (b)(c) | 14,221 | 104,963 | ||||
Universal Music Group NV | 117,480 | 2,350,027 | ||||
Van Lanschot Kempen NV ADR | 4,664 | 108,491 | ||||
Vastned Retail NV REIT | 2,401 | 53,466 | ||||
Wereldhave NV REIT | 8,129 | 121,953 | ||||
Wolters Kluwer NV | 42,567 | 4,119,074 | ||||
124,664,915 | ||||||
NEW ZEALAND — 0.2% | ||||||
a2 Milk Co., Ltd. (b)(c) | 108,379 | 332,206 | ||||
Air New Zealand, Ltd. (b) | 110,572 | 39,186 | ||||
Argosy Property, Ltd. | 151,973 | 116,694 | ||||
Auckland International Airport, Ltd. (b) | 196,542 | 877,396 | ||||
Chorus, Ltd. | 66,596 | 298,952 | ||||
Contact Energy, Ltd. | 131,487 | 595,155 | ||||
Fisher & Paykel Healthcare Corp., Ltd. | 90,605 | 1,125,547 | ||||
Fletcher Building, Ltd. | 112,682 | 353,103 | ||||
Genesis Energy, Ltd. | 91,471 | 150,711 | ||||
Goodman Property Trust REIT | 173,155 | 215,318 | ||||
Infratil, Ltd. | 113,513 | 542,029 | ||||
Kiwi Property Group, Ltd. | 261,389 | 158,456 | ||||
Mercury NZ, Ltd. | 102,427 | 359,815 | ||||
Meridian Energy, Ltd. | 202,163 | 588,252 | ||||
Oceania Healthcare, Ltd. | 183,936 | 106,357 | ||||
Precinct Properties New Zealand, Ltd. | 202,767 | 172,716 | ||||
Pushpay Holdings, Ltd. (b) | 141,424 | 111,672 | ||||
Ryman Healthcare, Ltd. | 60,789 | 336,381 | ||||
SKYCITY Entertainment Group, Ltd. | 116,799 | 211,324 | ||||
Spark New Zealand, Ltd. | 293,525 | 875,996 | ||||
Summerset Group Holdings, Ltd. | 33,320 | 198,881 | ||||
Synlait Milk, Ltd. (b) | 31,924 | 61,928 | ||||
Xero, Ltd. (b) | 21,771 | 1,152,155 | ||||
8,980,230 | ||||||
NIGERIA — 0.0% (a) | ||||||
Airtel Africa PLC (d) | 191,753 | 314,846 | ||||
NORWAY — 0.6% | ||||||
Aker ASA Class A | 4,585 | 350,845 | ||||
Aker BP ASA (c) | 20,630 | 714,342 | ||||
Aker Carbon Capture ASA (b) | 40,882 | 68,649 | ||||
Aker Horizons Holding A/S (b) | 15,027 | 24,214 | ||||
Aker Solutions ASA | 36,999 | 100,214 | ||||
Atea ASA | 13,837 | 143,415 | ||||
Austevoll Seafood ASA | 20,148 | 235,134 | ||||
BEWi ASA | 5,000 | 28,189 | ||||
Bonheur ASA | 2,878 | 104,141 | ||||
Borregaard ASA | 15,205 | 246,549 |
Security Description | Shares | Value | ||||
BW Offshore, Ltd. | 28,194 | $ 75,909 | ||||
Crayon Group Holding ASA (b)(d) | 10,593 | 134,239 | ||||
DNB Bank ASA | 150,662 | 2,692,313 | ||||
DNO ASA | 65,996 | 91,248 | ||||
Elkem ASA (d) | 56,997 | 181,034 | ||||
Elopak ASA | 40,800 | 66,983 | ||||
Entra ASA (d) | 19,912 | 248,906 | ||||
Equinor ASA | 158,288 | 5,488,150 | ||||
Europris ASA (d) | 25,386 | 118,094 | ||||
FLEX LNG, Ltd. (b)(c) | 7,577 | 208,910 | ||||
Frontline, Ltd. (b) | 19,675 | 175,447 | ||||
Gjensidige Forsikring ASA | 31,912 | 644,393 | ||||
Golden Ocean Group, Ltd. | 21,011 | 243,504 | ||||
Grieg Seafood ASA | 7,676 | 108,694 | ||||
Hexagon Composites ASA (b) | 16,673 | 45,464 | ||||
Hexagon Purus ASA (b) | 8,778 | 22,674 | ||||
Kahoot! ASA (b)(c) | 53,536 | 97,131 | ||||
Kongsberg Gruppen ASA | 14,931 | 533,479 | ||||
Leroy Seafood Group ASA | 48,893 | 346,169 | ||||
LINK Mobility Group Holding ASA (b) | 53,360 | 60,761 | ||||
Mowi ASA | 70,801 | 1,605,962 | ||||
MPC Container Ships ASA | 56,147 | 110,734 | ||||
NEL ASA (b) | 250,516 | 303,391 | ||||
Nordic Semiconductor ASA (b) | 28,101 | 434,609 | ||||
Norsk Hydro ASA | 216,626 | 1,209,453 | ||||
Norway Royal Salmon ASA | 3,708 | 94,204 | ||||
Norwegian Air Shuttle ASA (b) | 131,941 | 108,680 | ||||
Nykode Therapeutics ASA (b) | 19,435 | 55,159 | ||||
Orkla ASA | 120,982 | 963,962 | ||||
Protector Forsikring ASA | 9,425 | 97,687 | ||||
Salmar ASA | 9,618 | 674,153 | ||||
Schibsted ASA Class A | 11,760 | 209,376 | ||||
Schibsted ASA Class B | 16,652 | 270,518 | ||||
Selvaag Bolig ASA | 6,732 | 24,224 | ||||
SpareBank 1 Nord Norge | 20,807 | 184,277 | ||||
SpareBank 1 Oestlandet | 5,849 | 69,385 | ||||
SpareBank 1 SMN | 20,154 | 236,224 | ||||
SpareBank 1 SR-Bank ASA | 30,613 | 330,616 | ||||
Stolt-Nielsen, Ltd. | 6,169 | 129,877 | ||||
Storebrand ASA | 76,116 | 540,067 | ||||
Telenor ASA | 112,711 | 1,494,485 | ||||
TGS ASA | 25,936 | 363,061 | ||||
Tomra Systems ASA | 38,340 | 708,920 | ||||
Veidekke ASA | 21,229 | 192,312 | ||||
Volue ASA (b) | 18,171 | 43,773 | ||||
Wallenius Wilhelmsen ASA | 67,834 | 364,239 | ||||
24,418,542 | ||||||
PERU — 0.1% | ||||||
Cia de Minas Buenaventura SAA ADR | 44,100 | 291,060 | ||||
Credicorp, Ltd. | 10,800 | 1,295,028 |
Security Description | Shares | Value | ||||
Hochschild Mining PLC | 31,281 | $ 36,660 | ||||
Intercorp Financial Services, Inc. | 8,000 | 187,200 | ||||
Southern Copper Corp. | 14,200 | 707,302 | ||||
2,517,250 | ||||||
PHILIPPINES — 0.2% | ||||||
Aboitiz Equity Ventures, Inc. | 337,830 | 292,149 | ||||
AC Energy Corp. | 1,729,780 | 252,931 | ||||
Alliance Global Group, Inc. | 450,900 | 72,164 | ||||
AREIT, Inc. | 100,200 | 63,599 | ||||
Ayala Corp. | 47,160 | 514,613 | ||||
Ayala Land, Inc. | 1,538,400 | 713,453 | ||||
Bank of the Philippine Islands | 434,547 | 670,175 | ||||
BDO Unibank, Inc. | 399,393 | 802,636 | ||||
Bloomberry Resorts Corp. (b) | 741,800 | 78,382 | ||||
Cebu Air, Inc. (b) | 4,500 | 3,400 | ||||
Century Pacific Food, Inc. (b) | 145,200 | 58,096 | ||||
Converge Information and Communications Technology Solutions, Inc. (b) | 208,200 | 80,084 | ||||
Cosco Capital, Inc. | 131,800 | 10,331 | ||||
D&L Industries, Inc. | 337,900 | 41,911 | ||||
DMCI Holdings, Inc. | 571,200 | 91,625 | ||||
Globe Telecom, Inc. | 4,820 | 198,813 | ||||
GT Capital Holdings, Inc. | 17,217 | 153,117 | ||||
International Container Terminal Services, Inc. | 126,160 | 422,178 | ||||
JG Summit Holdings, Inc. | 515,090 | 456,213 | ||||
Jollibee Foods Corp. | 72,650 | 269,010 | ||||
LT Group, Inc. | 314,800 | 46,374 | ||||
Manila Electric Co. | 63,940 | 418,631 | ||||
Manila Water Co., Inc. | 223,300 | 67,902 | ||||
Megaworld Corp. | 1,365,000 | 53,622 | ||||
Metro Pacific Investments Corp. | 2,154,000 | 138,285 | ||||
Metropolitan Bank & Trust Co. | 379,496 | 329,906 | ||||
Monde Nissin Corp. (b)(d) | 1,107,600 | 261,868 | ||||
MREIT, Inc. | 312,900 | 86,498 | ||||
PLDT, Inc. | 13,395 | 409,268 | ||||
Puregold Price Club, Inc. | 338,780 | 185,456 | ||||
Robinsons Land Corp. | 375,144 | 117,623 | ||||
Robinsons Retail Holdings, Inc. | 77,600 | 71,129 | ||||
Security Bank Corp. | 88,110 | 146,463 | ||||
SM Investments Corp. | 48,535 | 690,268 | ||||
SM Prime Holdings, Inc. | 1,854,000 | 1,232,403 | ||||
Synergy Grid & Development Phils, Inc. | 202,800 | 44,849 | ||||
Universal Robina Corp. | 280,030 | 565,306 | ||||
Vista Land & Lifescapes, Inc. | 108,000 | 3,889 | ||||
Wilcon Depot, Inc. | 99,300 | 42,982 | ||||
10,157,602 | ||||||
POLAND — 0.2% | ||||||
Alior Bank SA (b) | 13,668 | 82,692 |
Security Description | Shares | Value | ||||
Allegro.eu SA (b)(d) | 56,940 | $ 301,997 | ||||
Asseco Poland SA | 9,859 | 165,565 | ||||
Bank Handlowy w Warszawie SA | 5,365 | 67,065 | ||||
Bank Millennium SA (b) | 87,519 | 75,647 | ||||
Bank Polska Kasa Opieki SA | 27,924 | 506,450 | ||||
Budimex SA | 1,698 | 86,867 | ||||
CCC SA (b) | 4,227 | 43,249 | ||||
CD Projekt SA (c) | 10,175 | 216,543 | ||||
Ciech SA | 2,728 | 22,754 | ||||
Cyfrowy Polsat SA | 37,773 | 178,285 | ||||
Dino Polska SA (b)(d) | 7,073 | 501,860 | ||||
Enea SA (b) | 20,497 | 44,474 | ||||
Eurocash SA | 12,734 | 29,797 | ||||
Grupa Azoty SA (b) | 4,618 | 46,202 | ||||
Grupa Lotos SA | 13,337 | 203,859 | ||||
InPost SA (b)(c) | 39,810 | 230,238 | ||||
Jastrzebska Spolka Weglowa SA (b) | 9,529 | 136,327 | ||||
KGHM Polska Miedz SA | 23,461 | 620,464 | ||||
KRUK SA | 3,415 | 181,846 | ||||
LiveChat Software SA | 2,013 | 44,103 | ||||
LPP SA | 160 | 320,117 | ||||
mBank SA (b) | 2,140 | 106,908 | ||||
Neuca SA | 233 | 41,668 | ||||
Orange Polska SA | 94,679 | 132,041 | ||||
PGE Polska Grupa Energetyczna SA (b) | 121,403 | 287,721 | ||||
Polski Koncern Naftowy ORLEN SA | 43,199 | 658,384 | ||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 242,842 | 308,532 | ||||
Powszechna Kasa Oszczednosci Bank Polski SA | 126,897 | 790,310 | ||||
Powszechny Zaklad Ubezpieczen SA | 85,657 | 571,193 | ||||
Santander Bank Polska SA | 5,161 | 267,472 | ||||
Tauron Polska Energia SA (b) | 151,723 | 116,192 | ||||
Warsaw Stock Exchange | 6,425 | 53,677 | ||||
XTB SA (d) | 6,081 | 27,917 | ||||
7,468,416 | ||||||
PORTUGAL — 0.1% | ||||||
Altri SGPS SA | 11,642 | 77,530 | ||||
Banco Comercial Portugues SA Class R | 1,431,520 | 246,936 | ||||
Corticeira Amorim SGPS SA | 4,689 | 51,766 | ||||
CTT-Correios de Portugal SA | 16,915 | 55,173 | ||||
EDP - Energias de Portugal SA | 447,150 | 2,081,190 | ||||
Galp Energia SGPS SA | 81,280 | 950,436 | ||||
Greenvolt-Energias Renovaveis SA (b) | 2,236 | 17,182 | ||||
Jeronimo Martins SGPS SA | 45,918 | 995,623 | ||||
Navigator Co. SA | 32,078 | 128,644 | ||||
NOS SGPS SA | 43,721 | 175,336 |
Security Description | Shares | Value | ||||
REN - Redes Energeticas Nacionais SGPS SA | 60,188 | $ 180,905 | ||||
Semapa-Sociedade de Investimento e Gestao | 5,579 | 78,390 | ||||
Sonae SGPS SA | 135,316 | 165,657 | ||||
5,204,768 | ||||||
QATAR — 0.3% | ||||||
Aamal Co. | 543,233 | 160,356 | ||||
Al Meera Consumer Goods Co. QSC | 25,614 | 122,663 | ||||
Barwa Real Estate Co. | 230,600 | 211,493 | ||||
Commercial Bank PQSC | 254,403 | 478,174 | ||||
Doha Bank QPSC | 321,420 | 229,652 | ||||
Gulf International Services QSC (b) | 149,047 | 85,211 | ||||
Gulf Warehousing Co. | 42,346 | 47,512 | ||||
Industries Qatar QSC | 227,376 | 995,853 | ||||
Masraf Al Rayan QSC | 680,055 | 771,230 | ||||
Mesaieed Petrochemical Holding Co. | 597,493 | 408,528 | ||||
Ooredoo QSC | 134,267 | 283,890 | ||||
Qatar Aluminium Manufacturing Co. | 450,322 | 210,338 | ||||
Qatar Electricity & Water Co. QSC | 91,976 | 442,485 | ||||
Qatar Fuel QSC | 55,946 | 274,219 | ||||
Qatar Gas Transport Co., Ltd. | 386,091 | 396,613 | ||||
Qatar Insurance Co. SAQ | 269,557 | 177,644 | ||||
Qatar International Islamic Bank QSC | 85,174 | 249,318 | ||||
Qatar Islamic Bank SAQ | 172,961 | 1,056,740 | ||||
Qatar National Bank QPSC | 716,668 | 3,931,908 | ||||
Qatar National Cement Co. QSC | 104,845 | 147,144 | ||||
Qatar Navigation QSC | 108,821 | 251,005 | ||||
United Development Co. QSC | 199,242 | 76,102 | ||||
Vodafone Qatar QSC | 240,260 | 104,964 | ||||
11,113,042 | ||||||
ROMANIA — 0.0% (a) | ||||||
NEPI Rockcastle SA | 75,130 | 399,394 | ||||
RUSSIA — 0.0% | ||||||
Alrosa PJSC (b)(f) | 330,200 | — | ||||
Credit Bank of Moscow PJSC (b)(f) | 2,707,900 | — | ||||
Gazprom PJSC ADR (e)(f) | 164,129 | — | ||||
Gazprom PJSC (f) | 1,448,730 | — | ||||
Globaltrans Investment PLC GDR (f) | 26,586 | — | ||||
Inter RAO UES PJSC (b)(f) | 5,356,000 | — | ||||
LUKOIL PJSC ADR (f) | 9,837 | — | ||||
LUKOIL PJSC (f) | 51,315 | — | ||||
Magnit PJSC GDR (f) | 53,009 | — | ||||
MMC Norilsk Nickel PJSC (f) | 9,503 | — | ||||
Mobile TeleSystems PJSC ADR (f) | 53,100 | — |
Security Description | Shares | Value | ||||
Mobile TeleSystems PJSC (f) | 31,200 | $ — | ||||
Moscow Exchange MICEX (b)(f) | 191,435 | — | ||||
Novatek PJSC GDR (f) | 13,594 | — | ||||
Novolipetsk Steel PJSC (b)(f) | 224,930 | — | ||||
Ozon Holdings PLC ADR (b)(f) | 6,439 | — | ||||
PhosAgro PJSC (b)(e)(f) | 135 | — | ||||
PhosAgro PJSC (e)(f) | 20,976 | — | ||||
Polyus PJSC GDR (f) | 1,062 | — | ||||
Polyus PJSC (b)(f) | 4,492 | — | ||||
Rosneft Oil Co PJSC (f) | 169,478 | — | ||||
Rostelecom PJSC (f) | 100,000 | — | ||||
Sberbank of Russia PJSC (b)(f) | 1,586,024 | — | ||||
Severstal PAO (f) | 31,441 | — | ||||
Sistema PJSFC GDR (f) | 40,100 | — | ||||
Surgutneftegas PJSC (f) | 888,900 | — | ||||
Tatneft PJSC ADR (f) | 3,048 | — | ||||
Tatneft PJSC (f) | 187,335 | — | ||||
TCS Group Holding PLC GDR (b)(f) | 16,178 | — | ||||
TCS Group Holding PLC (b)(f) | 1,787 | — | ||||
VK Co., Ltd. GDR (b)(f) | 17,475 | — | ||||
VTB Bank PJSC (f) | 437,390,000 | — | ||||
X5 Retail Group NV GDR (f) | 17,591 | — | ||||
Yandex NV Class A (b)(f) | 49,735 | — | ||||
— | ||||||
SAUDI ARABIA — 1.2% | ||||||
Abdullah Al Othaim Markets Co. | 6,581 | 181,008 | ||||
ACWA Power Co. (b) | 13,160 | 524,001 | ||||
Advanced Petrochemical Co. | 19,011 | 260,432 | ||||
Al Hammadi Co. for Development & Investment | 27,000 | 262,653 | ||||
Al Jouf Agricultural Development Co. (b) | 6,797 | 83,692 | ||||
Al Moammar Information Systems Co. | 3,626 | 78,471 | ||||
Al Rajhi Bank | 320,724 | 7,051,979 | ||||
Al Rajhi Co. for Co-operative Insurance (b) | 4,209 | 80,094 | ||||
Aldrees Petroleum & Transport Services Co. | 6,835 | 121,504 | ||||
Alinma Bank | 156,857 | 1,396,291 | ||||
Almarai Co. JSC | 52,392 | 731,681 | ||||
Alujain Corp. | 7,396 | 114,722 | ||||
Arab National Bank | 86,792 | 682,382 | ||||
Arabian Cement Co. | 9,227 | 82,874 | ||||
Arriyadh Development Co. | 18,294 | 109,800 | ||||
Bank AlBilad (b) | 80,181 | 934,921 | ||||
Bank Al-Jazira | 59,962 | 356,374 | ||||
Banque Saudi Fransi | 94,582 | 1,194,847 | ||||
Bupa Arabia for Cooperative Insurance Co. | 9,718 | 412,849 |
Security Description | Shares | Value | |||
City Cement Co. | 6,348 | $ 35,529 | |||
Co. for Cooperative Insurance (b) | 11,596 | 178,324 | |||
Dallah Healthcare Co. | 7,407 | 218,730 | |||
Dar Al Arkan Real Estate Development Co. (b) | 96,566 | 276,925 | |||
Delivery Hero SE (b)(d) | 26,150 | 977,899 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 14,100 | 728,280 | |||
Dur Hospitality Co. (b) | 29,415 | 172,785 | |||
Eastern Province Cement Co. | 9,470 | 116,100 | |||
Elm Co. | 3,927 | 266,887 | |||
Emaar Economic City (b) | 74,864 | 197,131 | |||
Etihad Etisalat Co. | 56,306 | 525,229 | |||
Fawaz Abdulaziz Al Hokair & Co. (b) | 11,570 | 35,091 | |||
Herfy Food Services Co. (b) | 2,033 | 23,055 | |||
Jadwa REIT Saudi Fund | 13,473 | 42,012 | |||
Jarir Marketing Co. | 8,648 | 374,767 | |||
Leejam Sports Co. JSC | 3,769 | 89,903 | |||
Maharah Human Resources Co. | 2,209 | 36,148 | |||
Middle East Healthcare Co. (b) | 11,802 | 101,283 | |||
Mobile Telecommunications Co. (b) | 86,172 | 258,142 | |||
Mouwasat Medical Services Co. | 7,312 | 415,089 | |||
Najran Cement Co. | 15,550 | 61,171 | |||
National Agriculture Development Co. (b) | 20,791 | 174,270 | |||
National Gas & Industrialization Co. | 2,926 | 33,026 | |||
National Industrialization Co. (b) | 71,502 | 307,191 | |||
National Medical Care Co. | 5,781 | 83,200 | |||
Northern Region Cement Co. | 17,439 | 54,193 | |||
Petro Rabigh | 29,660 | 134,858 | |||
Qassim Cement Co. | 8,869 | 187,208 | |||
Rabigh Refining & Petrochemical Co. (b) | 32,682 | 148,598 | |||
Riyad Bank | 220,907 | 1,889,906 | |||
Riyadh Cement Co. | 13,985 | 129,895 | |||
SABIC Agri-Nutrients Co. | 33,040 | 1,213,430 | |||
Sahara International Petrochemical Co. | 58,809 | 786,816 | |||
Saudi Airlines Catering Co. (b) | 4,009 | 76,502 | |||
Saudi Arabian Mining Co. (b) | 136,058 | 1,807,652 | |||
Saudi Arabian Oil Co. (d) | 395,996 | 4,094,945 | |||
Saudi Basic Industries Corp. | 147,271 | 3,987,829 | |||
Saudi British Bank | 151,306 | 1,641,255 | |||
Saudi Cement Co. | 14,485 | 196,500 | |||
Saudi Ceramic Co. | 2,497 | 29,182 | |||
Saudi Chemical Co. Holding | 16,716 | 135,435 |
Security Description | Shares | Value | ||||
Saudi Co. For Hardware CJSC (b) | 5,311 | $ 50,179 | ||||
Saudi Electricity Co. | 124,359 | 802,081 | ||||
Saudi Fisheries Co. (b) | 5,167 | 46,684 | ||||
Saudi Ground Services Co. (b) | 13,747 | 96,908 | ||||
Saudi Industrial Investment Group | 52,875 | 401,625 | ||||
Saudi Investment Bank | 80,181 | 416,708 | ||||
Saudi Kayan Petrochemical Co. (b) | 124,148 | 522,122 | ||||
Saudi National Bank | 359,051 | 6,306,191 | ||||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 70,382 | ||||
Saudi Public Transport Co. (b) | 5,953 | 24,338 | ||||
Saudi Real Estate Co. (b) | 23,689 | 84,475 | ||||
Saudi Research & Media Group (b) | 6,257 | 313,509 | ||||
Saudi Tadawul Group Holding Co. | 5,891 | 296,740 | ||||
Saudi Telecom Co. | 98,181 | 2,540,810 | ||||
Saudia Dairy & Foodstuff Co. | 3,420 | 148,755 | ||||
Savola Group | 57,324 | 513,336 | ||||
Seera Group Holding (b) | 26,096 | 111,142 | ||||
Sinad Holding Co. (b) | 26,480 | 106,425 | ||||
Southern Province Cement Co. | 12,949 | 198,095 | ||||
United Electronics Co. | 5,677 | 171,274 | ||||
United International Transportation Co. | 1,592 | 19,093 | ||||
Yamama Cement Co. (b) | 14,880 | 99,739 | ||||
Yanbu Cement Co. | 10,069 | 91,107 | ||||
Yanbu National Petrochemical Co. | 41,495 | 558,487 | ||||
50,893,151 | ||||||
SINGAPORE — 1.0% | ||||||
AEM Holdings, Ltd. (c) | 42,600 | 126,726 | ||||
AIMS APAC REIT | 112,100 | 108,741 | ||||
Ascendas India Trust | 200,300 | 168,392 | ||||
Ascendas Real Estate Investment Trust | 537,174 | 1,100,055 | ||||
Ascott Residence Trust | 302,517 | 247,804 | ||||
BOC Aviation, Ltd. (d) | 29,300 | 246,253 | ||||
BW LPG, Ltd. (d) | 11,460 | 84,560 | ||||
CapitaLand China Trust REIT | 303,800 | 251,038 | ||||
CapitaLand Integrated Commercial Trust REIT | 851,729 | 1,328,053 | ||||
Capitaland Investment, Ltd. | 421,800 | 1,157,775 | ||||
CDL Hospitality Trusts Stapled Security | 187,168 | 170,801 | ||||
China Aviation Oil Singapore Corp., Ltd. | 29,800 | 18,736 | ||||
City Developments, Ltd. | 71,500 | 418,714 | ||||
ComfortDelGro Corp., Ltd. | 324,400 | 326,335 | ||||
DBS Group Holdings, Ltd. | 295,868 | 6,309,810 |
Security Description | Shares | Value | |||
Digital Core REIT Management Pte., Ltd. (b) | 126,900 | $ 97,713 | |||
ESR-LOGOS REIT | 860,866 | 250,521 | |||
Far East Hospitality Trust Stapled Security | 140,900 | 64,796 | |||
Frasers Centrepoint Trust REIT | 191,792 | 315,588 | |||
Frasers Hospitality Trust Stapled Security | 135,000 | 67,903 | |||
Frasers Logistics & Commercial Trust REIT | 467,339 | 446,620 | |||
Genting Singapore, Ltd. | 1,010,200 | 522,630 | |||
Grab Holdings, Ltd. Class A (b) | 164,400 | 415,932 | |||
Hafnia, Ltd. | 13,802 | 45,752 | |||
Haw Par Corp., Ltd. | 18,800 | 148,460 | |||
Hour Glass, Ltd. | 39,800 | 66,348 | |||
iFAST Corp., Ltd. (c) | 23,300 | 69,312 | |||
IGG, Inc. | 181,000 | 78,425 | |||
Japfa, Ltd. | 47,400 | 20,265 | |||
Kenon Holdings, Ltd. | 5,301 | 211,758 | |||
Keppel Corp., Ltd. | 234,600 | 1,094,025 | |||
Keppel DC REIT | 238,400 | 337,464 | |||
Keppel Infrastructure Trust | 573,500 | 234,889 | |||
Keppel Pacific Oak US REIT | 154,800 | 108,360 | |||
Keppel REIT | 336,800 | 263,787 | |||
Lendlease Global Commercial REIT (c) | 315,527 | 180,243 | |||
Manulife US Real Estate Investment Trust | 345,200 | 196,764 | |||
Mapletree Commercial Trust REIT | 365,068 | 480,042 | |||
Mapletree Industrial Trust REIT | 307,250 | 574,010 | |||
Mapletree Logistics Trust REIT | 569,247 | 687,170 | |||
Nanofilm Technologies International, Ltd. | 42,200 | 70,652 | |||
NetLink NBN Trust | 466,600 | 325,215 | |||
Olam Group, Ltd. | 198,325 | 216,608 | |||
OUE Commercial Real Estate Investment Trust | 402,200 | 111,265 | |||
OUE, Ltd. (c) | 121,100 | 111,380 | |||
Oversea-Chinese Banking Corp., Ltd. | 554,611 | 4,539,067 | |||
Parkway Life Real Estate Investment Trust | 58,900 | 206,110 | |||
Prime US REIT | 70,800 | 47,790 | |||
Raffles Medical Group, Ltd. | 139,876 | 112,568 | |||
Riverstone Holdings, Ltd. | 100,800 | 53,598 | |||
Sasseur Real Estate Investment Trust | 189,800 | 106,376 | |||
SATS, Ltd. (b) | 103,400 | 289,761 | |||
Sea, Ltd. ADR (b) | 58,100 | 3,884,566 | |||
Sembcorp Industries, Ltd. | 158,800 | 325,199 | |||
Sembcorp Marine, Ltd. (b)(c) | 2,901,300 | 225,149 | |||
Sheng Siong Group, Ltd. | 144,600 | 157,931 |
Security Description | Shares | Value | ||||
SIA Engineering Co., Ltd. (b) | 37,900 | $ 66,448 | ||||
Singapore Airlines, Ltd. (b)(c) | 217,900 | 798,513 | ||||
Singapore Exchange, Ltd. | 138,100 | 938,727 | ||||
Singapore Post, Ltd. | 224,900 | 105,041 | ||||
Singapore Technologies Engineering, Ltd. | 481,700 | 1,412,184 | ||||
Singapore Telecommunications, Ltd. | 1,330,100 | 2,418,016 | ||||
SPH REIT | 337,200 | 226,544 | ||||
Starhill Global REIT | 189,133 | 78,822 | ||||
StarHub, Ltd. | 126,800 | 112,067 | ||||
STMicroelectronics NV | 113,419 | 3,557,216 | ||||
Straits Trading Co., Ltd. | 40,500 | 83,229 | ||||
Suntec Real Estate Investment Trust | 369,600 | 430,231 | ||||
TDCX, Inc. (b) | 7,200 | 66,600 | ||||
United Overseas Bank, Ltd. | 190,093 | 3,585,501 | ||||
UOL Group, Ltd. | 69,933 | 369,840 | ||||
Venture Corp., Ltd. | 44,600 | 532,944 | ||||
Yangzijiang Financial Holding, Ltd. (b) | 370,300 | 109,092 | ||||
44,716,820 | ||||||
SOUTH AFRICA — 1.1% | ||||||
Absa Group, Ltd. | 129,913 | 1,225,976 | ||||
AECI, Ltd. | 9,970 | 58,082 | ||||
African Rainbow Minerals, Ltd. | 19,779 | 258,066 | ||||
Anglo American Platinum, Ltd. | 8,559 | 744,488 | ||||
Anglo American PLC | 209,599 | 7,476,060 | ||||
Aspen Pharmacare Holdings, Ltd. | 62,850 | 533,415 | ||||
Astral Foods, Ltd. | 3,513 | 40,398 | ||||
AVI, Ltd. | 55,269 | 221,717 | ||||
Barloworld, Ltd. | 19,472 | 106,676 | ||||
Bid Corp., Ltd. | 53,172 | 995,800 | ||||
Bidvest Group, Ltd. | 47,499 | 607,680 | ||||
Capitec Bank Holdings, Ltd. | 14,324 | 1,733,071 | ||||
Clicks Group, Ltd. | 39,864 | 665,053 | ||||
Coronation Fund Managers, Ltd. | 44,887 | 89,651 | ||||
DataTec, Ltd. | 45,382 | 114,102 | ||||
Dis-Chem Pharmacies, Ltd. (d) | 55,496 | 107,588 | ||||
Discovery, Ltd. (b) | 82,529 | 645,321 | ||||
Distell Group Holdings, Ltd. (b) | 25,476 | 266,462 | ||||
DRDGOLD, Ltd. | 44,155 | 26,629 | ||||
Equites Property Fund, Ltd. REIT | 83,433 | 89,990 | ||||
Exxaro Resources, Ltd. | 39,817 | 481,668 | ||||
FirstRand, Ltd. | 830,436 | 3,161,562 | ||||
Fortress REIT, Ltd. Class A, | 237,535 | 154,998 | ||||
Foschini Group, Ltd. | 59,911 | 446,155 | ||||
Gold Fields, Ltd. | 143,198 | 1,337,360 |
Security Description | Shares | Value | |||
Growthpoint Properties, Ltd. REIT | 577,671 | $ 435,479 | |||
Harmony Gold Mining Co., Ltd. | 102,551 | 325,321 | |||
Hyprop Investments, Ltd. REIT (b) | 40,038 | 81,115 | |||
Impala Platinum Holdings, Ltd. | 139,469 | 1,542,098 | |||
Investec Property Fund, Ltd. REIT | 58,715 | 37,453 | |||
Investec, Ltd. | 43,726 | 234,531 | |||
JSE, Ltd. | 20,858 | 127,994 | |||
KAP Industrial Holdings, Ltd. | 705,488 | 189,479 | |||
Kumba Iron Ore, Ltd. | 12,546 | 402,552 | |||
Life Healthcare Group Holdings, Ltd. | 263,521 | 288,092 | |||
Massmart Holdings, Ltd. (b) | 12,565 | 26,744 | |||
Momentum Metropolitan Holdings | 228,762 | 199,124 | |||
Motus Holdings, Ltd. | 19,611 | 128,086 | |||
Mr. Price Group, Ltd. | 41,367 | 447,872 | |||
MTN Group, Ltd. | 273,557 | 2,204,820 | |||
MultiChoice Group | 63,242 | 447,066 | |||
Naspers, Ltd. Class N | 35,819 | 5,176,827 | |||
Nedbank Group, Ltd. | 73,877 | 934,640 | |||
Netcare, Ltd. | 174,105 | 151,654 | |||
Ninety One, Ltd. | 38,097 | 89,624 | |||
Northam Platinum Holdings, Ltd. (b) | 58,801 | 614,804 | |||
Oceana Group, Ltd. | 11,307 | 30,713 | |||
Old Mutual, Ltd. (e) | 463,081 | 311,783 | |||
Old Mutual, Ltd. (c)(e) | 315,585 | 212,711 | |||
Omnia Holdings, Ltd. | 27,807 | 123,347 | |||
Pepkor Holdings, Ltd. (d) | 274,416 | 320,271 | |||
Pick n Pay Stores, Ltd. | 59,699 | 204,833 | |||
PSG Group, Ltd. (b) | 27,012 | 138,518 | |||
Rand Merchant Investment Holdings, Ltd. | 112,841 | 191,759 | |||
Redefine Properties, Ltd. REIT | 1,014,002 | 227,156 | |||
Remgro, Ltd. | 88,007 | 697,878 | |||
Resilient REIT, Ltd. | 55,944 | 182,422 | |||
Reunert, Ltd. | 15,137 | 36,959 | |||
Royal Bafokeng Platinum, Ltd. (c) | 20,752 | 185,574 | |||
Sanlam, Ltd. | 301,729 | 973,747 | |||
Santam, Ltd. | 7,575 | 116,387 | |||
Sappi, Ltd. (b) | 91,460 | 300,689 | |||
Sasol, Ltd. (b) | 91,327 | 2,071,993 | |||
Scatec ASA (d) | 19,215 | 164,654 | |||
Shoprite Holdings, Ltd. | 79,973 | 965,973 | |||
Sibanye Stillwater, Ltd. | 461,956 | 1,146,818 | |||
SPAR Group, Ltd. | 29,191 | 246,108 | |||
Standard Bank Group, Ltd. | 216,476 | 2,050,394 | |||
Steinhoff International Holdings NV (b) | 418,971 | 64,959 | |||
Super Group, Ltd. | 99,955 | 179,440 |
Security Description | Shares | Value | ||||
Telkom SA SOC, Ltd. (b) | 39,144 | $ 87,356 | ||||
Thungela Resources, Ltd. | 37,800 | 534,218 | ||||
Tiger Brands, Ltd. (c) | 25,782 | 223,536 | ||||
Transaction Capital, Ltd. | 95,406 | 213,786 | ||||
Truworths International, Ltd. | 74,129 | 229,231 | ||||
Vodacom Group, Ltd. | 103,287 | 826,737 | ||||
Vukile Property Fund, Ltd. REIT | 94,716 | 73,425 | ||||
Wilson Bayly Holmes-Ovcon, Ltd. | 5,617 | 27,731 | ||||
Woolworths Holdings, Ltd. | 166,301 | 550,699 | ||||
49,585,148 | ||||||
SOUTH KOREA — 3.2% | ||||||
ABLBio, Inc. (b) | 2,537 | 49,239 | ||||
Ace Technologies Corp. (b) | 3,286 | 18,019 | ||||
Advanced Nano Products Co., Ltd. | 1,228 | 66,205 | ||||
Aekyung Industrial Co., Ltd. | 3,641 | 40,100 | ||||
AfreecaTV Co., Ltd. | 1,389 | 85,689 | ||||
Ahnlab, Inc. (c) | 2,297 | 152,850 | ||||
Alteogen, Inc. (b) | 4,543 | 213,784 | ||||
Amicogen, Inc. (b) | 3,467 | 61,949 | ||||
Amorepacific Corp. | 5,016 | 502,218 | ||||
AMOREPACIFIC Group | 4,655 | 133,727 | ||||
Ananti, Inc. (b) | 6,092 | 31,295 | ||||
AptaBio Therapeutics, Inc. (b) | 1,886 | 22,515 | ||||
Asiana Airlines, Inc. (b) | 10,835 | 130,180 | ||||
BGF retail Co., Ltd. | 1,174 | 170,892 | ||||
BH Co., Ltd. | 3,403 | 63,950 | ||||
Binex Co., Ltd. (b) | 5,433 | 53,979 | ||||
Bioneer Corp. (b) | 5,103 | 96,683 | ||||
BNC Korea Co., Ltd. (b) | 6,546 | 37,308 | ||||
BNK Financial Group, Inc. | 39,600 | 204,649 | ||||
Boryung | 3,324 | 25,985 | ||||
Bukwang Pharmaceutical Co., Ltd. | 3,983 | 25,952 | ||||
Cafe24 Corp. (b) | 1,515 | 14,410 | ||||
Cellivery Therapeutics, Inc. (b) | 1,476 | 26,430 | ||||
Celltrion Healthcare Co., Ltd. | 13,614 | 719,286 | ||||
Celltrion Pharm, Inc. (b) | 2,793 | 169,292 | ||||
Celltrion, Inc. | 15,888 | 2,184,233 | ||||
Chabiotech Co., Ltd. (b) | 6,622 | 73,442 | ||||
Cheil Worldwide, Inc. | 9,959 | 182,167 | ||||
Chong Kun Dang Pharmaceutical Corp. | 668 | 45,017 | ||||
Chunbo Co., Ltd. | 931 | 149,215 | ||||
CJ CGV Co., Ltd. (b) | 2,246 | 40,218 | ||||
CJ CheilJedang Corp. | 1,299 | 379,175 | ||||
CJ Corp. | 1,847 | 110,530 | ||||
CJ ENM Co., Ltd. | 1,582 | 114,166 | ||||
CJ Logistics Corp. (b) | 1,096 | 96,229 | ||||
CMG Pharmaceutical Co., Ltd. (b) | 11,128 | 21,426 | ||||
Com2uSCorp | 2,104 | 116,187 | ||||
Cosmax, Inc. | 752 | 32,723 |
Security Description | Shares | Value | |||
CosmoAM&T Co., Ltd. (b) | 2,483 | $ 91,697 | |||
Coway Co., Ltd. | 14,121 | 694,957 | |||
COWELL FASHION Co., Ltd. | 12,628 | 59,814 | |||
Creative & Innovative System (b) | 5,577 | 68,080 | |||
CS Wind Corp. | 3,456 | 153,848 | |||
Cuckoo Homesys Co., Ltd. | 1,764 | 38,448 | |||
Daeduck Electronics Co., Ltd. | 8,563 | 172,460 | |||
Daejoo Electronic Materials Co., Ltd. | 1,149 | 58,406 | |||
Daesang Corp. | 4,987 | 78,738 | |||
Daewoo Engineering & Construction Co., Ltd. (b) | 24,328 | 109,424 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b) | 5,893 | 108,928 | |||
Daewoong Co., Ltd. | 2,154 | 45,207 | |||
Daewoong Pharmaceutical Co., Ltd. | 429 | 58,317 | |||
Daishin Securities Co., Ltd. | 3,580 | 41,772 | |||
Danal Co., Ltd. (b) | 15,211 | 82,475 | |||
Daou Technology, Inc. | 6,450 | 86,686 | |||
Dawonsys Co., Ltd. | 3,177 | 58,725 | |||
DB HiTek Co., Ltd. | 7,593 | 292,106 | |||
DB Insurance Co., Ltd. | 6,640 | 313,487 | |||
Dentium Co., Ltd. | 795 | 52,412 | |||
Devsisters Co., Ltd. | 551 | 18,227 | |||
DGB Financial Group, Inc. | 26,545 | 155,582 | |||
DIO Corp. (b) | 4,286 | 87,146 | |||
DL E&C Co., Ltd. | 4,830 | 154,192 | |||
DL Holdings Co., Ltd. | 2,132 | 116,419 | |||
Dong-A Socio Holdings Co., Ltd. | 363 | 28,656 | |||
Dong-A ST Co., Ltd. | 542 | 24,337 | |||
Dongjin Semichem Co., Ltd. | 5,592 | 138,250 | |||
DongKook Pharmaceutical Co., Ltd. | 4,240 | 63,515 | |||
Dongkuk Steel Mill Co., Ltd. | 14,784 | 146,314 | |||
Dongsuh Cos., Inc. | 7,745 | 156,284 | |||
Dongwha Enterprise Co., Ltd. (b) | 681 | 32,466 | |||
Doosan Bobcat, Inc. | 7,232 | 160,971 | |||
Doosan Co., Ltd. | 801 | 43,184 | |||
Doosan Enerbility Co., Ltd. (b) | 64,783 | 967,953 | |||
Doosan Fuel Cell Co., Ltd. (b) | 6,664 | 154,231 | |||
Doosan Tesna, Inc. | 1,124 | 26,230 | |||
DoubleUGames Co., Ltd. | 843 | 24,932 | |||
Douzone Bizon Co., Ltd. | 2,524 | 70,953 | |||
Duk San Neolux Co., Ltd. (b) | 1,243 | 28,816 | |||
Echo Marketing, Inc. | 1,570 | 16,747 | |||
Ecopro BM Co., Ltd. | 7,976 | 697,224 | |||
Ecopro Co., Ltd. | 2,963 | 163,394 | |||
Ecopro HN Co., Ltd. | 2,376 | 70,636 | |||
E-MART, Inc. | 3,457 | 280,895 | |||
Enchem Co., Ltd. (b) | 1,234 | 45,429 |
Security Description | Shares | Value | |||
Eo Technics Co., Ltd. | 1,483 | $ 92,059 | |||
Eoflow Co., Ltd. (b) | 2,264 | 33,915 | |||
ESR Kendall Square REIT Co., Ltd. | 16,720 | 72,500 | |||
Eubiologics Co., Ltd. (b) | 3,002 | 33,756 | |||
Eugene Technology Co., Ltd. | 1,603 | 36,235 | |||
F&F Co., Ltd. | 2,485 | 257,419 | |||
Fila Holdings Corp. | 7,424 | 160,670 | |||
Fine Semitech Corp. | 3,085 | 34,571 | |||
Foosung Co., Ltd. | 13,563 | 185,415 | |||
GC Cell Corp. (b) | 1,225 | 53,023 | |||
GemVax & Kael Co., Ltd. (b) | 3,211 | 32,521 | |||
GeneOne Life Science, Inc. (b) | 7,801 | 61,884 | |||
Genexine, Inc. (b) | 2,807 | 66,046 | |||
Giantstep, Inc. (b) | 1,022 | 16,254 | |||
GOLFZON Co., Ltd. | 868 | 89,848 | |||
Grand Korea Leisure Co., Ltd. (b) | 3,328 | 33,193 | |||
Green Cross Corp. | 671 | 87,079 | |||
Green Cross Holdings Corp. | 5,248 | 79,221 | |||
GS Engineering & Construction Corp. | 10,010 | 243,234 | |||
GS Holdings Corp. | 7,291 | 235,003 | |||
GS Retail Co., Ltd. | 6,723 | 132,813 | |||
HAESUNG DS Co., Ltd. | 2,588 | 123,380 | |||
Hana Financial Group, Inc. | 48,432 | 1,467,806 | |||
Hana Materials, Inc. | 2,047 | 75,517 | |||
Hana Micron, Inc. (b) | 5,811 | 57,958 | |||
Hana Tour Service, Inc. (b) | 1,100 | 45,749 | |||
Hanall Biopharma Co., Ltd. (b) | 2,599 | 33,028 | |||
Handsome Co., Ltd. | 1,555 | 36,767 | |||
Hanil Cement Co., Ltd. | 5,238 | 53,857 | |||
Hanjin Transportation Co., Ltd. | 992 | 21,240 | |||
Hankook & Co. Co., Ltd | 2,676 | 26,484 | |||
Hankook Tire & Technology Co., Ltd. | 12,226 | 310,264 | |||
Hanmi Pharm Co., Ltd. | 993 | 235,555 | |||
Hanmi Semiconductor Co., Ltd. | 8,935 | 86,363 | |||
Hanon Systems | 25,518 | 197,517 | |||
Hansae Co., Ltd. | 2,164 | 28,250 | |||
Hansol Chemical Co., Ltd. | 1,234 | 193,882 | |||
Hanssem Co., Ltd. | 2,499 | 124,142 | |||
Hanwha Aerospace Co., Ltd. | 13,517 | 506,992 | |||
Hanwha Corp. | 6,452 | 128,454 | |||
Hanwha Investment & Securities Co., Ltd. | 13,008 | 32,660 | |||
Hanwha Life Insurance Co., Ltd. (b) | 31,079 | 53,258 | |||
Hanwha Solutions Corp. (b) | 19,391 | 566,019 | |||
Hanwha Systems Co., Ltd. | 37,056 | 398,129 | |||
Harim Holdings Co., Ltd. | 12,382 | 80,201 | |||
HD Hyundai Co., Ltd. | 6,839 | 312,875 | |||
HDC Holdings Co., Ltd. | 4,125 | 21,063 |
Security Description | Shares | Value | |||
HDC Hyundai Development Co-Engineering & Construction Class E | 6,351 | $ 54,539 | |||
Helixmith Co., Ltd. (b) | 3,526 | 56,486 | |||
Hite Jinro Co., Ltd. | 4,760 | 112,914 | |||
HK inno N Corp. | 3,166 | 92,781 | |||
HLB Life Science Co., Ltd. (b) | 9,320 | 87,213 | |||
HLB, Inc. (b) | 15,532 | 423,470 | |||
HMM Co., Ltd. | 43,388 | 822,046 | |||
Hotel Shilla Co., Ltd. | 5,093 | 279,283 | |||
Hugel, Inc. (b) | 1,296 | 105,006 | |||
Huons Co., Ltd. | 1,600 | 43,253 | |||
HYBE Co., Ltd. (b) | 2,482 | 278,135 | |||
Hyosung Advanced Materials Corp. | 422 | 123,668 | |||
Hyosung Chemical Corp. (b) | 809 | 121,188 | |||
Hyosung Corp. | 858 | 53,129 | |||
Hyosung Heavy Industries Corp. (b) | 563 | 27,317 | |||
Hyosung TNC Corp. | 406 | 107,254 | |||
Hyundai Autoever Corp. | 998 | 86,472 | |||
Hyundai Bioscience Co., Ltd. (b) | 4,204 | 70,909 | |||
Hyundai Construction Equipment Co., Ltd. | 1,360 | 47,083 | |||
Hyundai Department Store Co., Ltd. | 2,120 | 114,458 | |||
Hyundai Doosan Infracore Co., Ltd. (b) | 22,092 | 92,560 | |||
Hyundai Electric & Energy System Co., Ltd. (b) | 2,175 | 42,465 | |||
Hyundai Elevator Co., Ltd. | 2,938 | 60,869 | |||
Hyundai Engineering & Construction Co., Ltd. | 12,157 | 387,163 | |||
Hyundai Glovis Co., Ltd. | 4,136 | 571,790 | |||
Hyundai Greenfood Co., Ltd. | 5,265 | 31,588 | |||
Hyundai Heavy Industries Co., Ltd. (b) | 2,880 | 317,190 | |||
Hyundai Home Shopping Network Corp. | 629 | 24,513 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,551 | 179,993 | |||
Hyundai Mipo Dockyard Co., Ltd. (b) | 3,738 | 262,270 | |||
Hyundai Mobis Co., Ltd. | 10,679 | 1,636,723 | |||
Hyundai Motor Co. | 22,845 | 3,175,849 | |||
Hyundai Motor Co. Preference Shares (e) | 5,461 | 368,441 | |||
Hyundai Motor Co. Preference Shares (e) | 3,339 | 223,732 | |||
Hyundai Rotem Co., Ltd. (b) | 11,024 | 176,601 | |||
Hyundai Steel Co. | 13,095 | 323,744 | |||
Hyundai Wia Corp. | 2,354 | 101,165 | |||
Il Dong Pharmaceutical Co., Ltd. (b) | 2,600 | 61,776 | |||
Iljin Hysolus Co., Ltd. (b) | 3,038 | 74,991 | |||
Iljin Materials Co., Ltd. | 3,327 | 178,854 |
Security Description | Shares | Value | |||
Ilyang Pharmaceutical Co., Ltd. | 1,234 | $ 21,099 | |||
Industrial Bank of Korea | 47,306 | 350,496 | |||
Innocean Worldwide, Inc. | 814 | 28,713 | |||
Innox Advanced Materials Co., Ltd. | 3,006 | 76,979 | |||
Intellian Technologies, Inc. | 1,615 | 74,506 | |||
iNtRON Biotechnology, Inc. (b) | 5,323 | 36,651 | |||
IS Dongseo Co., Ltd. | 3,285 | 98,671 | |||
ITM Semiconductor Co., Ltd. | 206 | 4,926 | |||
JB Financial Group Co., Ltd. | 11,582 | 65,564 | |||
Jeju Air Co., Ltd. (b) | 2,324 | 28,728 | |||
Jin Air Co., Ltd. (b) | 2,445 | 25,987 | |||
JR Global Reit | 58,381 | 218,074 | |||
Jusung Engineering Co., Ltd. | 4,388 | 57,114 | |||
JW Pharmaceutical Corp. | 1,532 | 26,666 | |||
JYP Entertainment Corp. | 4,449 | 165,330 | |||
Kakao Corp. | 51,350 | 2,764,452 | |||
Kakao Games Corp. (b) | 5,672 | 214,710 | |||
KakaoBank Corp. (b) | 19,249 | 448,461 | |||
Kangwon Land, Inc. (b) | 13,891 | 271,743 | |||
KB Financial Group, Inc. | 64,977 | 2,409,614 | |||
KCC Corp. | 576 | 127,542 | |||
KCC Glass Corp. (b) | 1,162 | 43,271 | |||
KEPCO Engineering & Construction Co., Inc. | 1,622 | 88,695 | |||
KEPCO Plant Service & Engineering Co., Ltd. | 3,509 | 103,778 | |||
KG DONGBUSTEEL (c) | 4,738 | 48,533 | |||
Kginicis Co., Ltd. | 2,409 | 23,563 | |||
Kia Corp. | 43,341 | 2,580,298 | |||
KIWOOM Securities Co., Ltd. | 2,328 | 148,279 | |||
KMW Co., Ltd. (b) | 2,663 | 53,326 | |||
Koh Young Technology, Inc. | 7,925 | 86,062 | |||
Kolmar BNH Co., Ltd. | 790 | 16,367 | |||
Kolmar Korea Co., Ltd. | 1,275 | 37,462 | |||
Kolon Industries, Inc. | 2,530 | 101,714 | |||
KoMiCo, Ltd. | 1,382 | 49,973 | |||
Komipharm International Co., Ltd. (b) | 4,676 | 25,678 | |||
Korea Aerospace Industries, Ltd. | 30,189 | 1,250,900 | |||
Korea Electric Power Corp. (b) | 40,357 | 700,901 | |||
Korea Electric Terminal Co., Ltd. | 599 | 24,866 | |||
Korea Investment Holdings Co., Ltd. | 7,122 | 338,438 | |||
Korea Line Corp. (b) | 17,625 | 35,565 | |||
Korea Petrochemical Ind Co., Ltd. | 507 | 47,834 | |||
Korea Real Estate Investment & Trust Co., Ltd. | 40,468 | 53,141 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (b) | 6,866 | 496,548 | |||
Korea United Pharm, Inc. | 955 | 16,255 |
Security Description | Shares | Value | |||
Korea Zinc Co., Ltd. | 1,381 | $ 518,513 | |||
Korean Air Lines Co., Ltd. (b) | 28,054 | 544,486 | |||
Korean Reinsurance Co. | 8,166 | 52,830 | |||
Krafton, Inc. (b) | 3,967 | 669,110 | |||
KT&G Corp. | 18,662 | 1,181,467 | |||
Kuk-il Paper Manufacturing Co., Ltd. (b) | 9,131 | 17,792 | |||
Kumho Petrochemical Co., Ltd. | 2,949 | 315,705 | |||
Kumho Tire Co., Inc. (b) | 10,539 | 28,247 | |||
Kyung Dong Navien Co., Ltd. | 1,463 | 45,409 | |||
L&C Bio Co., Ltd. | 1,326 | 31,659 | |||
L&F Co., Ltd. (b) | 3,860 | 624,307 | |||
LB Semicon, Inc. (c) | 6,795 | 43,856 | |||
LEENO Industrial, Inc. | 3,095 | 309,881 | |||
LegoChem Biosciences, Inc. (b) | 2,417 | 78,091 | |||
LG Chem, Ltd. | 8,121 | 3,227,384 | |||
LG Chem, Ltd. Preference Shares | 1,042 | 193,008 | |||
LG Corp. | 15,260 | 915,553 | |||
LG Display Co., Ltd. | 38,257 | 428,712 | |||
LG Electronics, Inc. | 17,159 | 1,166,928 | |||
LG Energy Solution, Ltd. (b)(c) | 3,451 | 986,076 | |||
LG H&H Co., Ltd. | 1,505 | 788,201 | |||
LG H&H Co., Ltd. Preference Shares | 295 | 74,182 | |||
LG Hausys, Ltd. | 1,772 | 57,934 | |||
LG Innotek Co., Ltd. | 2,349 | 619,634 | |||
LG Uplus Corp. (b) | 38,245 | 375,557 | |||
LIG Nex1 Co., Ltd. | 4,497 | 248,679 | |||
Lock&Lock Co., Ltd. (b) | 10,907 | 64,179 | |||
Lotte Chemical Corp. | 2,819 | 390,804 | |||
Lotte Chilsung Beverage Co., Ltd. | 412 | 55,530 | |||
LOTTE Fine Chemical Co., Ltd. | 2,494 | 125,814 | |||
LOTTE Himart Co., Ltd. | 1,139 | 14,738 | |||
LOTTE Reit Co., Ltd. | 26,435 | 109,331 | |||
Lotte Rental Co., Ltd. | 2,023 | 59,518 | |||
Lotte Shopping Co., Ltd. | 1,360 | 108,934 | |||
Lotte Tour Development Co., Ltd. (b) | 3,330 | 31,289 | |||
LS Corp. | 2,772 | 135,782 | |||
LS Electric Co., Ltd. | 1,393 | 61,797 | |||
Lutronic Corp. | 5,808 | 76,715 | |||
LX Holdings Corp. (b) | 5,008 | 35,331 | |||
Lx International Corp. | 14,247 | 357,163 | |||
LX Semicon Co., Ltd. | 2,737 | 201,944 | |||
Mando Corp. | 5,035 | 184,392 | |||
Mcnex Co., Ltd. | 1,909 | 45,799 | |||
MedPacto, Inc. (b) | 1,173 | 20,869 | |||
Medytox, Inc. (b) | 568 | 48,165 | |||
MegaStudyEdu Co., Ltd. | 1,164 | 69,926 | |||
Meritz Financial Group, Inc. | 5,854 | 116,548 |
Security Description | Shares | Value | |||
Meritz Fire & Marine Insurance Co., Ltd. | 8,340 | $ 212,932 | |||
Meritz Securities Co., Ltd. | 69,541 | 243,158 | |||
Mezzion Pharma Co., Ltd. (b) | 2,889 | 36,713 | |||
Mirae Asset Securities Co., Ltd. | 47,797 | 243,697 | |||
Myoung Shin Industrial Co., Ltd. (b) | 1,283 | 16,551 | |||
Naturecell Co., Ltd. (b) | 12,479 | 167,713 | |||
NAVER Corp. | 21,501 | 3,974,307 | |||
NCSoft Corp. | 2,662 | 716,550 | |||
Neowiz (b) | 1,925 | 34,248 | |||
NEPES Corp. (b) | 1,564 | 23,489 | |||
Netmarble Corp. (d) | 3,351 | 177,822 | |||
Nexon Games Co. Ltd. (b) | 6,243 | 74,047 | |||
NH Investment & Securities Co., Ltd. | 20,508 | 142,943 | |||
NHN Corp. (b) | 3,708 | 79,820 | |||
NHN KCP Corp. (b) | 2,299 | 22,133 | |||
NICE Holdings Co., Ltd. | 2,514 | 28,656 | |||
NICE Information Service Co., Ltd. | 10,100 | 112,015 | |||
NKMax Co., Ltd. (b) | 9,231 | 105,576 | |||
NongShim Co., Ltd. | 521 | 107,338 | |||
OCI Co., Ltd. | 2,871 | 317,305 | |||
Orion Corp/Republic of Korea | 3,799 | 304,295 | |||
Orion Holdings Corp. | 5,222 | 60,328 | |||
Oscotec, Inc. (b) | 4,726 | 101,006 | |||
Ottogi Corp. | 114 | 37,227 | |||
Pan Ocean Co., Ltd. | 41,685 | 190,703 | |||
Paradise Co., Ltd. (b) | 4,113 | 42,765 | |||
Park Systems Corp. | 526 | 38,931 | |||
Partron Co., Ltd. | 11,769 | 76,593 | |||
Pearl Abyss Corp. (b)(c) | 4,665 | 183,596 | |||
People & Technology, Inc. | 2,453 | 82,844 | |||
PharmaResearch Co., Ltd. | 654 | 33,949 | |||
Pharmicell Co., Ltd. (b) | 11,563 | 102,414 | |||
PI Advanced Materials Co., Ltd. | 1,584 | 38,917 | |||
Poongsan Corp. | 1,946 | 37,169 | |||
POSCO Chemtech Co., Ltd. | 4,850 | 399,684 | |||
POSCO Holdings, Inc. | 12,688 | 2,252,452 | |||
Posco ICT Co., Ltd. | 6,124 | 24,715 | |||
Posco International Corp. | 6,646 | 98,533 | |||
PSK, Inc. | 1,165 | 33,378 | |||
RFHIC Corp. | 1,320 | 21,858 | |||
S&S Tech Corp. | 1,616 | 24,581 | |||
S&T Motiv Co., Ltd. | 938 | 31,028 | |||
S-1 Corp. | 3,092 | 152,885 | |||
Sam Chun Dang Pharm Co., Ltd. (b) | 2,749 | 71,350 | |||
SAM KANG M&T Co., Ltd. (b) | 5,577 | 99,221 | |||
Samsung Biologics Co., Ltd. (b)(d) | 3,370 | 2,050,447 | |||
Samsung C&T Corp. | 13,457 | 1,274,808 | |||
Samsung Electro-Mechanics Co., Ltd. | 8,791 | 883,569 |
Security Description | Shares | Value | |||
Samsung Electronics Co., Ltd. Preference Shares | 134,429 | $ 5,383,786 | |||
Samsung Electronics Co., Ltd. | 785,577 | 34,486,976 | |||
Samsung Engineering Co., Ltd. (b) | 26,286 | 436,278 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 4,820 | 746,165 | |||
Samsung Heavy Industries Co., Ltd. (b) | 124,672 | 582,840 | |||
Samsung Life Insurance Co., Ltd. | 12,935 | 623,638 | |||
Samsung SDI Co., Ltd. | 9,049 | 3,707,693 | |||
Samsung SDS Co., Ltd. | 5,430 | 543,669 | |||
Samsung Securities Co., Ltd. | 9,821 | 253,013 | |||
Samwha Capacitor Co., Ltd. | 848 | 25,700 | |||
Samyang Foods Co., Ltd. | 591 | 46,200 | |||
Samyang Holdings Corp. | 808 | 44,370 | |||
Sang-A Frontec Co., Ltd. | 993 | 22,370 | |||
Sangsangin Co., Ltd. | 7,698 | 50,573 | |||
SD Biosensor, Inc. | 4,873 | 145,807 | |||
Seah Besteel Holdings Corp. | 1,754 | 20,736 | |||
Sebang Global Battery Co., Ltd. | 1,623 | 65,875 | |||
Seegene, Inc. | 5,723 | 159,340 | |||
Seojin System Co., Ltd. | 5,942 | 68,188 | |||
Seoul Semiconductor Co., Ltd. | 9,084 | 73,461 | |||
Seoul Viosys Co., Ltd. | 73 | 365 | |||
SFA Engineering Corp. | 1,624 | 49,468 | |||
SFA Semicon Co., Ltd. (b) | 9,437 | 36,632 | |||
SGC Energy Co., Ltd. | 2,706 | 75,861 | |||
Shin Poong Pharmaceutical Co., Ltd. (b) | 5,405 | 90,958 | |||
Shinhan Financial Group Co., Ltd. | 75,176 | 2,145,156 | |||
Shinsegae International, Inc. | 1,130 | 26,240 | |||
Shinsegae, Inc. | 1,065 | 178,812 | |||
SillaJen, Inc. (b)(f) | 6,523 | 30,394 | |||
SIMMTECH Co., Ltd. | 6,354 | 180,823 | |||
SK Biopharmaceuticals Co., Ltd. (b) | 4,369 | 252,032 | |||
SK Bioscience Co., Ltd. (b) | 3,579 | 277,025 | |||
SK Chemicals Co., Ltd. | 1,794 | 127,255 | |||
SK Discovery Co., Ltd. | 2,244 | 60,403 | |||
SK Hynix, Inc. | 89,812 | 6,294,587 | |||
SK IE Technology Co., Ltd. (b)(d) | 3,749 | 283,254 | |||
SK Innovation Co., Ltd. (b) | 8,970 | 1,326,433 | |||
SK Networks Co., Ltd. | 13,470 | 43,572 | |||
SK Square Co., Ltd. (b) | 14,877 | 447,433 | |||
SK Telecom Co., Ltd. | 14,589 | 584,279 | |||
SK, Inc. | 6,708 | 1,110,767 | |||
SKC Co., Ltd. | 3,596 | 368,352 | |||
SL Corp. | 1,756 | 42,466 | |||
SM Entertainment Co., Ltd. | 2,553 | 124,071 | |||
S-Oil Corp. | 7,023 | 562,532 |
Security Description | Shares | Value | ||||
SOLUM Co., Ltd. (b) | 3,572 | $ 53,371 | ||||
Solus Advanced Materials Co, Ltd. | 2,888 | 100,315 | ||||
Soulbrain Co., Ltd. | 458 | 80,637 | ||||
ST Pharm Co., Ltd. | 2,098 | 145,264 | ||||
Suheung Co., Ltd. | 2,578 | 64,927 | ||||
Taihan Electric Wire Co., Ltd. (b)(c) | 117,870 | 167,491 | ||||
TES Co., Ltd. | 1,592 | 24,216 | ||||
TKG Huchems Co., Ltd. | 1,984 | 30,179 | ||||
Tokai Carbon Korea Co., Ltd. | 499 | 43,236 | ||||
TY Holdings Co., Ltd. (b) | 1,741 | 25,209 | ||||
Unid Co., Ltd. | 1,167 | 86,644 | ||||
UniTest, Inc. (b) | 4,511 | 61,147 | ||||
Value Added Technology Co., Ltd. | 3,331 | 78,888 | ||||
Vaxcell-Bio Therapeutics Co., Ltd. (b) | 1,108 | 32,940 | ||||
Vidente Co., Ltd. (b) | 5,018 | 33,121 | ||||
Webzen, Inc. (b) | 4,173 | 59,137 | ||||
Wemade Co., Ltd. (c) | 2,666 | 118,475 | ||||
WONIK IPS Co., Ltd. | 5,486 | 125,911 | ||||
Wonik QnC Corp. | 1,915 | 40,707 | ||||
Woori Financial Group, Inc. | 79,778 | 743,464 | ||||
Woori Technology Investment Co., Ltd. (b) | 6,621 | 26,721 | ||||
Wysiwyg Studios Co., Ltd. (b) | 3,169 | 48,326 | ||||
YG Entertainment, Inc. | 2,609 | 88,715 | ||||
Youngone Corp. | 3,468 | 102,566 | ||||
Yuanta Securities Korea Co., Ltd. | 18,956 | 39,638 | ||||
Yuhan Corp. | 8,052 | 347,283 | ||||
Yungjin Pharmaceutical Co., Ltd. (b) | 22,295 | 62,245 | ||||
Zinus, Inc. | 865 | 32,511 | ||||
142,253,867 | ||||||
SPAIN — 1.5% | ||||||
Acciona SA (c) | 4,003 | 734,456 | ||||
Acerinox SA (c) | 24,297 | 234,606 | ||||
ACS Actividades de Construccion y Servicios SA (c) | 37,792 | 913,858 | ||||
Aena SME SA (b)(d) | 12,081 | 1,531,397 | ||||
Almirall SA | 11,031 | 122,012 | ||||
Amadeus IT Group SA (b) | 73,049 | 4,059,780 | ||||
AmRest Holdings SE (b) | 7,136 | 28,697 | ||||
Applus Services SA | 23,743 | 163,826 | ||||
Atresmedia Corp. de Medios de Comunicacion SA | 10,812 | 37,233 | ||||
Audax Renovables SA (c) | 41,904 | 49,767 | ||||
Banco Bilbao Vizcaya Argentaria SA | 1,081,199 | 4,894,935 | ||||
Banco de Sabadell SA | 883,060 | 702,182 | ||||
Banco Santander SA | 2,811,788 | 7,901,600 | ||||
Bankinter SA | 105,797 | 658,324 | ||||
Befesa SA (d) | 6,414 | 311,136 |
Security Description | Shares | Value | |||
CaixaBank SA | 714,119 | $ 2,476,391 | |||
Cellnex Telecom SA (d) | 87,475 | 3,386,421 | |||
Cia de Distribucion Integral Logista Holdings SA | 9,577 | 186,829 | |||
CIE Automotive SA (c) | 7,659 | 189,608 | |||
Construcciones y Auxiliar de Ferrocarriles SA | 3,468 | 101,880 | |||
ContourGlobal PLC (d) | 21,412 | 65,400 | |||
Corp. Financiera Alba SA | 3,061 | 166,726 | |||
Distribuidora Internacional de Alimentacion SA (b)(c) | 3,493,966 | 47,486 | |||
Ebro Foods SA | 11,588 | 195,046 | |||
EDP Renovaveis SA | 46,726 | 1,100,095 | |||
eDreams ODIGEO SA (b) | 11,015 | 59,651 | |||
Enagas SA (c) | 40,358 | 888,991 | |||
Ence Energia y Celulosa SA | 35,434 | 120,839 | |||
Endesa SA (c) | 51,503 | 969,189 | |||
Faes Farma SA | 47,020 | 190,729 | |||
Ferrovial SA | 79,032 | 1,998,674 | |||
Fluidra SA (c) | 13,805 | 279,123 | |||
Gestamp Automocion SA (d) | 33,976 | 117,359 | |||
Global Dominion Access SA (d) | 10,388 | 45,124 | |||
Grenergy Renovables SA (b) | 1,485 | 52,598 | |||
Grifols SA (b)(c) | 48,368 | 911,964 | |||
Grupo Catalana Occidente SA | 6,786 | 211,059 | |||
Iberdrola SA | 944,520 | 9,771,789 | |||
Indra Sistemas SA (b) | 20,777 | 198,207 | |||
Industria de Diseno Textil SA | 176,878 | 3,992,360 | |||
Inmobiliaria Colonial Socimi SA REIT | 46,576 | 297,270 | |||
Laboratorios Farmaceuticos Rovi SA | 2,832 | 172,906 | |||
Lar Espana Real Estate Socimi SA REIT | 11,653 | 57,746 | |||
Linea Directa Aseguradora SA Cia de Seguros y Reaseguros (c) | 102,412 | 134,690 | |||
Mapfre SA | 169,029 | 297,229 | |||
Mediaset Espana Comunicacion SA (b) | 30,205 | 123,848 | |||
Melia Hotels International SA (b) | 19,010 | 120,337 | |||
Merlin Properties Socimi SA REIT | 55,292 | 532,095 | |||
Miquel y Costas & Miquel SA | 5,388 | 73,228 | |||
Naturgy Energy Group SA (c) | 42,917 | 1,232,512 | |||
Neinor Homes SA (d) | 7,187 | 89,863 | |||
Pharma Mar SA (b)(c) | 2,303 | 162,036 | |||
Prosegur Cash SA (c)(d) | 40,918 | 26,608 | |||
Prosegur Cia de Seguridad SA | 36,398 | 64,080 | |||
Red Electrica Corp. SA (c) | 70,189 | 1,322,658 | |||
Repsol SA | 235,284 | 3,455,986 | |||
Sacyr SA (c) | 67,228 | 161,230 |
Security Description | Shares | Value | ||||
Siemens Gamesa Renewable Energy SA (b) | 37,386 | $ 700,016 | ||||
Solaria Energia y Medio Ambiente SA (b) | 11,757 | 248,900 | ||||
Soltec Power Holdings SA (b)(c) | 9,892 | 40,849 | ||||
Talgo SA (c)(d) | 13,014 | 43,606 | ||||
Tecnicas Reunidas SA (b)(c) | 8,804 | 64,889 | ||||
Telefonica SA (c) | 881,998 | 4,483,178 | ||||
Unicaja Banco SA (d) | 219,193 | 213,916 | ||||
Viscofan SA | 6,409 | 351,765 | ||||
64,538,788 | ||||||
SWEDEN — 2.1% | ||||||
AAK AB | 28,411 | 462,732 | ||||
AcadeMedia AB (d) | 15,147 | 67,373 | ||||
AddLife AB Class B | 18,035 | 270,330 | ||||
AddTech AB Class B | 41,916 | 545,660 | ||||
AFRY AB | 15,012 | 205,680 | ||||
Alfa Laval AB | 50,444 | 1,213,917 | ||||
Alimak Group AB (d) | 6,075 | 45,885 | ||||
Ambea AB (d) | 8,959 | 40,916 | ||||
Arjo AB Class B | 34,989 | 220,913 | ||||
Assa Abloy AB Class B | 165,286 | 3,504,952 | ||||
Atlas Copco AB Class A | 445,028 | 4,150,450 | ||||
Atlas Copco AB Class B | 252,804 | 2,110,277 | ||||
Atrium Ljungberg AB Class B | 8,905 | 116,446 | ||||
Attendo AB (b)(d) | 18,258 | 39,340 | ||||
Avanza Bank Holding AB | 19,579 | 327,960 | ||||
Axfood AB (c) | 18,129 | 520,655 | ||||
Beijer Alma AB | 6,867 | 112,848 | ||||
Beijer Ref AB | 40,431 | 551,974 | ||||
Betsson AB Class B | 15,247 | 92,041 | ||||
BHG Group AB (b) | 19,664 | 62,212 | ||||
BICO Group AB (b)(c) | 5,558 | 48,120 | ||||
Bilia AB Class A | 10,517 | 151,175 | ||||
BillerudKorsnas AB (c) | 40,633 | 473,247 | ||||
BillerudKorsnas AB (b)(c) | 6,009 | 70,367 | ||||
BioArctic AB (b)(d) | 4,185 | 31,630 | ||||
BioGaia AB Class B | 12,965 | 130,872 | ||||
Biotage AB | 10,569 | 186,680 | ||||
Boliden AB (b) | 43,857 | 1,392,439 | ||||
Bonava AB Class B | 9,858 | 28,571 | ||||
Boozt AB (b)(c)(d) | 10,974 | 72,286 | ||||
Bravida Holding AB (d) | 32,790 | 285,105 | ||||
Bufab AB | 6,983 | 180,582 | ||||
Bure Equity AB | 8,361 | 166,610 | ||||
Calliditas Therapeutics AB Class B (b)(c) | 2,965 | 26,721 | ||||
Camurus AB (b) | 6,510 | 123,499 | ||||
Cary Group AB (b) | 12,745 | 78,790 | ||||
Castellum AB (c) | 42,803 | 549,062 | ||||
Catena AB | 4,654 | 168,586 | ||||
Cellavision AB | 1,868 | 61,614 | ||||
Cibus Nordic Real Estate AB | 6,949 | 107,076 | ||||
Cint Group AB (b) | 22,087 | 122,749 | ||||
Clas Ohlson AB Class B | 7,371 | 76,102 |
Security Description | Shares | Value | |||
Cloetta AB Class B | 28,896 | $ 59,104 | |||
Collector AB (b) | 28,130 | 85,153 | |||
Coor Service Management Holding AB (d) | 14,679 | 114,955 | |||
Corem Property Group AB Class B (c) | 91,489 | 102,494 | |||
Creades AB Class A | 6,464 | 48,823 | |||
Dios Fastigheter AB | 13,711 | 95,065 | |||
Dometic Group AB (d) | 50,531 | 295,866 | |||
Duni AB (b) | 3,551 | 28,277 | |||
Dustin Group AB (d) | 12,433 | 71,098 | |||
Electrolux AB Class B | 36,692 | 492,908 | |||
Electrolux Professional AB Class B | 38,519 | 206,740 | |||
Elekta AB Class B (c) | 59,102 | 407,532 | |||
Embracer Group AB (b)(c) | 102,917 | 783,272 | |||
Epiroc AB Class A | 106,040 | 1,634,465 | |||
Epiroc AB Class B | 62,532 | 843,328 | |||
EQT AB | 48,147 | 983,858 | |||
Essity AB Class B | 101,625 | 2,648,871 | |||
Evolution AB (d) | 30,482 | 2,766,683 | |||
Fabege AB | 41,748 | 393,468 | |||
Fagerhult AB | 9,751 | 43,248 | |||
Fastighets AB Balder Class B (b) | 102,192 | 488,751 | |||
Fingerprint Cards AB Class B (b)(c) | 36,935 | 32,237 | |||
Fortnox AB | 78,217 | 358,745 | |||
GARO AB | 3,472 | 44,114 | |||
Getinge AB Class B | 37,413 | 863,090 | |||
Granges AB | 17,145 | 127,993 | |||
H & M Hennes & Mauritz AB Class B (c) | 117,691 | 1,403,003 | |||
Hemnet Group AB | 5,800 | 71,146 | |||
Hexagon AB Class B | 320,979 | 3,328,066 | |||
Hexatronic Group AB | 24,240 | 180,249 | |||
Hexpol AB | 42,119 | 357,794 | |||
HMS Networks AB | 3,854 | 164,203 | |||
Holmen AB Class B | 15,129 | 612,548 | |||
Hufvudstaden AB Class A | 17,522 | 193,218 | |||
Humble Group AB (b) | 18,881 | 26,680 | |||
Husqvarna AB Class B | 67,796 | 497,782 | |||
Industrivarden AB Class A | 21,068 | 473,277 | |||
Industrivarden AB Class C | 26,231 | 582,348 | |||
Indutrade AB | 44,039 | 801,713 | |||
Instalco AB (c) | 32,669 | 134,854 | |||
Intrum AB | 10,843 | 206,493 | |||
Investment AB Latour Class B | 23,938 | 472,574 | |||
Investment AB Oresund | 3,443 | 33,800 | |||
Investor AB Class A | 83,216 | 1,491,365 | |||
Investor AB Class B | 301,487 | 4,947,995 | |||
INVISIO AB | 6,465 | 93,120 | |||
Inwido AB | 8,414 | 92,619 | |||
JM AB | 8,384 | 138,514 | |||
Karo Pharma AB (b) | 17,994 | 88,149 | |||
K-fast Holding AB (b) | 7,303 | 14,453 |
Security Description | Shares | Value | |||
Kinnevik AB Class B (b) | 39,052 | $ 628,039 | |||
KNOW IT AB | 4,570 | 127,368 | |||
L E Lundbergforetagen AB Class B | 12,017 | 487,721 | |||
LeoVegas AB (d) | 19,551 | 115,428 | |||
Lifco AB Class B | 37,594 | 602,574 | |||
Lime Technologies AB | 1,258 | 27,523 | |||
Lindab International AB | 12,715 | 184,011 | |||
Loomis AB | 12,140 | 294,751 | |||
Lundin Energy AB (c) | 33,022 | 22,525 | |||
Lundin Energy Mergerco AB (c) | 33,022 | 1,343,638 | |||
Mekonomen AB | 8,779 | 94,238 | |||
MIPS AB | 4,306 | 187,537 | |||
Modern Times Group MTG AB Class B (c) | 15,662 | 125,557 | |||
Munters Group AB (d) | 20,823 | 119,991 | |||
Mycronic AB (c) | 11,517 | 161,729 | |||
NCC AB Class B | 12,107 | 121,573 | |||
New Wave Group AB Class B | 6,356 | 84,417 | |||
Nibe Industrier AB Class B | 244,163 | 1,829,900 | |||
Nobia AB | 16,815 | 44,961 | |||
Nolato AB Class B | 33,273 | 178,583 | |||
Nordnet AB publ | 22,232 | 290,066 | |||
Note AB (b) | 2,802 | 52,882 | |||
Nyfosa AB | 29,552 | 220,615 | |||
OX2 AB (b)(c) | 11,036 | 83,895 | |||
Pandox AB (b) | 13,848 | 155,002 | |||
Paradox Interactive AB | 5,166 | 89,962 | |||
Peab AB Class B | 29,673 | 173,161 | |||
Platzer Fastigheter Holding AB Class B | 9,670 | 62,470 | |||
PowerCell Sweden AB (b) | 7,359 | 97,379 | |||
Ratos AB Class B | 39,105 | 166,076 | |||
Re:NewCell AB (b)(c) | 2,448 | 23,005 | |||
Resurs Holding AB (d) | 16,411 | 32,494 | |||
Rvrc Holding AB | 5,335 | 21,647 | |||
Saab AB Class B | 12,967 | 534,756 | |||
Sagax AB Class B | 30,665 | 564,678 | |||
Samhallsbyggnadsbolaget i Norden AB (c) | 170,381 | 283,237 | |||
Samhallsbyggnadsbolaget i Norden AB Class D (c) | 18,356 | 27,926 | |||
Sandvik AB | 184,108 | 2,979,713 | |||
SAS AB (b)(c) | 458,640 | 28,976 | |||
Scandic Hotels Group AB (b)(d) | 24,676 | 95,069 | |||
Sdiptech AB Class B (b) | 4,839 | 111,727 | |||
Sectra AB Class B | 20,742 | 278,115 | |||
Securitas AB Class B | 49,402 | 424,820 | |||
Sedana Medical AB (b)(c) | 8,147 | 21,466 | |||
Skandinaviska Enskilda Banken AB Class A (c) | 268,389 | 2,629,570 | |||
Skanska AB Class B | 56,336 | 862,022 | |||
SKF AB Class B | 63,804 | 937,067 | |||
SkiStar AB | 6,323 | 85,521 | |||
SSAB AB Class A | 51,377 | 223,960 |
Security Description | Shares | Value | ||||
SSAB AB Class B | 105,219 | $ 434,536 | ||||
Stillfront Group AB (b) | 109,706 | 241,629 | ||||
Storskogen Group AB Class B (c) | 222,490 | 314,170 | ||||
Storytel AB (b)(c) | 6,381 | 30,444 | ||||
Surgical Science Sweden AB (b) | 5,185 | 77,314 | ||||
Svenska Cellulosa AB SCA Class B | 98,128 | 1,463,196 | ||||
Svenska Handelsbanken AB Class A | 236,237 | 2,015,325 | ||||
Svolder AB Class B | 10,452 | 53,171 | ||||
Sweco AB Class B | 34,082 | 353,545 | ||||
Swedbank AB Class A | 149,341 | 1,884,360 | ||||
SwedenCare AB (c) | 13,025 | 110,353 | ||||
Swedish Match AB | 255,902 | 2,602,122 | ||||
Swedish Orphan Biovitrum AB (b) | 27,352 | 590,419 | ||||
Synsam AB | 7,200 | 41,876 | ||||
Tele2 AB Class B | 90,309 | 1,026,699 | ||||
Telefonaktiebolaget LM Ericsson Class B | 481,327 | 3,582,451 | ||||
Telia Co. AB | 431,037 | 1,648,031 | ||||
Thule Group AB (c)(d) | 16,835 | 412,850 | ||||
Trelleborg AB Class B | 39,120 | 786,798 | ||||
Troax Group AB | 7,112 | 122,843 | ||||
Truecaller AB Class B (b) | 10,542 | 50,470 | ||||
Vestum AB (b) | 24,617 | 37,163 | ||||
Viaplay Group AB Class B (b) | 11,864 | 243,013 | ||||
Vimian Group AB (b)(c) | 20,564 | 98,451 | ||||
Vitec Software Group AB Class B | 4,517 | 195,448 | ||||
Vitrolife AB | 10,484 | 240,631 | ||||
VNV Global AB (b) | 11,000 | 25,827 | ||||
Volati AB | 2,680 | 33,214 | ||||
Volvo AB Class A | 33,110 | 531,833 | ||||
Volvo AB Class B | 250,277 | 3,868,188 | ||||
Volvo Car AB Class B (b)(c) | 96,493 | 639,934 | ||||
Wallenstam AB Class B | 57,524 | 251,205 | ||||
Wihlborgs Fastigheter AB | 44,366 | 309,775 | ||||
XANO Industri AB Class B | 2,000 | 24,865 | ||||
Xvivo Perfusion AB (b) | 4,152 | 86,910 | ||||
92,388,945 | ||||||
SWITZERLAND — 3.5% | ||||||
ABB, Ltd. | 271,078 | 7,209,115 | ||||
Adecco Group AG (b) | 25,833 | 875,356 | ||||
Alcon, Inc. | 82,639 | 5,755,856 | ||||
Allreal Holding AG | 2,469 | 406,965 | ||||
ALSO Holding AG | 1,176 | 231,183 | ||||
APG SGA SA | 139 | 25,554 | ||||
Arbonia AG | 9,785 | 130,419 | ||||
Aryzta AG (b) | 127,469 | 141,270 | ||||
Autoneum Holding AG (c) | 289 | 27,320 | ||||
Bachem Holding AG Class B | 5,345 | 370,440 | ||||
Baloise Holding AG | 7,182 | 1,169,555 |
Security Description | Shares | Value | |||
Banque Cantonale Vaudoise (c) | 4,858 | $ 380,074 | |||
Barry Callebaut AG | 586 | 1,303,786 | |||
Basilea Pharmaceutica AG (b)(c) | 1,356 | 54,673 | |||
Belimo Holding AG | 1,587 | 556,988 | |||
Bell Food Group AG | 471 | 124,226 | |||
BKW AG | 3,406 | 354,706 | |||
Bobst Group SA | 1,422 | 91,200 | |||
Bossard Holding AG Class A | 975 | 188,207 | |||
Bucher Industries AG | 1,074 | 372,453 | |||
Burckhardt Compression Holding AG | 438 | 183,234 | |||
Burkhalter Holding AG | 433 | 34,012 | |||
Bystronic AG | 232 | 168,181 | |||
Cembra Money Bank AG (c) | 4,329 | 308,391 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 180 | 1,825,665 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 18 | 1,882,070 | |||
Cie Financiere Richemont SA Class A | 86,083 | 9,140,165 | |||
Clariant AG | 34,059 | 646,778 | |||
Coltene Holding AG | 945 | 81,238 | |||
Comet Holding AG | 1,018 | 159,928 | |||
Credit Suisse Group AG (b) | 426,979 | 2,417,325 | |||
Daetwyler Holding AG Bearer Shares | 1,529 | 314,951 | |||
DKSH Holding AG | 5,769 | 474,850 | |||
dormakaba Holding AG | 543 | 236,235 | |||
Dottikon Es Holding AG (b) | 400 | 85,653 | |||
Dufry AG (b) | 11,714 | 377,599 | |||
EFG International AG | 13,125 | 96,242 | |||
Emmi AG | 354 | 343,887 | |||
EMS-Chemie Holding AG | 1,132 | 840,117 | |||
Flughafen Zurich AG (b) | 3,377 | 509,010 | |||
Forbo Holding AG | 192 | 255,104 | |||
Galenica AG (d) | 7,623 | 583,659 | |||
Geberit AG | 5,779 | 2,769,525 | |||
Georg Fischer AG | 12,620 | 619,037 | |||
Givaudan SA | 1,528 | 5,358,015 | |||
Gurit Holding AG Class BR (c) | 850 | 90,030 | |||
Helvetia Holding AG | 5,881 | 686,173 | |||
Holcim AG (b)(e) | 83,576 | 3,566,177 | |||
Holcim AG (b)(e) | 8,321 | 356,667 | |||
Huber + Suhner AG | 2,858 | 227,482 | |||
Idorsia, Ltd. (b)(c) | 18,148 | 258,756 | |||
Implenia AG (b) | 1,966 | 44,871 | |||
Inficon Holding AG | 249 | 195,590 | |||
Interroll Holding AG | 92 | 205,651 | |||
Intershop Holding AG | 240 | 154,677 | |||
IWG PLC (b) | 131,265 | 298,265 | |||
Julius Baer Group, Ltd. (b) | 35,535 | 1,634,681 | |||
Kardex Holding AG | 1,062 | 175,937 | |||
Komax Holding AG | 565 | 138,100 |
Security Description | Shares | Value | |||
Kuehne + Nagel International AG | 9,102 | $ 2,148,694 | |||
Landis+Gyr Group AG (c) | 4,733 | 247,440 | |||
LEM Holding SA | 117 | 222,915 | |||
Leonteq AG | 1,998 | 110,612 | |||
Logitech International SA (c) | 27,884 | 1,452,525 | |||
Lonza Group AG | 12,303 | 6,541,210 | |||
Medacta Group SA (d) | 1,306 | 124,277 | |||
Medartis Holding AG (b)(d) | 947 | 86,950 | |||
Mediclinic International PLC (b) | 78,189 | 434,711 | |||
Medmix AG (d) | 7,663 | 169,213 | |||
Metall Zug AG Class B | 20 | 39,902 | |||
Meyer Burger Technology AG (b)(c) | 475,083 | 200,782 | |||
Mobilezone Holding AG | 8,564 | 149,032 | |||
Mobimo Holding AG | 1,131 | 274,082 | |||
Molecular Partners AG (b)(c) | 5,131 | 35,320 | |||
Novartis AG | 360,063 | 30,407,995 | |||
OC Oerlikon Corp. AG | 26,781 | 185,888 | |||
Orior AG | 1,109 | 92,441 | |||
Partners Group Holding AG | 3,772 | 3,389,225 | |||
Peach Property Group AG | 938 | 34,635 | |||
PSP Swiss Property AG | 7,310 | 810,907 | |||
Rieter Holding AG | 687 | 78,650 | |||
Schindler Holding AG (e) | 6,513 | 1,184,429 | |||
Schindler Holding AG (e) | 3,779 | 677,366 | |||
Schweiter Technologies AG Bearer Shares | 187 | 176,970 | |||
Sensirion Holding AG (b)(d) | 1,199 | 121,234 | |||
SFS Group AG | 2,801 | 282,338 | |||
SGS SA | 1,025 | 2,339,400 | |||
Siegfried Holding AG | 670 | 426,908 | |||
SIG Group AG | 51,648 | 1,134,006 | |||
Sika AG | 24,051 | 5,526,944 | |||
Sonova Holding AG | 8,649 | 2,746,431 | |||
St Galler Kantonalbank AG | 651 | 298,521 | |||
Stadler Rail AG (c) | 8,340 | 270,581 | |||
Straumann Holding AG | 17,939 | 2,148,333 | |||
Sulzer AG (c) | 2,810 | 174,056 | |||
Swatch Group AG Bearer Shares (e) | 4,755 | 1,124,988 | |||
Swatch Group AG (e) | 8,168 | 362,093 | |||
Swiss Life Holding AG | 5,079 | 2,466,950 | |||
Swiss Prime Site AG (b) | 12,227 | 1,069,631 | |||
Swiss Steel Holding AG (b) | 113,731 | 28,274 | |||
Swisscom AG | 4,172 | 2,298,337 | |||
Swissquote Group Holding SA | 1,366 | 138,191 | |||
Tecan Group AG | 2,044 | 591,839 | |||
Temenos AG | 11,249 | 959,047 | |||
TX Group AG | 274 | 32,914 | |||
u-blox Holding AG (b) | 976 | 98,584 | |||
UBS Group AG | 579,859 | 9,321,596 | |||
Valiant Holding AG | 2,833 | 248,278 | |||
Valora Holding AG | 827 | 142,707 | |||
VAT Group AG (b)(d) | 4,381 | 1,041,537 |
Security Description | Shares | Value | ||||
Vetropack Holding AG | 2,150 | $ 88,708 | ||||
Vifor Pharma AG (b) | 15,154 | 2,619,718 | ||||
Vontobel Holding AG | 4,700 | 329,420 | ||||
V-ZUG Holding AG (b) | 233 | 21,661 | ||||
Ypsomed Holding AG | 369 | 49,953 | ||||
Zehnder Group AG | 1,784 | 105,286 | ||||
Zur Rose Group AG (b)(c) | 1,676 | 125,435 | ||||
Zurich Insurance Group AG | 24,793 | 10,752,654 | ||||
156,275,998 | ||||||
TAIWAN — 4.2% | ||||||
AcBel Polytech, Inc. | 136,000 | 131,730 | ||||
Accton Technology Corp. | 85,000 | 681,807 | ||||
Acer, Inc. | 493,000 | 359,800 | ||||
Actron Technology Corp. | 7,000 | 35,667 | ||||
ADATA Technology Co., Ltd. | 43,000 | 86,915 | ||||
Adimmune Corp. | 103,000 | 135,447 | ||||
Advanced Ceramic X Corp. | 15,000 | 92,825 | ||||
Advanced Energy Solution Holding Co., Ltd. | 4,000 | 130,358 | ||||
Advanced Wireless Semiconductor Co. | 14,000 | 40,022 | ||||
Advantech Co., Ltd. | 68,514 | 797,277 | ||||
Alchip Technologies, Ltd. | 13,000 | 303,429 | ||||
Allied Supreme Corp. | 6,000 | 50,549 | ||||
Amazing Microelectronic Corp. | 10,000 | 38,004 | ||||
AmTRAN Technology Co., Ltd. | 177,473 | 75,505 | ||||
Andes Technology Corp. | 4,000 | 33,834 | ||||
AP Memory Technology Corp. | 11,000 | 77,320 | ||||
Apex International Co., Ltd. | 15,000 | 34,961 | ||||
Arcadyan Technology Corp. (b) | 25,487 | 102,862 | ||||
Ardentec Corp. | 43,000 | 51,918 | ||||
ASE Technology Holding Co., Ltd. | 549,325 | 1,411,486 | ||||
Asia Cement Corp. | 366,000 | 539,149 | ||||
Asia Optical Co., Inc. | 27,000 | 56,028 | ||||
Asia Pacific Telecom Co., Ltd. (b) | 482,000 | 118,338 | ||||
Asia Polymer Corp. | 43,860 | 41,598 | ||||
Asia Vital Components Co., Ltd. | 55,000 | 172,213 | ||||
ASMedia Technology, Inc. | 4,000 | 149,999 | ||||
ASPEED Technology, Inc. | 4,400 | 281,164 | ||||
ASROCK, Inc. | 6,000 | 21,995 | ||||
Asustek Computer, Inc. | 113,000 | 1,180,033 | ||||
AUO Corp. | 1,320,000 | 723,628 | ||||
AURAS Technology Co., Ltd. | 7,000 | 37,433 | ||||
Aurora Corp. | 4,000 | 11,744 | ||||
BES Engineering Corp. | 141,000 | 41,067 | ||||
Bizlink Holding, Inc. | 19,000 | 197,135 | ||||
Brighton-Best International Taiwan, Inc. | 68,000 | 80,387 | ||||
Capital Securities Corp. | 222,000 | 104,529 |
Security Description | Shares | Value | |||
Career Technology MFG. Co., Ltd. | 61,200 | $ 45,591 | |||
Catcher Technology Co., Ltd. | 115,000 | 640,103 | |||
Cathay Financial Holding Co., Ltd. | 1,299,523 | 2,224,619 | |||
Cathay Real Estate Development Co., Ltd. | 63,000 | 36,762 | |||
Center Laboratories, Inc. | 75,891 | 153,653 | |||
Century Iron & Steel Industrial Co., Ltd. | 24,000 | 89,192 | |||
Chailease Holding Co., Ltd. | 220,008 | 1,542,760 | |||
Chang Hwa Commercial Bank, Ltd. | 765,915 | 446,924 | |||
Chang Wah Electromaterials, Inc. | 39,000 | 43,744 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 156,806 | |||
Charoen Pokphand Enterprise | 35,000 | 95,229 | |||
Cheng Loong Corp. | 121,000 | 106,010 | |||
Cheng Shin Rubber Industry Co., Ltd. | 312,000 | 371,460 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 65,581 | |||
Chia Hsin Cement Corp. | 126,000 | 76,701 | |||
Chicony Electronics Co., Ltd. | 89,491 | 223,024 | |||
Chicony Power Technology Co., Ltd. | 16,000 | 37,614 | |||
China Airlines, Ltd. (b) | 434,000 | 343,014 | |||
China Bills Finance Corp. | 81,000 | 45,630 | |||
China Development Financial Holding Corp. | 2,544,908 | 1,258,182 | |||
China General Plastics Corp. | 144,427 | 148,636 | |||
China Man-Made Fiber Corp. | 277,680 | 74,245 | |||
China Metal Products | 76,000 | 81,410 | |||
China Motor Corp. | 26,000 | 54,302 | |||
China Petrochemical Development Corp. | 734,221 | 237,057 | |||
China Steel Chemical Corp. | 20,000 | 78,363 | |||
China Steel Corp. | 1,901,000 | 1,818,940 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 89,520 | |||
Chipbond Technology Corp. | 91,000 | 181,489 | |||
ChipMOS Techinologies, Inc. | 67,000 | 83,261 | |||
Chong Hong Construction Co., Ltd. | 18,000 | 44,374 | |||
Chroma ATE, Inc. | 62,000 | 319,034 | |||
Chun Yuan Steel Industry Co., Ltd. | 61,000 | 32,825 | |||
Chung Hung Steel Corp. | 220,000 | 198,665 | |||
Chung Hwa Pulp Corp. (b) | 235,000 | 147,006 | |||
Chung-Hsin Electric & Machinery Manufacturing Corp. | 61,000 | 113,041 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 41,166 | |||
Chunghwa Telecom Co., Ltd. | 625,000 | 2,564,448 | |||
Cleanaway Co., Ltd. | 14,000 | 81,222 | |||
Clevo Co. | 43,000 | 45,193 |
Security Description | Shares | Value | |||
Compal Electronics, Inc. | 674,000 | $ 515,698 | |||
Compeq Manufacturing Co., Ltd. | 146,000 | 213,106 | |||
Continental Holdings Corp. | 110,000 | 96,558 | |||
Coretronic Corp. | 42,000 | 70,910 | |||
Co-Tech Development Corp. | 25,000 | 38,046 | |||
CSBC Corp. Taiwan (b) | 62,000 | 37,325 | |||
CTBC Financial Holding Co., Ltd. | 2,984,009 | 2,518,998 | |||
CTCI Corp. | 72,000 | 108,726 | |||
Cub Elecparts, Inc. | 6,000 | 26,334 | |||
Darfon Electronics Corp. | 24,000 | 32,650 | |||
Delta Electronics, Inc. | 320,630 | 2,388,536 | |||
Dynapack International Technology Corp. | 16,000 | 38,368 | |||
E Ink Holdings, Inc. | 138,000 | 874,872 | |||
E.Sun Financial Holding Co., Ltd. | 1,938,826 | 1,890,997 | |||
Eclat Textile Co., Ltd. | 31,182 | 435,742 | |||
EirGenix, Inc. (b) | 35,000 | 105,353 | |||
Elan Microelectronics Corp. | 44,000 | 206,434 | |||
Elite Material Co., Ltd. | 54,000 | 324,180 | |||
Elite Semiconductor Microelectronics Technology, Inc. | 103,000 | 307,613 | |||
eMemory Technology, Inc. | 11,000 | 382,901 | |||
Ennoconn Corp. | 6,233 | 44,861 | |||
ENNOSTAR, Inc. | 106,000 | 180,746 | |||
Episil Technologies, Inc. (b) | 51,579 | 194,288 | |||
Episil-Precision, Inc. | 13,113 | 36,957 | |||
Eternal Materials Co., Ltd. | 120,000 | 130,560 | |||
Etron Technology, Inc. (b) | 39,000 | 72,141 | |||
Eva Airways Corp. (b) | 372,121 | 396,106 | |||
Ever Supreme Bio Technology Co., Ltd. | 3,300 | 19,423 | |||
Evergreen International Storage & Transport Corp. | 59,000 | 56,751 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 420,683 | 1,196,959 | |||
EVERGREEN Steel Corp. | 24,000 | 48,672 | |||
Everlight Chemical Industrial Corp. | 57,000 | 36,807 | |||
Everlight Electronics Co., Ltd. | 90,000 | 124,859 | |||
Far Eastern Department Stores, Ltd. | 98,000 | 65,919 | |||
Far Eastern International Bank | 311,576 | 117,888 | |||
Far Eastern New Century Corp. | 497,620 | 532,205 | |||
Far EasTone Telecommunications Co., Ltd. | 263,000 | 739,462 | |||
Faraday Technology Corp. | 37,000 | 237,678 | |||
Farglory Land Development Co., Ltd. | 25,000 | 52,634 | |||
Feng Hsin Steel Co., Ltd. | 60,000 | 138,026 | |||
Feng TAY Enterprise Co., Ltd. | 65,560 | 386,964 |
Security Description | Shares | Value | |||
First Financial Holding Co., Ltd. | 1,665,908 | $ 1,467,933 | |||
Fitipower Integrated Technology, Inc. | 26,992 | 122,553 | |||
FLEXium Interconnect, Inc. | 48,000 | 139,802 | |||
FocalTech Systems Co., Ltd. | 43,000 | 130,156 | |||
Formosa Advanced Technologies Co., Ltd. | 14,000 | 18,646 | |||
Formosa Chemicals & Fibre Corp. | 566,000 | 1,421,972 | |||
Formosa International Hotels Corp. | 16,000 | 89,327 | |||
Formosa Petrochemical Corp. | 189,000 | 596,237 | |||
Formosa Plastics Corp. | 669,000 | 2,441,236 | |||
Formosa Sumco Technology Corp. | 8,000 | 47,489 | |||
Formosa Taffeta Co., Ltd. | 154,000 | 138,030 | |||
Foxconn Technology Co., Ltd. | 131,180 | 217,505 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 114,063 | |||
Fubon Financial Holding Co., Ltd. | 1,216,292 | 2,446,206 | |||
Fulgent Sun International Holding Co., Ltd. | 21,000 | 122,185 | |||
Fusheng Precision Co., Ltd. | 9,000 | 57,814 | |||
General Interface Solution Holding, Ltd. | 29,000 | 74,613 | |||
Genesys Logic, Inc. | 13,000 | 65,145 | |||
Genius Electronic Optical Co., Ltd. | 11,396 | 140,469 | |||
Getac Holdings Corp. | 81,000 | 109,921 | |||
Giant Manufacturing Co., Ltd. | 46,000 | 371,298 | |||
Gigabyte Technology Co., Ltd. | 88,000 | 262,519 | |||
Global Brands Manufacture, Ltd. | 72,000 | 69,255 | |||
Global Mixed Mode Technology, Inc. | 7,000 | 35,785 | |||
Global Unichip Corp. | 18,000 | 291,187 | |||
Globalwafers Co., Ltd. | 35,000 | 533,237 | |||
Gold Circuit Electronics, Ltd. | 55,000 | 140,767 | |||
Goldsun Building Materials Co., Ltd. | 181,715 | 139,341 | |||
Gourmet Master Co., Ltd. | 30,000 | 111,490 | |||
Grand Pacific Petrochemical | 177,000 | 135,130 | |||
Grape King Bio, Ltd. | 29,000 | 130,207 | |||
Great Tree Pharmacy Co., Ltd. | 6,000 | 59,327 | |||
Great Wall Enterprise Co., Ltd. | 82,560 | 132,030 | |||
Greatek Electronics, Inc. | 75,000 | 157,398 | |||
Gudeng Precision Industrial Co., Ltd. | 5,375 | 38,685 | |||
Hannstar Board Corp. | 33,000 | 35,127 | |||
HannStar Display Corp. | 325,000 | 110,944 | |||
Highwealth Construction Corp. | 112,190 | 170,548 |
Security Description | Shares | Value | |||
Hiwin Technologies Corp. | 39,819 | $ 319,398 | |||
Holtek Semiconductor, Inc. | 33,000 | 95,226 | |||
Holy Stone Enterprise Co., Ltd. | 18,000 | 60,235 | |||
Hon Hai Precision Industry Co., Ltd. | 2,052,320 | 7,523,597 | |||
Hota Industrial Manufacturing Co., Ltd. | 26,841 | 55,246 | |||
Hotai Finance Co., Ltd. | 18,000 | 60,840 | |||
Hotai Motor Co., Ltd. | 48,000 | 978,290 | |||
Hsin Kuang Steel Co., Ltd. | 28,000 | 37,338 | |||
HTC Corp. (b) | 120,000 | 197,353 | |||
Hua Nan Financial Holdings Co., Ltd. | 1,377,687 | 1,047,160 | |||
Huaku Development Co., Ltd. | 35,000 | 104,529 | |||
IBF Financial Holdings Co., Ltd. | 409,483 | 200,379 | |||
Innodisk Corp. | 7,000 | 38,257 | |||
Innolux Corp. | 1,627,000 | 662,105 | |||
International CSRC Investment Holdings Co. | 70,000 | 45,555 | |||
International Games System Co., Ltd. | 9,000 | 225,806 | |||
Inventec Corp. | 466,000 | 394,165 | |||
ITE Technology, Inc. | 18,000 | 48,249 | |||
ITEQ Corp. | 36,188 | 87,386 | |||
Jentech Precision Industrial Co., Ltd. | 10,000 | 112,499 | |||
Kenda Rubber Industrial Co., Ltd. | 56,000 | 65,166 | |||
Kerry TJ Logistics Co., Ltd. | 23,000 | 31,019 | |||
Kindom Development Co., Ltd. | 36,300 | 39,800 | |||
King Slide Works Co., Ltd. | 10,000 | 137,219 | |||
King Yuan Electronics Co., Ltd. | 152,000 | 204,483 | |||
King's Town Bank Co., Ltd. | 220,000 | 261,927 | |||
Kinik Co. | 16,000 | 78,565 | |||
Kinpo Electronics | 141,000 | 61,885 | |||
Kinsus Interconnect Technology Corp. | 49,000 | 234,836 | |||
KMC Kuei Meng International, Inc. | 6,000 | 33,397 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 86,586 | |||
Land Mark Optoelectronics Corp. | 8,000 | 31,211 | |||
Largan Precision Co., Ltd. | 16,000 | 928,246 | |||
Lien Hwa Industrial Holdings Corp. | 153,560 | 289,731 | |||
Lite-On Technology Corp. | 338,419 | 659,003 | |||
Longchen Paper & Packaging Co., Ltd. | 75,000 | 42,376 | |||
Lotes Co., Ltd. | 13,000 | 292,061 | |||
Lotus Pharmaceutical Co., Ltd. | 26,000 | 134,226 | |||
Macronix International Co., Ltd. | 316,000 | 377,285 |
Security Description | Shares | Value | |||
Makalot Industrial Co., Ltd. | 44,077 | $ 209,019 | |||
Marketech International Corp. | 10,000 | 37,332 | |||
MediaTek, Inc. | 250,000 | 5,473,624 | |||
Medigen Vaccine Biologics Corp. (b) | 25,655 | 176,880 | |||
Mega Financial Holding Co., Ltd. | 1,752,601 | 2,080,711 | |||
Mercuries Life Insurance Co., Ltd. (b) | 440,402 | 105,755 | |||
Merida Industry Co., Ltd. | 41,000 | 352,313 | |||
Merry Electronics Co., Ltd. | 23,491 | 60,755 | |||
Microbio Co., Ltd. | 35,142 | 66,423 | |||
Micro-Star International Co., Ltd. | 112,000 | 427,531 | |||
Mitac Holdings Corp. | 125,160 | 115,548 | |||
momo.com, Inc. | 10,200 | 218,864 | |||
Namchow Holdings Co., Ltd. | 43,000 | 66,090 | |||
Nan Kang Rubber Tire Co., Ltd. (b) | 67,000 | 86,078 | |||
Nan Ya Plastics Corp. | 830,000 | 2,316,915 | |||
Nan Ya Printed Circuit Board Corp. | 36,000 | 315,402 | |||
Nantex Industry Co., Ltd. | 69,000 | 98,742 | |||
Nanya Technology Corp. | 190,000 | 315,671 | |||
Nien Made Enterprise Co., Ltd. | 26,000 | 256,209 | |||
Novatek Microelectronics Corp. | 92,000 | 934,434 | |||
Nuvoton Technology Corp. | 30,000 | 137,219 | |||
O-Bank Co., Ltd. | 312,000 | 91,291 | |||
OBI Pharma, Inc. (b) | 27,467 | 90,068 | |||
Oneness Biotech Co., Ltd. (b) | 36,000 | 212,488 | |||
Oriental Union Chemical Corp. (b) | 62,000 | 38,993 | |||
Pan Jit International, Inc. | 62,000 | 131,367 | |||
Pan-International Industrial Corp. | 108,000 | 135,120 | |||
PChome Online, Inc. | 17,000 | 39,393 | |||
Pegatron Corp. | 323,000 | 619,201 | |||
Pegavision Corp. | 3,000 | 42,175 | |||
Phison Electronics Corp. | 25,000 | 227,857 | |||
Pixart Imaging, Inc. | 30,000 | 97,567 | |||
Pou Chen Corp. | 366,000 | 363,126 | |||
Powerchip Semiconductor Manufacturing Corp. | 436,000 | 588,010 | |||
Powertech Technology, Inc. | 116,000 | 342,536 | |||
Poya International Co., Ltd. | 6,180 | 65,679 | |||
President Chain Store Corp. | 94,000 | 861,486 | |||
President Securities Corp. | 86,320 | 54,288 | |||
Primax Electronics, Ltd. | 87,000 | 180,826 | |||
Prince Housing & Development Corp. | 113,000 | 45,225 | |||
Qisda Corp. | 262,000 | 252,453 | |||
Quanta Computer, Inc. | 434,000 | 1,164,787 | |||
Radiant Opto-Electronics Corp. | 62,000 | 180,994 |
Security Description | Shares | Value | |||
Raydium Semiconductor Corp. | 9,000 | $ 105,184 | |||
RDC Semiconductor Co., Ltd. (b) | 7,000 | 77,102 | |||
Realtek Semiconductor Corp. | 75,000 | 915,634 | |||
Rexon Industrial Corp., Ltd. | 15,000 | 13,520 | |||
RichWave Technology Corp. | 12,600 | 66,955 | |||
Ruentex Development Co., Ltd. | 186,457 | 460,287 | |||
Ruentex Industries, Ltd. | 61,620 | 160,819 | |||
Run Long Construction Co., Ltd. | 21,200 | 47,842 | |||
Sanyang Motor Co., Ltd. | 55,000 | 65,204 | |||
SDI Corp. | 35,000 | 153,615 | |||
Sensortek Technology Corp. | 2,000 | 18,397 | |||
Sercomm Corp. | 27,000 | 73,644 | |||
Sesoda Corp. | 26,000 | 39,612 | |||
Shanghai Commercial & Savings Bank, Ltd. | 575,649 | 1,028,031 | |||
Shihlin Paper Corp. (b) | 42,000 | 80,091 | |||
Shin Kong Financial Holding Co., Ltd. | 2,149,889 | 633,394 | |||
Shin Zu Shing Co., Ltd. | 18,742 | 51,498 | |||
Shinkong Insurance Co., Ltd. | 53,000 | 92,512 | |||
Shinkong Synthetic Fibers Corp. | 122,000 | 74,472 | |||
Shiny Chemical Industrial Co., Ltd. | 13,750 | 69,597 | |||
Sigurd Microelectronics Corp. | 67,078 | 117,085 | |||
Simplo Technology Co., Ltd. | 25,000 | 213,984 | |||
Sinbon Electronics Co., Ltd. | 37,000 | 316,074 | |||
Sincere Navigation Corp. | 89,000 | 61,062 | |||
Sino-American Silicon Products, Inc. | 84,000 | 398,339 | |||
SinoPac Financial Holdings Co., Ltd. | 1,603,281 | 905,885 | |||
Sinyi Realty, Inc. | 36,000 | 36,868 | |||
Sitronix Technology Corp. | 16,000 | 107,623 | |||
Soft-World International Corp. | 32,000 | 82,869 | |||
Solar Applied Materials Technology Corp. | 100,205 | 137,837 | |||
Sonix Technology Co., Ltd. | 17,000 | 38,307 | |||
Sporton International, Inc. | 19,550 | 115,064 | |||
St Shine Optical Co., Ltd. | 6,000 | 53,071 | |||
Standard Foods Corp. | 51,417 | 80,497 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 53,139 | |||
Sunplus Technology Co., Ltd. | 58,000 | 60,178 | |||
Supreme Electronics Co., Ltd. (b) | 134,893 | 190,770 | |||
Synnex Technology International Corp. | 223,550 | 399,982 | |||
Systex Corp. | 16,000 | 38,368 | |||
T3EX Global Holdings Corp. | 13,000 | 37,688 | |||
TA Chen Stainless Pipe | 241,408 | 274,830 | |||
Ta Ya Electric Wire & Cable | 89,000 | 77,525 |
Security Description | Shares | Value | |||
Taichung Commercial Bank Co., Ltd. | 401,856 | $ 183,132 | |||
TaiDoc Technology Corp. | 5,000 | 32,539 | |||
Taigen Biopharmaceuticals Holdings, Ltd. (b) | 126,000 | 72,040 | |||
TaiMed Biologics, Inc. (b) | 47,000 | 98,004 | |||
Tainan Spinning Co., Ltd. | 115,000 | 74,260 | |||
Taishin Financial Holding Co., Ltd. | 1,654,175 | 906,824 | |||
Taiwan Business Bank | 876,481 | 340,470 | |||
Taiwan Cement Corp. | 891,504 | 1,184,334 | |||
Taiwan Cogeneration Corp. | 192,000 | 242,474 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,528,905 | 1,380,635 | |||
Taiwan Fertilizer Co., Ltd. | 111,000 | 238,549 | |||
Taiwan Glass Industry Corp. | 164,000 | 98,455 | |||
Taiwan High Speed Rail Corp. | 360,000 | 339,617 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 258,500 | |||
Taiwan Mask Corp. | 23,000 | 56,391 | |||
Taiwan Mobile Co., Ltd. | 294,000 | 1,067,886 | |||
Taiwan Paiho, Ltd. | 32,000 | 74,044 | |||
Taiwan Secom Co., Ltd. | 50,000 | 170,683 | |||
Taiwan Semiconductor Co., Ltd. | 23,000 | 54,999 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 4,052,000 | 64,867,977 | |||
Taiwan Shin Kong Security Co., Ltd. | 33,000 | 44,394 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 91,210 | |||
Taiwan TEA Corp. (b) | 240,000 | 156,187 | |||
Taiwan Union Technology Corp. | 35,000 | 65,801 | |||
Taiwan-Asia Semiconductor Corp. | 53,000 | 76,113 | |||
Tanvex BioPharma, Inc. (b) | 16,536 | 37,428 | |||
Tatung Co., Ltd. (b) | 283,000 | 322,656 | |||
TCI Co., Ltd. | 24,000 | 124,708 | |||
Teco Electric and Machinery Co., Ltd. | 246,000 | 246,964 | |||
Test Research, Inc. | 44,000 | 88,345 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 108,867 | |||
Ton Yi Industrial Corp. | 184,000 | 90,349 | |||
Tong Hsing Electronic Industries, Ltd. | 34,599 | 233,891 | |||
Tong Yang Industry Co., Ltd. | 58,000 | 96,265 | |||
Topco Scientific Co., Ltd. | 38,000 | 176,367 | |||
Topkey Corp. | 8,000 | 34,574 | |||
TPK Holding Co., Ltd. | 77,000 | 89,732 | |||
Transcend Information, Inc. | 21,000 | 48,804 | |||
Tripod Technology Corp. | 63,000 | 236,249 | |||
TSEC Corp. (b) | 40,000 | 43,722 | |||
TSRC Corp. | 58,000 | 57,837 | |||
TTY Biopharm Co., Ltd. | 22,000 | 53,125 |
Security Description | Shares | Value | |||
Tung Ho Steel Enterprise Corp. | 70,560 | $ 123,163 | |||
Tung Thih Electronic Co., Ltd. | 8,000 | 41,166 | |||
TXC Corp. | 39,000 | 118,967 | |||
U-Ming Marine Transport Corp. | 67,000 | 92,500 | |||
Unimicron Technology Corp. | 203,000 | 1,082,130 | |||
Union Bank Of Taiwan (b) | 372,969 | 191,919 | |||
Uni-President Enterprises Corp. | 875,880 | 1,973,665 | |||
United Integrated Services Co., Ltd. | 32,000 | 158,744 | |||
United Microelectronics Corp. | 1,951,000 | 2,568,875 | |||
United Renewable Energy Co., Ltd. (b) | 223,571 | 169,933 | |||
Universal Cement Corp. | 119,000 | 88,049 | |||
Universal Vision Biotechnology Co., Ltd. | 5,000 | 47,926 | |||
UPC Technology Corp. | 80,000 | 42,242 | |||
UPI Semiconductor Corp. (b) | 7,000 | 106,294 | |||
USI Corp. | 244,000 | 203,104 | |||
Vanguard International Semiconductor Corp. | 137,000 | 353,863 | |||
VIA Labs, Inc. | 1,000 | 8,610 | |||
Via Technologies, Inc. | 23,000 | 36,936 | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | 48,430 | |||
Voltronic Power Technology Corp. | 10,200 | 495,703 | |||
Wafer Works Corp. | 70,290 | 113,590 | |||
Wah Lee Industrial Corp. | 18,360 | 52,116 | |||
Walsin Lihwa Corp. | 412,000 | 499,524 | |||
Walsin Technology Corp. | 43,000 | 129,722 | |||
Wan Hai Lines, Ltd. | 91,800 | 367,404 | |||
Win Semiconductors Corp. | 51,000 | 330,183 | |||
Winbond Electronics Corp. | 451,000 | 329,147 | |||
Wisdom Marine Lines Co., Ltd. | 77,000 | 168,329 | |||
Wistron Corp. | 446,842 | 401,254 | |||
Wistron NeWeb Corp. | 67,000 | 155,932 | |||
Wiwynn Corp. | 13,000 | 304,740 | |||
WPG Holdings, Ltd. | 247,480 | 458,612 | |||
WT Microelectronics Co., Ltd. | 59,000 | 133,146 | |||
XinTec, Inc. | 26,000 | 112,365 | |||
Xxentria Technology Materials Corp. | 32,000 | 68,663 | |||
Yageo Corp. | 71,766 | 743,401 | |||
Yang Ming Marine Transport Corp. | 279,000 | 772,250 | |||
YC INOX Co., Ltd. | 86,531 | 77,848 | |||
YFY, Inc. | 199,000 | 170,331 | |||
Yieh Phui Enterprise Co., Ltd. (b) | 104,000 | 58,062 | |||
Yuanta Financial Holding Co., Ltd. | 1,560,142 | 1,033,676 | |||
Yulon Finance Corp. | 25,300 | 182,516 | |||
Yulon Motor Co., Ltd. | 71,205 | 113,033 |
Security Description | Shares | Value | ||||
YungShin Global Holding Corp. | 30,000 | $ 40,863 | ||||
Zhen Ding Technology Holding, Ltd. | 100,000 | 346,411 | ||||
184,538,055 | ||||||
TANZANIA, UNITED REPUBLIC OF — 0.0% (a) | ||||||
AngloGold Ashanti, Ltd. | 68,710 | 1,027,683 | ||||
Helios Towers PLC (b)(c) | 99,024 | 145,394 | ||||
1,173,077 | ||||||
THAILAND — 0.7% | ||||||
Absolute Clean Energy PCL | 844,500 | 67,359 | ||||
Advanced Info Service PCL | 190,700 | 1,049,106 | ||||
AEON Thana Sinsap Thailand PCL | 10,400 | 50,742 | ||||
Airports of Thailand PCL (b) | 687,300 | 1,380,238 | ||||
Amata Corp. PCL | 98,300 | 50,881 | ||||
AP Thailand PCL | 621,274 | 175,724 | ||||
Asia Aviation PCL NVDR (b)(c) | 2,785,646 | 226,917 | ||||
Asia Sermkij Leasing PCL | 74,700 | 67,083 | ||||
Asset World Corp. PCL | 1,538,800 | 212,398 | ||||
B Grimm Power PCL | 246,100 | 243,629 | ||||
Bangchak Corp. PCL | 206,300 | 182,347 | ||||
Bangkok Airways PCL (b) | 214,800 | 66,223 | ||||
Bangkok Aviation Fuel Services PCL (b) | 60,400 | 49,116 | ||||
Bangkok Chain Hospital PCL (c) | 162,000 | 85,685 | ||||
Bangkok Commercial Asset Management PCL | 256,500 | 126,237 | ||||
Bangkok Dusit Medical Services PCL Class F | 1,537,700 | 1,087,329 | ||||
Bangkok Expressway & Metro PCL (c) | 1,223,100 | 302,705 | ||||
Bangkok Land PCL | 1,469,600 | 42,814 | ||||
Bangkok Life Assurance PCL NVDR (c) | 355,700 | 404,948 | ||||
Banpu PCL | 1,001,866 | 357,050 | ||||
Banpu Power PCL (c) | 91,700 | 37,090 | ||||
BCPG PCL | 256,000 | 78,925 | ||||
BEC World PCL | 129,900 | 51,071 | ||||
Berli Jucker PCL | 355,900 | 327,160 | ||||
Beyond Securities PCL (b) | 1,193,200 | 398,240 | ||||
BTS Group Holdings PCL | 1,137,300 | 275,036 | ||||
Bumrungrad Hospital PCL | 69,400 | 351,368 | ||||
Carabao Group PCL Class F | 35,300 | 106,334 | ||||
Central Pattana PCL | 339,300 | 585,414 | ||||
Central Plaza Hotel PCL (b) | 56,800 | 70,689 | ||||
Central Retail Corp. PCL | 261,025 | 258,404 | ||||
CH Karnchang PCL (c) | 146,300 | 83,588 | ||||
Charoen Pokphand Foods PCL | 661,000 | 486,098 | ||||
Chularat Hospital PCL Class F | 887,900 | 92,921 | ||||
CK Power PCL | 64,900 | 10,188 | ||||
Com7 PCL Class F | 169,000 | 143,403 |
Security Description | Shares | Value | |||
CP ALL PCL | 927,000 | $ 1,573,186 | |||
Delta Electronics Thailand PCL | 48,600 | 457,751 | |||
Dhipaya Group Holdings PCL | 51,400 | 89,047 | |||
Ditto Thailand PCL | 246,600 | 380,136 | |||
Dohome PCL (c) | 101,520 | 49,389 | |||
Dynasty Ceramic PCL | 1,066,900 | 85,099 | |||
Eastern Polymer Group PCL Class F | 280,400 | 74,155 | |||
Electricity Generating PCL | 49,100 | 245,118 | |||
Energy Absolute PCL | 213,613 | 492,419 | |||
Esso Thailand PCL (b)(c) | 1,060,600 | 347,984 | |||
Forth Corp. PCL | 364,300 | 432,770 | |||
GFPT PCL | 131,000 | 63,360 | |||
Global Power Synergy PCL Class F | 102,500 | 186,996 | |||
Gulf Energy Development PCL | 529,620 | 696,573 | |||
Gunkul Engineering PCL | 705,600 | 112,760 | |||
Hana Microelectronics PCL (c) | 82,100 | 94,628 | |||
Home Product Center PCL | 853,900 | 306,733 | |||
Ichitan Group PCL (c) | 565,100 | 127,070 | |||
Indorama Ventures PCL | 243,000 | 323,038 | |||
Intouch Holdings PCL Class F | 161,900 | 313,680 | |||
IRPC PCL (c) | 1,621,600 | 147,689 | |||
Jasmine International PCL (b) | 363,100 | 35,329 | |||
Jay Mart PCL | 49,300 | 71,116 | |||
JMT Network Services PCL Class F | 77,000 | 159,532 | |||
KCE Electronics PCL | 142,900 | 243,522 | |||
Kerry Express Thailand PCL | 312,900 | 200,900 | |||
Khon Kaen Sugar Industry PCL (c) | 729,800 | 76,376 | |||
Kiatnakin Phatra Bank PCL | 25,400 | 44,542 | |||
Krung Thai Bank PCL | 504,100 | 221,003 | |||
Krungthai Card PCL (c) | 130,200 | 209,911 | |||
Land & Houses PCL | 1,449,800 | 342,408 | |||
Major Cineplex Group PCL | 75,245 | 46,822 | |||
MBK PCL (b) | 118,664 | 54,709 | |||
Mega Lifesciences PCL | 50,300 | 71,847 | |||
Minor International PCL (b) | 533,617 | 513,166 | |||
MK Restaurants Group PCL | 80,900 | 119,559 | |||
Muangthai Capital PCL | 89,200 | 107,857 | |||
Ngern Tid Lor PCL | 215,385 | 178,193 | |||
Origin Property PCL Class F | 286,100 | 81,731 | |||
Osotspa PCL | 292,600 | 283,455 | |||
Plan B Media PCL Class F (b) | 288,360 | 53,423 | |||
Polyplex Thailand PCL | 78,500 | 50,180 | |||
Precious Shipping PCL (c) | 112,500 | 58,549 | |||
Prima Marine PCL | 400,500 | 62,870 | |||
Pruksa Holding PCL | 44,000 | 16,303 | |||
PTG Energy PCL | 109,300 | 41,735 | |||
PTT Exploration & Production PCL | 224,700 | 1,013,708 |
Security Description | Shares | Value | |||
PTT Global Chemical PCL | 325,300 | $ 418,644 | |||
PTT Oil & Retail Business PCL (c) | 1,143,500 | 824,756 | |||
PTT PCL | 1,587,000 | 1,526,177 | |||
Quality Houses PCL | 981,000 | 58,269 | |||
R&B Food Supply PCL | 72,100 | 31,609 | |||
Ratch Group PCL | 162,900 | 176,239 | |||
Ratchthani Leasing PCL | 447,000 | 50,826 | |||
Regional Container Lines PCL (c) | 47,800 | 52,052 | |||
RS PCL | 263,100 | 113,113 | |||
Sabuy Technology PCL | 557,900 | 302,975 | |||
Sansiri PCL (c) | 1,966,900 | 56,189 | |||
SC Asset Corp. PCL | 489,700 | 44,877 | |||
SCB X PCL | 486,900 | 1,432,261 | |||
SCG Packaging PCL | 260,600 | 409,088 | |||
Siam Cement PCL | 124,765 | 1,319,816 | |||
Siam City Cement PCL | 8,800 | 37,584 | |||
Siamgas & Petrochemicals PCL (c) | 242,200 | 76,726 | |||
Singer Thailand PCL | 40,400 | 50,564 | |||
Singha Estate PCL (b) | 705,600 | 38,518 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 36,060 | |||
SPCG PCL | 112,855 | 50,434 | |||
Sri Trang Agro-Industry PCL (c) | 199,100 | 119,387 | |||
Sri Trang Gloves Thailand PCL (c) | 169,000 | 77,915 | |||
Srisawad Corp. PCL (c) | 142,200 | 195,070 | |||
Star Petroleum Refining PCL | 208,500 | 71,358 | |||
STARK Corp. PCL (b) | 2,551,600 | 311,778 | |||
Supalai PCL | 161,300 | 84,859 | |||
Super Energy Corp. PCL | 7,329,200 | 155,477 | |||
Synnex Thailand PCL (c) | 185,800 | 95,646 | |||
Thai Oil PCL | 161,900 | 235,832 | |||
Thai Union Group PCL Class F | 372,800 | 180,311 | |||
Thai Vegetable Oil PCL | 83,600 | 74,485 | |||
Thaifoods Group PCL | 726,300 | 132,503 | |||
Thanachart Capital PCL | 32,400 | 34,595 | |||
Thonburi Healthcare Group PCL | 111,000 | 193,084 | |||
Thoresen Thai Agencies PCL | 197,200 | 49,084 | |||
Tipco Asphalt PCL | 85,400 | 38,648 | |||
Tisco Financial Group PCL | 54,200 | 135,672 | |||
TOA Paint Thailand PCL | 51,700 | 42,773 | |||
TPI Polene PCL | 1,118,800 | 49,366 | |||
TPI Polene Power PCL | 409,400 | 41,687 | |||
TQM Corp. PCL | 37,200 | 52,083 | |||
True Corp. PCL | 1,685,112 | 219,248 | |||
TTW PCL (c) | 540,600 | 162,081 | |||
VGI PCL | 967,590 | 136,292 | |||
Vibhavadi Medical Center PCL | 655,500 | 45,239 | |||
WHA Corp. PCL | 1,082,500 | 93,691 |
Security Description | Shares | Value | ||||
WHA Utilities and Power PCL (c) | 351,200 | $ 38,145 | ||||
30,715,873 | ||||||
TURKEY — 0.1% | ||||||
Akbank T.A.S. | 468,818 | 225,192 | ||||
Aksa Akrilik Kimya Sanayii A/S | 23,402 | 81,083 | ||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 86,118 | 140,087 | ||||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 95,465 | 130,706 | ||||
BIM Birlesik Magazalar A/S | 83,621 | 404,921 | ||||
Coca-Cola Icecek A/S | 17,365 | 134,373 | ||||
Dogan Sirketler Grubu Holding A/S | 36,502 | 7,608 | ||||
Eldorado Gold Corp. (b)(c) | 31,800 | 202,394 | ||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 158,361 | 25,040 | ||||
Enerjisa Enerji AS (d) | 1,575 | 1,283 | ||||
Eregli Demir ve Celik Fabrikalari TAS | 224,881 | 365,542 | ||||
Ford Otomotiv Sanayi A/S | 11,273 | 180,271 | ||||
Gubre Fabrikalari TAS (b) | 1,906 | 8,099 | ||||
Haci Omer Sabanci Holding A/S | 140,790 | 159,455 | ||||
Hektas Ticaret TAS (b) | 62,164 | 110,206 | ||||
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A/S Class D | 119,061 | 80,436 | ||||
KOC Holding A/S | 122,202 | 267,876 | ||||
Koza Altin Isletmeleri A/S (b) | 8,941 | 91,035 | ||||
Koza Anadolu Metal Madencilik Isletmeleri A/S (b) | 31,169 | 48,201 | ||||
Migros Ticaret A/S (b) | 17,677 | 50,819 | ||||
Oyak Cimento Fabrikalari AS (b) | 22,885 | 17,270 | ||||
Pegasus Hava Tasimaciligi A/S (b) | 148 | 1,516 | ||||
Petkim Petrokimya Holding A/S (b) | 532,531 | 281,312 | ||||
Sok Marketler Ticaret AS | 45,420 | 31,175 | ||||
TAV Havalimanlari Holding A/S (b) | 12,185 | 36,314 | ||||
Tekfen Holding A/S | 45,605 | 59,053 | ||||
Turk Hava Yollari AO (b) | 91,754 | 257,185 | ||||
Turkcell Iletisim Hizmetleri A/S | 214,504 | 208,125 | ||||
Turkiye Is Bankasi A/S Class C | 914,354 | 239,863 | ||||
Turkiye Petrol Rafinerileri AS (b) | 20,112 | 318,607 | ||||
Turkiye Sise ve Cam Fabrikalari A/S | 221,419 | 285,120 | ||||
Ulker Biskuvi Sanayi A/S (b) | 157,977 | 136,154 | ||||
4,586,321 |
Security Description | Shares | Value | ||||
UKRAINE — 0.0% (a) | ||||||
Ferrexpo PLC | 48,387 | $ 76,569 | ||||
UNITED ARAB EMIRATES — 0.4% | ||||||
Abu Dhabi Commercial Bank PJSC | 436,546 | 1,053,006 | ||||
Abu Dhabi Islamic Bank PJSC | 209,621 | 428,019 | ||||
Abu Dhabi National Oil Co. for Distribution PJSC | 752,291 | 864,302 | ||||
Agthia Group PJSC | 198,700 | 286,168 | ||||
Air Arabia PJSC | 303,107 | 171,643 | ||||
Al Waha Capital PJSC | 320,607 | 137,910 | ||||
AL Yah Satellite Communications Co-Pjsc-Yah Sat | 324,632 | 228,023 | ||||
Aldar Properties PJSC | 599,952 | 726,848 | ||||
Amanat Holdings PJSC | 296,164 | 80,550 | ||||
Aramex PJSC | 90,000 | 93,109 | ||||
Borr Drilling, Ltd. (b) | 21,830 | 97,232 | ||||
Dana Gas PJSC | 494,580 | 146,768 | ||||
Dubai Investments PJSC | 239,259 | 142,653 | ||||
Dubai Islamic Bank PJSC | 567,901 | 890,558 | ||||
Emaar Properties PJSC | 578,316 | 818,721 | ||||
Emirates NBD Bank PJSC | 364,564 | 1,310,132 | ||||
Emirates Telecommunications Group Co. PJSC | 550,852 | 3,914,197 | ||||
First Abu Dhabi Bank PJSC | 729,755 | 3,731,126 | ||||
National Central Cooling Co. PJSC | 153,945 | 114,837 | ||||
Network International Holdings PLC (b)(d) | 89,178 | 204,475 | ||||
Ras Al Khaimah Ceramics | 70,256 | 53,174 | ||||
15,493,451 | ||||||
UNITED KINGDOM — 7.6% | ||||||
3i Group PLC | 160,493 | 2,160,585 | ||||
888 Holdings PLC | 47,272 | 96,218 | ||||
A.G. Barr PLC | 16,160 | 101,464 | ||||
Abcam PLC (b) | 33,873 | 484,595 | ||||
Abrdn PLC | 349,953 | 679,363 | ||||
Admiral Group PLC | 31,222 | 850,870 | ||||
Advanced Medical Solutions Group PLC | 26,844 | 96,172 | ||||
AJ Bell PLC | 51,401 | 167,671 | ||||
Alliance Pharma PLC | 64,517 | 89,479 | ||||
Alpha FX Group PLC | 4,602 | 87,187 | ||||
Alphawave IP Group PLC Class WI (b) | 35,904 | 58,603 | ||||
AO World PLC (b)(c) | 62,970 | 52,767 | ||||
Argo Blockchain PLC (b) | 44,352 | 18,044 | ||||
Ascential PLC (b) | 64,330 | 202,814 | ||||
Ashmore Group PLC | 105,285 | 283,601 | ||||
Ashtead Group PLC | 72,343 | 3,021,401 | ||||
ASOS PLC (b)(c) | 11,344 | 115,518 | ||||
Associated British Foods PLC | 57,767 | 1,107,048 | ||||
Assura PLC REIT | 498,981 | 396,316 |
Security Description | Shares | Value | |||
Aston Martin Lagonda Global Holdings PLC (b)(c)(d) | 12,581 | $ 67,533 | |||
AstraZeneca PLC | 255,510 | 33,512,845 | |||
Auction Technology Group PLC (b) | 10,755 | 120,557 | |||
Auto Trader Group PLC (d) | 157,297 | 1,060,213 | |||
Avacta Group PLC (b)(c) | 27,428 | 36,141 | |||
AVEVA Group PLC | 19,353 | 529,058 | |||
Aviva PLC (b) | 470,936 | 2,295,148 | |||
Avon Protection PLC | 3,300 | 39,416 | |||
B&M European Value Retail SA | 156,854 | 698,532 | |||
Babcock International Group PLC (b) | 45,637 | 171,149 | |||
BAE Systems PLC | 514,212 | 5,184,473 | |||
Balfour Beatty PLC | 104,474 | 322,525 | |||
Barclays PLC | 2,772,390 | 5,155,442 | |||
Barratt Developments PLC | 164,585 | 914,252 | |||
Beazley PLC | 93,520 | 566,741 | |||
Bellway PLC | 19,179 | 499,845 | |||
Berkeley Group Holdings PLC (b) | 18,282 | 826,824 | |||
Biffa PLC (d) | 54,624 | 248,635 | |||
Big Yellow Group PLC REIT | 29,533 | 470,567 | |||
Bodycote PLC | 30,467 | 194,808 | |||
boohoo Group PLC (b) | 126,459 | 84,345 | |||
BP PLC | 3,211,193 | 15,143,053 | |||
Breedon Group PLC | 243,700 | 168,402 | |||
Brewin Dolphin Holdings PLC | 54,343 | 337,904 | |||
Bridgepoint Group PLC (c)(d) | 92,823 | 272,353 | |||
British American Tobacco PLC | 359,018 | 15,345,351 | |||
British Land Co. PLC REIT | 143,609 | 779,769 | |||
Britvic PLC | 42,169 | 415,330 | |||
BT Group PLC (c) | 1,431,468 | 3,238,726 | |||
Bunzl PLC | 55,640 | 1,837,283 | |||
Burberry Group PLC | 64,868 | 1,292,762 | |||
Bytes Technology Group PLC | 33,800 | 171,747 | |||
Capita PLC (b) | 230,579 | 71,463 | |||
Capital & Counties Properties PLC REIT | 126,173 | 214,983 | |||
Capricorn Energy PLC (b) | 68,350 | 180,957 | |||
Central Asia Metals PLC | 28,543 | 76,781 | |||
Centrica PLC (b) | 949,586 | 922,580 | |||
Ceres Power Holdings PLC (b)(c) | 20,060 | 133,503 | |||
Chemring Group PLC | 45,439 | 173,828 | |||
Civitas Social Housing PLC REIT | 94,438 | 90,147 | |||
CK Hutchison Holdings, Ltd. | 435,524 | 2,944,399 | |||
Clarkson PLC | 3,903 | 142,674 | |||
Close Brothers Group PLC | 23,586 | 293,601 | |||
CLS Holdings PLC | 22,420 | 55,137 | |||
CMC Markets PLC (c)(d) | 21,347 | 71,034 | |||
CNH Industrial NV | 171,210 | 1,972,486 | |||
Coats Group PLC | 249,140 | 188,500 |
Security Description | Shares | Value | |||
Coca-Cola Europacific Partners PLC | 21,800 | $ 1,125,098 | |||
Coca-Cola Europacific Partners PLC | 11,838 | 606,178 | |||
Compass Group PLC | 291,966 | 5,956,912 | |||
Computacenter PLC | 11,525 | 329,199 | |||
ConvaTec Group PLC (d) | 268,725 | 732,336 | |||
Countryside Partnerships PLC (b)(d) | 72,392 | 218,033 | |||
Craneware PLC | 6,020 | 134,522 | |||
Cranswick PLC | 9,222 | 343,382 | |||
Crest Nicholson Holdings PLC | 47,279 | 139,755 | |||
Croda International PLC | 22,597 | 1,776,106 | |||
Currys PLC | 208,183 | 172,176 | |||
Custodian REIT PLC | 48,411 | 58,616 | |||
CVS Group PLC | 15,156 | 304,807 | |||
Darktrace PLC (b) | 33,774 | 120,836 | |||
DCC PLC | 15,812 | 978,963 | |||
Dechra Pharmaceuticals PLC | 17,442 | 732,489 | |||
Deliveroo PLC (b)(c)(d) | 144,741 | 158,871 | |||
Derwent London PLC REIT | 16,205 | 514,046 | |||
Diageo PLC | 380,973 | 16,334,658 | |||
Diploma PLC | 20,395 | 551,847 | |||
Direct Line Insurance Group PLC | 208,520 | 637,398 | |||
Domino's Pizza Group PLC | 66,407 | 225,169 | |||
Dr. Martens PLC | 98,966 | 285,329 | |||
Drax Group PLC | 63,387 | 494,984 | |||
DS Smith PLC | 223,970 | 754,257 | |||
Dunelm Group PLC | 17,593 | 175,307 | |||
easyJet PLC (b) | 50,026 | 222,724 | |||
Elementis PLC (b) | 110,056 | 132,120 | |||
EMIS Group PLC | 9,755 | 220,827 | |||
Empiric Student Property PLC REIT | 78,997 | 82,507 | |||
EnQuest PLC (b) | 246,882 | 70,159 | |||
Entain PLC (b) | 94,163 | 1,423,735 | |||
Ergomed PLC (b) | 3,965 | 48,346 | |||
Essentra PLC | 43,641 | 131,705 | |||
Euromoney Institutional Investor PLC | 22,562 | 368,262 | |||
Experian PLC | 152,807 | 4,464,970 | |||
FD Technologies PLC (b) | 2,570 | 61,362 | |||
Fevertree Drinks PLC | 15,380 | 227,875 | |||
Firstgroup PLC (b) | 134,723 | 208,608 | |||
Forterra PLC (d) | 29,434 | 95,621 | |||
Frasers Group PLC (b) | 35,574 | 287,515 | |||
Frontier Developments PLC (b)(c) | 5,571 | 93,367 | |||
Future PLC | 17,789 | 372,234 | |||
Games Workshop Group PLC | 5,583 | 452,922 | |||
Gamma Communications PLC | 12,118 | 158,352 | |||
GB Group PLC | 36,644 | 177,119 | |||
Genuit Group PLC | 40,497 | 188,120 |
Security Description | Shares | Value | |||
Genus PLC | 10,664 | $ 324,808 | |||
Go-Ahead Group PLC (b) | 6,764 | 129,790 | |||
Grafton Group PLC CDI | 35,657 | 336,383 | |||
Grainger PLC | 123,401 | 421,419 | |||
Great Portland Estates PLC REIT | 36,666 | 255,151 | |||
Greatland Gold PLC (b)(c) | 854,395 | 96,499 | |||
Greggs PLC | 16,071 | 352,875 | |||
Gym Group PLC (b)(d) | 21,918 | 50,628 | |||
Halfords Group PLC | 44,124 | 76,575 | |||
Halma PLC | 61,153 | 1,492,029 | |||
Hammerson PLC REIT (c) | 491,329 | 113,193 | |||
Harbour Energy PLC | 72,670 | 321,068 | |||
Hargreaves Lansdown PLC | 58,447 | 559,188 | |||
Hays PLC | 271,715 | 368,262 | |||
Helical PLC | 16,644 | 75,699 | |||
Hill & Smith Holdings PLC | 10,999 | 154,683 | |||
Hiscox, Ltd. | 54,333 | 621,840 | |||
Home Reit PLC | 160,701 | 221,706 | |||
HomeServe PLC | 52,277 | 744,077 | |||
Hotel Chocolat Group PLC (b) | 15,284 | 52,901 | |||
Howden Joinery Group PLC | 95,883 | 701,698 | |||
HSBC Holdings PLC | 3,339,737 | 21,723,634 | |||
Hunting PLC | 13,720 | 35,990 | |||
Ibstock PLC (d) | 111,679 | 224,465 | |||
Ideagen PLC | 48,596 | 205,971 | |||
IG Group Holdings PLC | 70,481 | 591,038 | |||
IMI PLC | 41,169 | 586,473 | |||
Impact Healthcare Reit PLC | 79,956 | 113,416 | |||
Impax Asset Management Group PLC | 11,634 | 85,621 | |||
Imperial Brands PLC | 151,755 | 3,383,727 | |||
Inchcape PLC | 61,997 | 523,658 | |||
Indivior PLC (b) | 116,804 | 438,608 | |||
Informa PLC (b) | 241,264 | 1,549,400 | |||
IntegraFin Holdings PLC | 44,354 | 121,090 | |||
InterContinental Hotels Group PLC | 30,346 | 1,603,136 | |||
Intermediate Capital Group PLC | 46,694 | 742,302 | |||
Intertek Group PLC | 25,882 | 1,322,047 | |||
Investec PLC | 112,124 | 605,680 | |||
IP Group PLC | 167,453 | 142,354 | |||
ITM Power PLC (b)(c) | 61,025 | 128,065 | |||
ITV PLC | 581,382 | 460,774 | |||
J D Wetherspoon PLC (b) | 16,884 | 127,950 | |||
J Sainsbury PLC | 283,668 | 702,781 | |||
JD Sports Fashion PLC | 424,784 | 595,324 | |||
JET2 PLC (b) | 26,401 | 290,424 | |||
John Menzies PLC (b) | 11,279 | 81,776 | |||
John Wood Group PLC (b) | 116,196 | 220,138 | |||
Johnson Matthey PLC | 31,873 | 745,326 | |||
Johnson Service Group PLC (b) | 54,408 | 65,811 | |||
Judges Scientific PLC | 534 | 47,342 |
Security Description | Shares | Value | |||
Jupiter Fund Management PLC | 87,814 | $ 157,942 | |||
Just Eat Takeaway.com NV (b)(d) | 23,333 | 367,512 | |||
Just Eat Takeaway.com NV (b)(d) | 5,995 | 93,978 | |||
Just Group PLC | 193,247 | 167,450 | |||
Kainos Group PLC | 12,651 | 170,387 | |||
Kape Technologies PLC (b) | 29,246 | 117,209 | |||
Keller Group PLC | 10,427 | 91,681 | |||
Kier Group PLC (b) | 60,227 | 49,664 | |||
Kingfisher PLC | 332,120 | 985,367 | |||
Lancashire Holdings, Ltd. | 47,161 | 230,931 | |||
Land Securities Group PLC REIT | 112,576 | 907,807 | |||
Learning Technologies Group PLC | 80,767 | 110,054 | |||
Legal & General Group PLC | 994,407 | 2,892,340 | |||
Liontrust Asset Management PLC | 8,429 | 93,460 | |||
Lloyds Banking Group PLC | 11,616,796 | 5,969,102 | |||
London Stock Exchange Group PLC | 54,512 | 5,052,544 | |||
LondonMetric Property PLC REIT | 167,814 | 465,483 | |||
Luceco PLC (d) | 24,414 | 30,776 | |||
LXI REIT PLC (c) | 174,157 | 301,183 | |||
M&G PLC | 416,891 | 985,247 | |||
Man Group PLC | 219,807 | 666,828 | |||
Marks & Spencer Group PLC (b) | 306,559 | 504,467 | |||
Marlowe PLC (b) | 10,000 | 89,869 | |||
Marshalls PLC | 34,934 | 190,067 | |||
Marston's PLC (b) | 220,998 | 138,221 | |||
Meggitt PLC (b) | 195,673 | 1,874,941 | |||
Melrose Industries PLC | 701,113 | 1,274,646 | |||
Micro Focus International PLC ADR (c) | 15,603 | 52,582 | |||
Micro Focus International PLC | 37,034 | 125,843 | |||
Mitchells & Butlers PLC (b) | 30,869 | 69,054 | |||
Mitie Group PLC | 231,544 | 157,471 | |||
Moneysupermarket.com Group PLC | 105,401 | 222,855 | |||
Moonpig Group PLC (b) | 18,827 | 51,582 | |||
Morgan Advanced Materials PLC | 51,435 | 171,779 | |||
Morgan Sindall Group PLC | 4,942 | 109,353 | |||
National Express Group PLC (b) | 80,953 | 191,121 | |||
National Grid PLC | 601,072 | 7,679,304 | |||
Natwest Group PLC | 915,943 | 2,428,297 | |||
NCC Group PLC | 91,183 | 207,300 | |||
Next Fifteen Communications Group PLC (c) | 10,000 | 109,300 | |||
Next PLC | 21,431 | 1,525,175 | |||
Ninety One PLC | 69,121 | 165,957 |
Security Description | Shares | Value | |||
Numis Corp. PLC | 1,570 | $ 4,786 | |||
Ocado Group PLC (b) | 78,510 | 744,847 | |||
On the Beach Group PLC (b)(d) | 15,830 | 27,376 | |||
OSB Group PLC | 77,148 | 449,911 | |||
Oxford Biomedica PLC (b) | 16,489 | 90,914 | |||
Oxford Nanopore Technologies PLC (b) | 52,966 | 177,857 | |||
Pagegroup PLC | 52,735 | 255,920 | |||
Pan African Resources PLC | 328,869 | 82,874 | |||
Pantheon Resources PLC (b)(c) | 117,330 | 127,387 | |||
Paragon Banking Group PLC | 36,461 | 216,707 | |||
Pearson PLC | 121,503 | 1,106,400 | |||
Pennon Group PLC | 50,701 | 586,491 | |||
Persimmon PLC | 51,208 | 1,158,591 | |||
Petrofac, Ltd. (b) | 91,326 | 124,331 | |||
Pets at Home Group PLC | 78,789 | 293,945 | |||
Phoenix Group Holdings PLC | 128,793 | 923,460 | |||
Picton Property Income, Ltd. REIT | 95,313 | 102,557 | |||
Playtech PLC (b) | 51,033 | 335,606 | |||
Polar Capital Holdings PLC | 9,057 | 56,096 | |||
Premier Foods PLC | 118,527 | 162,370 | |||
Primary Health Properties PLC REIT | 207,287 | 343,121 | |||
Provident Financial PLC | 54,404 | 131,878 | |||
PRS REIT PLC (c) | 80,000 | 102,597 | |||
PZ Cussons PLC | 23,269 | 55,614 | |||
QinetiQ Group PLC | 92,876 | 414,628 | |||
Quilter PLC (d) | 221,932 | 276,263 | |||
Rank Group PLC (b) | 31,507 | 32,754 | |||
Rathbones Group PLC | 10,212 | 240,846 | |||
Reach PLC | 36,256 | 44,163 | |||
Reckitt Benckiser Group PLC | 117,881 | 8,833,008 | |||
Redde Northgate PLC | 40,263 | 164,784 | |||
Redrow PLC | 42,322 | 251,747 | |||
Regional REIT, Ltd. (d) | 91,945 | 80,732 | |||
RELX PLC (e) | 302,027 | 8,164,894 | |||
RELX PLC (e) | 16,922 | 456,784 | |||
Renewi PLC (b) | 10,000 | 87,805 | |||
Renishaw PLC | 5,895 | 255,440 | |||
Rentokil Initial PLC | 298,274 | 1,719,186 | |||
Restaurant Group PLC (b) | 136,741 | 73,965 | |||
Restore PLC | 14,057 | 74,261 | |||
Rightmove PLC | 136,078 | 939,337 | |||
Rolls-Royce Holdings PLC (b) | 1,356,808 | 1,366,830 | |||
Rotork PLC | 137,971 | 403,147 | |||
Royal Mail PLC | 128,369 | 420,456 | |||
RS GROUP PLC | 75,797 | 799,929 | |||
RWS Holdings PLC | 47,351 | 197,934 | |||
S4 Capital PLC (b) | 43,001 | 119,694 | |||
Sabre Insurance Group PLC (d) | 28,770 | 71,801 | |||
Safestore Holdings PLC REIT | 33,283 | 428,862 |
Security Description | Shares | Value | |||
Saga PLC (b) | 12,850 | $ 27,794 | |||
Sage Group PLC | 169,305 | 1,305,228 | |||
Savills PLC | 22,943 | 281,975 | |||
Schroders PLC | 19,949 | 647,347 | |||
Secure Income REIT PLC | 64,218 | 367,331 | |||
Segro PLC REIT | 194,268 | 2,304,552 | |||
Senior PLC (b) | 88,720 | 124,770 | |||
Serco Group PLC | 191,010 | 404,095 | |||
Serica Energy PLC | 48,012 | 166,178 | |||
Severn Trent PLC | 40,314 | 1,331,204 | |||
Shaftesbury PLC REIT | 38,149 | 241,843 | |||
SIG PLC (b) | 86,698 | 31,219 | |||
Smart Metering Systems PLC | 22,755 | 226,329 | |||
Smith & Nephew PLC | 145,045 | 2,021,320 | |||
Smiths Group PLC | 63,450 | 1,078,411 | |||
Softcat PLC | 18,219 | 291,400 | |||
Spectris PLC | 17,944 | 590,784 | |||
Spirax-Sarco Engineering PLC | 11,727 | 1,406,810 | |||
Spire Healthcare Group PLC (b)(d) | 49,079 | 140,069 | |||
Spirent Communications PLC | 99,712 | 301,043 | |||
SSE PLC | 175,768 | 3,449,537 | |||
SSP Group PLC (b) | 114,261 | 323,182 | |||
St James's Place PLC | 86,503 | 1,158,216 | |||
Stagecoach Group PLC (b) | 67,649 | 86,264 | |||
Standard Chartered PLC | 423,899 | 3,184,578 | |||
SThree PLC | 15,499 | 67,103 | |||
Strix Group PLC (c) | 66,747 | 135,372 | |||
Subsea 7 SA | 40,804 | 325,201 | |||
Supermarket Income REIT PLC (c) | 189,154 | 274,513 | |||
Synthomer PLC | 64,629 | 176,600 | |||
Target Healthcare REIT PLC | 83,000 | 109,266 | |||
Tate & Lyle PLC | 64,390 | 586,019 | |||
Taylor Wimpey PLC | 584,732 | 828,364 | |||
Team17 Group PLC (b) | 19,803 | 92,592 | |||
Telecom Plus PLC | 13,020 | 309,285 | |||
Tesco PLC | 1,246,550 | 3,867,945 | |||
THG PLC (b)(c) | 119,883 | 120,026 | |||
TORM PLC Class A (b)(c) | 8,442 | 114,050 | |||
TP ICAP Group PLC | 110,676 | 150,943 | |||
Trainline PLC (b)(d) | 75,381 | 263,654 | |||
Travis Perkins PLC | 35,961 | 422,578 | |||
Tritax Big Box REIT PLC | 296,527 | 653,613 | |||
Trustpilot Group PLC (b)(c)(d) | 20,000 | 24,629 | |||
Tyman PLC | 26,489 | 76,724 | |||
UK Commercial Property REIT, Ltd. | 128,022 | 116,607 | |||
Ultra Electronics Holdings PLC | 12,962 | 544,978 | |||
Unilever PLC | 422,322 | 19,084,598 | |||
UNITE Group PLC REIT | 52,963 | 684,375 | |||
United Utilities Group PLC | 109,838 | 1,360,606 | |||
Urban Logistics REIT PLC | 64,877 | 127,246 | |||
Vesuvius PLC | 33,163 | 122,435 |
Security Description | Shares | Value | ||||
Victoria PLC (b)(c) | 10,073 | $ 55,416 | ||||
Victrex PLC | 15,021 | 324,530 | ||||
Virgin Money UK PLC | 195,661 | 310,689 | ||||
Vistry Group PLC | 37,963 | 385,431 | ||||
Vodafone Group PLC | 4,424,544 | 6,805,933 | ||||
Volex PLC (c) | 14,405 | 42,073 | ||||
Volution Group PLC | 26,717 | 109,182 | ||||
Warehouse Reit PLC | 89,420 | 160,071 | ||||
Watkin Jones PLC | 28,675 | 76,614 | ||||
Weir Group PLC | 42,406 | 701,945 | ||||
WH Smith PLC (b) | 22,750 | 388,460 | ||||
Whitbread PLC | 32,390 | 974,747 | ||||
Wickes Group PLC | 31,885 | 63,893 | ||||
Wincanton PLC | 20,380 | 85,884 | ||||
Workspace Group PLC REIT | 24,084 | 162,623 | ||||
WPP PLC | 187,235 | 1,875,038 | ||||
Yellow Cake PLC (b)(d) | 28,106 | 110,933 | ||||
YouGov PLC | 17,034 | 177,908 | ||||
Young & Co's Brewery PLC Class A | 2,735 | 37,732 | ||||
333,694,953 | ||||||
UNITED STATES — 3.4% | ||||||
5E Advanced Materials, Inc. (b) | 41,102 | 51,864 | ||||
Argonaut Gold, Inc. (b)(c) | 70,000 | 24,420 | ||||
Avast PLC (d) | 104,289 | 654,800 | ||||
Bausch Health Cos., Inc. (b) | 49,000 | 408,729 | ||||
Brookfield Renewable Corp. Class A | 20,500 | 728,652 | ||||
BRP, Inc. | 6,367 | 391,018 | ||||
Burford Capital, Ltd. | 31,785 | 310,740 | ||||
Carnival PLC (b) | 23,276 | 175,146 | ||||
Cineworld Group PLC (b)(c) | 111,775 | 28,506 | ||||
CyberArk Software, Ltd. (b) | 6,683 | 855,157 | ||||
Diversified Energy Co. PLC | 130,010 | 175,890 | ||||
Eagle Hospitality Trust (b)(f) | 112,600 | — | ||||
Energy Fuels, Inc. (b)(c) | 29,700 | 145,973 | ||||
Ferguson PLC | 36,066 | 4,024,377 | ||||
Fiverr International, Ltd. (b)(c) | 5,100 | 175,389 | ||||
GSK PLC | 838,320 | 17,975,534 | ||||
Inmode, Ltd. (b) | 11,600 | 259,956 | ||||
James Hardie Industries PLC CDI | 73,440 | 1,604,417 | ||||
JBS SA | 135,800 | 820,339 | ||||
Legend Biotech Corp. ADR (b) | 7,900 | 434,500 | ||||
Maxeon Solar Technologies, Ltd. (b)(c) | 1,700 | 22,593 | ||||
MDA, Ltd. (b) | 7,400 | 45,778 | ||||
Mind Medicine MindMed, Inc. (b)(c) | 97,100 | 61,725 | ||||
Mind Medicine MindMed, Inc. | 9,710 | 20,549 | ||||
Nestle SA | 462,337 | 53,818,181 | ||||
Parade Technologies, Ltd. | 13,000 | 502,800 | ||||
PolyPeptide Group AG (c)(d) | 2,241 | 152,623 |
Security Description | Shares | Value | ||||
Primo Water Corp. | 23,700 | $ 315,828 | ||||
QIAGEN NV (b) | 37,013 | 1,729,677 | ||||
REC Silicon ASA (b) | 36,713 | 56,799 | ||||
Reliance Worldwide Corp., Ltd. | 130,292 | 361,965 | ||||
Resolute Forest Products, Inc. (b) | 7,600 | 96,977 | ||||
Rhi Magnesita NV | 5,115 | 123,679 | ||||
Roche Holding AG Bearer Shares (c) | 5,125 | 1,972,163 | ||||
Roche Holding AG | 115,431 | 38,408,675 | ||||
Schneider Electric SE | 89,054 | 10,511,159 | ||||
Signify NV (d) | 20,698 | 684,433 | ||||
Sims, Ltd. | 32,754 | 308,794 | ||||
Sinch AB (b)(c)(d) | 90,473 | 293,957 | ||||
Stellantis NV (e) | 119,689 | 1,474,268 | ||||
Stellantis NV (e) | 243,453 | 3,001,275 | ||||
Swiss Re AG | 50,059 | 3,868,350 | ||||
Taro Pharmaceutical Industries, Ltd. (b) | 2,400 | 86,784 | ||||
Tenaris SA | 80,308 | 1,030,165 | ||||
Titan Cement International SA | 4,292 | 50,435 | ||||
Vobile Group, Ltd. (b) | 172,000 | 101,706 | ||||
148,346,745 | ||||||
ZAMBIA — 0.0% (a) | ||||||
First Quantum Minerals, Ltd. | 96,200 | 1,821,159 | ||||
TOTAL COMMON STOCKS (Cost $4,346,350,226) | 4,204,323,736 |
PREFERRED STOCKS — 0.0% (a) | |||
RUSSIA — 0.0% | |||
Surgutneftegas PJSC, (f) (Cost: $436,746) | 802,100 | — | |
RIGHTS — 0.0% (a) | |||
AUSTRALIA — 0.0% (a) | |||
carsales.com Ltd. (expiring 07/13/22) (b) | 10,064 | 4,429 | |
FRANCE — 0.0% (a) | |||
Faurecia SE (expired 06/17/22) (b) | 2,032 | 2,141 | |
HONG KONG — 0.0% (a) | |||
MICROPORT Rights (expiring 07/29/22) (b)(f) | 35 | — | |
ITALY — 0.0% (a) | |||
Saipem SpA (expiring 07/11/22) (b)(c) | 1,373 | 1,809 | |
PORTUGAL — 0.0% (a) | |||
Greenvolt-Energias Renovaveis SA (expiring 07/04/22) (b) | 2,236 | 593 |
Security Description | Shares | Value | |||
SOUTH KOREA — 0.0% (a) | |||||
JR Global REIT (expiring 07/14/22) (b) | 11,202 | $ 242 | |||
TOTAL RIGHTS (Cost $205,004) | 9,214 | ||||
WARRANTS — 0.0% (a) | |||||
AUSTRALIA — 0.0% (a) | |||||
Magellan Financial Group, Ltd. (expiring 04/16/27) (b) | 2,771 | 1,401 | |||
CANADA — 0.0% (a) | |||||
Cenovus Energy, Inc. (expiring 01/01/26) (b) | 2,437 | 33,836 | |||
ITALY — 0.0% (a) | |||||
Webuild SpA (expiring 08/02/30) (c)(f) | 2,371 | — | |||
MACAU — 0.0% (a) | |||||
MECOM Power & Construction, Ltd. (expiring 05/24/23) (b)(c) | 16,800 | 653 | |||
MALAYSIA — 0.0% (a) | |||||
Frontken Corp. Bhd (expiring 05/03/26) (b) | 30,950 | 1,755 | |||
Scientex Bhd (expiring 01/14/26) (b) | 4,960 | 923 | |||
SKP Resources Bhd (expiring 04/25/26) (b) | 54,260 | 1,539 | |||
VS Industry Bhd (expiring 06/14/24) (b) | 88,800 | 3,727 | |||
Yinson Holdings Bhd (expiring 06/21/25) (b) | 24,240 | 1,870 | |||
9,814 | |||||
THAILAND — 0.0% (a) | |||||
Banpu PCL (expiring 10/01/22) (b) | 250,466 | 45,340 | |||
Banpu PCL (expiring 10/01/23) (b) | 250,466 | 24,937 | |||
Jay Mart PCL (expiring 07/26/25) (b) | 504 | 201 | |||
MBK PCL (expiring 05/15/24) (b) | 4,746 | 1,852 | |||
MBK PCL (expiring 05/15/25) (b) | 4,747 | 1,745 | |||
MBK PCL (expiring 11/15/24) (b) | 4,746 | 1,759 | |||
Plan B Media PCL (expiring 01/13/25) (b) | 10,680 | 248 | |||
Srisawad Corp. PCL (expiring 8/29/25) (b) | 3,396 | 485 | |||
VGI PCL (expiring 05/23/27) (b) | 223,290 | 1,389 |
Security Description | Shares | Value | ||||
VIBHA W4 (expiring 06/16/23) (b) | 54,625 | $ — | ||||
77,956 | ||||||
TOTAL WARRANTS (Cost $9,081) | 123,660 | |||||
SHORT-TERM INVESTMENTS — 5.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (g)(h) | 161,620,856 | 161,620,856 | ||||
State Street Navigator Securities Lending Portfolio II (i) | 70,542,952 | 70,542,952 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $232,163,808) | 232,163,808 | |||||
TOTAL INVESTMENTS — 100.7% (Cost $4,579,164,865) | 4,436,620,418 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)% | (31,466,552) | |||||
NET ASSETS — 100.0% | $ 4,405,153,866 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Non-income producing security. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2022, total aggregate fair value of the security is $458,458, 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 June 30, 2022 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(i) | 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) | |||||
E-Mini MSCI Emerging Markets (long) | 1,298 | 09/16/2022 | $ 65,511,024 | $ 65,075,230 | $ (435,794) | |||||
MSCI EAFE Index (long) | 1,247 | 09/16/2022 | 117,662,225 | 115,759,010 | (1,903,215) | |||||
S&P/TSX 60 Index (long) | 60 | 09/15/2022 | 11,316,960 | 10,628,319 | (688,641) | |||||
$(3,027,650) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $4,172,051,360 | $31,813,918 | $458,458 | $4,204,323,736 | ||||
Preferred Stocks | — | — | 0(a) | 0 | ||||
Rights | 2,051 | 7,163 | — | 9,214 | ||||
Warrants | 123,660 | — | 0(a) | 123,660 | ||||
Short-Term Investments | 232,163,808 | — | — | 232,163,808 | ||||
TOTAL INVESTMENTS | $4,404,340,879 | $31,821,081 | $458,458 | $4,436,620,418 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | $ (1,903,215) | $ — | $ — | $ (1,903,215) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (1,903,215) | $ — | $ — | $ (1,903,215) | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,402,437,664 | $31,821,081 | $458,458 | $4,434,717,203 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (1,124,435) | — | — | (1,124,435) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (1,124,435) | $ — | $ — | $ (1,124,435) |
(a) | Fund held a Level 3 security that was valued at $0 at June 30, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Banks | 13.0% | |
Pharmaceuticals | 5.9 | |
Oil & Gas | 4.9 | |
Semiconductors | 4.6 | |
Insurance | 4.2 | |
TOTAL | 32.6% |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 171,512,422 | $171,512,422 | $508,104,322 | $517,995,888 | $— | $— | 161,620,856 | $161,620,856 | $334,337 | ||||||||
State Street Navigator Securities Lending Portfolio II | 69,958,002 | 69,958,002 | 247,299,360 | 246,714,410 | — | — | 70,542,952 | 70,542,952 | 355,262 | ||||||||
Total | $241,470,424 | $755,403,682 | $764,710,298 | $— | $— | $232,163,808 | $689,599 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.4% | ||||||
AEROSPACE & DEFENSE — 1.1% | ||||||
AAR Corp. (a) | 8,441 | $ 353,171 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) | 19,312 | 784,067 | ||||
AeroVironment, Inc. (a) | 5,745 | 472,239 | ||||
AerSale Corp. (a) | 3,300 | 47,883 | ||||
Archer Aviation, Inc. Class A (a) | 27,900 | 85,932 | ||||
Astra Space, Inc. (a) (b) | 30,400 | 39,520 | ||||
Astronics Corp. (a) | 5,068 | 51,542 | ||||
Axon Enterprise, Inc. (a) | 16,365 | 1,524,727 | ||||
BWX Technologies, Inc. | 22,526 | 1,240,957 | ||||
Cadre Holdings, Inc. | 4,200 | 82,614 | ||||
Curtiss-Wright Corp. | 9,215 | 1,216,933 | ||||
Ducommun, Inc. (a) | 3,100 | 133,424 | ||||
HEICO Corp. | 10,746 | 1,409,016 | ||||
HEICO Corp. Class A | 19,964 | 2,103,806 | ||||
Hexcel Corp. | 20,217 | 1,057,551 | ||||
Kaman Corp. | 6,699 | 209,344 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 30,100 | 417,788 | ||||
Maxar Technologies, Inc. | 17,676 | 461,167 | ||||
Mercury Systems, Inc. (a) | 13,500 | 868,455 | ||||
Momentus, Inc. (a) | 11,600 | 25,056 | ||||
Moog, Inc. Class A | 6,821 | 541,519 | ||||
National Presto Industries, Inc. | 990 | 64,984 | ||||
Park Aerospace Corp. | 6,000 | 76,560 | ||||
Parsons Corp. (a) | 8,051 | 325,421 | ||||
Redwire Corp. (a) | 6,800 | 20,672 | ||||
Rocket Lab USA, Inc. (a) | 51,500 | 195,185 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 25,942 | 760,101 | ||||
Terran Orbital Corp. (a) (b) | 4,400 | 20,152 | ||||
Triumph Group, Inc. (a) | 15,145 | 201,277 | ||||
Vectrus, Inc. (a) | 2,700 | 90,342 | ||||
Virgin Galactic Holdings, Inc. (a) (b) | 55,000 | 331,100 | ||||
Woodward, Inc. | 14,274 | 1,320,202 | ||||
16,532,707 | ||||||
AIR FREIGHT & LOGISTICS — 0.2% | ||||||
Air Transport Services Group, Inc. (a) | 14,100 | 405,093 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 6,735 | 415,617 | ||||
Forward Air Corp. | 6,451 | 593,234 | ||||
GXO Logistics, Inc. (a) | 25,590 | 1,107,279 | ||||
Hub Group, Inc. Class A (a) | 8,017 | 568,726 | ||||
Radiant Logistics, Inc. (a) | 10,753 | 79,787 | ||||
3,169,736 | ||||||
AIRLINES — 0.2% | ||||||
Allegiant Travel Co. (a) | 3,650 | 412,778 | ||||
Blade Air Mobility, Inc. (a) | 13,900 | 61,994 | ||||
Copa Holdings SA Class A (a) (b) | 7,391 | 468,368 |
Security Description | Shares | Value | ||||
Frontier Group Holdings, Inc. (a) (b) | 9,200 | $ 86,204 | ||||
Hawaiian Holdings, Inc. (a) | 14,945 | 213,863 | ||||
JetBlue Airways Corp. (a) | 77,736 | 650,650 | ||||
Joby Aviation, Inc. (a) | 60,500 | 297,055 | ||||
SkyWest, Inc. (a) | 11,803 | 250,814 | ||||
Spirit Airlines, Inc. (a) | 26,269 | 626,253 | ||||
Sun Country Airlines Holdings, Inc. (a) (b) | 7,700 | 141,218 | ||||
Wheels Up Experience, Inc. (a) | 41,600 | 81,120 | ||||
3,290,317 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC (a) | 22,600 | 669,638 | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 26,650 | 200,675 | ||||
Dana, Inc. | 30,842 | 433,947 | ||||
Dorman Products, Inc. (a) | 6,227 | 683,164 | ||||
Fox Factory Holding Corp. (a) | 10,197 | 821,266 | ||||
Gentex Corp. | 56,923 | 1,592,136 | ||||
Gentherm, Inc. (a) | 7,885 | 492,103 | ||||
Goodyear Tire & Rubber Co. (a) | 66,616 | 713,457 | ||||
Holley, Inc. (a) (b) | 12,300 | 129,150 | ||||
LCI Industries | 6,013 | 672,734 | ||||
Lear Corp. | 14,351 | 1,806,647 | ||||
Luminar Technologies, Inc. (a) | 57,600 | 341,568 | ||||
Modine Manufacturing Co. (a) | 12,483 | 131,446 | ||||
Motorcar Parts of America, Inc. (a) | 5,500 | 72,160 | ||||
Patrick Industries, Inc. | 5,428 | 281,388 | ||||
QuantumScape Corp. (a) (b) | 61,101 | 524,858 | ||||
Solid Power, Inc. (a) | 14,700 | 79,086 | ||||
Standard Motor Products, Inc. | 4,843 | 217,887 | ||||
Stoneridge, Inc. (a) | 6,382 | 109,451 | ||||
Tenneco, Inc. Class A (a) | 19,868 | 340,935 | ||||
Visteon Corp. (a) | 6,558 | 679,278 | ||||
XPEL, Inc. (a) (b) | 5,200 | 238,836 | ||||
11,231,810 | ||||||
AUTOMOBILES — 0.4% | ||||||
Canoo, Inc. (a) (b) | 22,700 | 41,995 | ||||
Cenntro Electric Group, Ltd. (a) | 40,400 | 61,004 | ||||
Faraday Future Intelligent Electric, Inc. (a) | 21,400 | 55,640 | ||||
Fisker, Inc. (a) (b) | 40,200 | 344,514 | ||||
Harley-Davidson, Inc. | 32,701 | 1,035,313 | ||||
Lordstown Motors Corp. Class A (a) (b) | 32,700 | 51,666 | ||||
Lucid Group, Inc. (a) (b) | 131,200 | 2,251,392 | ||||
Rivian Automotive, Inc. Class A (a) (b) | 44,000 | 1,132,560 | ||||
Thor Industries, Inc. (b) | 12,901 | 964,092 | ||||
Winnebago Industries, Inc. | 7,600 | 369,056 | ||||
Workhorse Group, Inc. (a) (b) | 33,075 | 85,995 | ||||
6,393,227 | ||||||
BANKS — 5.4% | ||||||
1st Source Corp. | 3,720 | 168,888 |
Security Description | Shares | Value | |||
ACNB Corp. | 2,000 | $ 59,380 | |||
Allegiance Bancshares, Inc. | 4,300 | 162,368 | |||
Amalgamated Financial Corp. | 3,700 | 73,186 | |||
Amerant Bancorp, Inc. | 6,600 | 185,592 | |||
American National Bankshares, Inc. | 3,100 | 107,291 | |||
Ameris Bancorp | 16,259 | 653,287 | |||
Arrow Financial Corp. | 3,830 | 121,832 | |||
Associated Banc-Corp. | 35,030 | 639,648 | |||
Atlantic Union Bankshares Corp. | 18,207 | 617,581 | |||
Banc of California, Inc. | 13,754 | 242,345 | |||
BancFirst Corp. (b) | 4,752 | 454,814 | |||
Bancorp, Inc. (a) | 13,300 | 259,616 | |||
Bank First Corp. (b) | 1,600 | 121,296 | |||
Bank of Hawaii Corp. | 9,526 | 708,734 | |||
Bank of Marin Bancorp | 3,244 | 103,094 | |||
Bank of NT Butterfield & Son, Ltd. | 12,196 | 380,393 | |||
Bank OZK | 28,328 | 1,063,150 | |||
BankUnited, Inc. | 19,627 | 698,132 | |||
Bankwell Financial Group, Inc. | 1,200 | 37,260 | |||
Banner Corp. | 8,400 | 472,164 | |||
Bar Harbor Bankshares | 4,780 | 123,611 | |||
Baycom Corp. | 2,900 | 59,972 | |||
BCB Bancorp, Inc. | 3,300 | 56,199 | |||
Berkshire Hills Bancorp, Inc. | 11,016 | 272,866 | |||
Blue Ridge Bankshares, Inc. | 5,100 | 78,132 | |||
BOK Financial Corp. | 7,108 | 537,223 | |||
Brookline Bancorp, Inc. | 17,351 | 230,942 | |||
Business First Bancshares, Inc. | 4,900 | 104,419 | |||
Byline Bancorp, Inc. | 5,700 | 135,660 | |||
Cadence Bank | 43,645 | 1,024,785 | |||
Cambridge Bancorp | 1,591 | 131,576 | |||
Camden National Corp. | 3,502 | 154,263 | |||
Capital Bancorp, Inc. | 2,400 | 52,080 | |||
Capital City Bank Group, Inc. | 3,500 | 97,615 | |||
Capstar Financial Holdings, Inc. | 4,800 | 94,176 | |||
Carter Bankshares, Inc. (a) | 6,100 | 80,520 | |||
Cathay General Bancorp | 16,809 | 658,072 | |||
CBTX, Inc. (b) | 4,290 | 114,071 | |||
Central Pacific Financial Corp. | 6,254 | 134,148 | |||
Citizens & Northern Corp. | 3,900 | 94,263 | |||
City Holding Co. | 3,384 | 270,314 | |||
Civista Bancshares, Inc. | 3,000 | 63,780 | |||
CNB Financial Corp. | 4,600 | 111,274 | |||
Coastal Financial Corp. (a) | 2,413 | 91,984 | |||
Colony Bankcorp, Inc. | 3,800 | 57,342 | |||
Columbia Banking System, Inc. | 18,959 | 543,175 | |||
Commerce Bancshares, Inc. | 26,521 | 1,741,104 | |||
Community Bank System, Inc. | 12,839 | 812,452 | |||
Community Trust Bancorp, Inc. | 3,903 | 157,837 | |||
ConnectOne Bancorp, Inc. | 9,134 | 223,326 | |||
CrossFirst Bankshares, Inc. (a) | 10,523 | 138,904 | |||
Cullen/Frost Bankers, Inc. | 14,172 | 1,650,329 | |||
Customers Bancorp, Inc. (a) | 8,002 | 271,268 |
Security Description | Shares | Value | |||
CVB Financial Corp. | 32,600 | $ 808,806 | |||
Dime Community Bancshares, Inc. | 7,840 | 232,456 | |||
Eagle Bancorp, Inc. | 7,500 | 355,575 | |||
East West Bancorp, Inc. | 34,233 | 2,218,298 | |||
Eastern Bankshares, Inc. | 38,700 | 714,402 | |||
Enterprise Bancorp, Inc. | 2,478 | 79,767 | |||
Enterprise Financial Services Corp. | 8,314 | 345,031 | |||
Equity Bancshares, Inc. Class A | 3,600 | 104,976 | |||
Esquire Financial Holdings, Inc. | 1,600 | 53,280 | |||
Farmers & Merchants Bancorp, Inc. | 2,900 | 96,251 | |||
Farmers National Banc Corp. | 7,666 | 114,990 | |||
FB Financial Corp. | 8,983 | 352,313 | |||
Financial Institutions, Inc. | 4,480 | 116,570 | |||
First BanCorp (c) | 49,000 | 632,590 | |||
First BanCorp (c) | 7,914 | 276,199 | |||
First Bancorp, Inc. | 2,700 | 81,351 | |||
First Bancshares, Inc. | 5,100 | 145,860 | |||
First Bank | 4,400 | 61,512 | |||
First Busey Corp. | 11,688 | 267,071 | |||
First Business Financial Services, Inc. | 1,800 | 56,142 | |||
First Citizens BancShares, Inc. Class A | 3,028 | 1,979,646 | |||
First Commonwealth Financial Corp. | 21,206 | 284,585 | |||
First Community Bankshares, Inc. | 4,200 | 123,522 | |||
First Financial Bancorp | 22,491 | 436,325 | |||
First Financial Bankshares, Inc. | 30,602 | 1,201,741 | |||
First Financial Corp. | 2,700 | 120,150 | |||
First Foundation, Inc. | 11,350 | 232,448 | |||
First Guaranty Bancshares, Inc. | 1,400 | 34,034 | |||
First Hawaiian, Inc. | 31,300 | 710,823 | |||
First Horizon Corp. | 128,200 | 2,802,452 | |||
First Internet Bancorp | 2,600 | 95,732 | |||
First Interstate BancSystem, Inc. Class A | 22,632 | 862,506 | |||
First Merchants Corp. | 13,820 | 492,268 | |||
First Mid Bancshares, Inc. | 4,300 | 153,381 | |||
First of Long Island Corp. | 7,050 | 123,587 | |||
First Western Financial, Inc. (a) | 1,800 | 48,942 | |||
Five Star Bancorp | 3,700 | 97,754 | |||
Flushing Financial Corp. | 7,200 | 153,072 | |||
FNB Corp. | 82,898 | 900,272 | |||
Fulton Financial Corp. | 37,992 | 548,984 | |||
FVCBankcorp, Inc. (a) | 2,600 | 48,958 | |||
German American Bancorp, Inc. | 6,425 | 219,607 | |||
Glacier Bancorp, Inc. | 26,508 | 1,257,009 | |||
Great Southern Bancorp, Inc. | 2,468 | 144,526 | |||
Guaranty Bancshares, Inc. | 2,265 | 82,106 | |||
Hancock Whitney Corp. | 20,520 | 909,652 | |||
Hanmi Financial Corp. | 7,700 | 172,788 | |||
HarborOne Bancorp, Inc. | 11,463 | 158,075 | |||
HBT Financial, Inc. | 4,800 | 85,776 |
Security Description | Shares | Value | |||
Heartland Financial USA, Inc. | 9,800 | $ 407,092 | |||
Heritage Commerce Corp. | 13,166 | 140,745 | |||
Heritage Financial Corp. | 8,000 | 201,280 | |||
Hilltop Holdings, Inc. | 14,400 | 383,904 | |||
Home BancShares, Inc. | 45,023 | 935,128 | |||
HomeStreet, Inc. | 4,674 | 162,048 | |||
HomeTrust Bancshares, Inc. | 3,709 | 92,725 | |||
Hope Bancorp, Inc. | 27,321 | 378,123 | |||
Horizon Bancorp, Inc. | 9,340 | 162,703 | |||
Independent Bank Corp. (c) | 11,065 | 878,893 | |||
Independent Bank Corp. (c) | 5,418 | 104,459 | |||
Independent Bank Group, Inc. | 8,972 | 609,289 | |||
International Bancshares Corp. | 13,250 | 531,060 | |||
John Marshall Bancorp, Inc. | 2,700 | 60,858 | |||
Lakeland Bancorp, Inc. | 15,600 | 228,072 | |||
Lakeland Financial Corp. | 5,928 | 393,738 | |||
Live Oak Bancshares, Inc. | 7,590 | 257,225 | |||
Macatawa Bank Corp. | 7,266 | 64,231 | |||
Mercantile Bank Corp. | 4,100 | 130,995 | |||
Meta Financial Group, Inc. | 7,343 | 283,954 | |||
Metrocity Bankshares, Inc. | 4,500 | 91,395 | |||
Metropolitan Bank Holding Corp. (a) | 2,500 | 173,550 | |||
Mid Penn Bancorp, Inc. | 2,800 | 75,516 | |||
Midland States Bancorp, Inc. | 5,302 | 127,460 | |||
MidWestOne Financial Group, Inc. | 3,951 | 117,424 | |||
MVB Financial Corp. | 2,430 | 75,597 | |||
National Bank Holdings Corp. Class A | 7,048 | 269,727 | |||
NBT Bancorp, Inc. | 9,600 | 360,864 | |||
Nicolet Bankshares, Inc. (a) | 2,816 | 203,709 | |||
Northeast Bank | 1,600 | 58,448 | |||
OceanFirst Financial Corp. | 12,807 | 244,998 | |||
OFG Bancorp | 12,300 | 312,420 | |||
Old National Bancorp | 69,195 | 1,023,394 | |||
Old Second Bancorp, Inc. | 10,035 | 134,268 | |||
Origin Bancorp, Inc. | 5,300 | 205,640 | |||
Orrstown Financial Services, Inc. | 2,700 | 65,259 | |||
Pacific Premier Bancorp, Inc. | 22,901 | 669,625 | |||
PacWest Bancorp | 27,989 | 746,187 | |||
Park National Corp. | 3,317 | 402,186 | |||
Parke Bancorp, Inc. | 2,300 | 48,208 | |||
PCB Bancorp | 2,700 | 50,436 | |||
Peapack-Gladstone Financial Corp. | 4,500 | 133,650 | |||
Peoples Bancorp, Inc. | 6,314 | 167,952 | |||
Peoples Financial Services Corp. | 1,939 | 108,274 | |||
Pinnacle Financial Partners, Inc. | 18,089 | 1,308,016 | |||
Popular, Inc. | 18,410 | 1,416,281 | |||
Preferred Bank | 3,277 | 222,902 | |||
Premier Financial Corp. | 8,097 | 205,259 | |||
Primis Financial Corp. | 6,600 | 89,958 | |||
Professional Holding Corp. Class A (a) | 3,100 | 62,155 |
Security Description | Shares | Value | |||
Prosperity Bancshares, Inc. | 21,409 | $ 1,461,592 | |||
QCR Holdings, Inc. | 3,720 | 200,843 | |||
RBB Bancorp | 4,300 | 88,881 | |||
Red River Bancshares, Inc. | 1,300 | 70,304 | |||
Renasant Corp. | 12,732 | 366,809 | |||
Republic Bancorp, Inc. Class A | 2,339 | 112,857 | |||
Republic First Bancorp, Inc. (a) (b) | 9,200 | 35,052 | |||
S&T Bancorp, Inc. | 8,761 | 240,314 | |||
Sandy Spring Bancorp, Inc. | 10,380 | 405,547 | |||
Seacoast Banking Corp. of Florida | 14,484 | 478,551 | |||
ServisFirst Bancshares, Inc. | 12,200 | 962,824 | |||
Shore Bancshares, Inc. | 3,900 | 72,150 | |||
Sierra Bancorp | 4,200 | 91,266 | |||
Silvergate Capital Corp. Class A (a) | 7,593 | 406,453 | |||
Simmons First National Corp. Class A | 29,939 | 636,503 | |||
SmartFinancial, Inc. | 3,502 | 84,608 | |||
South Plains Financial, Inc. | 2,000 | 48,280 | |||
Southern First Bancshares, Inc. (a) | 1,500 | 65,385 | |||
Southside Bancshares, Inc. | 7,055 | 263,998 | |||
SouthState Corp. | 18,042 | 1,391,940 | |||
Stock Yards Bancorp, Inc. | 6,900 | 412,758 | |||
Summit Financial Group, Inc. | 3,300 | 91,674 | |||
Synovus Financial Corp. | 34,748 | 1,252,665 | |||
Texas Capital Bancshares, Inc. (a) | 12,172 | 640,734 | |||
Third Coast Bancshares, Inc. (a) | 2,900 | 63,510 | |||
Tompkins Financial Corp. | 3,681 | 265,400 | |||
Towne Bank | 16,590 | 450,418 | |||
TriCo Bancshares | 7,572 | 345,586 | |||
Triumph Bancorp, Inc. (a) | 5,921 | 370,418 | |||
Trustmark Corp. | 14,696 | 428,976 | |||
UMB Financial Corp. | 10,489 | 903,103 | |||
Umpqua Holdings Corp. | 52,099 | 873,700 | |||
United Bankshares, Inc. | 31,305 | 1,097,866 | |||
United Community Banks, Inc. | 25,440 | 768,034 | |||
Unity Bancorp, Inc. | 1,600 | 42,368 | |||
Univest Financial Corp. | 6,940 | 176,554 | |||
USCB Financial Holdings, Inc. (a) | 2,500 | 28,850 | |||
Valley National Bancorp | 101,968 | 1,061,487 | |||
Veritex Holdings, Inc. | 12,550 | 367,213 | |||
Washington Federal, Inc. | 15,017 | 450,810 | |||
Washington Trust Bancorp, Inc. | 4,223 | 204,267 | |||
Webster Financial Corp. | 43,141 | 1,818,393 | |||
WesBanco, Inc. | 13,602 | 431,319 | |||
West BanCorp, Inc. | 4,800 | 116,832 | |||
Westamerica BanCorp | 5,985 | 333,125 | |||
Western Alliance Bancorp | 26,083 | 1,841,460 | |||
Wintrust Financial Corp. | 14,531 | 1,164,660 | |||
78,355,511 |
Security Description | Shares | Value | ||||
BEVERAGES — 0.3% | ||||||
Boston Beer Co., Inc. Class A (a) (b) | 2,316 | $ 701,679 | ||||
Celsius Holdings, Inc. (a) (b) | 13,200 | 861,432 | ||||
Coca-Cola Consolidated, Inc. | 1,146 | 646,229 | ||||
Duckhorn Portfolio, Inc. (a) (b) | 9,200 | 193,752 | ||||
MGP Ingredients, Inc. (b) | 3,500 | 350,315 | ||||
National Beverage Corp. | 5,694 | 278,664 | ||||
Primo Water Corp. | 37,600 | 503,088 | ||||
Vintage Wine Estates, Inc. (a) | 7,800 | 61,308 | ||||
Vita Coco Co., Inc. (a) | 7,100 | 69,509 | ||||
3,665,976 | ||||||
BIOTECHNOLOGY — 5.0% | ||||||
2seventy bio, Inc. (a) (b) | 8,307 | 109,652 | ||||
4D Molecular Therapeutics, Inc. (a) | 5,900 | 41,182 | ||||
Aadi Bioscience, Inc. (a) | 3,700 | 45,584 | ||||
ACADIA Pharmaceuticals, Inc. (a) | 29,389 | 414,091 | ||||
Adagio Therapeutics, Inc. (a) | 13,300 | 43,624 | ||||
Adicet Bio, Inc. (a) (b) | 7,100 | 103,660 | ||||
ADMA Biologics, Inc. (a) | 38,900 | 77,022 | ||||
Aerovate Therapeutics, Inc. (a) | 2,900 | 45,327 | ||||
Affimed NV (a) | 33,900 | 93,903 | ||||
Agenus, Inc. (a) (b) | 65,200 | 126,488 | ||||
Agios Pharmaceuticals, Inc. (a) | 15,504 | 343,724 | ||||
Akero Therapeutics, Inc. (a) | 8,800 | 83,160 | ||||
Albireo Pharma, Inc. (a) (b) | 4,400 | 87,384 | ||||
Alector, Inc. (a) | 13,835 | 140,564 | ||||
Alkermes PLC (a) | 39,362 | 1,172,594 | ||||
Allogene Therapeutics, Inc. (a) (b) | 19,231 | 219,233 | ||||
Allovir, Inc. (a) (b) | 5,800 | 22,620 | ||||
Alnylam Pharmaceuticals, Inc. (a) | 29,766 | 4,341,371 | ||||
Alpine Immune Sciences, Inc. (a) (b) | 2,400 | 20,424 | ||||
ALX Oncology Holdings, Inc. (a) (b) | 3,500 | 28,315 | ||||
Amicus Therapeutics, Inc. (a) | 66,841 | 717,872 | ||||
AnaptysBio, Inc. (a) (b) | 4,714 | 95,694 | ||||
Anavex Life Sciences Corp. (a) (b) | 15,800 | 158,158 | ||||
Anika Therapeutics, Inc. (a) | 2,847 | 63,545 | ||||
Apellis Pharmaceuticals, Inc. (a) | 22,000 | 994,840 | ||||
Arbutus Biopharma Corp. (a) (b) | 21,900 | 59,349 | ||||
Arcellx, Inc. (a) | 2,400 | 43,392 | ||||
Arcturus Therapeutics Holdings, Inc. (a) (b) | 5,335 | 83,973 | ||||
Arcus Biosciences, Inc. (a) | 12,395 | 314,089 | ||||
Arcutis Biotherapeutics, Inc. (a) | 9,200 | 196,052 | ||||
Arrowhead Pharmaceuticals, Inc. (a) | 24,861 | 875,356 | ||||
Atara Biotherapeutics, Inc. (a) | 20,900 | 162,811 | ||||
Aura Biosciences, Inc. (a) (b) | 3,900 | 55,263 |
Security Description | Shares | Value | |||
Aurinia Pharmaceuticals, Inc. (a) | 32,400 | $ 325,620 | |||
Avid Bioservices, Inc. (a) | 15,068 | 229,938 | |||
Avidity Biosciences, Inc. (a) (b) | 12,100 | 175,813 | |||
Beam Therapeutics, Inc. (a) (b) | 15,300 | 592,263 | |||
BioCryst Pharmaceuticals, Inc. (a) (b) | 43,930 | 464,779 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 15,100 | 2,200,221 | |||
BioMarin Pharmaceutical, Inc. (a) | 45,527 | 3,772,823 | |||
Bioxcel Therapeutics, Inc. (a) (b) | 5,012 | 66,158 | |||
Bluebird Bio, Inc. (a) (b) | 18,221 | 75,435 | |||
Blueprint Medicines Corp. (a) | 14,742 | 744,618 | |||
Bridgebio Pharma, Inc. (a) (b) | 25,494 | 231,486 | |||
C4 Therapeutics, Inc. (a) | 8,400 | 63,336 | |||
CareDx, Inc. (a) | 12,148 | 260,939 | |||
Caribou Biosciences, Inc. (a) | 10,900 | 59,187 | |||
Catalyst Pharmaceuticals, Inc. (a) | 21,847 | 153,148 | |||
Celldex Therapeutics, Inc. (a) | 11,100 | 299,256 | |||
Century Therapeutics, Inc. (a) | 3,600 | 30,240 | |||
Cerevel Therapeutics Holdings, Inc. (a) (b) | 13,100 | 346,364 | |||
ChemoCentryx, Inc. (a) | 15,300 | 379,134 | |||
Chimerix, Inc. (a) | 25,797 | 53,658 | |||
Chinook Therapeutics, Inc. (a) | 10,590 | 185,219 | |||
Cogent Biosciences, Inc. (a) (b) | 10,000 | 90,200 | |||
Coherus Biosciences, Inc. (a) (b) | 22,917 | 165,919 | |||
Contra Aduro Biotech | 2,090 | 272 | |||
Contra Zogenix, Inc. (b) | 12,400 | 8,432 | |||
Crinetics Pharmaceuticals, Inc. (a) | 12,900 | 240,585 | |||
CTI BioPharma Corp. (a) | 21,600 | 128,952 | |||
Cullinan Oncology, Inc. (a) (b) | 7,100 | 91,022 | |||
Cytokinetics, Inc. (a) (b) | 19,796 | 777,785 | |||
Day One Biopharmaceuticals, Inc. (a) (b) | 5,800 | 103,820 | |||
Deciphera Pharmaceuticals, Inc. (a) | 14,300 | 188,045 | |||
Denali Therapeutics, Inc. (a) | 24,232 | 713,148 | |||
Design Therapeutics, Inc. (a) | 8,100 | 113,400 | |||
Dynavax Technologies Corp. (a) (b) | 28,538 | 359,293 | |||
Dyne Therapeutics, Inc. (a) (b) | 8,700 | 59,769 | |||
Eagle Pharmaceuticals, Inc. (a) | 2,546 | 113,119 | |||
Editas Medicine, Inc. (a) (b) | 15,739 | 186,192 | |||
Eiger BioPharmaceuticals, Inc. (a) | 9,675 | 60,953 | |||
Emergent BioSolutions, Inc. (a) | 12,100 | 375,584 | |||
Enanta Pharmaceuticals, Inc. (a) | 4,500 | 212,715 | |||
Enochian Biosciences, Inc. (a) | 6,400 | 12,352 | |||
EQRx, Inc. (a) | 30,900 | 144,921 | |||
Erasca, Inc. (a) (b) | 13,900 | 77,423 |
Security Description | Shares | Value | |||
Exact Sciences Corp. (a) | 43,129 | $ 1,698,851 | |||
Exelixis, Inc. (a) | 76,408 | 1,590,815 | |||
Fate Therapeutics, Inc. (a) (b) | 21,089 | 522,585 | |||
FibroGen, Inc. (a) (b) | 21,508 | 227,125 | |||
Foghorn Therapeutics, Inc. (a) | 5,700 | 77,520 | |||
Forma Therapeutics Holdings, Inc. (a) | 6,500 | 44,785 | |||
Generation Bio Co. (a) | 12,000 | 78,720 | |||
Geron Corp. (a) (b) | 103,483 | 160,399 | |||
Global Blood Therapeutics, Inc. (a) (b) | 15,381 | 491,423 | |||
Gossamer Bio, Inc. (a) (b) | 15,700 | 131,409 | |||
Halozyme Therapeutics, Inc. (a) | 32,158 | 1,414,952 | |||
Heron Therapeutics, Inc. (a) (b) | 21,017 | 58,637 | |||
HilleVax, Inc. (a) (b) | 2,100 | 22,953 | |||
Horizon Therapeutics Plc (a) | 55,364 | 4,415,833 | |||
Humacyte, Inc. (a) | 6,200 | 19,902 | |||
Icosavax, Inc. (a) | 5,300 | 30,369 | |||
Ideaya Biosciences, Inc. (a) | 8,400 | 115,920 | |||
IGM Biosciences, Inc. (a) | 2,700 | 48,681 | |||
Imago Biosciences, Inc. (a) | 6,100 | 81,679 | |||
ImmunityBio, Inc. (a) (b) | 22,000 | 81,840 | |||
ImmunoGen, Inc. (a) | 50,076 | 225,342 | |||
Immunovant, Inc. (a) | 7,800 | 30,420 | |||
Inhibrx, Inc. (a) (b) | 6,100 | 69,235 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 45,011 | 77,869 | |||
Insmed, Inc. (a) | 29,066 | 573,182 | |||
Instil Bio, Inc. (a) (b) | 16,600 | 76,692 | |||
Intellia Therapeutics, Inc. (a) | 18,200 | 942,032 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 7,187 | 99,253 | |||
Ionis Pharmaceuticals, Inc. (a) | 34,812 | 1,288,740 | |||
Iovance Biotherapeutics, Inc. (a) | 36,800 | 406,272 | |||
Ironwood Pharmaceuticals, Inc. (a) (b) | 32,978 | 380,236 | |||
iTeos Therapeutics, Inc. (a) | 6,000 | 123,600 | |||
IVERIC bio, Inc. (a) | 27,300 | 262,626 | |||
Janux Therapeutics, Inc. (a) (b) | 3,800 | 46,398 | |||
Jounce Therapeutics, Inc. (a) | 6,400 | 19,392 | |||
KalVista Pharmaceuticals, Inc. (a) | 8,500 | 83,640 | |||
Karuna Therapeutics, Inc. (a) | 6,324 | 800,049 | |||
Karyopharm Therapeutics, Inc. (a) (b) | 17,100 | 77,121 | |||
Keros Therapeutics, Inc. (a) | 4,147 | 114,582 | |||
Kezar Life Sciences, Inc. (a) | 11,230 | 92,872 | |||
Kiniksa Pharmaceuticals, Ltd. Class A (a) | 7,925 | 76,793 | |||
Kinnate Biopharma, Inc. (a) (b) | 8,000 | 100,880 | |||
Kodiak Sciences, Inc. (a) | 7,635 | 58,331 | |||
Kronos Bio, Inc. (a) | 7,700 | 28,028 | |||
Krystal Biotech, Inc. (a) | 5,067 | 332,699 | |||
Kura Oncology, Inc. (a) | 14,900 | 273,117 | |||
Kymera Therapeutics, Inc. (a) (b) | 9,100 | 179,179 |
Security Description | Shares | Value | |||
Lexicon Pharmaceuticals, Inc. (a) | 13,421 | $ 24,963 | |||
Ligand Pharmaceuticals, Inc. (a) | 3,636 | 324,404 | |||
Lyell Immunopharma, Inc. (a) (b) | 42,100 | 274,492 | |||
MacroGenics, Inc. (a) | 12,634 | 37,270 | |||
Madrigal Pharmaceuticals, Inc. (a) | 3,359 | 240,437 | |||
MannKind Corp. (a) (b) | 61,900 | 235,839 | |||
MeiraGTx Holdings PLC (a) | 6,100 | 46,177 | |||
Mersana Therapeutics, Inc. (a) | 18,400 | 85,008 | |||
MiMedx Group, Inc. (a) | 26,300 | 91,261 | |||
Mirati Therapeutics, Inc. (a) (b) | 10,511 | 705,603 | |||
Mirum Pharmaceuticals, Inc. (a) (b) | 3,100 | 60,326 | |||
Monte Rosa Therapeutics, Inc. (a) | 6,400 | 61,888 | |||
Morphic Holding, Inc. (a) | 6,200 | 134,540 | |||
Myriad Genetics, Inc. (a) | 18,995 | 345,139 | |||
Natera, Inc. (a) | 20,949 | 742,433 | |||
Neurocrine Biosciences, Inc. (a) | 22,922 | 2,234,437 | |||
Nkarta, Inc. (a) | 7,900 | 97,328 | |||
Novavax, Inc. (a) (b) | 19,393 | 997,382 | |||
Nurix Therapeutics, Inc. (a) (b) | 9,800 | 124,166 | |||
Nuvalent, Inc. Class A (a) (b) | 4,000 | 54,240 | |||
Ocugen, Inc. (a) (b) | 49,900 | 113,273 | |||
Organogenesis Holdings, Inc. (a) | 16,598 | 80,998 | |||
Outlook Therapeutics, Inc. (a) (b) | 24,500 | 24,990 | |||
Pardes Biosciences, Inc. (a) | 4,800 | 14,736 | |||
PepGen, Inc. (a) | 1,900 | 18,867 | |||
PMV Pharmaceuticals, Inc. (a) (b) | 9,100 | 129,675 | |||
Point Biopharma Global, Inc. (a) | 16,200 | 110,322 | |||
Praxis Precision Medicines, Inc. (a) | 7,500 | 18,375 | |||
Precigen, Inc. (a) (b) | 18,141 | 24,309 | |||
Prometheus Biosciences, Inc. (a) | 6,900 | 194,787 | |||
Protagonist Therapeutics, Inc. (a) | 10,402 | 82,280 | |||
Prothena Corp. PLC (a) | 8,400 | 228,060 | |||
PTC Therapeutics, Inc. (a) | 17,100 | 685,026 | |||
Radius Health, Inc. (a) | 11,255 | 116,714 | |||
Rallybio Corp. (a) | 4,000 | 30,200 | |||
Rapt Therapeutics, Inc. (a) (b) | 5,700 | 104,025 | |||
Recursion Pharmaceuticals, Inc. Class A (a) | 33,200 | 270,248 | |||
REGENXBIO, Inc. (a) | 9,400 | 232,180 | |||
Relay Therapeutics, Inc. (a) (b) | 18,400 | 308,200 | |||
Replimenu Group, Inc. (a) | 9,000 | 157,320 | |||
REVOLUTION Medicines, Inc. (a) (b) | 15,958 | 311,021 | |||
Rigel Pharmaceuticals, Inc. (a) (b) | 34,689 | 39,199 |
Security Description | Shares | Value | ||||
Rocket Pharmaceuticals, Inc. (a) | 12,400 | $ 170,624 | ||||
Sage Therapeutics, Inc. (a) | 12,872 | 415,766 | ||||
Sana Biotechnology, Inc. (a) (b) | 22,000 | 141,460 | ||||
Sangamo Therapeutics, Inc. (a) | 41,365 | 171,251 | ||||
Sarepta Therapeutics, Inc. (a) | 20,752 | 1,555,570 | ||||
Seagen, Inc. (a) | 33,538 | 5,934,214 | ||||
Seres Therapeutics, Inc. (a) | 15,946 | 54,695 | ||||
Sierra Oncology, Inc. (a) | 3,400 | 186,966 | ||||
Sorrento Therapeutics, Inc. (a) (b) | 93,719 | 188,375 | ||||
SpringWorks Therapeutics, Inc. (a) (b) | 8,400 | 206,808 | ||||
Stoke Therapeutics, Inc. (a) | 5,400 | 71,334 | ||||
Sutro Biopharma, Inc. (a) | 8,600 | 44,806 | ||||
Syndax Pharmaceuticals, Inc. (a) | 12,420 | 238,961 | ||||
Talaris Therapeutics, Inc. (a) | 4,300 | 19,393 | ||||
Tango Therapeutics, Inc. (a) | 12,400 | 56,172 | ||||
Tenaya Therapeutics, Inc. (a) (b) | 6,200 | 34,906 | ||||
TG Therapeutics, Inc. (a) | 34,145 | 145,116 | ||||
Travere Therapeutics, Inc. (a) | 14,298 | 346,441 | ||||
Turning Point Therapeutics, Inc. (a) | 11,089 | 834,447 | ||||
Twist Bioscience Corp. (a) | 13,612 | 475,876 | ||||
Tyra Biosciences, Inc. (a) (b) | 2,400 | 17,160 | ||||
Ultragenyx Pharmaceutical, Inc. (a) | 16,276 | 971,026 | ||||
United Therapeutics Corp. (a) | 10,821 | 2,549,860 | ||||
Vanda Pharmaceuticals, Inc. (a) | 13,851 | 150,976 | ||||
Vaxart, Inc. (a) (b) | 26,500 | 92,750 | ||||
Vaxcyte, Inc. (a) | 12,700 | 276,352 | ||||
VBI Vaccines, Inc. (a) | 39,606 | 32,021 | ||||
Vera Therapeutics, Inc. (a) | 3,100 | 42,191 | ||||
Veracyte, Inc. (a) (b) | 16,887 | 336,051 | ||||
Vericel Corp. (a) | 11,573 | 291,408 | ||||
Verve Therapeutics, Inc. (a) (b) | 8,200 | 125,296 | ||||
Vir Biotechnology, Inc. (a) | 17,639 | 449,265 | ||||
Viridian Therapeutics, Inc. (a) | 5,300 | 61,321 | ||||
VistaGen Therapeutics, Inc. (a) (b) | 51,500 | 45,320 | ||||
Xencor, Inc. (a) | 13,885 | 380,033 | ||||
Y-mAbs Therapeutics, Inc. (a) (b) | 9,200 | 139,196 | ||||
Zentalis Pharmaceuticals, Inc. (a) | 9,300 | 261,330 | ||||
72,193,705 | ||||||
BUILDING PRODUCTS — 1.4% | ||||||
AAON, Inc. | 10,600 | 580,456 | ||||
Advanced Drainage Systems, Inc. | 15,100 | 1,360,057 | ||||
American Woodmark Corp. (a) | 4,356 | 196,064 | ||||
Apogee Enterprises, Inc. | 5,109 | 200,375 | ||||
Armstrong World Industries, Inc. | 11,495 | 861,665 | ||||
AZEK Co., Inc. (a) | 28,092 | 470,260 |
Security Description | Shares | Value | ||||
Builders FirstSource, Inc. (a) | 41,641 | $ 2,236,122 | ||||
Caesarstone, Ltd. (b) | 4,827 | 44,071 | ||||
Carlisle Cos., Inc. | 12,438 | 2,967,831 | ||||
Cornerstone Building Brands, Inc. (a) | 15,328 | 375,383 | ||||
CSW Industrials, Inc. | 3,471 | 357,617 | ||||
Gibraltar Industries, Inc. (a) | 8,000 | 310,000 | ||||
Griffon Corp. | 11,600 | 325,148 | ||||
Hayward Holdings, Inc. (a) (b) | 18,100 | 260,459 | ||||
Insteel Industries, Inc. | 4,787 | 161,178 | ||||
Janus International Group, Inc. (a) | 19,700 | 177,891 | ||||
JELD-WEN Holding, Inc. (a) | 20,609 | 300,685 | ||||
Lennox International, Inc. | 7,856 | 1,622,971 | ||||
Masonite International Corp. (a) | 5,393 | 414,344 | ||||
Owens Corning | 23,481 | 1,744,873 | ||||
PGT Innovations, Inc. (a) | 13,254 | 220,547 | ||||
Quanex Building Products Corp. | 7,750 | 176,312 | ||||
Resideo Technologies, Inc. (a) | 34,377 | 667,601 | ||||
Simpson Manufacturing Co., Inc. | 10,254 | 1,031,655 | ||||
Trex Co., Inc. (a) | 27,705 | 1,507,706 | ||||
UFP Industries, Inc. | 14,710 | 1,002,339 | ||||
View, Inc. (a) (b) | 24,200 | 39,204 | ||||
Zurn water solutions Corp. | 29,690 | 808,756 | ||||
20,421,570 | ||||||
CAPITAL MARKETS — 3.8% | ||||||
Affiliated Managers Group, Inc. | 9,239 | 1,077,267 | ||||
Ares Management Corp. Class A | 37,330 | 2,122,584 | ||||
Artisan Partners Asset Management, Inc. Class A | 14,702 | 522,950 | ||||
Assetmark Financial Holdings, Inc. (a) | 4,500 | 84,465 | ||||
Associated Capital Group, Inc. Class A | 500 | 17,915 | ||||
B Riley Financial, Inc. (b) | 5,034 | 212,686 | ||||
Bakkt Holdings, Inc. (a) (b) | 12,800 | 26,880 | ||||
BGC Partners, Inc. Class A | 73,800 | 248,706 | ||||
Blackstone, Inc. | 172,700 | 15,755,421 | ||||
Blucora, Inc. (a) | 11,900 | 219,674 | ||||
Blue Owl Capital, Inc. | 99,300 | 995,979 | ||||
Brightsphere Investment Group, Inc. | 8,073 | 145,395 | ||||
Carlyle Group, Inc. | 50,940 | 1,612,760 | ||||
Cohen & Steers, Inc. | 5,909 | 375,753 | ||||
Coinbase Global, Inc. Class A (a) | 38,200 | 1,796,164 | ||||
Cowen, Inc. Class A (b) | 6,150 | 145,693 | ||||
Diamond Hill Investment Group, Inc. | 668 | 115,991 | ||||
Donnelley Financial Solutions, Inc. (a) | 6,775 | 198,440 | ||||
Evercore, Inc. Class A | 9,241 | 865,050 | ||||
Federated Hermes, Inc. | 21,586 | 686,219 |
Security Description | Shares | Value | ||||
Focus Financial Partners, Inc. Class A (a) | 14,482 | $ 493,257 | ||||
GAMCO Investors, Inc. Class A | 1,182 | 24,704 | ||||
GCM Grosvenor, Inc. Class A (b) | 10,200 | 69,870 | ||||
Hamilton Lane, Inc. Class A | 8,604 | 578,017 | ||||
Houlihan Lokey, Inc. | 12,400 | 978,732 | ||||
Interactive Brokers Group, Inc. Class A | 22,475 | 1,236,350 | ||||
Janus Henderson Group PLC | 33,500 | 787,585 | ||||
Jefferies Financial Group, Inc. | 50,519 | 1,395,335 | ||||
KKR & Co., Inc. | 140,933 | 6,523,789 | ||||
Lazard, Ltd. Class A | 22,902 | 742,254 | ||||
LPL Financial Holdings, Inc. | 19,606 | 3,616,915 | ||||
Manning & Napier, Inc. | 3,800 | 47,386 | ||||
MarketWise, Inc. (a) | 5,600 | 20,160 | ||||
Moelis & Co. Class A | 15,500 | 609,925 | ||||
Morningstar, Inc. | 6,097 | 1,474,437 | ||||
Open Lending Corp. Class A (a) | 25,200 | 257,796 | ||||
Oppenheimer Holdings, Inc. Class A | 1,900 | 62,776 | ||||
Perella Weinberg Partners Class A | 11,000 | 64,130 | ||||
Piper Sandler Cos. | 4,271 | 484,161 | ||||
PJT Partners, Inc. Class A | 5,672 | 398,628 | ||||
Pzena Investment Management, Inc. Class A | 6,000 | 39,540 | ||||
Robinhood Markets, Inc. Class A (a) (b) | 136,900 | 1,125,318 | ||||
Sculptor Capital Management, Inc. | 5,885 | 49,140 | ||||
SEI Investments Co. | 25,106 | 1,356,226 | ||||
Silvercrest Asset Management Group, Inc. Class A | 2,400 | 39,384 | ||||
StepStone Group, Inc. Class A | 12,626 | 328,655 | ||||
Stifel Financial Corp. | 24,916 | 1,395,794 | ||||
StoneX Group, Inc. (a) | 4,203 | 328,128 | ||||
Tradeweb Markets, Inc. Class A | 26,592 | 1,814,904 | ||||
Value Line, Inc. | 200 | 13,210 | ||||
Victory Capital Holdings, Inc. Class A | 3,900 | 93,990 | ||||
Virtu Financial, Inc. Class A | 24,597 | 575,816 | ||||
Virtus Investment Partners, Inc. | 1,827 | 312,454 | ||||
WisdomTree Investments, Inc. (b) | 30,999 | 157,165 | ||||
54,721,923 | ||||||
CHEMICALS — 1.8% | ||||||
AdvanSix, Inc. | 6,300 | 210,672 | ||||
American Vanguard Corp. | 6,752 | 150,907 | ||||
Amyris, Inc. (a) (b) | 41,400 | 76,590 | ||||
Ashland Global Holdings, Inc. | 12,230 | 1,260,301 | ||||
Aspen Aerogels, Inc. (a) | 5,300 | 52,364 | ||||
Avient Corp. | 21,546 | 863,564 | ||||
Axalta Coating Systems, Ltd. (a) | 54,500 | 1,204,995 | ||||
Balchem Corp. | 7,686 | 997,182 | ||||
Cabot Corp. | 13,298 | 848,279 |
Security Description | Shares | Value | ||||
Chase Corp. | 1,796 | $ 139,747 | ||||
Chemours Co. | 37,343 | 1,195,723 | ||||
Danimer Scientific, Inc. (a) (b) | 24,500 | 111,720 | ||||
Diversey Holdings, Ltd. (a) (b) | 20,300 | 133,980 | ||||
Ecovyst, Inc. | 15,550 | 153,167 | ||||
Element Solutions, Inc. | 56,800 | 1,011,040 | ||||
FutureFuel Corp. | 5,400 | 39,312 | ||||
GCP Applied Technologies, Inc. (a) | 11,997 | 375,266 | ||||
Ginkgo Bioworks Holdings, Inc. (a) | 204,800 | 487,424 | ||||
Hawkins, Inc. | 4,896 | 176,403 | ||||
HB Fuller Co. | 12,799 | 770,628 | ||||
Huntsman Corp. | 49,239 | 1,395,926 | ||||
Ingevity Corp. (a) | 9,138 | 576,973 | ||||
Innospec, Inc. | 5,895 | 564,682 | ||||
Intrepid Potash, Inc. (a) | 2,690 | 121,830 | ||||
Koppers Holdings, Inc. | 4,830 | 109,351 | ||||
Kronos Worldwide, Inc. | 5,800 | 106,720 | ||||
Livent Corp. (a) (b) | 39,242 | 890,401 | ||||
LSB Industries, Inc. (a) | 6,900 | 95,634 | ||||
Minerals Technologies, Inc. | 7,592 | 465,693 | ||||
NewMarket Corp. | 1,423 | 428,266 | ||||
Olin Corp. | 33,947 | 1,571,067 | ||||
Origin Materials, Inc. (a) | 25,700 | 131,584 | ||||
Orion Engineered Carbons SA | 14,100 | 218,973 | ||||
Perimeter Solutions SA (a) | 29,400 | 318,696 | ||||
PureCycle Technologies, Inc. (a) (b) | 26,200 | 194,404 | ||||
Quaker Chemical Corp. (b) | 3,207 | 479,511 | ||||
Rayonier Advanced Materials, Inc. (a) | 20,200 | 52,924 | ||||
RPM International, Inc. | 30,964 | 2,437,486 | ||||
Schweitzer-Mauduit International, Inc. | 7,621 | 191,440 | ||||
Scotts Miracle-Gro Co. (b) | 9,744 | 769,679 | ||||
Sensient Technologies Corp. | 9,919 | 799,075 | ||||
Stepan Co. | 5,078 | 514,655 | ||||
Tredegar Corp. | 7,207 | 72,070 | ||||
Trinseo PLC | 8,516 | 327,525 | ||||
Tronox Holdings PLC Class A | 28,369 | 476,599 | ||||
Valhi, Inc. | 1,000 | 45,340 | ||||
Valvoline, Inc. | 43,341 | 1,249,521 | ||||
Westlake Corp. | 8,196 | 803,372 | ||||
25,668,661 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.0% | ||||||
ABM Industries, Inc. | 16,200 | 703,404 | ||||
ACCO Brands Corp. | 21,742 | 141,975 | ||||
ACV Auctions, Inc. Class A (a) | 27,100 | 177,234 | ||||
Aris Water Solution, Inc. Class A | 4,900 | 81,732 | ||||
Brady Corp. Class A | 11,200 | 529,088 | ||||
BrightView Holdings, Inc. (a) | 10,900 | 130,800 | ||||
Brink's Co. | 11,014 | 668,660 | ||||
Casella Waste Systems, Inc. Class A (a) | 12,000 | 872,160 |
Security Description | Shares | Value | ||||
Cimpress PLC (a) | 4,333 | $ 168,554 | ||||
Clean Harbors, Inc. (a) | 12,253 | 1,074,220 | ||||
CompX International, Inc. | 1,200 | 27,828 | ||||
CoreCivic, Inc. REIT (a) | 29,125 | 323,579 | ||||
Deluxe Corp. | 10,076 | 218,347 | ||||
Driven Brands Holdings, Inc. (a) | 13,600 | 374,544 | ||||
Ennis, Inc. | 5,997 | 121,319 | ||||
Harsco Corp. (a) | 18,925 | 134,557 | ||||
Healthcare Services Group, Inc. | 18,365 | 319,735 | ||||
Heritage-Crystal Clean, Inc. (a) | 3,634 | 97,973 | ||||
HNI Corp. | 9,989 | 346,518 | ||||
IAA, Inc. (a) | 32,333 | 1,059,552 | ||||
Interface, Inc. | 14,962 | 187,623 | ||||
KAR Auction Services, Inc. (a) | 28,992 | 428,212 | ||||
Kimball International, Inc. Class B | 10,165 | 77,966 | ||||
Li-Cycle Holdings Corp. (a) | 32,200 | 221,536 | ||||
Matthews International Corp. Class A | 7,931 | 227,382 | ||||
MillerKnoll, Inc. | 18,234 | 479,007 | ||||
Montrose Environmental Group, Inc. (a) (b) | 6,600 | 222,816 | ||||
MSA Safety, Inc. | 8,873 | 1,074,254 | ||||
NL Industries, Inc. | 1,731 | 17,085 | ||||
Pitney Bowes, Inc. | 43,864 | 158,788 | ||||
Quad/Graphics, Inc. (a) | 8,200 | 22,550 | ||||
SP Plus Corp. (a) | 6,100 | 187,392 | ||||
Steelcase, Inc. Class A | 19,600 | 210,308 | ||||
Stericycle, Inc. (a) | 22,094 | 968,822 | ||||
Tetra Tech, Inc. | 12,895 | 1,760,812 | ||||
UniFirst Corp. | 3,605 | 620,709 | ||||
Viad Corp. (a) | 5,454 | 150,585 | ||||
VSE Corp. | 2,780 | 104,472 | ||||
14,692,098 | ||||||
COMMUNICATIONS EQUIPMENT — 0.6% | ||||||
ADTRAN, Inc. | 11,837 | 207,503 | ||||
Aviat Networks, Inc. (a) | 2,500 | 62,600 | ||||
Calix, Inc. (a) | 13,500 | 460,890 | ||||
Cambium Networks Corp. (a) | 2,900 | 42,485 | ||||
Casa Systems, Inc. (a) | 12,299 | 48,335 | ||||
Ciena Corp. (a) | 36,697 | 1,677,053 | ||||
Clearfield, Inc. (a) | 2,800 | 173,460 | ||||
CommScope Holding Co., Inc. (a) | 49,955 | 305,725 | ||||
Comtech Telecommunications Corp. | 6,298 | 57,123 | ||||
Digi International, Inc. (a) | 8,070 | 195,455 | ||||
DZS, Inc. (a) | 4,560 | 74,191 | ||||
Extreme Networks, Inc. (a) | 31,800 | 283,656 | ||||
Harmonic, Inc. (a) | 22,500 | 195,075 | ||||
Infinera Corp. (a) (b) | 46,800 | 250,848 | ||||
Inseego Corp. (a) (b) | 25,417 | 48,038 | ||||
Lumentum Holdings, Inc. (a) | 16,682 | 1,324,884 | ||||
NETGEAR, Inc. (a) | 6,789 | 125,732 | ||||
NetScout Systems, Inc. (a) | 17,007 | 575,687 | ||||
Ondas Holdings, Inc. (a) (b) | 6,200 | 33,418 |
Security Description | Shares | Value | ||||
Plantronics, Inc. (a) | 10,348 | $ 410,609 | ||||
Ribbon Communications, Inc. (a) | 13,800 | 41,952 | ||||
Ubiquiti, Inc. (b) | 1,407 | 349,232 | ||||
Viasat, Inc. (a) | 17,011 | 521,047 | ||||
Viavi Solutions, Inc. (a) | 54,858 | 725,771 | ||||
8,190,769 | ||||||
CONSTRUCTION & ENGINEERING — 1.0% | ||||||
AECOM | 32,204 | 2,100,345 | ||||
Ameresco, Inc. Class A (a) | 7,600 | 346,256 | ||||
API Group Corp. (a) | 50,223 | 751,838 | ||||
Arcosa, Inc. | 11,386 | 528,652 | ||||
Argan, Inc. | 3,139 | 117,147 | ||||
Comfort Systems USA, Inc. | 8,525 | 708,854 | ||||
Concrete Pumping Holdings, Inc. (a) (b) | 9,231 | 55,940 | ||||
Construction Partners, Inc. Class A (a) | 10,298 | 215,640 | ||||
Dycom Industries, Inc. (a) | 6,852 | 637,510 | ||||
EMCOR Group, Inc. | 12,053 | 1,240,977 | ||||
Fluor Corp. (a) | 33,609 | 818,043 | ||||
Granite Construction, Inc. | 10,779 | 314,100 | ||||
Great Lakes Dredge & Dock Corp. (a) | 15,750 | 206,482 | ||||
IES Holdings, Inc. (a) | 2,700 | 81,459 | ||||
Infrastructure and Energy Alternatives, Inc. (a) (b) | 7,900 | 63,437 | ||||
MasTec, Inc. (a) | 14,472 | 1,037,064 | ||||
MDU Resources Group, Inc. | 48,837 | 1,318,111 | ||||
MYR Group, Inc. (a) | 4,048 | 356,750 | ||||
Northwest Pipe Co. (a) | 2,000 | 59,880 | ||||
NV5 Global, Inc. (a) | 3,144 | 367,031 | ||||
Primoris Services Corp. | 12,454 | 270,999 | ||||
Sterling Infrastructure, Inc. (a) | 7,000 | 153,440 | ||||
Tutor Perini Corp. (a) | 10,400 | 91,312 | ||||
Valmont Industries, Inc. | 5,074 | 1,139,773 | ||||
WillScot Mobile Mini Holdings Corp. (a) | 53,413 | 1,731,649 | ||||
14,712,689 | ||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||
Eagle Materials, Inc. | 9,544 | 1,049,267 | ||||
Summit Materials, Inc. Class A (a) | 28,812 | 671,031 | ||||
United States Lime & Minerals, Inc. | 581 | 61,354 | ||||
1,781,652 | ||||||
CONSUMER FINANCE — 0.8% | ||||||
Ally Financial, Inc. | 79,612 | 2,667,798 | ||||
Atlanticus Holdings Corp. (a) (b) | 1,000 | 35,170 | ||||
Consumer Portfolio Services, Inc. (a) | 2,400 | 24,600 | ||||
Credit Acceptance Corp. (a) (b) | 1,709 | 809,058 | ||||
Curo Group Holdings Corp. | 8,330 | 46,065 | ||||
Encore Capital Group, Inc. (a) | 5,651 | 326,458 | ||||
Enova International, Inc. (a) | 8,100 | 233,442 |
Security Description | Shares | Value | ||||
EZCORP, Inc. Class A (a) | 10,300 | $ 77,353 | ||||
FirstCash Holdings, Inc. | 9,315 | 647,486 | ||||
Green Dot Corp. Class A (a) | 12,100 | 303,831 | ||||
LendingClub Corp. (a) | 25,106 | 293,489 | ||||
LendingTree, Inc. (a) | 2,636 | 115,509 | ||||
Moneylion, Inc. (a) | 27,000 | 35,640 | ||||
Navient Corp. | 26,504 | 370,791 | ||||
Nelnet, Inc. Class A | 3,442 | 293,430 | ||||
NerdWallet, Inc. Class A (a) | 6,500 | 51,545 | ||||
OneMain Holdings, Inc. | 28,944 | 1,081,927 | ||||
Oportun Financial Corp. (a) | 7,651 | 63,274 | ||||
PRA Group, Inc. (a) | 9,172 | 333,494 | ||||
Prog Holdings, Inc. (a) | 13,374 | 220,671 | ||||
Regional Management Corp. | 1,600 | 59,792 | ||||
SLM Corp. | 65,512 | 1,044,261 | ||||
SoFi Technologies, Inc. (a) | 196,000 | 1,032,920 | ||||
Sunlight Financial Holdings, Inc. (a) | 6,700 | 19,765 | ||||
Upstart Holdings, Inc. (a) (b) | 18,103 | 572,417 | ||||
World Acceptance Corp. (a) (b) | 1,028 | 115,383 | ||||
10,875,569 | ||||||
CONTAINERS & PACKAGING — 0.8% | ||||||
AptarGroup, Inc. | 15,875 | 1,638,459 | ||||
Ardagh Group SA (b) | 3,500 | 53,375 | ||||
Ardagh Metal Packaging SA | 36,700 | 223,870 | ||||
Berry Global Group, Inc. (a) | 32,087 | 1,753,234 | ||||
Crown Holdings, Inc. | 29,110 | 2,683,069 | ||||
Cryptyde, Inc. (a) | 8,330 | 16,910 | ||||
Graphic Packaging Holding Co. | 75,367 | 1,545,023 | ||||
Greif, Inc. Class A | 6,300 | 392,994 | ||||
Greif, Inc. Class B | 1,242 | 77,364 | ||||
Myers Industries, Inc. | 8,995 | 204,456 | ||||
O-I Glass, Inc. (a) | 37,428 | 523,992 | ||||
Pactiv Evergreen, Inc. | 11,400 | 113,544 | ||||
Ranpak Holdings Corp. (a) | 9,200 | 64,400 | ||||
Silgan Holdings, Inc. | 20,268 | 838,082 | ||||
Sonoco Products Co. | 23,578 | 1,344,889 | ||||
TriMas Corp. | 9,906 | 274,297 | ||||
11,747,958 | ||||||
DISTRIBUTORS — 0.0% (d) | ||||||
Funko, Inc. Class A (a) | 7,650 | 170,748 | ||||
Weyco Group, Inc. | 1,400 | 34,230 | ||||
204,978 | ||||||
DIVERSIFIED CONSUMER SERVICES — 0.9% | ||||||
2U, Inc. (a) (b) | 16,927 | 177,226 | ||||
ADT, Inc. | 50,584 | 311,092 | ||||
Adtalem Global Education, Inc. (a) | 10,974 | 394,735 | ||||
American Public Education, Inc. (a) | 3,700 | 59,792 | ||||
Beachbody Co. Inc (a) | 22,500 | 27,000 | ||||
Bright Horizons Family Solutions, Inc. (a) | 14,602 | 1,234,161 | ||||
Carriage Services, Inc. | 3,596 | 142,581 |
Security Description | Shares | Value | ||||
Chegg, Inc. (a) | 29,957 | $ 562,592 | ||||
Coursera, Inc. (a) | 27,100 | 384,278 | ||||
Duolingo, Inc. (a) | 5,700 | 499,035 | ||||
European Wax Center, Inc. Class A (b) | 5,300 | 93,386 | ||||
Frontdoor, Inc. (a) | 20,011 | 481,865 | ||||
Graham Holdings Co. Class B | 903 | 511,857 | ||||
Grand Canyon Education, Inc. (a) | 7,678 | 723,191 | ||||
H&R Block, Inc. | 39,726 | 1,403,122 | ||||
Laureate Education, Inc. Class A | 27,270 | 315,514 | ||||
Mister Car Wash, Inc. (a) (b) | 20,500 | 223,040 | ||||
Nerdy, Inc. (a) | 9,200 | 19,596 | ||||
OneSpaWorld Holdings, Ltd. (a) (b) | 15,600 | 111,852 | ||||
Perdoceo Education Corp. (a) | 17,312 | 203,935 | ||||
PowerSchool Holdings, Inc. Class A (a) (b) | 10,300 | 124,115 | ||||
Rover Group, Inc. (a) | 24,100 | 90,616 | ||||
Service Corp. International | 37,383 | 2,583,913 | ||||
StoneMor, Inc. (a) | 6,000 | 20,520 | ||||
Strategic Education, Inc. | 5,846 | 412,611 | ||||
Stride, Inc. (a) | 9,805 | 399,946 | ||||
Terminix Global Holdings, Inc. (a) | 29,873 | 1,214,337 | ||||
Udemy, Inc. (a) | 17,700 | 180,717 | ||||
Universal Technical Institute, Inc. (a) | 7,600 | 54,188 | ||||
Vivint Smart Home, Inc. (a) (b) | 23,213 | 80,781 | ||||
WW International, Inc. (a) | 12,300 | 78,597 | ||||
13,120,191 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.8% | ||||||
Alerus Financial Corp. | 2,976 | 70,859 | ||||
A-Mark Precious Metals, Inc. | 5,100 | 164,475 | ||||
Apollo Global Management, Inc. | 113,205 | 5,488,178 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 6,700 | 88,909 | ||||
Cannae Holdings, Inc. (a) | 20,200 | 390,668 | ||||
Compass Diversified Holdings | 14,600 | 312,732 | ||||
Equitable Holdings, Inc. | 94,346 | 2,459,600 | ||||
Jackson Financial, Inc. Class A | 18,200 | 486,850 | ||||
Voya Financial, Inc. | 24,662 | 1,468,129 | ||||
10,930,400 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | ||||||
Anterix, Inc. (a) | 2,507 | 102,963 | ||||
ATN International, Inc. | 3,257 | 152,786 | ||||
Bandwidth, Inc. Class A (a) | 5,402 | 101,666 | ||||
Charge Enterprises, Inc. (a) | 24,200 | 115,434 | ||||
Cogent Communications Holdings, Inc. | 9,996 | 607,357 | ||||
Consolidated Communications Holdings, Inc. (a) | 17,649 | 123,543 | ||||
EchoStar Corp. Class A (a) | 8,541 | 164,841 |
Security Description | Shares | Value | ||||
Frontier Communications Parent, Inc. (a) | 60,300 | $ 1,419,462 | ||||
Globalstar, Inc. (a) (b) | 169,400 | 208,362 | ||||
IDT Corp. Class B (a) | 3,600 | 90,540 | ||||
Iridium Communications, Inc. (a) | 30,175 | 1,133,373 | ||||
Liberty Latin America, Ltd. Class A (a) | 10,988 | 85,706 | ||||
Liberty Latin America, Ltd. Class C (a) | 43,000 | 334,970 | ||||
Ooma, Inc. (a) | 5,100 | 60,384 | ||||
Radius Global Infrastructure, Inc. Class A (a) | 18,300 | 279,258 | ||||
Starry Group Holdings, Inc. Class A (a) (b) | 4,800 | 19,776 | ||||
5,000,421 | ||||||
ELECTRIC UTILITIES — 0.9% | ||||||
ALLETE, Inc. | 13,562 | 797,174 | ||||
Avangrid, Inc. (b) | 17,409 | 802,903 | ||||
Hawaiian Electric Industries, Inc. | 26,283 | 1,074,975 | ||||
IDACORP, Inc. | 12,138 | 1,285,657 | ||||
MGE Energy, Inc. | 8,862 | 689,730 | ||||
OGE Energy Corp. | 48,238 | 1,860,057 | ||||
Otter Tail Corp. | 9,976 | 669,689 | ||||
PG&E Corp. (a) | 382,381 | 3,816,163 | ||||
PNM Resources, Inc. | 20,154 | 962,958 | ||||
Portland General Electric Co. | 21,258 | 1,027,399 | ||||
Via Renewables, Inc. (b) | 4,996 | 38,269 | ||||
13,024,974 | ||||||
ELECTRICAL EQUIPMENT — 1.3% | ||||||
Acuity Brands, Inc. | 8,382 | 1,291,163 | ||||
Allied Motion Technologies, Inc. | 3,843 | 87,774 | ||||
Array Technologies, Inc. (a) | 36,500 | 401,865 | ||||
Atkore, Inc. (a) | 10,400 | 863,304 | ||||
AZZ, Inc. | 5,693 | 232,388 | ||||
Babcock & Wilcox Enterprises, Inc. (a) | 14,000 | 84,420 | ||||
Blink Charging Co. (a) (b) | 9,200 | 152,076 | ||||
Bloom Energy Corp. Class A (a) (b) | 39,276 | 648,054 | ||||
ChargePoint Holdings, Inc. (a) (b) | 48,100 | 658,489 | ||||
Encore Wire Corp. | 4,634 | 481,565 | ||||
Energy Vault Holdings, Inc. (a) (b) | 5,000 | 50,100 | ||||
EnerSys | 9,741 | 574,329 | ||||
Enovix Corp. (a) | 26,200 | 233,442 | ||||
ESS Tech, Inc. (a) | 18,000 | 50,580 | ||||
Fluence Energy, Inc. (a) (b) | 8,900 | 84,372 | ||||
FTC Solar, Inc. (a) (b) | 8,400 | 30,408 | ||||
FuelCell Energy, Inc. (a) (b) | 88,677 | 332,539 | ||||
GrafTech International, Ltd. | 48,450 | 342,542 | ||||
Heliogen, Inc. (a) | 6,400 | 13,504 | ||||
Hubbell, Inc. | 12,947 | 2,312,075 | ||||
NuScale Power Corp. (a) | 4,200 | 41,958 |
Security Description | Shares | Value | ||||
nVent Electric PLC | 39,900 | $ 1,250,067 | ||||
Plug Power, Inc. (a) (b) | 127,988 | 2,120,761 | ||||
Powell Industries, Inc. | 1,900 | 44,403 | ||||
Preformed Line Products Co. | 800 | 49,200 | ||||
Regal Rexnord Corp. | 16,245 | 1,844,132 | ||||
Sensata Technologies Holding PLC | 38,247 | 1,579,984 | ||||
Shoals Technologies Group, Inc. Class A (a) (b) | 27,200 | 448,256 | ||||
Stem, Inc. (a) (b) | 34,800 | 249,168 | ||||
Sunrun, Inc. (a) (b) | 49,689 | 1,160,735 | ||||
Thermon Group Holdings, Inc. (a) | 7,780 | 109,309 | ||||
TPI Composites, Inc. (a) | 8,700 | 108,750 | ||||
Vertiv Holdings Co. | 75,200 | 618,144 | ||||
Vicor Corp. (a) | 5,476 | 299,702 | ||||
18,849,558 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.8% | ||||||
908 Devices, Inc. (a) | 5,700 | 117,363 | ||||
Advanced Energy Industries, Inc. | 9,054 | 660,761 | ||||
Aeva Technologies, Inc. (a) | 23,500 | 73,555 | ||||
AEye, Inc. (a) | 8,100 | 15,471 | ||||
Akoustis Technologies, Inc. (a) (b) | 15,100 | 55,870 | ||||
Arlo Technologies, Inc. (a) | 20,717 | 129,896 | ||||
Arrow Electronics, Inc. (a) | 15,994 | 1,792,768 | ||||
Avnet, Inc. | 23,497 | 1,007,551 | ||||
Badger Meter, Inc. | 6,976 | 564,289 | ||||
Belden, Inc. | 10,363 | 552,037 | ||||
Benchmark Electronics, Inc. | 8,131 | 183,435 | ||||
Cognex Corp. | 42,071 | 1,788,859 | ||||
Coherent, Inc. (a) | 5,438 | 1,447,704 | ||||
CTS Corp. | 7,387 | 251,527 | ||||
ePlus, Inc. (a) | 6,236 | 331,256 | ||||
Evolv Technologies Holdings, Inc. (a) | 18,400 | 48,944 | ||||
Fabrinet (a) | 8,900 | 721,790 | ||||
FARO Technologies, Inc. (a) | 5,188 | 159,946 | ||||
Focus Universal, Inc. (a) (b) | 4,100 | 46,822 | ||||
Identiv, Inc. (a) | 4,300 | 49,794 | ||||
II-VI, Inc. (a) (b) | 26,766 | 1,363,728 | ||||
Insight Enterprises, Inc. (a) | 7,578 | 653,830 | ||||
IPG Photonics Corp. (a) | 8,400 | 790,692 | ||||
Itron, Inc. (a) | 10,799 | 533,795 | ||||
Jabil, Inc. | 33,367 | 1,708,724 | ||||
Kimball Electronics, Inc. (a) | 6,544 | 131,534 | ||||
Knowles Corp. (a) | 21,568 | 373,774 | ||||
Lightwave Logic, Inc. (a) | 25,400 | 166,116 | ||||
Littelfuse, Inc. | 5,899 | 1,498,582 | ||||
Methode Electronics, Inc. | 8,780 | 325,211 | ||||
MicroVision, Inc. (a) (b) | 38,200 | 146,688 | ||||
Mirion Technologies, Inc. (a) (b) | 33,000 | 190,080 | ||||
Napco Security Technologies, Inc. (a) | 6,556 | 134,988 |
Security Description | Shares | Value | ||||
National Instruments Corp. | 31,682 | $ 989,429 | ||||
nLight, Inc. (a) | 11,188 | 114,341 | ||||
Novanta, Inc. (a) | 8,626 | 1,046,075 | ||||
OSI Systems, Inc. (a) | 3,939 | 336,548 | ||||
Ouster, Inc. (a) (b) | 31,200 | 50,544 | ||||
PAR Technology Corp. (a) (b) | 6,400 | 239,936 | ||||
PC Connection, Inc. | 2,660 | 117,173 | ||||
Plexus Corp. (a) | 6,600 | 518,100 | ||||
Rogers Corp. (a) | 4,495 | 1,178,095 | ||||
Sanmina Corp. (a) | 14,475 | 589,567 | ||||
ScanSource, Inc. (a) | 6,009 | 187,120 | ||||
SmartRent, Inc. (a) | 29,000 | 131,080 | ||||
TD SYNNEX Corp. | 10,284 | 936,872 | ||||
TTM Technologies, Inc. (a) | 24,500 | 306,250 | ||||
Velodyne Lidar, Inc. (a) | 33,900 | 32,381 | ||||
Vishay Intertechnology, Inc. | 31,745 | 565,696 | ||||
Vishay Precision Group, Inc. (a) | 3,100 | 90,303 | ||||
Vontier Corp. | 39,000 | 896,610 | ||||
26,343,500 | ||||||
ENERGY EQUIPMENT & SERVICES — 0.7% | ||||||
Archrock, Inc. | 32,342 | 267,468 | ||||
Borr Drilling, Ltd. (a) (b) | 31,100 | 143,371 | ||||
Bristow Group, Inc. (a) | 5,133 | 120,112 | ||||
Cactus, Inc. Class A | 14,043 | 565,512 | ||||
ChampionX Corp. | 48,300 | 958,755 | ||||
Diamond Offshore Drilling, Inc. (a) | 23,500 | 138,415 | ||||
DMC Global, Inc. (a) | 5,400 | 97,362 | ||||
Dril-Quip, Inc. (a) | 9,675 | 249,615 | ||||
Expro Group Holdings NV (a) | 18,283 | 210,620 | ||||
Helix Energy Solutions Group, Inc. (a) | 39,909 | 123,718 | ||||
Helmerich & Payne, Inc. | 24,600 | 1,059,276 | ||||
Liberty Energy, Inc. Class A (a) | 34,100 | 435,116 | ||||
Nabors Industries, Ltd. (a) | 2,127 | 284,805 | ||||
National Energy Services Reunited Corp. (a) (b) | 11,300 | 76,614 | ||||
Newpark Resources, Inc. (a) | 24,100 | 74,469 | ||||
NexTier Oilfield Solutions, Inc. (a) | 41,098 | 390,842 | ||||
Noble Corp. (a) | 8,900 | 225,615 | ||||
Nov, Inc. | 93,500 | 1,581,085 | ||||
Oceaneering International, Inc. (a) | 23,781 | 253,981 | ||||
Oil States International, Inc. (a) | 20,766 | 112,552 | ||||
Patterson-UTI Energy, Inc. | 51,460 | 811,010 | ||||
ProPetro Holding Corp. (a) | 21,299 | 212,990 | ||||
RPC, Inc. (a) | 22,310 | 154,162 | ||||
Select Energy Services, Inc. Class A (a) | 17,492 | 119,296 | ||||
Solaris Oilfield Infrastructure, Inc. Class A | 6,200 | 67,456 | ||||
TETRA Technologies, Inc. (a) | 30,000 | 121,800 | ||||
Tidewater, Inc. (a) | 9,525 | 200,882 | ||||
US Silica Holdings, Inc. (a) | 16,788 | 191,719 | ||||
Valaris, Ltd. (a) | 14,600 | 616,704 |
Security Description | Shares | Value | ||||
Weatherford International PLC (a) | 16,900 | $ 357,773 | ||||
10,223,095 | ||||||
ENTERTAINMENT — 1.2% | ||||||
AMC Entertainment Holdings, Inc. Class A (a) (b) | 127,311 | 1,725,064 | ||||
Cinemark Holdings, Inc. (a) | 26,838 | 403,107 | ||||
IMAX Corp. (a) | 12,633 | 213,371 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) (b) | 2,938 | 73,891 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 8,275 | 198,600 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) | 7,001 | 405,848 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 47,786 | 3,032,977 | ||||
Lions Gate Entertainment Corp. Class A (a) | 16,224 | 151,045 | ||||
Lions Gate Entertainment Corp. Class B (a) | 26,689 | 235,664 | ||||
Madison Square Garden Entertainment Corp. (a) | 6,226 | 327,612 | ||||
Madison Square Garden Sports Corp. (a) | 4,573 | 690,523 | ||||
Marcus Corp. (a) (b) | 7,937 | 117,230 | ||||
Playstudios, Inc. (a) | 21,300 | 91,164 | ||||
Playtika Holding Corp. (a) | 25,100 | 332,324 | ||||
Redbox Entertainment, Inc. (a) | 2,000 | 14,800 | ||||
Reservoir Media, Inc. (a) | 3,100 | 20,212 | ||||
ROBLOX Corp. Class A (a) (b) | 108,500 | 3,565,310 | ||||
Roku, Inc. (a) | 29,523 | 2,425,019 | ||||
Skillz, Inc. (a) (b) | 86,100 | 106,764 | ||||
Spotify Technology SA (a) | 34,556 | 3,242,389 | ||||
World Wrestling Entertainment, Inc. Class A (b) | 10,342 | 646,272 | ||||
18,019,186 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs) — 6.8% | ||||||
Acadia Realty Trust REIT | 22,047 | 344,374 | ||||
Agree Realty Corp. REIT (b) | 17,956 | 1,295,166 | ||||
Alexander & Baldwin, Inc. REIT | 16,738 | 300,447 | ||||
Alexander's, Inc. REIT | 502 | 111,524 | ||||
American Assets Trust, Inc. REIT | 11,417 | 339,085 | ||||
American Campus Communities, Inc. REIT | 33,609 | 2,166,772 | ||||
American Homes 4 Rent Class A REIT | 74,816 | 2,651,479 | ||||
Americold Realty Trust, Inc. REIT (b) | 66,266 | 1,990,631 | ||||
Apartment Income REIT Corp. | 38,000 | 1,580,800 | ||||
Apartment Investment & Management Co. Class A REIT (a) | 34,700 | 222,080 | ||||
Apple Hospitality REIT, Inc. | 52,400 | 768,708 | ||||
Armada Hoffler Properties, Inc. REIT | 14,800 | 190,032 |
Security Description | Shares | Value | |||
Ashford Hospitality Trust, Inc. REIT (a) (b) | 7,310 | $ 43,714 | |||
Bluerock Residential Growth REIT, Inc. Class A | 6,800 | 178,772 | |||
Braemar Hotels & Resorts, Inc. REIT | 15,800 | 67,782 | |||
Brandywine Realty Trust REIT | 40,800 | 393,312 | |||
Brixmor Property Group, Inc. REIT | 71,948 | 1,454,069 | |||
Broadstone Net Lease, Inc. REIT | 40,319 | 826,943 | |||
BRT Apartments Corp. REIT | 3,600 | 77,364 | |||
CareTrust REIT, Inc. | 23,328 | 430,168 | |||
CatchMark Timber Trust, Inc. Class A REIT | 13,600 | 136,816 | |||
CBL & Associates Properties, Inc. | 6,300 | 147,987 | |||
Cedar Realty Trust, Inc. | 2,500 | 71,975 | |||
Centerspace REIT | 3,665 | 298,881 | |||
Chatham Lodging Trust REIT (a) | 11,260 | 117,667 | |||
City Office REIT, Inc. | 9,700 | 125,615 | |||
Clipper Realty, Inc. REIT | 4,893 | 37,774 | |||
Community Healthcare Trust, Inc. REIT | 5,247 | 189,994 | |||
Corporate Office Properties Trust REIT | 26,800 | 701,892 | |||
Cousins Properties, Inc. REIT | 35,529 | 1,038,513 | |||
CTO Realty Growth, Inc. REIT (b) | 1,845 | 112,766 | |||
CubeSmart REIT | 55,088 | 2,353,359 | |||
DiamondRock Hospitality Co. REIT (a) | 51,300 | 421,173 | |||
Diversified Healthcare Trust REIT | 53,377 | 97,146 | |||
Douglas Emmett, Inc. REIT | 40,737 | 911,694 | |||
Easterly Government Properties, Inc. REIT | 22,000 | 418,880 | |||
EastGroup Properties, Inc. REIT | 9,958 | 1,536,818 | |||
Empire State Realty Trust, Inc. Class A REIT | 33,124 | 232,862 | |||
EPR Properties REIT | 17,549 | 823,575 | |||
Equity Commonwealth REIT (a) | 25,981 | 715,257 | |||
Equity LifeStyle Properties, Inc. REIT | 43,772 | 3,084,613 | |||
Essential Properties Realty Trust, Inc. REIT | 31,013 | 666,469 | |||
Farmland Partners, Inc. REIT | 11,000 | 151,800 | |||
First Industrial Realty Trust, Inc. REIT | 31,815 | 1,510,576 | |||
Four Corners Property Trust, Inc. REIT | 19,109 | 508,108 | |||
Franklin Street Properties Corp. REIT | 23,483 | 97,924 | |||
Gaming and Leisure Properties, Inc. REIT | 58,264 | 2,671,987 | |||
GEO Group, Inc. REIT (a) (b) | 26,880 | 177,408 | |||
Getty Realty Corp. REIT | 9,374 | 248,411 |
Security Description | Shares | Value | |||
Gladstone Commercial Corp. REIT | 8,130 | $ 153,169 | |||
Gladstone Land Corp. REIT | 7,300 | 161,768 | |||
Global Medical REIT, Inc. | 16,500 | 185,295 | |||
Global Net Lease, Inc. REIT | 24,282 | 343,833 | |||
Healthcare Realty Trust, Inc. REIT | 35,703 | 971,122 | |||
Healthcare Trust of America, Inc. Class A REIT | 56,496 | 1,576,803 | |||
Hersha Hospitality Trust REIT (a) | 9,876 | 96,884 | |||
Highwoods Properties, Inc. REIT | 24,870 | 850,305 | |||
Hudson Pacific Properties, Inc. REIT | 33,637 | 499,173 | |||
Independence Realty Trust, Inc. REIT | 53,373 | 1,106,422 | |||
Indus Realty Trust, Inc. REIT (b) | 1,462 | 86,784 | |||
Industrial Logistics Properties Trust REIT | 15,228 | 214,410 | |||
Innovative Industrial Properties, Inc. REIT | 6,733 | 739,755 | |||
InvenTrust Properties Corp. | 16,300 | 420,377 | |||
Invitation Homes, Inc. REIT | 150,462 | 5,353,438 | |||
iStar, Inc. REIT | 15,875 | 217,646 | |||
JBG SMITH Properties REIT | 27,822 | 657,712 | |||
Kilroy Realty Corp. REIT | 28,063 | 1,468,537 | |||
Kite Realty Group Trust REIT | 51,052 | 882,689 | |||
Lamar Advertising Co. Class A REIT | 20,855 | 1,834,614 | |||
Life Storage, Inc. REIT | 20,357 | 2,273,063 | |||
LTC Properties, Inc. REIT (b) | 9,624 | 369,465 | |||
LXP Industrial Trust REIT | 68,200 | 732,468 | |||
Macerich Co. REIT | 51,358 | 447,328 | |||
Medical Properties Trust, Inc. REIT | 143,861 | 2,196,758 | |||
National Health Investors, Inc. REIT | 10,445 | 633,072 | |||
National Retail Properties, Inc. REIT | 42,363 | 1,821,609 | |||
National Storage Affiliates Trust REIT | 20,510 | 1,026,936 | |||
Necessity Retail REIT, Inc. | 32,944 | 239,832 | |||
NETSTREIT Corp. (b) | 11,600 | 218,892 | |||
NexPoint Residential Trust, Inc. REIT | 5,448 | 340,555 | |||
Office Properties Income Trust REIT | 12,027 | 239,939 | |||
Omega Healthcare Investors, Inc. REIT (b) | 57,007 | 1,607,027 | |||
One Liberty Properties, Inc. REIT | 3,938 | 102,309 | |||
Orion Office REIT, Inc. | 14,000 | 153,440 | |||
Outfront Media, Inc. REIT | 34,667 | 587,606 | |||
Paramount Group, Inc. REIT | 44,153 | 319,226 | |||
Park Hotels & Resorts, Inc. REIT | 55,434 | 752,239 | |||
Pebblebrook Hotel Trust REIT | 31,557 | 522,900 |
Security Description | Shares | Value | ||||
Phillips Edison & Co., Inc. REIT | 27,800 | $ 928,798 | ||||
Physicians Realty Trust REIT | 53,031 | 925,391 | ||||
Piedmont Office Realty Trust, Inc. Class A REIT | 29,105 | 381,858 | ||||
Plymouth Industrial REIT, Inc. | 8,500 | 149,090 | ||||
Postal Realty Trust, Inc. Class A REIT | 3,400 | 50,660 | ||||
PotlatchDeltic Corp. REIT | 16,128 | 712,696 | ||||
PS Business Parks, Inc. REIT | 4,849 | 907,490 | ||||
Rayonier, Inc. REIT | 35,227 | 1,316,785 | ||||
Retail Opportunity Investments Corp. REIT | 28,400 | 448,152 | ||||
Rexford Industrial Realty, Inc. REIT | 39,943 | 2,300,317 | ||||
RLJ Lodging Trust REIT | 40,955 | 451,734 | ||||
RPT Realty REIT | 22,300 | 219,209 | ||||
Ryman Hospitality Properties, Inc. REIT (a) | 13,027 | 990,443 | ||||
Sabra Health Care REIT, Inc. | 54,755 | 764,927 | ||||
Safehold, Inc. REIT (b) | 5,247 | 185,586 | ||||
Saul Centers, Inc. REIT | 3,300 | 155,463 | ||||
Service Properties Trust REIT | 45,374 | 237,306 | ||||
SITE Centers Corp. REIT | 46,901 | 631,757 | ||||
SL Green Realty Corp. REIT (b) | 15,133 | 698,388 | ||||
Spirit Realty Capital, Inc. REIT | 32,148 | 1,214,551 | ||||
STAG Industrial, Inc. REIT | 43,550 | 1,344,824 | ||||
STORE Capital Corp. REIT | 61,223 | 1,596,696 | ||||
Summit Hotel Properties, Inc. REIT (a) | 29,900 | 217,373 | ||||
Sun Communities, Inc. REIT | 29,521 | 4,704,467 | ||||
Sunstone Hotel Investors, Inc. REIT (a) | 53,019 | 525,949 | ||||
Tanger Factory Outlet Centers, Inc. REIT | 24,787 | 352,471 | ||||
Terreno Realty Corp. REIT | 17,924 | 998,905 | ||||
UMH Properties, Inc. REIT | 11,800 | 208,388 | ||||
Uniti Group, Inc. REIT | 57,170 | 538,541 | ||||
Universal Health Realty Income Trust REIT | 2,888 | 153,671 | ||||
Urban Edge Properties REIT | 27,400 | 416,754 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 9,840 | 159,408 | ||||
Veris Residential, Inc. REIT (a) | 23,047 | 305,142 | ||||
Washington Real Estate Investment Trust | 20,902 | 445,422 | ||||
Whitestone REIT | 13,100 | 140,825 | ||||
WP Carey, Inc. REIT | 46,667 | 3,866,828 | ||||
Xenia Hotels & Resorts, Inc. REIT (a) | 29,000 | 421,370 | ||||
97,514,197 | ||||||
FOOD & STAPLES RETAILING — 0.9% | ||||||
Albertsons Cos., Inc. Class A | 39,700 | 1,060,784 | ||||
Andersons, Inc. | 7,885 | 260,126 | ||||
BJ's Wholesale Club Holdings, Inc. (a) | 32,500 | 2,025,400 | ||||
Casey's General Stores, Inc. | 8,975 | 1,660,195 |
Security Description | Shares | Value | ||||
Chefs' Warehouse, Inc. (a) | 8,400 | $ 326,676 | ||||
Grocery Outlet Holding Corp. (a) | 21,445 | 914,200 | ||||
HF Foods Group, Inc. (a) (b) | 10,300 | 53,766 | ||||
Ingles Markets, Inc. Class A | 3,456 | 299,808 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 3,000 | 47,850 | ||||
Performance Food Group Co. (a) | 36,794 | 1,691,788 | ||||
PriceSmart, Inc. | 5,991 | 429,135 | ||||
Rite Aid Corp. (a) (b) | 11,866 | 79,977 | ||||
SpartanNash Co. | 8,809 | 265,768 | ||||
Sprouts Farmers Market, Inc. (a) | 25,775 | 652,623 | ||||
United Natural Foods, Inc. (a) | 13,899 | 547,621 | ||||
US Foods Holding Corp. (a) | 54,854 | 1,682,921 | ||||
Village Super Market, Inc. Class A | 1,469 | 33,508 | ||||
Weis Markets, Inc. | 4,015 | 299,278 | ||||
12,331,424 | ||||||
FOOD PRODUCTS — 1.3% | ||||||
Alico, Inc. | 1,600 | 57,008 | ||||
AppHarvest, Inc. (a) (b) | 15,400 | 53,746 | ||||
B&G Foods, Inc. | 16,600 | 394,748 | ||||
Benson Hill, Inc. (a) | 38,800 | 106,312 | ||||
Beyond Meat, Inc. (a) (b) | 14,562 | 348,614 | ||||
BRC, Inc. Class A (a) (b) | 5,100 | 41,616 | ||||
Bunge, Ltd. | 34,621 | 3,139,779 | ||||
Calavo Growers, Inc. | 4,381 | 182,775 | ||||
Cal-Maine Foods, Inc. | 9,162 | 452,694 | ||||
Darling Ingredients, Inc. (a) | 38,805 | 2,320,539 | ||||
Flowers Foods, Inc. | 45,831 | 1,206,272 | ||||
Fresh Del Monte Produce, Inc. | 7,047 | 208,098 | ||||
Freshpet, Inc. (a) (b) | 11,042 | 572,969 | ||||
Hain Celestial Group, Inc. (a) | 17,601 | 417,848 | ||||
Hostess Brands, Inc. (a) | 33,300 | 706,293 | ||||
Ingredion, Inc. | 16,057 | 1,415,585 | ||||
J & J Snack Foods Corp. | 3,691 | 515,485 | ||||
John B Sanfilippo & Son, Inc. | 2,070 | 150,054 | ||||
Lancaster Colony Corp. | 4,666 | 600,888 | ||||
Landec Corp. (a) | 5,300 | 52,841 | ||||
Local Bounti Corp. (a) | 6,800 | 21,624 | ||||
Mission Produce, Inc. (a) | 8,800 | 125,400 | ||||
Pilgrim's Pride Corp. (a) | 11,421 | 356,678 | ||||
Post Holdings, Inc. (a) | 13,513 | 1,112,796 | ||||
Sanderson Farms, Inc. | 5,066 | 1,091,875 | ||||
Seaboard Corp. | 63 | 244,603 | ||||
Seneca Foods Corp. Class A (a) | 1,249 | 69,369 | ||||
Simply Good Foods Co. (a) | 21,800 | 823,386 | ||||
Sovos Brands, Inc. (a) | 6,400 | 101,568 | ||||
SunOpta, Inc. (a) | 23,600 | 183,608 | ||||
Tattooed Chef, Inc. (a) (b) | 10,900 | 68,670 | ||||
Tootsie Roll Industries, Inc. (b) | 3,383 | 119,589 | ||||
TreeHouse Foods, Inc. (a) | 12,081 | 505,227 | ||||
Utz Brands, Inc. (b) | 15,900 | 219,738 | ||||
Vital Farms, Inc. (a) | 7,600 | 66,500 |
Security Description | Shares | Value | ||||
Whole Earth Brands, Inc. (a) | 11,000 | $ 68,200 | ||||
18,122,995 | ||||||
GAS UTILITIES — 0.7% | ||||||
Brookfield Infrastructure Corp. Class A (b) | 23,673 | 1,006,103 | ||||
Chesapeake Utilities Corp. | 4,121 | 533,876 | ||||
National Fuel Gas Co. | 21,170 | 1,398,279 | ||||
New Jersey Resources Corp. | 22,944 | 1,021,696 | ||||
Northwest Natural Holding Co. | 8,182 | 434,464 | ||||
ONE Gas, Inc. | 12,621 | 1,024,699 | ||||
South Jersey Industries, Inc. | 29,462 | 1,005,833 | ||||
Southwest Gas Holdings, Inc. | 15,739 | 1,370,552 | ||||
Spire, Inc. | 12,139 | 902,777 | ||||
UGI Corp. | 50,735 | 1,958,878 | ||||
10,657,157 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.5% | ||||||
Alphatec Holdings, Inc. (a) (b) | 16,300 | 106,602 | ||||
AngioDynamics, Inc. (a) | 9,297 | 179,897 | ||||
Artivion, Inc. (a) | 9,992 | 188,649 | ||||
AtriCure, Inc. (a) | 11,500 | 469,890 | ||||
Atrion Corp. | 368 | 231,420 | ||||
Avanos Medical, Inc. (a) | 11,100 | 303,474 | ||||
AxoGen, Inc. (a) | 10,300 | 84,357 | ||||
Axonics, Inc. (a) (b) | 11,263 | 638,274 | ||||
BioLife Solutions, Inc. (a) | 8,020 | 110,756 | ||||
Bioventus, Inc. Class A (a) (b) | 6,999 | 47,733 | ||||
Butterfly Network, Inc. (a) (b) | 31,900 | 97,933 | ||||
Cardiovascular Systems, Inc. (a) | 8,750 | 125,650 | ||||
Cerus Corp. (a) | 42,509 | 224,873 | ||||
CONMED Corp. | 6,800 | 651,168 | ||||
CryoPort, Inc. (a) (b) | 10,900 | 337,682 | ||||
Cue Health, Inc. (a) | 23,000 | 73,600 | ||||
Cutera, Inc. (a) | 4,000 | 150,000 | ||||
Embecta Corp. (a) | 13,600 | 344,352 | ||||
Enovis Corp. (a) | 12,175 | 669,625 | ||||
Envista Holdings Corp. (a) | 39,368 | 1,517,243 | ||||
Figs, Inc. Class A (a) | 30,800 | 280,588 | ||||
Glaukos Corp. (a) | 11,016 | 500,347 | ||||
Globus Medical, Inc. Class A (a) | 19,032 | 1,068,456 | ||||
Haemonetics Corp. (a) | 12,093 | 788,222 | ||||
Heska Corp. (a) | 2,296 | 216,995 | ||||
ICU Medical, Inc. (a) | 4,880 | 802,223 | ||||
Inari Medical, Inc. (a) | 11,539 | 784,537 | ||||
Inogen, Inc. (a) | 5,492 | 132,797 | ||||
Insulet Corp. (a) | 16,977 | 3,699,967 | ||||
Integer Holdings Corp. (a) | 7,783 | 549,947 | ||||
Integra LifeSciences Holdings Corp. (a) | 17,493 | 945,147 | ||||
iRadimed Corp. | 1,900 | 64,486 | ||||
iRhythm Technologies, Inc. (a) | 7,126 | 769,822 | ||||
Lantheus Holdings, Inc. (a) | 16,361 | 1,080,317 | ||||
LeMaitre Vascular, Inc. | 4,851 | 220,963 | ||||
LivaNova PLC (a) | 12,650 | 790,246 | ||||
Masimo Corp. (a) | 12,109 | 1,582,283 |
Security Description | Shares | Value | ||||
Meridian Bioscience, Inc. (a) | 10,471 | $ 318,528 | ||||
Merit Medical Systems, Inc. (a) | 13,500 | 732,645 | ||||
Mesa Laboratories, Inc. (b) | 1,198 | 244,320 | ||||
Nano-X Imaging, Ltd. (a) (b) | 10,500 | 118,650 | ||||
Natus Medical, Inc. (a) | 8,473 | 277,660 | ||||
Neogen Corp. (a) | 25,142 | 605,671 | ||||
Nevro Corp. (a) | 8,209 | 359,800 | ||||
Novocure, Ltd. (a) (b) | 25,455 | 1,769,122 | ||||
NuVasive, Inc. (a) | 12,480 | 613,517 | ||||
Omnicell, Inc. (a) | 10,666 | 1,213,257 | ||||
OraSure Technologies, Inc. (a) | 17,100 | 46,341 | ||||
Orthofix Medical, Inc. (a) | 4,460 | 104,988 | ||||
OrthoPediatrics Corp. (a) (b) | 3,768 | 162,589 | ||||
Outset Medical, Inc. (a) | 12,000 | 178,320 | ||||
Paragon 28, Inc. (a) (b) | 11,100 | 176,157 | ||||
Penumbra, Inc. (a) | 8,716 | 1,085,316 | ||||
PROCEPT BioRobotics Corp. (a) (b) | 6,200 | 202,678 | ||||
Pulmonx Corp. (a) (b) | 8,200 | 120,704 | ||||
QuidelOrtho Corp. (a) | 11,925 | 1,158,872 | ||||
RxSight, Inc. (a) | 5,100 | 71,808 | ||||
SeaSpine Holdings Corp. (a) | 11,200 | 63,280 | ||||
Senseonics Holdings, Inc. (a) (b) | 100,400 | 103,412 | ||||
Shockwave Medical, Inc. (a) (b) | 8,470 | 1,619,210 | ||||
SI-BONE, Inc. (a) | 9,760 | 128,832 | ||||
Sight Sciences, Inc. (a) (b) | 4,400 | 39,556 | ||||
Silk Road Medical, Inc. (a) (b) | 8,069 | 293,631 | ||||
STAAR Surgical Co. (a) | 11,469 | 813,496 | ||||
Surmodics, Inc. (a) | 2,981 | 110,983 | ||||
Tactile Systems Technology, Inc. (a) | 4,500 | 32,850 | ||||
Tandem Diabetes Care, Inc. (a) | 15,492 | 916,971 | ||||
TransMedics Group, Inc. (a) (b) | 6,700 | 210,715 | ||||
Treace Medical Concepts, Inc. (a) | 8,300 | 119,022 | ||||
UFP Technologies, Inc. (a) | 1,800 | 143,226 | ||||
Utah Medical Products, Inc. | 836 | 71,812 | ||||
Varex Imaging Corp. (a) (b) | 9,408 | 201,237 | ||||
Vicarious Surgical, Inc. (a) | 10,300 | 30,282 | ||||
ViewRay, Inc. (a) | 35,406 | 93,826 | ||||
Zimvie, Inc. (a) | 4,900 | 78,449 | ||||
Zynex, Inc. (b) | 4,470 | 35,671 | ||||
35,497,925 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.8% | ||||||
1Life Healthcare, Inc. (a) (b) | 43,400 | 340,256 | ||||
23andMe Holding Co. Class A (a) (b) | 42,600 | 105,648 | ||||
Acadia Healthcare Co., Inc. (a) | 21,582 | 1,459,591 | ||||
Accolade, Inc. (a) | 13,800 | 102,120 | ||||
AdaptHealth Corp. (a) | 17,700 | 319,308 | ||||
Addus HomeCare Corp. (a) | 3,816 | 317,796 | ||||
Agiliti, Inc. (a) | 6,500 | 133,315 | ||||
agilon health, Inc. (a) (b) | 46,100 | 1,006,363 | ||||
AirSculpt Technologies, Inc. (a) | 1,600 | 9,488 | ||||
Alignment Healthcare, Inc. (a) | 20,400 | 232,764 |
Security Description | Shares | Value | |||
Amedisys, Inc. (a) | 7,706 | $ 810,055 | |||
AMN Healthcare Services, Inc. (a) | 10,848 | 1,190,134 | |||
Apollo Medical Holdings, Inc. (a) (b) | 9,373 | 361,704 | |||
ATI Physical Therapy, Inc. (a) | 14,600 | 20,586 | |||
Aveanna Healthcare Holdings, Inc. (a) | 7,600 | 17,176 | |||
Brookdale Senior Living, Inc. (a) | 42,741 | 194,044 | |||
Cano Health, Inc. (a) | 39,100 | 171,258 | |||
CareMax, Inc. (a) | 12,300 | 44,649 | |||
Castle Biosciences, Inc. (a) | 5,700 | 125,115 | |||
Chemed Corp. | 3,565 | 1,673,375 | |||
Clover Health Investments Corp. (a) | 92,800 | 198,592 | |||
Community Health Systems, Inc. (a) | 29,567 | 110,876 | |||
CorVel Corp. (a) | 2,100 | 309,267 | |||
Covetrus, Inc. (a) | 25,280 | 524,560 | |||
Cross Country Healthcare, Inc. (a) | 9,258 | 192,844 | |||
DocGo, Inc. (a) | 19,400 | 138,516 | |||
Encompass Health Corp. | 23,703 | 1,328,553 | |||
Ensign Group, Inc. | 13,170 | 967,600 | |||
Fulgent Genetics, Inc. (a) | 5,371 | 292,881 | |||
Guardant Health, Inc. (a) | 24,051 | 970,217 | |||
Hanger, Inc. (a) | 8,750 | 125,300 | |||
HealthEquity, Inc. (a) | 19,563 | 1,200,973 | |||
Hims & Hers Health, Inc. (a) | 29,000 | 131,370 | |||
Innovage Holding Corp. (a) (b) | 3,800 | 16,644 | |||
Invitae Corp. (a) (b) | 54,900 | 133,956 | |||
Joint Corp. (a) | 3,050 | 46,695 | |||
LHC Group, Inc. (a) | 7,084 | 1,103,262 | |||
LifeStance Health Group, Inc. (a) (b) | 17,100 | 95,076 | |||
MEDNAX, Inc. (a) | 20,774 | 436,462 | |||
ModivCare, Inc. (a) | 2,954 | 249,613 | |||
National HealthCare Corp. | 3,141 | 219,556 | |||
National Research Corp. | 3,800 | 145,464 | |||
Oak Street Health, Inc. (a) (b) | 28,709 | 471,976 | |||
Oncology Institute, Inc. (a) | 4,000 | 20,240 | |||
OPKO Health, Inc. (a) (b) | 100,418 | 254,058 | |||
Option Care Health, Inc. (a) | 34,707 | 964,508 | |||
Owens & Minor, Inc. | 17,919 | 563,553 | |||
P3 Health Partners, Inc. (a) | 4,800 | 17,856 | |||
Patterson Cos., Inc. | 20,800 | 630,240 | |||
Pennant Group, Inc. (a) | 6,117 | 78,359 | |||
PetIQ, Inc. (a) (b) | 6,226 | 104,535 | |||
Premier, Inc. Class A | 28,945 | 1,032,758 | |||
Privia Health Group, Inc. (a) | 10,500 | 305,760 | |||
Progyny, Inc. (a) | 17,700 | 514,185 | |||
R1 RCM, Inc. (a) | 32,087 | 672,543 | |||
RadNet, Inc. (a) | 11,576 | 200,033 | |||
Select Medical Holdings Corp. | 26,434 | 624,371 | |||
Sema4 Holdings Corp. (a) | 32,000 | 40,320 | |||
Signify Health, Inc. Class A (a) (b) | 17,500 | 241,500 |
Security Description | Shares | Value | ||||
Surgery Partners, Inc. (a) (b) | 9,495 | $ 274,595 | ||||
Tenet Healthcare Corp. (a) | 25,722 | 1,351,948 | ||||
US Physical Therapy, Inc. | 3,222 | 351,842 | ||||
26,288,202 | ||||||
HEALTH CARE TECHNOLOGY — 1.1% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 28,012 | 415,418 | ||||
American Well Corp. Class A (a) (b) | 54,000 | 233,280 | ||||
Babylon Holdings, Ltd. Class A (a) | 20,200 | 19,752 | ||||
Certara, Inc. (a) | 28,500 | 611,610 | ||||
Change Healthcare, Inc. (a) | 61,810 | 1,425,339 | ||||
Computer Programs & Systems, Inc. (a) | 3,404 | 108,826 | ||||
Convey Health Solutions Holdings, Inc. (a) | 4,500 | 46,800 | ||||
Definitive Healthcare Corp. (a) (b) | 7,800 | 178,854 | ||||
Doximity, Inc. Class A (a) (b) | 23,600 | 821,752 | ||||
Evolent Health, Inc. Class A (a) | 19,865 | 610,054 | ||||
Health Catalyst, Inc. (a) | 15,900 | 230,391 | ||||
HealthStream, Inc. (a) | 4,999 | 108,528 | ||||
Inspire Medical Systems, Inc. (a) | 6,509 | 1,188,999 | ||||
Multiplan Corp. (a) (b) | 91,300 | 501,237 | ||||
NextGen Healthcare, Inc. (a) | 13,600 | 237,184 | ||||
Nutex Health, Inc. (a) | 8,800 | 28,380 | ||||
OptimizeRx Corp. (a) | 5,796 | 158,752 | ||||
Phreesia, Inc. (a) (b) | 11,400 | 285,114 | ||||
Schrodinger, Inc. (a) (b) | 12,908 | 340,900 | ||||
Sharecare, Inc. (a) | 10,600 | 16,748 | ||||
Simulations Plus, Inc. (b) | 3,797 | 187,306 | ||||
Teladoc Health, Inc. (a) (b) | 39,504 | 1,311,928 | ||||
Veeva Systems, Inc. Class A (a) | 34,367 | 6,806,041 | ||||
15,873,193 | ||||||
HOTELS, RESTAURANTS & LEISURE — 2.4% | ||||||
Accel Entertainment, Inc. (a) | 13,200 | 140,184 | ||||
Airbnb, Inc. Class A (a) | 92,300 | 8,222,084 | ||||
Aramark | 56,840 | 1,741,009 | ||||
Bally's Corp. (a) (b) | 9,465 | 187,218 | ||||
Biglari Holdings, Inc. Class B (a) | 230 | 28,221 | ||||
BJ's Restaurants, Inc. (a) | 5,406 | 117,202 | ||||
Bloomin' Brands, Inc. | 21,793 | 362,200 | ||||
Bluegreen Vacations Holding Corp. | 3,548 | 88,558 | ||||
Bowlero Corp. (a) (b) | 9,400 | 99,546 | ||||
Boyd Gaming Corp. | 19,398 | 965,051 | ||||
Brinker International, Inc. (a) | 10,830 | 238,585 | ||||
Century Casinos, Inc. (a) | 5,461 | 39,319 | ||||
Cheesecake Factory, Inc. | 12,255 | 323,777 | ||||
Choice Hotels International, Inc. | 8,056 | 899,291 | ||||
Churchill Downs, Inc. | 8,708 | 1,667,843 | ||||
Chuy's Holdings, Inc. (a) | 4,753 | 94,680 | ||||
Cracker Barrel Old Country Store, Inc. (b) | 5,508 | 459,863 |
Security Description | Shares | Value | |||
Dave & Buster's Entertainment, Inc. (a) | 10,316 | $ 338,158 | |||
Denny's Corp. (a) | 16,041 | 139,236 | |||
Dine Brands Global, Inc. | 3,830 | 249,256 | |||
DraftKings, Inc. Class A (a) (b) | 93,423 | 1,090,246 | |||
El Pollo Loco Holdings, Inc. (a) | 3,500 | 34,440 | |||
Everi Holdings, Inc. (a) | 21,595 | 352,214 | |||
F45 Training Holdings, Inc. (a) | 6,700 | 26,331 | |||
First Watch Restaurant Group, Inc. (a) (b) | 2,000 | 28,840 | |||
Full House Resorts, Inc. (a) | 8,500 | 51,680 | |||
Golden Entertainment, Inc. (a) | 4,825 | 190,829 | |||
Hilton Grand Vacations, Inc. (a) | 21,371 | 763,586 | |||
Hyatt Hotels Corp. Class A (a) | 12,459 | 920,845 | |||
Inspirato, Inc. (a) | 4,900 | 22,687 | |||
Inspired Entertainment, Inc. (a) | 5,200 | 44,772 | |||
International Game Technology PLC (b) | 24,435 | 453,514 | |||
Jack in the Box, Inc. | 5,197 | 291,344 | |||
Krispy Kreme, Inc. | 17,800 | 242,080 | |||
Kura Sushi USA, Inc. Class A (a) (b) | 1,200 | 59,436 | |||
Life Time Group Holdings, Inc. (a) | 10,400 | 133,952 | |||
Light & Wonder, Inc. Class A (a) | 23,364 | 1,097,874 | |||
Lindblad Expeditions Holdings, Inc. (a) (b) | 7,389 | 59,851 | |||
Marriott Vacations Worldwide Corp. | 9,940 | 1,155,028 | |||
Monarch Casino & Resort, Inc. (a) | 3,300 | 193,611 | |||
NEOGAMES SA (a) | 3,300 | 44,253 | |||
Noodles & Co. (a) | 8,100 | 38,070 | |||
ONE Group Hospitality, Inc. (a) | 4,200 | 30,954 | |||
Papa John's International, Inc. | 7,888 | 658,806 | |||
Planet Fitness, Inc. Class A (a) | 20,743 | 1,410,731 | |||
Portillo's, Inc. Class A (a) | 5,600 | 91,560 | |||
RCI Hospitality Holdings, Inc. | 2,100 | 101,556 | |||
Red Rock Resorts, Inc. Class A | 12,586 | 419,869 | |||
Rush Street Interactive, Inc. (a) (b) | 15,300 | 71,451 | |||
Ruth's Hospitality Group, Inc. | 8,100 | 131,706 | |||
SeaWorld Entertainment, Inc. (a) | 10,917 | 482,313 | |||
Shake Shack, Inc. Class A (a) | 9,430 | 372,296 | |||
Six Flags Entertainment Corp. (a) | 18,295 | 397,002 | |||
Sweetgreen, Inc. Class A (a) | 2,800 | 32,620 | |||
Target Hospitality Corp. (a) | 5,600 | 31,976 | |||
Texas Roadhouse, Inc. | 16,277 | 1,191,476 | |||
Travel + Leisure Co. | 20,100 | 780,282 | |||
Vacasa, Inc. Class A (a) | 6,600 | 19,008 | |||
Vail Resorts, Inc. | 9,890 | 2,156,515 | |||
Wendy's Co. | 41,458 | 782,727 | |||
Wingstop, Inc. | 7,265 | 543,204 | |||
Wyndham Hotels & Resorts, Inc. | 21,816 | 1,433,748 |
Security Description | Shares | Value | ||||
Xponential Fitness, Inc. Class A (a) | 4,400 | $ 55,264 | ||||
34,891,828 | ||||||
HOUSEHOLD DURABLES — 0.9% | ||||||
Aterian, Inc. (a) (b) | 13,700 | 29,592 | ||||
Beazer Homes USA, Inc. (a) | 7,796 | 94,098 | ||||
Cavco Industries, Inc. (a) | 2,176 | 426,474 | ||||
Century Communities, Inc. | 6,851 | 308,089 | ||||
Dream Finders Homes, Inc. Class A (a) | 5,000 | 53,200 | ||||
Ethan Allen Interiors, Inc. | 5,000 | 101,050 | ||||
GoPro, Inc. Class A (a) | 29,722 | 164,363 | ||||
Green Brick Partners, Inc. (a) | 7,402 | 144,857 | ||||
Helen of Troy, Ltd. (a) (b) | 5,664 | 919,890 | ||||
Hovnanian Enterprises, Inc. Class A (a) | 1,200 | 51,348 | ||||
Installed Building Products, Inc. | 5,814 | 483,492 | ||||
iRobot Corp. (a) | 6,543 | 240,455 | ||||
KB Home | 18,800 | 535,048 | ||||
Landsea Homes Corp. (a) | 4,400 | 29,304 | ||||
La-Z-Boy, Inc. | 10,433 | 247,366 | ||||
Legacy Housing Corp. (a) | 1,520 | 19,836 | ||||
Leggett & Platt, Inc. | 32,200 | 1,113,476 | ||||
LGI Homes, Inc. (a) | 5,025 | 436,673 | ||||
Lifetime Brands, Inc. | 3,800 | 41,952 | ||||
Lovesac Co. (a) (b) | 3,587 | 98,643 | ||||
M/I Homes, Inc. (a) | 6,691 | 265,365 | ||||
MDC Holdings, Inc. | 13,755 | 444,424 | ||||
Meritage Homes Corp. (a) | 8,767 | 635,608 | ||||
Purple Innovation, Inc. (a) (b) | 12,496 | 38,238 | ||||
Skyline Champion Corp. (a) | 12,937 | 613,473 | ||||
Snap One Holdings Corp. (a) (b) | 4,200 | 38,514 | ||||
Sonos, Inc. (a) (b) | 31,130 | 561,585 | ||||
Taylor Morrison Home Corp. (a) | 27,458 | 641,419 | ||||
Tempur Sealy International, Inc. | 41,468 | 886,171 | ||||
Toll Brothers, Inc. | 26,584 | 1,185,646 | ||||
TopBuild Corp. (a) | 7,874 | 1,316,218 | ||||
Traeger, Inc. (a) | 6,100 | 25,925 | ||||
Tri Pointe Homes, Inc. (a) | 24,783 | 418,089 | ||||
Tupperware Brands Corp. (a) | 11,381 | 72,156 | ||||
Universal Electronics, Inc. (a) | 2,939 | 75,150 | ||||
Vizio Holding Corp. Class A (a) | 16,400 | 111,848 | ||||
Vuzix Corp. (a) (b) | 14,900 | 105,790 | ||||
Weber, Inc. Class A (b) | 5,100 | 36,771 | ||||
13,011,596 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 2,300 | 97,566 | ||||
Central Garden & Pet Co. Class A (a) | 9,582 | 383,376 | ||||
Energizer Holdings, Inc. | 15,758 | 446,739 | ||||
Reynolds Consumer Products, Inc. (b) | 13,600 | 370,872 | ||||
Spectrum Brands Holdings, Inc. | 9,869 | 809,456 |
Security Description | Shares | Value | ||||
WD-40 Co. (b) | 3,353 | $ 675,160 | ||||
2,783,169 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.4% | ||||||
Altus Power, Inc. (a) (b) | 10,300 | 64,993 | ||||
Brookfield Renewable Corp. Class A | 31,479 | 1,120,967 | ||||
Clearway Energy, Inc. Class A | 8,526 | 272,577 | ||||
Clearway Energy, Inc. Class C | 19,600 | 682,864 | ||||
Montauk Renewables, Inc. (a) | 15,700 | 157,785 | ||||
Ormat Technologies, Inc. (b) | 10,992 | 861,223 | ||||
Sunnova Energy International, Inc. (a) (b) | 24,000 | 442,320 | ||||
Vistra Corp. | 105,107 | 2,401,695 | ||||
6,004,424 | ||||||
INDUSTRIAL CONGLOMERATES — 0.0% (d) | ||||||
Brookfield Business Corp. Class A (b) | 6,300 | 144,963 | ||||
INSURANCE — 3.1% | ||||||
Alleghany Corp. (a) | 3,182 | 2,650,924 | ||||
Ambac Financial Group, Inc. (a) | 10,694 | 121,377 | ||||
American Equity Investment Life Holding Co. | 18,872 | 690,149 | ||||
American Financial Group, Inc. | 16,319 | 2,265,240 | ||||
AMERISAFE, Inc. | 4,534 | 235,813 | ||||
Arch Capital Group, Ltd. (a) | 88,967 | 4,047,109 | ||||
Argo Group International Holdings, Ltd. | 7,760 | 286,034 | ||||
Assured Guaranty, Ltd. | 15,119 | 843,489 | ||||
Axis Capital Holdings, Ltd. | 19,199 | 1,096,071 | ||||
Bright Health Group, Inc. (a) | 46,900 | 85,358 | ||||
Brighthouse Financial, Inc. (a) | 18,073 | 741,354 | ||||
BRP Group, Inc. Class A (a) | 14,105 | 340,636 | ||||
CNA Financial Corp. | 6,391 | 286,956 | ||||
CNO Financial Group, Inc. | 27,279 | 493,477 | ||||
Crawford & Co. Class A | 3,000 | 23,400 | ||||
Donegal Group, Inc. Class A | 4,000 | 68,200 | ||||
eHealth, Inc. (a) | 5,507 | 51,380 | ||||
Employers Holdings, Inc. | 6,900 | 289,041 | ||||
Enstar Group, Ltd. (a) | 2,765 | 591,655 | ||||
Erie Indemnity Co. Class A | 6,218 | 1,195,037 | ||||
Fidelity National Financial, Inc. | 66,136 | 2,444,387 | ||||
First American Financial Corp. | 25,214 | 1,334,325 | ||||
Genworth Financial, Inc. Class A (a) | 121,382 | 428,478 | ||||
Goosehead Insurance, Inc. Class A (b) | 4,619 | 210,950 | ||||
Greenlight Capital Re, Ltd. Class A (a) | 5,000 | 38,650 | ||||
Hanover Insurance Group, Inc. | 8,635 | 1,262,869 | ||||
HCI Group, Inc. (b) | 1,773 | 120,139 | ||||
Hippo Holdings, Inc. (a) | 47,100 | 41,382 | ||||
Horace Mann Educators Corp. | 10,100 | 387,638 | ||||
Investors Title Co. | 443 | 69,502 |
Security Description | Shares | Value | ||||
James River Group Holdings, Ltd. | 9,000 | $ 223,020 | ||||
Kemper Corp. | 15,407 | 737,995 | ||||
Kinsale Capital Group, Inc. | 5,149 | 1,182,416 | ||||
Lemonade, Inc. (a) (b) | 9,200 | 167,992 | ||||
Markel Corp. (a) | 3,295 | 4,261,259 | ||||
MBIA, Inc. (a) | 11,497 | 141,988 | ||||
Mercury General Corp. | 6,137 | 271,869 | ||||
National Western Life Group, Inc. Class A | 480 | 97,296 | ||||
NI Holdings, Inc. (a) | 1,700 | 27,931 | ||||
Old Republic International Corp. | 68,562 | 1,533,046 | ||||
Oscar Health, Inc. Class A (a) | 29,100 | 123,675 | ||||
Palomar Holdings, Inc. (a) | 6,010 | 387,044 | ||||
Primerica, Inc. | 9,264 | 1,108,808 | ||||
ProAssurance Corp. | 12,405 | 293,130 | ||||
Reinsurance Group of America, Inc. | 16,146 | 1,893,764 | ||||
RenaissanceRe Holdings, Ltd. | 10,575 | 1,653,613 | ||||
RLI Corp. | 9,278 | 1,081,722 | ||||
Root, Inc. Class A (a) | 26,500 | 31,535 | ||||
Ryan Specialty Holdings, Inc. Class A (a) | 20,300 | 795,557 | ||||
Safety Insurance Group, Inc. | 3,586 | 348,201 | ||||
Selective Insurance Group, Inc. | 14,198 | 1,234,374 | ||||
Selectquote, Inc. (a) (b) | 36,303 | 90,031 | ||||
SiriusPoint, Ltd. (a) | 19,600 | 106,232 | ||||
Stewart Information Services Corp. | 6,365 | 316,659 | ||||
Tiptree, Inc. | 6,100 | 64,782 | ||||
Trean Insurance Group, Inc. (a) | 6,600 | 41,118 | ||||
Trupanion, Inc. (a) (b) | 9,300 | 560,418 | ||||
United Fire Group, Inc. | 5,263 | 180,153 | ||||
Universal Insurance Holdings, Inc. | 6,617 | 86,220 | ||||
Unum Group | 48,600 | 1,653,372 | ||||
White Mountains Insurance Group, Ltd. | 751 | 935,844 | ||||
44,372,084 | ||||||
INTERACTIVE MEDIA & SERVICES — 0.7% | ||||||
Arena Group Holdings, Inc. (a) | 2,600 | 23,400 | ||||
Bumble, Inc. Class A (a) | 20,800 | 585,520 | ||||
Cargurus, Inc. (a) | 24,600 | 528,654 | ||||
Cars.com, Inc. (a) | 16,000 | 150,880 | ||||
DHI Group, Inc. (a) | 11,000 | 54,670 | ||||
Eventbrite, Inc. Class A (a) (b) | 17,893 | 183,761 | ||||
EverQuote, Inc. Class A (a) | 4,935 | 43,625 | ||||
fuboTV, Inc. (a) (b) | 39,700 | 98,059 | ||||
IAC/InterActiveCorp. (a) | 19,137 | 1,453,838 | ||||
MediaAlpha, Inc. Class A (a) (b) | 5,200 | 51,220 | ||||
Outbrain, Inc. (a) (b) | 9,700 | 48,791 | ||||
Pinterest, Inc. Class A (a) | 141,609 | 2,571,619 | ||||
QuinStreet, Inc. (a) | 13,198 | 132,772 | ||||
TripAdvisor, Inc. (a) | 24,300 | 432,540 | ||||
TrueCar, Inc. (a) | 19,266 | 49,899 | ||||
Vimeo, Inc. (a) | 37,123 | 223,481 |
Security Description | Shares | Value | ||||
Yelp, Inc. (a) | 16,991 | $ 471,840 | ||||
Ziff Davis, Inc. (a) | 10,806 | 805,371 | ||||
ZipRecruiter, Inc. Class A (a) | 19,200 | 284,544 | ||||
ZoomInfo Technologies, Inc. (a) | 67,700 | 2,250,348 | ||||
10,444,832 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.5% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 5,900 | 56,109 | ||||
1stdibs.com, Inc. (a) | 4,200 | 23,898 | ||||
aka Brands Holding Corp. (a) | 2,200 | 6,072 | ||||
BARK, Inc. (a) | 13,700 | 17,536 | ||||
CarParts.com, Inc. (a) | 13,400 | 92,996 | ||||
ContextLogic, Inc. Class A (a) | 138,300 | 221,280 | ||||
DoorDash, Inc. Class A (a) | 61,589 | 3,952,166 | ||||
Duluth Holdings, Inc. Class B (a) | 2,296 | 21,904 | ||||
Groupon, Inc. (a) (b) | 5,511 | 62,274 | ||||
Lands' End, Inc. (a) | 3,000 | 31,860 | ||||
Liquidity Services, Inc. (a) | 6,624 | 89,027 | ||||
Lulu's Fashion Lounge Holdings, Inc. (a) | 1,800 | 19,530 | ||||
Overstock.com, Inc. (a) (b) | 10,882 | 272,159 | ||||
PetMed Express, Inc. (b) | 4,568 | 90,903 | ||||
Porch Group, Inc. (a) (b) | 16,600 | 42,496 | ||||
Poshmark, Inc. Class A (a) | 11,000 | 111,210 | ||||
Quotient Technology, Inc. (a) | 20,271 | 60,205 | ||||
Qurate Retail, Inc. Class A | 84,716 | 243,135 | ||||
RealReal, Inc. (a) (b) | 25,200 | 62,748 | ||||
Rent the Runway, Inc. Class A (a) | 12,300 | 37,761 | ||||
Revolve Group, Inc. (a) (b) | 9,900 | 256,509 | ||||
RumbleON, Inc. Class B (a) | 3,000 | 44,130 | ||||
Shutterstock, Inc. | 5,850 | 335,264 | ||||
Stitch Fix, Inc. Class A (a) | 18,546 | 91,617 | ||||
ThredUp, Inc. Class A (a) | 11,200 | 28,000 | ||||
Vivid Seats, Inc. Class A | 6,100 | 45,567 | ||||
Wayfair, Inc. Class A (a) (b) | 18,970 | 826,333 | ||||
Xometry, Inc. Class A (a) (b) | 8,200 | 278,226 | ||||
7,420,915 | ||||||
IT SERVICES — 4.3% | ||||||
Affirm Holdings, Inc. (a) | 43,200 | 780,192 | ||||
Amdocs, Ltd. | 30,235 | 2,518,878 | ||||
AvidXchange Holdings, Inc. (a) | 35,400 | 217,356 | ||||
BigCommerce Holdings, Inc. Class 1 (a) | 15,500 | 251,100 | ||||
Block, Inc. (a) | 127,637 | 7,844,570 | ||||
Bread Financial Holdings, Inc. | 12,010 | 445,091 | ||||
Brightcove, Inc. (a) | 10,571 | 66,809 | ||||
Cantaloupe, Inc. (a) | 14,100 | 78,960 | ||||
Cass Information Systems, Inc. | 3,436 | 116,137 | ||||
Cerberus Cyber Sentinel Corp. (a) | 10,500 | 37,800 | ||||
Cloudflare, Inc. Class A (a) | 68,895 | 3,014,156 | ||||
Concentrix Corp. | 10,474 | 1,420,693 | ||||
Conduent, Inc. (a) | 39,800 | 171,936 |
Security Description | Shares | Value | |||
Core Scientific, Inc. Class A (a) | 56,200 | $ 83,738 | |||
CSG Systems International, Inc. | 7,592 | 453,091 | |||
Cyxtera Technologies, Inc. (a) | 10,300 | 116,802 | |||
DigitalOcean Holdings, Inc. (a) | 18,400 | 761,024 | |||
Edgio, Inc. (a) (b) | 28,499 | 65,833 | |||
Euronet Worldwide, Inc. (a) | 11,612 | 1,168,051 | |||
EVERTEC, Inc. | 15,000 | 553,200 | |||
Evo Payments, Inc. Class A (a) | 11,800 | 277,536 | |||
ExlService Holdings, Inc. (a) | 7,837 | 1,154,625 | |||
Fastly, Inc. Class A (a) (b) | 27,443 | 318,613 | |||
Flywire Corp. (a) | 13,100 | 230,953 | |||
Genpact, Ltd. | 43,753 | 1,853,377 | |||
Globant SA (a) | 9,994 | 1,738,956 | |||
GoDaddy, Inc. Class A (a) | 39,892 | 2,774,888 | |||
Grid Dynamics Holdings, Inc. (a) | 12,100 | 203,522 | |||
Hackett Group, Inc. | 5,790 | 109,836 | |||
I3 Verticals, Inc. Class A (a) (b) | 5,000 | 125,100 | |||
IBEX Holdings, Ltd. (a) | 1,100 | 18,557 | |||
Information Services Group, Inc. | 8,400 | 56,784 | |||
International Money Express, Inc. (a) | 7,900 | 161,713 | |||
Kyndryl Holdings, Inc. (a) | 43,400 | 424,452 | |||
Marqeta, Inc. Class A (a) | 104,800 | 849,928 | |||
MAXIMUS, Inc. | 14,607 | 913,084 | |||
MoneyGram International, Inc. (a) | 21,700 | 217,000 | |||
MongoDB, Inc. (a) | 15,478 | 4,016,541 | |||
Okta, Inc. (a) | 30,575 | 2,763,980 | |||
Paya Holdings, Inc. (a) | 19,900 | 130,743 | |||
Payoneer Global, Inc. (a) | 52,200 | 204,624 | |||
Paysafe, Ltd. (a) (b) | 84,200 | 164,190 | |||
Perficient, Inc. (a) | 8,249 | 756,351 | |||
PFSweb, Inc. (a) | 3,800 | 44,688 | |||
Priority Technology Holdings, Inc. (a) | 1,965 | 6,484 | |||
Rackspace Technology, Inc. (a) (b) | 14,800 | 106,116 | |||
Remitly Global, Inc. (a) | 20,300 | 155,498 | |||
Repay Holdings Corp. (a) (b) | 21,700 | 278,845 | |||
Sabre Corp. (a) (b) | 78,335 | 456,693 | |||
Shift4 Payments, Inc. Class A (a) | 13,000 | 429,780 | |||
Snowflake, Inc. Class A (a) | 48,392 | 6,729,391 | |||
SolarWinds Corp. | 11,351 | 116,348 | |||
Squarespace, Inc. Class A (a) (b) | 7,600 | 158,992 | |||
SS&C Technologies Holdings, Inc. | 54,981 | 3,192,747 | |||
StoneCo, Ltd. Class A (a) (b) | 66,860 | 514,822 | |||
Switch, Inc. Class A | 35,636 | 1,193,806 | |||
Thoughtworks Holding, Inc. (a) (b) | 20,900 | 294,899 | |||
Toast, Inc. Class A (a) | 55,700 | 720,758 | |||
TTEC Holdings, Inc. | 4,407 | 299,191 | |||
Tucows, Inc. Class A (a) (b) | 2,276 | 101,305 | |||
Twilio, Inc. Class A (a) | 42,324 | 3,547,174 |
Security Description | Shares | Value | ||||
Unisys Corp. (a) | 16,600 | $ 199,698 | ||||
Verra Mobility Corp. (a) | 35,581 | 558,977 | ||||
Western Union Co. | 93,400 | 1,538,298 | ||||
WEX, Inc. (a) | 10,857 | 1,688,915 | ||||
Wix.com, Ltd. (a) | 13,297 | 871,618 | ||||
62,835,813 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.6% | ||||||
Acushnet Holdings Corp. | 8,172 | 340,609 | ||||
AMMO, Inc. (a) (b) | 22,700 | 87,395 | ||||
Brunswick Corp. | 18,526 | 1,211,230 | ||||
Callaway Golf Co. (a) | 33,141 | 676,077 | ||||
Clarus Corp. | 6,965 | 132,265 | ||||
Johnson Outdoors, Inc. Class A | 1,380 | 84,401 | ||||
Latham Group, Inc. (a) | 10,300 | 71,379 | ||||
Malibu Boats, Inc. Class A (a) | 5,065 | 266,976 | ||||
Marine Products Corp. | 1,680 | 15,977 | ||||
MasterCraft Boat Holdings, Inc. (a) | 4,465 | 93,988 | ||||
Mattel, Inc. (a) | 85,139 | 1,901,154 | ||||
Peloton Interactive, Inc. Class A (a) (b) | 73,503 | 674,758 | ||||
Polaris, Inc. | 13,703 | 1,360,434 | ||||
Smith & Wesson Brands, Inc. | 11,026 | 144,771 | ||||
Solo Brands, Inc. Class A (a) (b) | 3,800 | 15,428 | ||||
Sturm Ruger & Co., Inc. (b) | 4,185 | 266,375 | ||||
Vinco Ventures, Inc. (a) (b) | 42,300 | 58,374 | ||||
Vista Outdoor, Inc. (a) | 13,421 | 374,446 | ||||
YETI Holdings, Inc. (a) | 21,034 | 910,141 | ||||
8,686,178 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.4% | ||||||
10X Genomics, Inc. Class A (a) (b) | 22,445 | 1,015,636 | ||||
AbCellera Biologics, Inc. (a) | 50,100 | 533,565 | ||||
Absci Corp. (a) | 12,300 | 40,836 | ||||
Adaptive Biotechnologies Corp. (a) | 26,100 | 211,149 | ||||
Akoya Biosciences, Inc. (a) | 3,800 | 48,830 | ||||
Alpha Teknova, Inc. (a) | 2,300 | 19,320 | ||||
Avantor, Inc. (a) | 150,451 | 4,679,026 | ||||
Azenta, Inc. | 17,941 | 1,293,546 | ||||
Berkeley Lights, Inc. (a) (b) | 11,947 | 59,376 | ||||
Bionano Genomics, Inc. (a) (b) | 70,300 | 97,014 | ||||
Bruker Corp. | 26,397 | 1,656,676 | ||||
Codexis, Inc. (a) | 15,221 | 159,212 | ||||
Cytek Biosciences, Inc. (a) | 28,200 | 302,586 | ||||
Inotiv, Inc. (a) (b) | 3,900 | 37,440 | ||||
Maravai LifeSciences Holdings, Inc. Class A (a) | 27,100 | 769,911 | ||||
MaxCyte, Inc. (a) | 23,800 | 112,574 | ||||
Medpace Holdings, Inc. (a) | 6,601 | 987,972 | ||||
NanoString Technologies, Inc. (a) | 10,300 | 130,810 | ||||
Nautilus Biotechnology, Inc. (a) | 6,900 | 18,561 | ||||
NeoGenomics, Inc. (a) | 29,929 | 243,921 |
Security Description | Shares | Value | ||||
Pacific Biosciences of California, Inc. (a) (b) | 54,421 | $ 240,541 | ||||
QIAGEN NV (a) (b) | 55,881 | 2,637,583 | ||||
Quanterix Corp. (a) | 8,600 | 139,234 | ||||
Quantum-Si, Inc. (a) | 18,400 | 42,688 | ||||
Repligen Corp. (a) | 13,417 | 2,178,921 | ||||
Science 37 Holdings, Inc. (a) | 12,800 | 25,728 | ||||
Seer, Inc. (a) (b) | 12,900 | 115,455 | ||||
Singular Genomics Systems, Inc. (a) (b) | 15,100 | 57,682 | ||||
SomaLogic, Inc. (a) | 36,000 | 162,720 | ||||
Sotera Health Co. (a) | 23,800 | 466,242 | ||||
Syneos Health, Inc. (a) | 24,794 | 1,777,234 | ||||
20,261,989 | ||||||
MACHINERY — 2.7% | ||||||
AGCO Corp. | 15,021 | 1,482,573 | ||||
Alamo Group, Inc. | 2,389 | 278,151 | ||||
Albany International Corp. Class A | 7,671 | 604,398 | ||||
Allison Transmission Holdings, Inc. | 23,959 | 921,223 | ||||
Altra Industrial Motion Corp. | 15,768 | 555,822 | ||||
Astec Industries, Inc. | 5,606 | 228,613 | ||||
Barnes Group, Inc. | 11,814 | 367,888 | ||||
Berkshire Grey, Inc. (a) | 11,100 | 16,095 | ||||
Blue Bird Corp. (a) | 4,022 | 37,043 | ||||
Chart Industries, Inc. (a) (b) | 8,770 | 1,467,923 | ||||
CIRCOR International, Inc. (a) | 3,847 | 63,052 | ||||
Columbus McKinnon Corp. | 7,148 | 202,789 | ||||
Crane Holdings Co. | 11,448 | 1,002,387 | ||||
Desktop Metal, Inc. Class A (a) (b) | 65,181 | 143,398 | ||||
Donaldson Co., Inc. | 29,886 | 1,438,712 | ||||
Douglas Dynamics, Inc. | 5,573 | 160,168 | ||||
Energy Recovery, Inc. (a) | 13,500 | 262,170 | ||||
Enerpac Tool Group Corp. | 13,991 | 266,109 | ||||
EnPro Industries, Inc. | 4,945 | 405,144 | ||||
Esab Corp. | 12,275 | 537,031 | ||||
ESCO Technologies, Inc. | 6,028 | 412,134 | ||||
Evoqua Water Technologies Corp. (a) | 28,500 | 926,535 | ||||
Federal Signal Corp. | 14,600 | 519,760 | ||||
Flowserve Corp. | 31,600 | 904,708 | ||||
Franklin Electric Co., Inc. | 11,115 | 814,285 | ||||
Gates Industrial Corp. PLC (a) | 26,500 | 286,465 | ||||
Gorman-Rupp Co. | 4,900 | 138,670 | ||||
Graco, Inc. | 40,682 | 2,416,918 | ||||
Greenbrier Cos., Inc. | 7,794 | 280,506 | ||||
Helios Technologies, Inc. | 7,748 | 513,305 | ||||
Hillenbrand, Inc. | 17,568 | 719,585 | ||||
Hillman Solutions Corp. (a) | 32,600 | 281,664 | ||||
Hydrofarm Holdings Group, Inc. (a) (b) | 9,600 | 33,408 | ||||
Hyliion Holdings Corp. (a) | 42,100 | 135,562 | ||||
Hyster-Yale Materials Handling, Inc. | 2,889 | 93,084 |
Security Description | Shares | Value | ||||
Hyzon Motors, Inc. (a) (b) | 18,200 | $ 53,508 | ||||
ITT, Inc. | 20,288 | 1,364,165 | ||||
John Bean Technologies Corp. | 7,676 | 847,584 | ||||
Kadant, Inc. | 2,790 | 508,756 | ||||
Kennametal, Inc. | 19,717 | 458,026 | ||||
Lightning eMotors, Inc. (a) (b) | 6,400 | 17,728 | ||||
Lincoln Electric Holdings, Inc. | 13,605 | 1,678,313 | ||||
Lindsay Corp. | 2,775 | 368,575 | ||||
Luxfer Holdings PLC | 7,231 | 109,333 | ||||
Manitowoc Co., Inc (a) | 10,075 | 106,090 | ||||
Markforged Holding Corp. (a) | 28,300 | 52,355 | ||||
Meritor, Inc. (a) | 16,996 | 617,465 | ||||
Microvast Holdings, Inc. (a) | 37,000 | 82,140 | ||||
Middleby Corp. (a) | 13,227 | 1,658,137 | ||||
Miller Industries, Inc. | 2,465 | 55,882 | ||||
Mueller Industries, Inc. | 13,584 | 723,891 | ||||
Mueller Water Products, Inc. Class A | 36,622 | 429,576 | ||||
Nikola Corp. (a) (b) | 70,600 | 336,056 | ||||
Omega Flex, Inc. (b) | 851 | 91,585 | ||||
Oshkosh Corp. | 15,942 | 1,309,476 | ||||
Proterra, Inc. (a) | 53,400 | 247,776 | ||||
Proto Labs, Inc. (a) | 6,585 | 315,026 | ||||
RBC Bearings, Inc. (a) | 6,922 | 1,280,224 | ||||
REV Group, Inc. | 8,300 | 90,221 | ||||
Sarcos Technology & Robotics Corp. (a) | 15,100 | 40,166 | ||||
Shyft Group, Inc. | 8,929 | 165,990 | ||||
SPX Corp. (a) | 10,689 | 564,807 | ||||
Standex International Corp. | 2,719 | 230,517 | ||||
Tennant Co. | 4,224 | 250,272 | ||||
Terex Corp. | 15,892 | 434,964 | ||||
Timken Co. | 15,158 | 804,132 | ||||
Titan International, Inc. (a) | 12,800 | 193,280 | ||||
Toro Co. | 25,274 | 1,915,516 | ||||
Trinity Industries, Inc. | 20,169 | 488,493 | ||||
Velo3D, Inc. (a) | 11,500 | 15,870 | ||||
Wabash National Corp. | 11,387 | 154,635 | ||||
Watts Water Technologies, Inc. Class A | 6,522 | 801,162 | ||||
Welbilt, Inc. (a) | 31,690 | 754,539 | ||||
Xos, Inc. (a) (b) | 9,300 | 17,112 | ||||
38,550,621 | ||||||
MARINE — 0.2% | ||||||
Costamare, Inc. | 13,700 | 165,770 | ||||
Eagle Bulk Shipping, Inc. (b) | 3,223 | 167,209 | ||||
Eneti, Inc. | 6,300 | 38,682 | ||||
Genco Shipping & Trading, Ltd. | 8,600 | 166,152 | ||||
Golden Ocean Group, Ltd. | 29,500 | 343,380 | ||||
Kirby Corp. (a) | 14,464 | 879,990 | ||||
Matson, Inc. | 9,782 | 712,912 | ||||
Safe Bulkers, Inc. | 16,060 | 61,349 | ||||
2,535,444 | ||||||
MEDIA — 1.2% | ||||||
Advantage Solutions, Inc. (a) (b) | 24,000 | 91,200 |
Security Description | Shares | Value | ||||
Altice USA, Inc. Class A (a) | 51,800 | $ 479,150 | ||||
AMC Networks, Inc. Class A (a) | 7,420 | 216,070 | ||||
Audacy, Inc. Class A (a) | 31,400 | 29,585 | ||||
Boston Omaha Corp. Class A (a) | 4,265 | 88,072 | ||||
Cable One, Inc. | 1,392 | 1,794,733 | ||||
Cardlytics, Inc. (a) (b) | 8,265 | 184,392 | ||||
Clear Channel Outdoor Holdings, Inc. (a) | 82,200 | 87,954 | ||||
Cumulus Media, Inc. Class A (a) | 4,300 | 33,239 | ||||
Daily Journal Corp. (a) | 327 | 84,628 | ||||
Entravision Communications Corp. Class A | 14,400 | 65,664 | ||||
EW Scripps Co. Class A (a) | 14,540 | 181,314 | ||||
Gambling.com Group, Ltd. (a) | 2,100 | 16,527 | ||||
Gannett Co., Inc. (a) | 31,714 | 91,971 | ||||
Gray Television, Inc. | 20,177 | 340,790 | ||||
iHeartMedia, Inc. Class A (a) | 28,400 | 224,076 | ||||
Integral Ad Science Holding Corp. (a) | 9,500 | 94,335 | ||||
John Wiley & Sons, Inc. Class A | 10,040 | 479,510 | ||||
Liberty Broadband Corp. Class A (a) | 6,664 | 756,697 | ||||
Liberty Broadband Corp. Class C (a) | 30,232 | 3,496,028 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 17,504 | 630,844 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 40,643 | 1,465,180 | ||||
Loyalty Ventures, Inc. (a) | 4,424 | 15,794 | ||||
Magnite, Inc. (a) | 32,427 | 287,952 | ||||
New York Times Co. Class A | 39,802 | 1,110,476 | ||||
Nexstar Media Group, Inc. Class A | 9,598 | 1,563,322 | ||||
PubMatic, Inc. Class A (a) | 10,000 | 158,900 | ||||
Scholastic Corp. | 6,529 | 234,848 | ||||
Sinclair Broadcast Group, Inc. Class A (b) | 10,062 | 205,265 | ||||
Sirius XM Holdings, Inc. (b) | 174,038 | 1,066,853 | ||||
Stagwell, Inc. (a) | 18,600 | 100,998 | ||||
TechTarget, Inc. (a) | 6,500 | 427,180 | ||||
TEGNA, Inc. | 52,783 | 1,106,860 | ||||
Thryv Holdings, Inc. (a) | 6,000 | 134,340 | ||||
Urban One, Inc. (a) | 3,200 | 17,472 | ||||
WideOpenWest, Inc. (a) | 12,636 | 230,102 | ||||
17,592,321 | ||||||
METALS & MINING — 1.5% | ||||||
5E Advanced Materials, Inc. (a) | 8,500 | 103,530 | ||||
Alcoa Corp. | 44,605 | 2,033,096 | ||||
Allegheny Technologies, Inc. (a) | 29,637 | 673,056 | ||||
Alpha Metallurgical Resources, Inc. | 4,300 | 555,259 | ||||
Arconic Corp. (a) | 25,700 | 720,885 | ||||
Carpenter Technology Corp. | 11,655 | 325,291 | ||||
Century Aluminum Co. (a) | 12,300 | 90,651 | ||||
Cleveland-Cliffs, Inc. (a) | 125,602 | 1,930,503 |
Security Description | Shares | Value | ||||
Coeur Mining, Inc. (a) | 65,542 | $ 199,248 | ||||
Commercial Metals Co. | 28,647 | 948,216 | ||||
Compass Minerals International, Inc. | 8,214 | 290,693 | ||||
Constellium SE (a) | 30,300 | 400,263 | ||||
Dakota Gold Corp. (a) (b) | 12,000 | 40,200 | ||||
Ferroglobe PLC (a) (e) | 2,200 | — | ||||
Haynes International, Inc. | 2,900 | 95,033 | ||||
Hecla Mining Co. | 127,016 | 497,903 | ||||
Hycroft Mining Holding Corp. (a) | 33,700 | 37,407 | ||||
Kaiser Aluminum Corp. | 3,733 | 295,243 | ||||
Materion Corp. | 4,955 | 365,332 | ||||
MP Materials Corp. (a) (b) | 22,400 | 718,592 | ||||
Novagold Resources, Inc. (a) | 57,700 | 277,537 | ||||
Olympic Steel, Inc. | 2,500 | 64,375 | ||||
Piedmont Lithium, Inc. (a) | 4,200 | 152,922 | ||||
PolyMet Mining Corp. (a) | 9,600 | 26,400 | ||||
Ramaco Resources, Inc. | 4,800 | 63,120 | ||||
Reliance Steel & Aluminum Co. | 14,866 | 2,525,139 | ||||
Royal Gold, Inc. | 15,855 | 1,692,997 | ||||
Ryerson Holding Corp. | 4,100 | 87,289 | ||||
Schnitzer Steel Industries, Inc. Class A | 6,472 | 212,540 | ||||
Southern Copper Corp. | 20,969 | 1,044,466 | ||||
SSR Mining, Inc. | 52,300 | 873,410 | ||||
Steel Dynamics, Inc. | 43,330 | 2,866,280 | ||||
SunCoke Energy, Inc. | 21,100 | 143,691 | ||||
TimkenSteel Corp. (a) | 11,014 | 206,072 | ||||
United States Steel Corp. (b) | 62,476 | 1,118,945 | ||||
Warrior Met Coal, Inc. | 12,538 | 383,788 | ||||
Worthington Industries, Inc. | 7,672 | 338,335 | ||||
22,397,707 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITs) — 1.0% | ||||||
AFC Gamma, Inc. REIT | 2,800 | 42,924 | ||||
AGNC Investment Corp. REIT | 127,679 | 1,413,407 | ||||
Angel Oak Mortgage, Inc. REIT | 2,600 | 33,696 | ||||
Annaly Capital Management, Inc. REIT | 382,706 | 2,261,792 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 35,249 | 368,000 | ||||
Arbor Realty Trust, Inc. REIT | 36,600 | 479,826 | ||||
Ares Commercial Real Estate Corp. REIT | 11,800 | 144,314 | ||||
ARMOUR Residential REIT, Inc. (b) | 29,000 | 204,160 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT (b) | 40,466 | 1,119,694 | ||||
BrightSpire Capital, Inc. Class A REIT | 21,900 | 165,345 | ||||
Broadmark Realty Capital, Inc. REIT (b) | 32,109 | 215,451 | ||||
Chicago Atlantic Real Estate Finance, Inc. | 1,000 | 15,060 | ||||
Chimera Investment Corp. REIT (b) | 60,645 | 534,889 |
Security Description | Shares | Value | ||||
Claros Mortgage Trust, Inc. | 22,200 | $ 371,850 | ||||
Dynex Capital, Inc. REIT | 7,800 | 124,176 | ||||
Ellington Financial, Inc. REIT (b) | 12,905 | 189,316 | ||||
Franklin BSP Realty Trust, Inc. REIT | 20,134 | 271,406 | ||||
Granite Point Mortgage Trust, Inc. REIT | 10,834 | 103,681 | ||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 20,545 | 777,834 | ||||
Invesco Mortgage Capital, Inc. (b) | 11,801 | 173,239 | ||||
KKR Real Estate Finance Trust, Inc. REIT (b) | 11,700 | 204,165 | ||||
Ladder Capital Corp. REIT | 27,039 | 284,991 | ||||
MFA Financial, Inc. | 25,334 | 272,340 | ||||
New Residential Investment Corp. REIT | 103,211 | 961,927 | ||||
New York Mortgage Trust, Inc. REIT | 98,988 | 273,207 | ||||
Nexpoint Real Estate Finance, Inc. | 1,500 | 30,405 | ||||
Orchid Island Capital, Inc. REIT (b) | 44,600 | 127,110 | ||||
PennyMac Mortgage Investment Trust REIT (b) | 26,624 | 368,210 | ||||
Ready Capital Corp. REIT (b) | 16,358 | 194,987 | ||||
Redwood Trust, Inc. REIT | 31,300 | 241,323 | ||||
TPG RE Finance Trust, Inc. REIT | 14,352 | 129,312 | ||||
Two Harbors Investment Corp. REIT | 80,857 | 402,668 | ||||
Starwood Property Trust, Inc. REIT | 71,204 | 1,487,452 | ||||
13,988,157 | ||||||
MULTI-UTILITIES — 0.2% | ||||||
Avista Corp. | 17,500 | 761,425 | ||||
Black Hills Corp. | 15,305 | 1,113,745 | ||||
NorthWestern Corp. (b) | 12,755 | 751,652 | ||||
Unitil Corp. | 3,938 | 231,239 | ||||
2,858,061 | ||||||
MULTILINE RETAIL — 0.3% | ||||||
Big Lots, Inc. (b) | 6,549 | 137,332 | ||||
Dillard's, Inc. Class A (b) | 1,052 | 232,040 | ||||
Franchise Group, Inc. | 6,500 | 227,955 | ||||
Kohl's Corp. | 31,006 | 1,106,604 | ||||
Macy's, Inc. | 69,000 | 1,264,080 | ||||
Nordstrom, Inc. | 27,100 | 572,623 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 15,169 | 891,179 | ||||
4,431,813 | ||||||
OIL, GAS & CONSUMABLE FUELS — 3.9% | ||||||
Aemetis, Inc. (a) | 5,800 | 28,478 | ||||
Alto Ingredients, Inc. (a) | 21,100 | 78,281 | ||||
Amplify Energy Corp. (a) | 7,700 | 50,358 |
Security Description | Shares | Value | |||
Antero Midstream Corp. | 80,300 | $ 726,715 | |||
Antero Resources Corp. (a) | 72,374 | 2,218,263 | |||
Arch Resources, Inc. | 3,694 | 528,574 | |||
Archaea Energy, Inc. (a) | 14,300 | 222,079 | |||
Ardmore Shipping Corp. (a) | 8,600 | 59,942 | |||
Berry Corp. | 18,900 | 144,018 | |||
Brigham Minerals, Inc. Class A | 12,200 | 300,486 | |||
California Resources Corp. | 18,800 | 723,800 | |||
Callon Petroleum Co. (a) | 11,700 | 458,640 | |||
Centennial Resource Development, Inc. Class A (a) | 49,400 | 295,412 | |||
Centrus Energy Corp. Class A (a) | 2,200 | 54,450 | |||
Cheniere Energy, Inc. | 62,459 | 8,308,921 | |||
Chesapeake Energy Corp. (b) | 31,443 | 2,550,027 | |||
Civitas Resources, Inc. | 17,746 | 927,938 | |||
Clean Energy Fuels Corp. (a) | 40,700 | 182,336 | |||
CNX Resources Corp. (a) | 48,181 | 793,059 | |||
Comstock Resources, Inc. (a) | 21,600 | 260,928 | |||
CONSOL Energy, Inc. (a) | 8,425 | 416,027 | |||
Continental Resources, Inc. | 9,050 | 591,418 | |||
Crescent Energy Co. Class A (b) | 8,479 | 105,818 | |||
CVR Energy, Inc. | 7,300 | 244,550 | |||
Delek US Holdings, Inc. | 17,004 | 439,383 | |||
Denbury, Inc. (a) | 12,100 | 725,879 | |||
DHT Holdings, Inc. | 35,071 | 214,985 | |||
Dorian LPG, Ltd. | 8,158 | 124,002 | |||
DTE Midstream LLC | 23,300 | 1,142,166 | |||
Earthstone Energy, Inc. Class A (a) (b) | 10,485 | 143,120 | |||
Empire Petroleum Corp. (a) | 1,800 | 21,366 | |||
Energy Fuels, Inc. (a) (b) | 36,401 | 178,729 | |||
Enviva, Inc. | 7,500 | 429,150 | |||
EQT Corp. | 89,496 | 3,078,662 | |||
Equitrans Midstream Corp. | 99,140 | 630,530 | |||
Excelerate Energy, Inc. Class A (a) | 4,400 | 87,648 | |||
FLEX LNG, Ltd. (a) (b) | 6,800 | 186,252 | |||
Frontline, Ltd. (a) | 30,700 | 272,002 | |||
Gevo, Inc. (a) (b) | 51,600 | 121,260 | |||
Golar LNG, Ltd. (a) | 24,455 | 556,351 | |||
Green Plains, Inc. (a) (b) | 12,738 | 346,091 | |||
Gulfport Energy Corp. (a) | 2,900 | 230,579 | |||
HF Sinclair Corp. | 36,300 | 1,639,308 | |||
HighPeak Energy, Inc. | 1,200 | 30,744 | |||
International Seaways, Inc. | 12,018 | 254,782 | |||
Kinetik Holdings, Inc. Class A (b) | 4,000 | 136,560 | |||
Kosmos Energy, Ltd. (a) | 110,200 | 682,138 | |||
Laredo Petroleum, Inc. (a) | 4,100 | 282,654 | |||
Magnolia Oil & Gas Corp. Class A | 40,100 | 841,699 | |||
Matador Resources Co. | 26,802 | 1,248,705 | |||
Murphy Oil Corp. | 35,300 | 1,065,707 | |||
NACCO Industries, Inc. Class A | 1,000 | 37,900 | |||
New Fortress Energy, Inc. (b) | 11,800 | 466,926 |
Security Description | Shares | Value | ||||
NextDecade Corp. (a) | 7,100 | $ 31,524 | ||||
Nordic American Tankers, Ltd. | 41,140 | 87,628 | ||||
Northern Oil and Gas, Inc. | 15,800 | 399,108 | ||||
Oasis Petroleum, Inc. | 4,800 | 583,920 | ||||
Ovintiv, Inc. | 63,667 | 2,813,445 | ||||
Par Pacific Holdings, Inc. (a) | 11,189 | 174,437 | ||||
PBF Energy, Inc. Class A (a) | 23,152 | 671,871 | ||||
PDC Energy, Inc. | 22,891 | 1,410,315 | ||||
Peabody Energy Corp. (a) (b) | 28,503 | 607,969 | ||||
Range Resources Corp. (a) | 63,672 | 1,575,882 | ||||
Ranger Oil Corp. Class A (a) | 5,319 | 174,836 | ||||
REX American Resources Corp. (a) | 1,435 | 121,688 | ||||
Riley Exploration Permian, Inc. (b) | 3,000 | 72,540 | ||||
Ring Energy, Inc. (a) | 20,400 | 54,264 | ||||
SandRidge Energy, Inc. (a) | 7,600 | 119,092 | ||||
Scorpio Tankers, Inc. | 11,799 | 407,184 | ||||
SFL Corp., Ltd. | 27,600 | 261,924 | ||||
SilverBow Resources, Inc. (a) | 2,800 | 79,408 | ||||
Sitio Royalties Corp. | 2,800 | 64,904 | ||||
SM Energy Co. | 29,056 | 993,425 | ||||
Southwestern Energy Co. (a) | 274,049 | 1,712,806 | ||||
Talos Energy, Inc. (a) | 15,900 | 245,973 | ||||
Targa Resources Corp. | 54,507 | 3,252,433 | ||||
Teekay Corp. (a) | 13,200 | 38,016 | ||||
Teekay Tankers, Ltd. Class A (a) | 6,000 | 105,780 | ||||
Tellurian, Inc. (a) (b) | 123,227 | 367,216 | ||||
Texas Pacific Land Corp. | 1,381 | 2,054,956 | ||||
Uranium Energy Corp. (a) (b) | 68,100 | 209,748 | ||||
Ur-Energy, Inc. (a) (b) | 39,000 | 41,340 | ||||
VAALCO Energy, Inc. | 14,500 | 100,630 | ||||
Vertex Energy, Inc. (a) | 12,400 | 130,448 | ||||
W&T Offshore, Inc. (a) | 23,800 | 102,816 | ||||
Whiting Petroleum Corp. | 9,602 | 653,224 | ||||
World Fuel Services Corp. | 14,635 | 299,432 | ||||
55,905,978 | ||||||
PAPER & FOREST PRODUCTS — 0.1% | ||||||
Clearwater Paper Corp. (a) | 3,907 | 131,393 | ||||
Glatfelter Corp. | 11,100 | 76,368 | ||||
Louisiana-Pacific Corp. | 19,718 | 1,033,420 | ||||
Neenah, Inc. | 4,345 | 148,338 | ||||
Resolute Forest Products, Inc. (a) | 10,900 | 139,084 | ||||
Sylvamo Corp. | 8,800 | 287,584 | ||||
1,816,187 | ||||||
PERSONAL PRODUCTS — 0.4% | ||||||
Beauty Health Co. (a) (b) | 23,900 | 307,354 | ||||
BellRing Brands, Inc. (a) | 27,822 | 692,490 | ||||
Coty, Inc. Class A (a) | 84,900 | 680,049 | ||||
Edgewell Personal Care Co. | 13,179 | 454,939 | ||||
elf Beauty, Inc. (a) | 11,900 | 365,092 | ||||
Herbalife Nutrition, Ltd. (a) (b) | 24,076 | 492,354 | ||||
Honest Co., Inc. (a) | 20,200 | 58,984 | ||||
Inter Parfums, Inc. | 4,370 | 319,272 |
Security Description | Shares | Value | ||||
Medifast, Inc. | 2,726 | $ 492,070 | ||||
Nature's Sunshine Products, Inc. (a) | 2,400 | 25,608 | ||||
Nu Skin Enterprises, Inc. Class A | 11,858 | 513,451 | ||||
Olaplex Holdings, Inc. (a) (b) | 30,500 | 429,745 | ||||
Thorne HealthTech, Inc. (a) | 2,600 | 12,584 | ||||
USANA Health Sciences, Inc. (a) | 2,604 | 188,426 | ||||
Veru, Inc. (a) (b) | 16,000 | 180,800 | ||||
5,213,218 | ||||||
PHARMACEUTICALS — 1.3% | ||||||
Aclaris Therapeutics, Inc. (a) | 14,437 | 201,541 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 12,000 | 90,000 | ||||
Amneal Pharmaceuticals, Inc. (a) | 23,690 | 75,334 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 9,327 | 324,486 | ||||
Amylyx Pharmaceuticals, Inc. (a) (b) | 3,200 | 61,632 | ||||
ANI Pharmaceuticals, Inc. (a) | 3,133 | 92,956 | ||||
Arvinas, Inc. (a) | 11,796 | 496,494 | ||||
Atea Pharmaceuticals, Inc. (a) | 19,000 | 134,900 | ||||
Athira Pharma, Inc. (a) (b) | 7,900 | 24,095 | ||||
Axsome Therapeutics, Inc. (a) (b) | 7,100 | 271,930 | ||||
Cara Therapeutics, Inc. (a) | 11,300 | 103,169 | ||||
Cassava Sciences, Inc. (a) (b) | 9,000 | 253,080 | ||||
CinCor Pharma, Inc. (a) | 2,600 | 48,984 | ||||
Collegium Pharmaceutical, Inc. (a) (b) | 8,467 | 150,035 | ||||
Corcept Therapeutics, Inc. (a) | 20,484 | 487,110 | ||||
DICE Therapeutics, Inc. (a) | 7,200 | 111,744 | ||||
Edgewise Therapeutics, Inc. (a) (b) | 8,641 | 68,782 | ||||
Elanco Animal Health, Inc. (a) | 109,656 | 2,152,547 | ||||
Endo International PLC (a) (b) | 53,600 | 24,962 | ||||
Esperion Therapeutics, Inc. (a) (b) | 16,200 | 103,032 | ||||
Evolus, Inc. (a) (b) | 9,000 | 104,400 | ||||
EyePoint Pharmaceuticals, Inc. (a) (b) | 5,400 | 42,498 | ||||
Fulcrum Therapeutics, Inc. (a) (b) | 6,500 | 31,850 | ||||
Harmony Biosciences Holdings, Inc. (a) | 6,300 | 307,251 | ||||
Innoviva, Inc. (a) | 15,353 | 226,610 | ||||
Intra-Cellular Therapies, Inc. (a) | 22,125 | 1,262,895 | ||||
Jazz Pharmaceuticals PLC (a) | 14,706 | 2,294,283 | ||||
Liquidia Corp. (a) | 11,600 | 50,576 | ||||
Nektar Therapeutics (a) (b) | 41,200 | 156,560 | ||||
NGM Biopharmaceuticals, Inc. (a) | 9,460 | 121,277 | ||||
Nuvation Bio, Inc. (a) (b) | 32,000 | 103,680 | ||||
Ocular Therapeutix, Inc. (a) (b) | 18,200 | 73,164 | ||||
Pacira BioSciences, Inc. (a) | 10,837 | 631,797 |
Security Description | Shares | Value | ||||
Perrigo Co. PLC | 32,400 | $ 1,314,468 | ||||
Phathom Pharmaceuticals, Inc. (a) (b) | 4,200 | 35,448 | ||||
Phibro Animal Health Corp. Class A | 4,900 | 93,737 | ||||
Prestige Consumer Healthcare, Inc. (a) | 12,216 | 718,301 | ||||
Provention Bio, Inc. (a) (b) | 11,800 | 47,200 | ||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 6,736 | 204,707 | ||||
Relmada Therapeutics, Inc. (a) | 5,900 | 112,041 | ||||
Revance Therapeutics, Inc. (a) | 17,074 | 235,963 | ||||
Royalty Pharma PLC Class A | 90,442 | 3,802,182 | ||||
SIGA Technologies, Inc. (b) | 11,800 | 136,644 | ||||
Supernus Pharmaceuticals, Inc. (a) | 12,300 | 355,716 | ||||
Tarsus Pharmaceuticals, Inc. (a) | 4,600 | 67,160 | ||||
Theravance Biopharma, Inc. (a) | 15,804 | 143,184 | ||||
Theseus Pharmaceuticals, Inc. (a) | 2,500 | 13,825 | ||||
Tricida, Inc. (a) | 8,100 | 78,408 | ||||
Ventyx Biosciences, Inc. (a) (b) | 4,900 | 59,927 | ||||
Xeris Biopharma Holdings, Inc. (a) | 30,500 | 46,970 | ||||
18,149,535 | ||||||
PROFESSIONAL SERVICES — 2.2% | ||||||
Alight, Inc. Class A (a) | 81,800 | 552,150 | ||||
ASGN, Inc. (a) | 11,835 | 1,068,109 | ||||
Atlas Technical Consultants, Inc. (a) | 3,100 | 16,306 | ||||
Barrett Business Services, Inc. | 1,639 | 119,434 | ||||
Booz Allen Hamilton Holding Corp. | 32,452 | 2,932,363 | ||||
CACI International, Inc. Class A (a) | 5,571 | 1,569,796 | ||||
CBIZ, Inc. (a) | 11,500 | 459,540 | ||||
Clarivate PLC (a) | 118,000 | 1,635,480 | ||||
CoStar Group, Inc. (a) | 96,889 | 5,853,065 | ||||
CRA International, Inc. | 1,745 | 155,864 | ||||
Dun & Bradstreet Holdings, Inc. (a) | 61,962 | 931,289 | ||||
Exponent, Inc. | 12,509 | 1,144,198 | ||||
First Advantage Corp. (a) | 14,000 | 177,380 | ||||
Forrester Research, Inc. (a) | 2,600 | 124,384 | ||||
Franklin Covey Co. (a) | 3,283 | 151,609 | ||||
FTI Consulting, Inc. (a) | 8,208 | 1,484,417 | ||||
Heidrick & Struggles International, Inc. | 4,700 | 152,092 | ||||
HireRight Holdings Corp. (a) | 5,200 | 73,892 | ||||
Huron Consulting Group, Inc. (a) | 5,131 | 333,464 | ||||
ICF International, Inc. | 4,512 | 428,640 | ||||
Insperity, Inc. | 8,610 | 859,536 | ||||
KBR, Inc. | 33,626 | 1,627,162 | ||||
Kelly Services, Inc. Class A | 8,095 | 160,524 | ||||
Kforce, Inc. | 4,854 | 297,744 |
Security Description | Shares | Value | ||||
Korn Ferry | 12,957 | $ 751,765 | ||||
Legalzoom.com, Inc. (a) (b) | 23,800 | 261,562 | ||||
ManpowerGroup, Inc. | 12,735 | 973,081 | ||||
ManTech International Corp. Class A | 7,258 | 692,776 | ||||
Planet Labs PBC (a) | 37,800 | 163,674 | ||||
Red Violet, Inc. (a) | 2,300 | 43,792 | ||||
Resources Connection, Inc. | 7,600 | 154,812 | ||||
Science Applications International Corp. | 13,482 | 1,255,174 | ||||
Skillsoft Corp. (a) | 19,200 | 67,584 | ||||
Spire Global, Inc. (a) | 24,100 | 27,956 | ||||
Sterling Check Corp. (a) (b) | 5,700 | 92,967 | ||||
TransUnion | 47,462 | 3,796,486 | ||||
TriNet Group, Inc. (a) | 9,100 | 706,342 | ||||
TrueBlue, Inc. (a) | 8,807 | 157,645 | ||||
Upwork, Inc. (a) | 28,824 | 596,080 | ||||
Willdan Group, Inc. (a) | 2,771 | 76,424 | ||||
32,126,558 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.7% | ||||||
Anywhere Real Estate, Inc. (a) | 27,295 | 268,310 | ||||
Compass, Inc. Class A (a) | 62,800 | 226,708 | ||||
Cushman & Wakefield PLC (a) | 38,306 | 583,783 | ||||
DigitalBridge Group, Inc. REIT (a) | 142,918 | 697,440 | ||||
Doma Holdings, Inc. (a) | 25,000 | 25,750 | ||||
Douglas Elliman, Inc. | 16,298 | 78,067 | ||||
eXp World Holdings, Inc. (b) | 16,500 | 194,205 | ||||
Forestar Group, Inc. (a) | 4,506 | 61,687 | ||||
FRP Holdings, Inc. (a) | 1,889 | 114,001 | ||||
Howard Hughes Corp. (a) | 9,838 | 669,476 | ||||
Jones Lang LaSalle, Inc. (a) | 12,007 | 2,099,544 | ||||
Kennedy-Wilson Holdings, Inc. | 28,057 | 531,400 | ||||
Marcus & Millichap, Inc. | 5,746 | 212,545 | ||||
Newmark Group, Inc. Class A | 36,612 | 354,038 | ||||
Offerpad Solutions, Inc. (a) | 13,800 | 30,084 | ||||
Opendoor Technologies, Inc. (a) (b) | 112,800 | 531,288 | ||||
RE/MAX Holdings, Inc. Class A | 3,700 | 90,724 | ||||
Redfin Corp. (a) (b) | 26,000 | 214,240 | ||||
RMR Group, Inc. Class A | 4,407 | 124,938 | ||||
Seritage Growth Properties Class A REIT (a) (b) | 10,838 | 56,466 | ||||
St. Joe Co. | 8,200 | 324,392 | ||||
Stratus Properties, Inc. (a) | 1,400 | 45,115 | ||||
Tejon Ranch Co. (a) | 5,400 | 83,808 | ||||
WeWork, Inc. Class A (a) (b) | 33,000 | 165,660 | ||||
Zillow Group, Inc. Class A (a) | 13,712 | 436,179 | ||||
Zillow Group, Inc. Class C (a) (b) | 41,114 | 1,305,370 | ||||
9,525,218 | ||||||
ROAD & RAIL — 1.5% | ||||||
AMERCO | 2,244 | 1,073,148 | ||||
ArcBest Corp. | 6,167 | 433,972 | ||||
Avis Budget Group, Inc. (a) | 7,172 | 1,054,858 |
Security Description | Shares | Value | ||||
Bird Global, Inc. Class A (a) | 37,700 | $ 16,437 | ||||
Covenant Logistics Group, Inc. | 3,445 | 86,435 | ||||
Daseke, Inc. (a) | 8,864 | 56,641 | ||||
Heartland Express, Inc. | 11,755 | 163,512 | ||||
Hertz Global Holdings, Inc. (a) | 57,400 | 909,216 | ||||
Knight-Swift Transportation Holdings, Inc. | 38,416 | 1,778,277 | ||||
Landstar System, Inc. | 8,958 | 1,302,672 | ||||
Lyft, Inc. Class A (a) | 75,610 | 1,004,101 | ||||
Marten Transport, Ltd. | 13,848 | 232,923 | ||||
PAM Transportation Services, Inc. (a) | 1,500 | 41,085 | ||||
Ryder System, Inc. | 11,939 | 848,385 | ||||
Saia, Inc. (a) | 6,355 | 1,194,740 | ||||
Schneider National, Inc. Class B | 13,100 | 293,178 | ||||
TuSimple Holdings, Inc. Class A (a) (b) | 34,000 | 245,820 | ||||
Uber Technologies, Inc. (a) | 466,272 | 9,539,925 | ||||
Universal Logistics Holdings, Inc. | 1,529 | 41,757 | ||||
Werner Enterprises, Inc. | 15,400 | 593,516 | ||||
XPO Logistics, Inc. (a) | 24,790 | 1,193,887 | ||||
22,104,485 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.6% | ||||||
ACM Research, Inc. Class A (a) | 11,500 | 193,545 | ||||
Allegro MicroSystems, Inc. (a) | 11,700 | 242,073 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 5,287 | 176,269 | ||||
Ambarella, Inc. (a) | 8,629 | 564,854 | ||||
Amkor Technology, Inc. | 24,535 | 415,868 | ||||
Atomera, Inc. (a) (b) | 5,200 | 48,776 | ||||
Axcelis Technologies, Inc. (a) | 8,185 | 448,865 | ||||
AXT, Inc. (a) | 7,453 | 43,675 | ||||
CEVA, Inc. (a) | 5,871 | 197,031 | ||||
Cirrus Logic, Inc. (a) | 13,840 | 1,003,954 | ||||
CMC Materials, Inc. | 6,801 | 1,186,706 | ||||
Cohu, Inc. (a) | 11,891 | 329,975 | ||||
Credo Technology Group Holding, Ltd. (a) | 5,000 | 58,400 | ||||
CyberOptics Corp. (a) | 1,700 | 59,398 | ||||
Diodes, Inc. (a) | 10,692 | 690,382 | ||||
Entegris, Inc. | 33,451 | 3,081,841 | ||||
First Solar, Inc. (a) | 25,757 | 1,754,824 | ||||
FormFactor, Inc. (a) | 18,946 | 733,779 | ||||
GLOBALFOUNDRIES, Inc. (a) | 15,400 | 621,236 | ||||
Ichor Holdings, Ltd. (a) | 6,999 | 181,834 | ||||
Impinj, Inc. (a) (b) | 5,052 | 296,401 | ||||
indie Semiconductor, Inc. Class A (a) | 23,900 | 136,230 | ||||
Kulicke & Soffa Industries, Inc. (b) | 14,100 | 603,621 | ||||
Lattice Semiconductor Corp. (a) | 32,925 | 1,596,863 | ||||
MACOM Technology Solutions Holdings, Inc. (a) | 11,952 | 550,987 | ||||
Marvell Technology, Inc. | 209,291 | 9,110,437 |
Security Description | Shares | Value | ||||
MaxLinear, Inc. (a) | 17,096 | $ 580,922 | ||||
MKS Instruments, Inc. | 13,475 | 1,382,939 | ||||
NeoPhotonics Corp. (a) | 12,600 | 198,198 | ||||
Onto Innovation, Inc. (a) | 11,857 | 826,907 | ||||
PDF Solutions, Inc. (a) | 7,529 | 161,949 | ||||
Photronics, Inc. (a) | 14,893 | 290,116 | ||||
Power Integrations, Inc. | 13,822 | 1,036,788 | ||||
Rambus, Inc. (a) | 26,501 | 569,506 | ||||
Rigetti Computing, Inc. Class A (a) (b) | 5,000 | 18,350 | ||||
Rockley Photonics Holdings, Ltd. (a) (b) | 21,300 | 46,434 | ||||
Semtech Corp. (a) | 14,800 | 813,556 | ||||
Silicon Laboratories, Inc. (a) | 8,667 | 1,215,287 | ||||
SiTime Corp. (a) | 3,835 | 625,220 | ||||
SkyWater Technology, Inc. (a) (b) | 1,600 | 9,632 | ||||
SMART Global Holdings, Inc. (a) (b) | 12,280 | 201,024 | ||||
SunPower Corp. (a) (b) | 19,255 | 304,422 | ||||
Synaptics, Inc. (a) | 9,490 | 1,120,295 | ||||
Transphorm, Inc. (a) (b) | 3,600 | 13,716 | ||||
Ultra Clean Holdings, Inc. (a) | 10,898 | 324,433 | ||||
Universal Display Corp. | 10,586 | 1,070,668 | ||||
Veeco Instruments, Inc. (a) | 12,108 | 234,895 | ||||
Wolfspeed, Inc. (a) | 27,901 | 1,770,318 | ||||
37,143,399 | ||||||
SOFTWARE — 10.3% | ||||||
8x8, Inc. (a) | 32,900 | 169,435 | ||||
A10 Networks, Inc. | 16,200 | 232,956 | ||||
ACI Worldwide, Inc. (a) | 27,286 | 706,435 | ||||
Agilysys, Inc. (a) | 4,857 | 229,590 | ||||
Alarm.com Holdings, Inc. (a) | 11,500 | 711,390 | ||||
Alkami Technology, Inc. (a) (b) | 8,600 | 119,454 | ||||
Altair Engineering, Inc. Class A (a) | 12,453 | 653,783 | ||||
Alteryx, Inc. Class A (a) (b) | 14,722 | 712,839 | ||||
American Software, Inc. Class A | 7,100 | 114,736 | ||||
Amplitude, Inc. Class A (a) | 13,500 | 192,915 | ||||
Appfolio, Inc. Class A (a) | 4,564 | 413,681 | ||||
Appian Corp. (a) (b) | 9,682 | 458,540 | ||||
AppLovin Corp. Class A (a) | 55,400 | 1,907,976 | ||||
Arteris, Inc. (a) | 3,700 | 25,789 | ||||
Asana, Inc. Class A (a) (b) | 18,200 | 319,956 | ||||
Aspen Technology, Inc. (a) | 6,762 | 1,242,044 | ||||
Atlassian Corp. PLC Class A (a) | 33,712 | 6,317,629 | ||||
Avalara, Inc. (a) | 21,340 | 1,506,604 | ||||
Avaya Holdings Corp. (a) (b) | 18,888 | 42,309 | ||||
AvePoint, Inc. (a) | 31,000 | 134,540 | ||||
Benefitfocus, Inc. (a) (b) | 4,941 | 38,441 | ||||
Bentley Systems, Inc. Class B (b) | 41,500 | 1,381,950 | ||||
Bill.Com Holdings, Inc. (a) (b) | 24,008 | 2,639,440 | ||||
Black Knight, Inc. (a) | 38,119 | 2,492,601 | ||||
Blackbaud, Inc. (a) | 11,133 | 646,493 | ||||
Blackline, Inc. (a) | 13,262 | 883,249 |
Security Description | Shares | Value | |||
Blend Labs, Inc. Class A (a) | 46,900 | $ 110,684 | |||
Box, Inc. Class A (a) | 31,327 | 787,561 | |||
BTRS Holdings, Inc. Class A (a) | 22,300 | 111,054 | |||
C3.ai, Inc. Class A (a) (b) | 16,500 | 301,290 | |||
CCC Intelligent Solutions Holdings, Inc. (a) | 41,600 | 382,720 | |||
CDK Global, Inc. | 28,328 | 1,551,525 | |||
Cerence, Inc. (a) | 9,679 | 244,201 | |||
ChannelAdvisor Corp. (a) | 7,800 | 113,724 | |||
Cipher Mining, Inc. (a) | 12,900 | 17,673 | |||
Cleanspark, Inc. (a) (b) | 9,200 | 36,064 | |||
Clear Secure, Inc. Class A (a) | 14,700 | 294,000 | |||
CommVault Systems, Inc. (a) | 10,420 | 655,418 | |||
Confluent, Inc. Class A (a) | 30,700 | 713,468 | |||
Consensus Cloud Solutions, Inc. (a) | 4,068 | 177,690 | |||
Couchbase, Inc. (a) | 6,400 | 105,088 | |||
Coupa Software, Inc. (a) | 18,568 | 1,060,233 | |||
Crowdstrike Holdings, Inc. Class A (a) | 51,806 | 8,732,419 | |||
CS Disco, Inc. (a) (b) | 5,600 | 101,024 | |||
Cvent Holding Corp. (a) (b) | 21,500 | 99,330 | |||
Datadog, Inc. Class A (a) | 63,762 | 6,072,693 | |||
Digimarc Corp. (a) (b) | 3,140 | 44,400 | |||
Digital Turbine, Inc. (a) | 22,386 | 391,083 | |||
DocuSign, Inc. (a) | 48,649 | 2,791,480 | |||
Dolby Laboratories, Inc. Class A | 15,724 | 1,125,209 | |||
Domo, Inc. Class B (a) | 7,344 | 204,163 | |||
DoubleVerify Holdings, Inc. (a) | 15,500 | 351,385 | |||
Dropbox, Inc. Class A (a) | 69,042 | 1,449,192 | |||
Duck Creek Technologies, Inc. (a) | 18,400 | 273,240 | |||
Dynatrace, Inc. (a) | 49,000 | 1,932,560 | |||
E2open Parent Holdings, Inc. (a) (b) | 47,400 | 368,772 | |||
Ebix, Inc. | 6,098 | 103,056 | |||
eGain Corp. (a) | 4,094 | 39,917 | |||
Elastic NV (a) | 18,820 | 1,273,549 | |||
Enfusion, Inc. Class A (a) | 8,200 | 83,722 | |||
EngageSmart, Inc. (a) | 8,700 | 139,896 | |||
Envestnet, Inc. (a) | 12,999 | 685,957 | |||
Everbridge, Inc. (a) | 9,614 | 268,134 | |||
EverCommerce, Inc. (a) | 7,900 | 71,416 | |||
Fair Isaac Corp. (a) | 6,095 | 2,443,486 | |||
Five9, Inc. (a) | 16,996 | 1,549,015 | |||
ForgeRock, Inc. Class A (a) | 6,900 | 147,798 | |||
GTY Technology Holdings, Inc. (a) | 9,800 | 61,348 | |||
Guidewire Software, Inc. (a) | 20,574 | 1,460,548 | |||
HubSpot, Inc. (a) | 11,204 | 3,368,483 | |||
Informatica, Inc. Class A (a) | 9,100 | 189,007 | |||
Instructure Holdings, Inc. (a) | 4,100 | 93,070 | |||
Intapp, Inc. (a) | 3,000 | 43,920 | |||
InterDigital, Inc. | 7,373 | 448,278 | |||
IronNet, Inc. (a) (b) | 14,100 | 31,161 | |||
Jamf Holding Corp. (a) (b) | 16,000 | 396,320 | |||
Kaleyra, Inc. (a) | 9,600 | 19,584 |
Security Description | Shares | Value | |||
KnowBe4, Inc. Class A (a) | 17,000 | $ 265,540 | |||
Latch, Inc. (a) | 15,900 | 18,126 | |||
LivePerson, Inc. (a) | 17,100 | 241,794 | |||
LiveRamp Holdings, Inc. (a) | 16,101 | 415,567 | |||
Mandiant, Inc. (a) | 56,647 | 1,236,038 | |||
Manhattan Associates, Inc. (a) | 15,228 | 1,745,129 | |||
Marathon Digital Holdings, Inc. (a) (b) | 24,800 | 132,432 | |||
Matterport, Inc. (a) | 53,600 | 196,176 | |||
MeridianLink, Inc. (a) | 5,200 | 86,840 | |||
MicroStrategy, Inc. Class A (a) (b) | 2,235 | 367,211 | |||
Mitek Systems, Inc. (a) | 9,661 | 89,268 | |||
Model N, Inc. (a) (b) | 8,356 | 213,746 | |||
Momentive Global, Inc. (a) | 32,626 | 287,109 | |||
N-Able, Inc. (a) | 16,452 | 148,068 | |||
nCino, Inc. (a) (b) | 14,200 | 439,064 | |||
NCR Corp. (a) | 30,667 | 954,050 | |||
New Relic, Inc. (a) | 12,531 | 627,177 | |||
Nutanix, Inc. Class A (a) | 51,447 | 752,670 | |||
Olo, Inc. Class A (a) | 21,700 | 214,179 | |||
ON24, Inc. (a) | 9,900 | 93,951 | |||
OneSpan, Inc. (a) | 9,897 | 117,774 | |||
Pagerduty, Inc. (a) (b) | 20,498 | 507,940 | |||
Palantir Technologies, Inc. Class A (a) | 445,800 | 4,043,406 | |||
Palo Alto Networks, Inc. (a) | 23,868 | 11,789,360 | |||
Paycor HCM, Inc. (a) (b) | 11,400 | 296,400 | |||
Paylocity Holding Corp. (a) | 9,597 | 1,673,909 | |||
Pegasystems, Inc. | 10,336 | 494,474 | |||
Ping Identity Holding Corp. (a) | 18,600 | 337,404 | |||
Procore Technologies, Inc. (a) | 17,200 | 780,708 | |||
Progress Software Corp. | 10,438 | 472,841 | |||
PROS Holdings, Inc. (a) | 9,900 | 259,677 | |||
Q2 Holdings, Inc. (a) | 13,638 | 526,018 | |||
Qualys, Inc. (a) | 9,295 | 1,172,471 | |||
Rapid7, Inc. (a) | 14,025 | 936,870 | |||
Rimini Street, Inc. (a) | 11,500 | 69,115 | |||
RingCentral, Inc. Class A (a) | 20,778 | 1,085,858 | |||
Riot Blockchain, Inc. (a) (b) | 29,214 | 122,407 | |||
SailPoint Technologies Holding, Inc. (a) | 22,203 | 1,391,684 | |||
Sapiens International Corp. NV | 8,500 | 205,615 | |||
SecureWorks Corp. Class A (a) | 1,895 | 20,580 | |||
SentinelOne, Inc. Class A (a) | 42,200 | 984,526 | |||
ShotSpotter, Inc. (a) | 1,800 | 48,438 | |||
Smartsheet, Inc. Class A (a) | 30,855 | 969,773 | |||
Spartacus Acquisition Corp. (a) | 9,200 | 20,884 | |||
Splunk, Inc. (a) | 39,703 | 3,512,127 | |||
Sprout Social, Inc. Class A (a) | 11,147 | 647,306 | |||
SPS Commerce, Inc. (a) | 8,797 | 994,501 | |||
Sumo Logic, Inc. (a) | 20,615 | 154,406 | |||
Telos Corp. (a) | 13,500 | 109,080 | |||
Tenable Holdings, Inc. (a) | 26,600 | 1,207,906 | |||
Teradata Corp. (a) | 25,175 | 931,727 | |||
Trade Desk, Inc. Class A (a) | 108,176 | 4,531,493 |
Security Description | Shares | Value | ||||
UiPath, Inc. Class A (a) | 92,000 | $ 1,673,480 | ||||
Unity Software, Inc. (a) (b) | 51,300 | 1,888,866 | ||||
Upland Software, Inc. (a) | 6,900 | 100,188 | ||||
UserTesting, Inc. (a) (b) | 10,100 | 50,702 | ||||
Varonis Systems, Inc. (a) | 26,079 | 764,636 | ||||
Verint Systems, Inc. (a) | 15,429 | 653,418 | ||||
Veritone, Inc. (a) (b) | 7,500 | 48,975 | ||||
Viant Technology, Inc. Class A (a) | 2,200 | 11,176 | ||||
VMware, Inc. Class A | 51,493 | 5,869,172 | ||||
Vonage Holdings Corp. (a) | 62,100 | 1,169,964 | ||||
Weave Communications, Inc. (a) | 1,400 | 4,256 | ||||
WM Technology, Inc. (a) (b) | 14,200 | 46,718 | ||||
Workday, Inc. Class A (a) | 47,994 | 6,699,003 | ||||
Workiva, Inc. (a) | 11,500 | 758,885 | ||||
Xperi Holding Corp. | 25,236 | 364,155 | ||||
Yext, Inc. (a) (b) | 26,807 | 128,137 | ||||
Zendesk, Inc. (a) | 29,935 | 2,217,285 | ||||
Zeta Global Holdings Corp. Class A (a) | 10,100 | 45,652 | ||||
Zoom Video Communications, Inc. Class A (a) | 62,225 | 6,718,433 | ||||
Zscaler, Inc. (a) | 20,529 | 3,069,291 | ||||
Zuora, Inc. Class A (a) (b) | 26,500 | 237,175 | ||||
149,272,163 | ||||||
SPECIALTY RETAIL — 2.0% | ||||||
Aaron's Co., Inc. | 7,448 | 108,368 | ||||
Abercrombie & Fitch Co. Class A (a) | 11,742 | 198,675 | ||||
Academy Sports & Outdoors, Inc. | 20,200 | 717,908 | ||||
American Eagle Outfitters, Inc. (b) | 37,328 | 417,327 | ||||
America's Car-Mart, Inc. (a) | 1,551 | 156,031 | ||||
Arko Corp. | 20,000 | 163,200 | ||||
Asbury Automotive Group, Inc. (a) | 5,402 | 914,775 | ||||
AutoNation, Inc. (a) | 9,669 | 1,080,607 | ||||
Bed Bath & Beyond, Inc. (a) (b) | 19,546 | 97,144 | ||||
Big 5 Sporting Goods Corp. (b) | 4,900 | 54,929 | ||||
Boot Barn Holdings, Inc. (a) | 7,100 | 489,261 | ||||
Buckle, Inc. | 7,087 | 196,239 | ||||
Build-A-Bear Workshop, Inc. | 3,400 | 55,828 | ||||
Burlington Stores, Inc. (a) | 16,214 | 2,208,833 | ||||
Caleres, Inc. | 9,090 | 238,522 | ||||
Camping World Holdings, Inc. Class A (b) | �� | 9,727 | 210,006 | |||
Carvana Co. (a) (b) | 25,695 | 580,193 | ||||
Cato Corp. Class A | 5,200 | 60,372 | ||||
Chico's FAS, Inc. (a) | 30,753 | 152,842 | ||||
Children's Place, Inc. (a) | 3,442 | 133,963 | ||||
Citi Trends, Inc. (a) (b) | 1,700 | 40,205 | ||||
Conn's, Inc. (a) (b) | 3,722 | 29,850 | ||||
Container Store Group, Inc. (a) | 9,373 | 58,394 |
Security Description | Shares | Value | |||
Designer Brands, Inc. Class A (b) | 13,756 | $ 179,653 | |||
Destination XL Group, Inc. (a) (b) | 13,800 | 46,782 | |||
Dick's Sporting Goods, Inc. (b) | 13,382 | 1,008,601 | |||
EVgo, Inc. (a) (b) | 17,600 | 105,776 | |||
Express, Inc. (a) | 18,900 | 37,044 | |||
Five Below, Inc. (a) | 13,224 | 1,499,998 | |||
Floor & Decor Holdings, Inc. Class A (a) | 25,356 | 1,596,414 | |||
Foot Locker, Inc. | 19,731 | 498,208 | |||
GameStop Corp. Class A (a) (b) | 16,306 | 1,994,224 | |||
Gap, Inc. | 48,700 | 401,288 | |||
Genesco, Inc. (a) | 3,105 | 154,971 | |||
Group 1 Automotive, Inc. | 3,908 | 663,578 | |||
GrowGeneration Corp. (a) (b) | 13,400 | 48,106 | |||
Guess?, Inc. | 8,400 | 143,220 | |||
Haverty Furniture Cos., Inc. (b) | 3,305 | 76,610 | |||
Hibbett, Inc. | 3,134 | 136,987 | |||
JOANN, Inc. (b) | 2,500 | 19,375 | |||
Leslie's, Inc. (a) (b) | 38,771 | 588,544 | |||
Lithia Motors, Inc. | 6,929 | 1,904,158 | |||
LL Flooring Holdings, Inc. (a) | 5,859 | 54,899 | |||
MarineMax, Inc. (a) | 5,276 | 190,569 | |||
Monro, Inc. | 7,998 | 342,954 | |||
Murphy USA, Inc. | 5,270 | 1,227,225 | |||
National Vision Holdings, Inc. (a) | 19,725 | 542,438 | |||
ODP Corp. (a) | 10,718 | 324,112 | |||
OneWater Marine, Inc. Class A (a) | 2,500 | 82,625 | |||
Party City Holdco, Inc. (a) | 26,700 | 35,244 | |||
Penske Automotive Group, Inc. | 6,789 | 710,740 | |||
Petco Health & Wellness Co., Inc. (a) (b) | 19,700 | 290,378 | |||
Rent-A-Center, Inc. | 12,754 | 248,065 | |||
RH (a) | 4,160 | 883,002 | |||
Sally Beauty Holdings, Inc. (a) | 26,148 | 311,684 | |||
Shoe Carnival, Inc. | 4,100 | 88,601 | |||
Signet Jewelers, Ltd. | 11,400 | 609,444 | |||
Sleep Number Corp. (a) (b) | 5,117 | 158,371 | |||
Sonic Automotive, Inc. Class A | 4,736 | 173,480 | |||
Sportsman's Warehouse Holdings, Inc. (a) | 10,270 | 98,489 | |||
Tile Shop Holdings, Inc. | 7,600 | 23,332 | |||
Tilly's, Inc. Class A | 7,037 | 49,400 | |||
Torrid Holdings, Inc. (a) (b) | 3,500 | 15,120 | |||
TravelCenters of America, Inc. (a) | 2,900 | 99,963 | |||
Urban Outfitters, Inc. (a) | 15,450 | 288,297 | |||
Victoria's Secret & Co. (a) | 20,100 | 562,197 | |||
Volta, Inc. (a) (b) | 26,100 | 33,930 | |||
Warby Parker, Inc. Class A (a) | 20,100 | 226,326 | |||
Williams-Sonoma, Inc. (b) | 16,880 | 1,872,836 | |||
Winmark Corp. | 645 | 126,143 |
Security Description | Shares | Value | ||||
Zumiez, Inc. (a) | 4,000 | $ 104,000 | ||||
29,240,873 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.5% | ||||||
3D Systems Corp. (a) (b) | 31,365 | 304,241 | ||||
Avid Technology, Inc. (a) | 8,897 | 230,877 | ||||
Corsair Gaming, Inc. (a) (b) | 9,100 | 119,483 | ||||
Dell Technologies, Inc. Class C | 65,970 | 3,048,474 | ||||
Diebold Nixdorf, Inc. (a) (b) | 15,936 | 36,175 | ||||
Eastman Kodak Co. (a) (b) | 12,300 | 57,072 | ||||
IonQ, Inc. (a) | 30,600 | 134,028 | ||||
Pure Storage, Inc. Class A (a) | 69,375 | 1,783,631 | ||||
Super Micro Computer, Inc. (a) | 11,015 | 444,455 | ||||
Turtle Beach Corp. (a) (b) | 3,100 | 37,913 | ||||
Xerox Holdings Corp. | 27,200 | 403,920 | ||||
6,600,269 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.2% | ||||||
Allbirds, Inc. Class A (a) | 24,100 | 94,713 | ||||
Capri Holdings, Ltd. (a) | 34,791 | 1,426,779 | ||||
Carter's, Inc. (b) | 9,460 | 666,741 | ||||
Columbia Sportswear Co. | 8,720 | 624,177 | ||||
Crocs, Inc. (a) | 14,320 | 696,954 | ||||
Deckers Outdoor Corp. (a) | 6,540 | 1,669,989 | ||||
Ermenegildo Zegna Holditalia SpA (b) | 11,300 | 119,215 | ||||
Fossil Group, Inc. (a) | 10,700 | 55,319 | ||||
G-III Apparel Group, Ltd. (a) | 10,481 | 212,031 | ||||
Hanesbrands, Inc. | 84,300 | 867,447 | ||||
Kontoor Brands, Inc. | 13,600 | 453,832 | ||||
Lululemon Athletica, Inc. (a) | 27,504 | 7,497,865 | ||||
Movado Group, Inc. | 4,261 | 131,793 | ||||
Oxford Industries, Inc. | 3,630 | 322,126 | ||||
PLBY Group, Inc. (a) (b) | 6,700 | 42,880 | ||||
Rocky Brands, Inc. | 1,905 | 65,113 | ||||
Skechers U.S.A., Inc. Class A (a) | 32,334 | 1,150,444 | ||||
Steven Madden, Ltd. | 18,813 | 605,967 | ||||
Superior Group of Cos., Inc. | 3,500 | 62,125 | ||||
Under Armour, Inc. Class A (a) | 46,300 | 385,679 | ||||
Under Armour, Inc. Class C (a) | 51,800 | 392,644 | ||||
Unifi, Inc. (a) | 3,610 | 50,756 | ||||
Wolverine World Wide, Inc. | 19,580 | 394,733 | ||||
17,989,322 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.7% | ||||||
Axos Financial, Inc. (a) | 14,232 | 510,217 | ||||
Blue Foundry Bancorp (a) (b) | 7,300 | 87,527 | ||||
Bridgewater Bancshares, Inc. (a) | 5,650 | 91,191 | ||||
Capitol Federal Financial, Inc. | 30,300 | 278,154 | ||||
Columbia Financial, Inc. (a) | 9,900 | 215,919 | ||||
Enact Holdings, Inc. | 6,800 | 146,064 | ||||
Essent Group, Ltd. | 24,544 | 954,762 | ||||
Federal Agricultural Mortgage Corp. Class C | 2,332 | 227,720 |
Security Description | Shares | Value | ||||
Finance Of America Cos., Inc. Class A (a) | 1,800 | $ 2,826 | ||||
Flagstar Bancorp, Inc. | 12,925 | 458,191 | ||||
Greene County Bancorp, Inc. | 800 | 36,232 | ||||
Hingham Institution for Savings | 368 | 104,427 | ||||
Home Bancorp, Inc. | 2,100 | 71,673 | ||||
Home Point Capital, Inc. (b) | 8,300 | 32,536 | ||||
Kearny Financial Corp. | 15,851 | 176,105 | ||||
Luther Burbank Corp. | 4,900 | 63,945 | ||||
Merchants Bancorp | 3,650 | 82,746 | ||||
MGIC Investment Corp. | 74,289 | 936,041 | ||||
Mr Cooper Group, Inc. (a) | 17,460 | 641,480 | ||||
New York Community Bancorp, Inc. (b) | 110,523 | 1,009,075 | ||||
NMI Holdings, Inc. Class A (a) | 20,265 | 337,412 | ||||
Northfield Bancorp, Inc. | 12,180 | 158,705 | ||||
Northwest Bancshares, Inc. | 28,876 | 369,613 | ||||
PCSB Financial Corp. | 3,696 | 70,557 | ||||
PennyMac Financial Services, Inc. | 7,097 | 310,210 | ||||
Pioneer Bancorp, Inc. (a) (b) | 2,400 | 23,520 | ||||
Provident Bancorp, Inc. | 3,114 | 48,890 | ||||
Provident Financial Services, Inc. | 17,656 | 393,023 | ||||
Radian Group, Inc. | 41,354 | 812,606 | ||||
Rocket Cos., Inc. Class A | 28,200 | 207,552 | ||||
Southern Missouri Bancorp, Inc. | 2,300 | 104,098 | ||||
Sterling Bancorp, Inc. (a) | 3,500 | 19,950 | ||||
TFS Financial Corp. | 11,217 | 154,009 | ||||
TrustCo Bank Corp. | 5,019 | 154,786 | ||||
UWM Holdings Corp. (b) | 19,600 | 69,384 | ||||
Velocity Financial, Inc. (a) (b) | 1,600 | 17,584 | ||||
Walker & Dunlop, Inc. | 7,340 | 707,136 | ||||
Waterstone Financial, Inc. | 5,100 | 86,955 | ||||
WSFS Financial Corp. | 15,424 | 618,348 | ||||
10,791,169 | ||||||
TOBACCO — 0.1% | ||||||
22nd Century Group, Inc. (a) (b) | 33,900 | 72,207 | ||||
Turning Point Brands, Inc. | 3,400 | 92,242 | ||||
Universal Corp. | 5,741 | 347,331 | ||||
Vector Group, Ltd. | 35,196 | 369,558 | ||||
881,338 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.1% | ||||||
Air Lease Corp. | 25,456 | 850,994 | ||||
Alta Equipment Group, Inc. (a) | 3,600 | 32,292 | ||||
Applied Industrial Technologies, Inc. | 9,201 | 884,860 | ||||
Beacon Roofing Supply, Inc. (a) | 13,103 | 672,970 | ||||
BlueLinx Holdings, Inc. (a) | 2,300 | 153,663 | ||||
Boise Cascade Co. | 9,501 | 565,214 | ||||
Core & Main, Inc. Class A (a) | 14,800 | 330,040 | ||||
Custom Truck One Source, Inc. (a) (b) | 14,600 | 81,760 | ||||
Distribution Solutions Group, Inc. (a) | 1,353 | 69,531 |
Security Description | Shares | Value | ||||
DXP Enterprises, Inc. (a) | 4,300 | $ 131,709 | ||||
GATX Corp. | 8,431 | 793,863 | ||||
Global Industrial Co. | 3,600 | 121,572 | ||||
GMS, Inc. (a) | 10,200 | 453,900 | ||||
H&E Equipment Services, Inc. | 8,200 | 237,554 | ||||
Herc Holdings, Inc. | 6,238 | 562,356 | ||||
Hudson Technologies, Inc. (a) | 9,200 | 69,092 | ||||
Karat Packaging, Inc. (a) | 900 | 15,354 | ||||
McGrath RentCorp | 5,900 | 448,400 | ||||
MRC Global, Inc. (a) | 19,000 | 189,240 | ||||
MSC Industrial Direct Co., Inc. Class A | 11,199 | 841,157 | ||||
NOW, Inc. (a) | 25,519 | 249,576 | ||||
Rush Enterprises, Inc. Class A | 9,750 | 469,950 | ||||
Rush Enterprises, Inc. Class B | 2,100 | 104,181 | ||||
SiteOne Landscape Supply, Inc. (a) | 10,933 | 1,299,606 | ||||
Textainer Group Holdings, Ltd. | 10,765 | 295,069 | ||||
Titan Machinery, Inc. (a) | 4,600 | 103,086 | ||||
Transcat, Inc. (a) | 1,700 | 96,577 | ||||
Triton International, Ltd. | 15,331 | 807,177 | ||||
Univar Solutions, Inc. (a) | 40,488 | 1,006,936 | ||||
Veritiv Corp. (a) | 3,591 | 389,803 | ||||
Watsco, Inc. | 8,003 | 1,911,276 | ||||
WESCO International, Inc. (a) | 11,008 | 1,178,957 | ||||
15,417,715 | ||||||
WATER UTILITIES — 0.4% | ||||||
American States Water Co. | 8,901 | 725,520 | ||||
Artesian Resources Corp. Class A | 2,351 | 115,599 | ||||
California Water Service Group | 12,889 | 715,984 | ||||
Essential Utilities, Inc. | 55,939 | 2,564,803 | ||||
Global Water Resources, Inc. | 3,800 | 50,198 | ||||
Middlesex Water Co. | 4,223 | 370,273 | ||||
Pure Cycle Corp. (a) | 6,300 | 66,402 | ||||
SJW Group | 6,187 | 386,131 | ||||
York Water Co. | 3,200 | 129,376 | ||||
5,124,286 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | ||||||
Gogo, Inc. (a) | 12,810 | 207,394 | ||||
KORE Group Holdings, Inc. (a) (b) | 5,500 | 16,885 | ||||
Shenandoah Telecommunications Co. | 11,250 | 249,750 | ||||
Telephone & Data Systems, Inc. | 24,100 | 380,539 | ||||
United States Cellular Corp. (a) | 3,435 | 99,477 | ||||
954,045 | ||||||
TOTAL COMMON STOCKS (Cost $1,598,812,839) | 1,421,114,947 | |||||
RIGHTS — 0.0% (d) | ||||||
BIOTECHNOLOGY — 0.0% (d) | ||||||
GTX, Inc. (CVR) (a) (b) | 85 | 161 |
Security Description | Shares | Value | ||||
Progenic Pharmaceuticals, Inc. (CVR) (a) | 13,803 | $ 590 | ||||
Tobira Therapeutics, Inc. (CVR) (a) | 200 | 2,834 | ||||
TOTAL RIGHTS (Cost $186) | 3,585 | |||||
SHORT-TERM INVESTMENTS — 4.8% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.49% (f) (g) | 15,927,499 | 15,925,907 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 52,734,805 | 52,734,805 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $68,659,477) | 68,660,712 | |||||
TOTAL INVESTMENTS — 103.2% (Cost $1,667,472,502) | 1,489,779,244 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.2)% | (46,302,940) | |||||
NET ASSETS — 100.0% | $ 1,443,476,304 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of September 30, 2021, total aggregate fair value of this security is $0, representing less than 0.05% of the Fund's net assets. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
CVR | Contingent Value Rights |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P MidCap 400 Index (long) | 37 | 09/16/2022 | $8,891,349 | $ 8,391,611 | $(499,738) | |||||
E-Mini Russell 2000 Index (long) | 89 | 09/16/2022 | 8,009,210 | 7,600,600 | (408,610) | |||||
$(908,348) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks30,405 | $1,421,075,838 | $ 8,704 | $ 0(a) | $ 1,421,114,947 | ||||
Rights | — | 3,585 | — | 3,585 | ||||
Short-Term Investments | 68,660,712 | — | — | 68,660,712 | ||||
TOTAL INVESTMENTS | $1,489,736,550 | $12,289 | $ 0 | $1,489,779,244 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | $ (908,348) | $ — | $— | $ (908,348) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (908,348) | $ — | $— | $ (908,348) |
(a) | The Portfolio held a Level 3 security that was valued at $0 at June 30, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 14,686,484 | $14,687,953 | $225,657,432 | $225,719,877 | $(1,180) | $1,235 | 15,927,499 | $15,925,907 | $ 32,740 | ||||||||
State Street Navigator Securities Lending Portfolio II | 68,084,095 | 68,084,095 | 203,307,185 | 218,656,475 | — | — | 52,734,805 | 52,734,805 | 329,224 | ||||||||
Total | $82,772,048 | $428,964,617 | $444,376,352 | $(1,180) | $1,235 | $68,660,712 | $361,964 |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $1,998,647,144 | $4,204,456,610 | $ 1,421,118,532 | ||
Investments in affiliated issuers, at value | 189,475,081 | 232,163,808 | 68,660,712 | ||
Total Investments | 2,188,122,225 | 4,436,620,418 | 1,489,779,244 | ||
Foreign currency, at value | — | 24,599,685 | — | ||
Net cash at broker | — | 12,828,205 | 1,755,308 | ||
Cash | — | — | 299,369 | ||
Receivable for investments sold | 53,495,926 | 387,572 | 542,843 | ||
Receivable for fund shares sold | — | 19,602,096 | 60,648,807 | ||
Dividends receivable — unaffiliated issuers | — | 10,606,651 | 1,282,761 | ||
Dividends receivable — affiliated issuers | 80,147 | 148,298 | 2,568 | ||
Interest receivable — unaffiliated issuers | 9,740,824 | — | — | ||
Securities lending income receivable — unaffiliated issuers | 1,883 | 48,289 | 48,146 | ||
Securities lending income receivable — affiliated issuers | 18,736 | 51,845 | 97,136 | ||
Receivable for foreign taxes recoverable | 2,774 | 4,805,971 | — | ||
Other Receivable | 439 | — | — | ||
TOTAL ASSETS | 2,251,462,954 | 4,509,699,030 | 1,554,456,182 | ||
LIABILITIES | |||||
Due to broker | 210,000 | — | — | ||
Due to custodian | 100,262 | 42,024 | — | ||
Payable upon return of securities loaned | 125,248,986 | 70,542,952 | 52,734,805 | ||
Payable for investments purchased | 43,511,718 | 352,881 | 57,149,336 | ||
Payable for fund shares repurchased | 73,933,800 | 27,000,000 | — | ||
Payable to broker – accumulated variation margin on open futures contracts | — | 3,020,219 | 908,066 | ||
Deferred foreign taxes payable | — | 2,582,469 | — | ||
Custodian, sub-administration and transfer agent fees payable | 139,062 | 291,557 | 93,043 | ||
Custodian fees payable | 11,320 | 614,777 | 15,329 | ||
Registration and filing fees payable | 1,399 | 1,391 | 2,308 | ||
Professional fees payable | 34,596 | 25,434 | 30,447 | ||
Printing and postage fees payable | 24,605 | 52,511 | 17,793 | ||
Accrued expenses and other liabilities | 4,240 | 18,949 | 28,751 | ||
TOTAL LIABILITIES | 243,219,988 | 104,545,164 | 110,979,878 | ||
NET ASSETS | $2,008,242,966 | $4,405,153,866 | $1,443,476,304 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $2,243,903,060 | $4,587,390,377 | $1,659,723,361 | ||
Total distributable earnings (loss)** | (235,660,094) | (182,236,511) | (216,247,057) | ||
NET ASSETS | $2,008,242,966 | $4,405,153,866 | $1,443,476,304 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 91.81 | $ 99.74 | $ 230.31 | ||
Shares of beneficial interest | 21,873,746 | 44,166,824 | 6,267,636 | ||
Net Assets | $ — | $4,405,153,866 | $ — | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $2,216,859,305 | $4,347,001,057 | $1,598,813,025 | ||
Investments in affiliated issuers | 189,475,282 | 232,163,808 | 68,659,477 | ||
Total cost of investments | $2,406,334,587 | $4,579,164,865 | $1,667,472,502 | ||
Foreign currency, at cost | $ — | $ 24,774,729 | $ — | ||
* Includes investments in securities on loan, at value | $ 154,381,190 | $ 100,863,703 | $ 94,345,739 | ||
** Includes deferred foreign taxes | $ — | $ 2,567,843 | $ — |
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 | $ 20,000,929 | $ — | $ 28,305 | ||
Dividend income — unaffiliated issuers | 2,983 | 91,935,445 | 8,954,705 | ||
Dividend income — affiliated issuers | 133,102 | 334,337 | 329,224 | ||
Unaffiliated securities lending income | 17,295 | 254,173 | 418,563 | ||
Affiliated securities lending income | 140,932 | 355,262 | 32,740 | ||
Foreign taxes withheld | (28) | (9,154,554) | (12,878) | ||
TOTAL INVESTMENT INCOME (LOSS) | 20,295,213 | 83,724,663 | 9,750,659 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 129,036 | 292,247 | 93,778 | ||
Custodian fees | 10,938 | 696,702 | 12,542 | ||
Trustees’ fees and expenses | 18,323 | 28,250 | 16,338 | ||
Registration and filing fees | 35,928 | 54,313 | 35,536 | ||
Professional fees and expenses | 30,708 | 40,291 | 25,935 | ||
Printing and postage fees | 10,782 | 20,477 | 6,968 | ||
Insurance expense | 3,090 | 7,116 | 2,464 | ||
Miscellaneous expenses | 8,928 | 20,540 | 15,909 | ||
TOTAL EXPENSES | 247,733 | 1,159,936 | 209,470 | ||
Expenses waived/reimbursed by the Adviser | (43,356) | — | — | ||
NET EXPENSES | 204,377 | 1,159,936 | 209,470 | ||
NET INVESTMENT INCOME (LOSS) | $ 20,090,836 | $ 82,564,727 | $ 9,541,189 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (15,167,689) | 7,413,223 | (24,189,167) | ||
Investments — affiliated issuers | (36,070) | — | (1,180) | ||
Foreign currency transactions | — | (17,985,892) | — | ||
Futures contracts | — | (38,095,368) | (2,358,754) | ||
Net realized gain (loss) | (15,203,759) | (48,668,037) | (26,549,101) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (234,654,903) | (1,008,864,521) | (465,229,515) | ||
Investments — affiliated issuers | 5,568 | — | 1,235 | ||
Foreign currency translations | — | (557,360) | — | ||
Futures contracts | — | (4,229,437) | (1,196,385) | ||
Net change in unrealized appreciation/depreciation | (234,649,335) | (1,013,651,318) | (466,424,665) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (249,853,094) | (1,062,319,355) | (492,973,766) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(229,762,258) | $ (979,754,628) | $(483,432,577) | ||
* Includes foreign capital gain taxes | $ — | $ (14,626) | $ — | ||
** Includes foreign deferred taxes | $ — | $ (2,567,843) | $ — |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 20,090,836 | $ 27,871,116 | $ 82,564,727 | $ 101,620,160 | $ 9,541,189 | $ 13,537,893 | |||||
Net realized gain (loss) | (15,203,759) | 2,467,432 | (48,668,037) | 7,518,738 | (26,549,101) | 123,816,833 | |||||
Net change in unrealized appreciation/depreciation | (234,649,335) | (54,323,406) | (1,013,651,318) | 186,373,590 | (466,424,665) | 5,237,913 | |||||
Net increase (decrease) in net assets resulting from operations | (229,762,258) | (23,984,858) | (979,754,628) | 295,512,488 | (483,432,577) | 142,592,639 | |||||
Distributions to shareholders | (18,142,578) | (34,362,489) | — | (117,603,601) | — | (219,927,786) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from shares sold | 354,079,922 | 1,014,306,203 | 783,660,469 | 1,749,857,744 | 340,171,669 | 616,237,779 | |||||
Reinvestment of distributions | 18,142,578 | 34,362,489 | — | 117,603,602 | — | 219,927,786 | |||||
Cost of shares redeemed | (215,510,431) | (305,893,232) | (171,446,608) | (543,634,098) | (29,391,189) | (208,561,164) | |||||
Other Capital | — | — | (3,879) | — | — | 160 | |||||
Net increase (decrease) in net assets from capital transactions | 156,712,069 | 742,775,460 | 612,209,982 | 1,323,827,248 | 310,780,480 | 627,604,561 | |||||
Net increase (decrease) in net assets during the period | (91,192,767) | 684,428,113 | (367,544,646) | 1,501,736,135 | (172,652,097) | 550,269,414 | |||||
Net assets at beginning 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 | |||||
NET ASSETS AT END OF PERIOD | $2,008,242,966 | $2,099,435,733 | $ 4,405,153,866 | $4,772,698,512 | $1,443,476,304 | $1,616,128,401 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 3,666,375 | 9,706,095 | 6,884,320 | 14,131,624 | 1,262,934 | 1,725,291 | |||||
Reinvestment of distributions | 188,581 | 329,438 | — | 979,949 | — | 706,391 | |||||
Shares redeemed | (2,281,848) | (2,931,004) | (1,548,954) | (4,374,525) | (104,564) | (574,686) | |||||
Net increase (decrease) from share transactions | 1,573,108 | 7,104,529 | 5,335,366 | 10,737,048 | 1,158,370 | 1,856,996 |
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 103.42 | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.93 | 1.61 | 0.65 | 2.80 | 2.60 | 2.30 | |||||
Net realized and unrealized gain (loss) | (11.71) | (3.46) | 7.25 | 5.70 | (2.80) | 1.00 | |||||
Total from investment operations | (10.78) | (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 | (0.83) | (1.96) | (2.67) | (3.00) | (2.70) | (2.40) | |||||
Net realized gains | — | — | (0.60) | — | — | — | |||||
Total distributions | (0.83) | (1.96) | (3.27) | (3.00) | (2.70) | (2.40) | |||||
Net asset value, end of period | $ 91.81 | $ 103.42 | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | |||||
Total return (d) | (10.46)% | (1.72)% | 7.86%(e) | 8.69% | (0.12)% | 3.38% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,008,243 | $2,099,436 | $1,415,008 | $1,033,578 | $846,759 | $687,541 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(f) | 0.02% | 0.03% | 0.04% | 0.04% | 0.06% | |||||
Net expenses | 0.02%(f) | 0.01% | 0.03% | 0.03% | 0.03% | 0.03% | |||||
Net investment income (loss) | 1.95%(f) | 1.55% | 2.20% | 2.76% | 2.73% | 2.31% | |||||
Portfolio turnover rate | 11%(g)(h) | 21%(h) | 37%(h) | 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) | Annualized. |
(g) | Not annualized. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 122.91 | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.96 | 3.09 | 2.28 | 3.20 | 3.00 | 2.60 | |||||
Net realized and unrealized gain (loss) | (25.13) | 6.56 | 9.49 | 16.40 | (18.20) | 21.20 | |||||
Total from investment operations | (23.17) | 9.65 | 11.77 | 19.60 | (15.20) | 23.80 | |||||
Other capital | (0.00)(c) | — | (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 | $ 99.74 | $ 122.91 | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | |||||
Total return (d) | (18.85)% | 8.37% | 11.07% | 21.70% | (13.99)% | 27.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,405,154 | $4,772,699 | $3,270,962 | $2,097,299 | $1,907,599 | $1,655,261 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.05%(e) | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | |||||
Net expenses | 0.05%(e) | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | |||||
Net investment income (loss) | 3.53%(e) | 2.48% | 2.29% | 3.19% | 2.89% | 2.59% | |||||
Portfolio turnover rate | 1%(f) | 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. |
(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) | Annualized. |
(f) | Not annualized. |
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 316.31 | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.70 | 3.50 | 3.01 | 3.60 | 3.80 | 3.40 | |||||
Net realized and unrealized gain (loss) | (87.70) | 36.64 | 79.67 | 54.20 | (26.20) | 35.20 | |||||
Total from investment operations | (86.00) | 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 | $ 230.31 | $ 316.31 | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | |||||
Total return (d) | (27.19)% | 12.50% | 32.46% | 27.98% | (9.07)% | 18.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,443,476 | $1,616,128 | $1,065,859 | $749,202 | $628,732 | $464,870 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.03%(e) | 0.02% | 0.03% | 0.05% | 0.05% | 0.07% | |||||
Net expenses | 0.03%(e) | 0.02% | 0.03% | 0.03% | 0.03% | 0.03% | |||||
Net investment income (loss) | 1.27%(e) | 0.96% | 1.19% | 1.48% | 1.52% | 1.46% | |||||
Portfolio turnover rate | 9%(f) | 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. |
(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) | Annualized. |
(f) | Not annualized. |
Fund/Portfolio | Classes | Commencement of Operations | Diversification Classification |
State Street Aggregate Bond Index Fund (the "Fund") | Class A Class I Class K | September 19, 2014 September 19, 2014 September 19, 2014 | Diversified Diversified Diversified |
State Street Global All Cap Equity ex-U.S. Index Fund (the "Fund") | Class A Class I Class K | September 17, 2014 September 17, 2014 September 17, 2014 | Diversified Diversified Diversified |
State Street Small/Mid Cap Equity Index Fund (the "Fund") | Class A Class I Class K | October 16, 2015 October 16, 2015 August 12, 2015 | Diversified Diversified Diversified |
State Street Aggregate Bond Index Portfolio (the "Portfolio") | September 19, 2014 | Diversified | |
State Street Global All Cap Equity ex-U.S. Index Portfolio (the "Portfolio") | September 17, 2014 | Diversified | |
State Street Small/Mid Cap Equity Index Portfolio (the "Portfolio") | August 12, 2015 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2022 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 30.77% | ||
State Street Global All Cap Equity ex- U.S. Index Fund | State Street Global All Cap Equity ex- U.S. Index Portfolio | 24.53% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 23.14% |
Name | Frequency |
State Street Aggregate Bond Index Fund | Monthly |
State Street Global All Cap Equity ex-U.S. Index Fund | Annually |
State Street Small/Mid Cap Equity Index Fund | Annually |
State Street Aggregate Bond Index Portfolio | Monthly |
State Street Global All Cap Equity ex-U.S. Index Portfolio | Annually |
State Street Small/Mid Cap Equity Index Portfolio | Annually |
Portfolios | Strategies |
State Street Global All Cap Equity ex- U.S. Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
State Street Small/Mid Cap Equity Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $3,020,219 | $— | $3,020,219 | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | 908,066 | — | 908,066 |
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 | $— | $— | $— | (38,095,368) | $— | (38,095,368) | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | (2,358,754) | — | (2,358,754) |
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 | $— | $— | $— | (4,229,437) | $— | (4,229,437) | |||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | — | — | — | (1,196,385) | — | (1,196,385) |
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 | $403,100,688 | $192,765,369 | $ 93,009,286 | $ 36,394,382 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 661,626,480 | 23,482,934 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 447,616,589 | 131,752,540 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 694,413,799 | $ — | $ 76,755,511 | $ (76,755,511) | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 1,198,267,406 | — | 117,028,458 | (117,028,458) | |||
State Street Small/Mid Cap Equity Index Fund | 456,254,520 | — | 122,402,133 | (122,402,133) | |||
State Street Aggregate Bond Index Portfolio | 2,406,753,013 | 554,694 | 219,185,482 | (218,630,788) | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 4,608,350,941 | 392,026,076 | 566,784,249 | (174,758,173) | |||
State Street Small/Mid Cap Equity Index Portfolio | 1,701,964,310 | 86,529,039 | 299,622,453 | (213,093,414) |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 154,381,190 | $ 125,248,986 | $ 31,585,303 | $ 156,834,289 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 100,863,703 | 70,542,952 | 37,543,041 | 108,085,993 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 94,345,739 | 52,734,805 | 46,337,719 | 99,072,524 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2022 | ||||||||||||||
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 | $33,166,794 | $— | $— | $— | $33,166,794 | $33,166,794 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 6,849,593 | — | — | — | 6,849,593 | 6,849,593 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 4,573,539 | — | — | — | 4,573,539 | 4,573,539 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 80,659,060 | — | — | — | 80,659,060 | 80,659,060 | |||||||
State Street Global All Cap Equity Ex- U.S. Index Portfolio | Common Stocks | 70,542,213 | — | — | — | 70,542,213 | 70,542,213 | |||||||
State Street Global All Cap Equity Ex- U.S. Index Portfolio | Rights | 9 | — | — | — | 9 | 9 | |||||||
State Street Global All Cap Equity Ex- U.S. Index Portfolio | Warrants | 730 | — | — | — | 730 | 730 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 52,734,710 | — | — | — | 52,734,710 | 52,734,710 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 95 | — | — | — | 95 | 95 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period | |||||
State Street Aggregate Bond Index Fund | |||||||||
Class A | 0.45% | $ 894.90 | $ 2.11(a) | $1,022.60 | $2.26(a) | ||||
Class I | 0.20 | 896.00 | 0.94(a) | 1,023.80 | 1.00(a) | ||||
Class K | 0.00 | 896.90 | 0.00(a) | 1,024.80 | 0.00(a) | ||||
State Street Global All Cap Equity Ex- U.S. Index Fund | |||||||||
Class A | 0.47 | 809.50 | 2.11(a) | 1,022.50 | 2.36(a) | ||||
Class I | 0.15 | 810.70 | 0.67(a) | 1,024.10 | 0.75(a) | ||||
Class K | 0.02 | 811.30 | 0.09(a) | 1,024.70 | 0.10(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.47 | 726.90 | 2.01(a) | 1,022.50 | 2.36(a) | ||||
Class I | 0.22 | 727.90 | 0.94(a) | 1,023.70 | 1.10(a) | ||||
Class K | 0.02 | 728.60 | 0.09(a) | 1,024.70 | 0.10(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.02 | 895.40 | 0.09(b) | 1,024.70 | 0.10(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.05 | 811.50 | 0.22(b) | 1,024.50 | 0.25(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,000.00 | 0.15(b) | 1,024.60 | 0.15(b) |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which are feeder funds for which the Portfolios serve as the master funds in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Funds and Portfolios (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and Portfolios. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and Portfolios and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and Portfolios and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds and Portfolios; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds and Portfolios by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds and Portfolios by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds and Portfolios, and transfer agent of the Portfolios, and the role of the Adviser in managing the Funds’ and Portfolios’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds and Portfolios; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
2 | |
24 | |
25 | |
26 | |
27 | |
28 | |
36 |
% of Net Assets | |||
Common Stocks | 95.6% | ||
Warrants | 2.8 | ||
Preferred Stocks | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 1.1 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
COMMON STOCKS — 95.6% | ||||||
BRAZIL — 4.7% | ||||||
Ambev SA | 473,585 | $ 1,213,519 | ||||
Americanas SA | 68,824 | 176,750 | ||||
Atacadao SA | 52,500 | 167,355 | ||||
B3 SA - Brasil Bolsa Balcao | 626,376 | 1,312,773 | ||||
Banco Bradesco SA Preference Shares | 536,643 | 1,765,054 | ||||
Banco Bradesco SA | 162,123 | 445,808 | ||||
Banco BTG Pactual SA | 122,048 | 520,684 | ||||
Banco BTG Pactual SA Preference Shares | 8 | 7 | ||||
Banco do Brasil SA | 86,898 | 554,677 | ||||
Banco Santander Brasil SA | 38,900 | 214,307 | ||||
BB Seguridade Participacoes SA | 71,237 | 353,634 | ||||
Braskem SA Class A, Preference Shares | 20,000 | 142,424 | ||||
BRF SA (a) | 57,111 | 148,417 | ||||
CCR SA | 127,169 | 304,703 | ||||
Centrais Eletricas Brasileiras SA | 107,757 | 951,988 | ||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 26,800 | 239,329 | ||||
Cia de Saneamento Basico do Estado de Sao Paulo | 35,800 | 288,689 | ||||
Cia Energetica de Minas Gerais Preference Shares | 134,560 | 267,090 | ||||
Cia Siderurgica Nacional SA | 72,800 | 214,943 | ||||
Cosan SA | 124,800 | 434,340 | ||||
CPFL Energia SA | 22,100 | 130,501 | ||||
Energisa SA | 19,000 | 146,602 | ||||
Engie Brasil Energia SA | 21,487 | 169,695 | ||||
Equatorial Energia SA | 105,743 | 461,840 | ||||
Gerdau SA Preference Shares | 113,100 | 483,375 | ||||
Hapvida Participacoes e Investimentos SA (b) | 469,003 | 490,577 | ||||
Hypera SA | 43,300 | 314,972 | ||||
Inter & Co., Inc. (a) | 30 | 80 | ||||
Itau Unibanco Holding SA Preference Shares | 488,161 | 2,116,209 | ||||
Itausa SA Preference Shares | 471,731 | 752,323 | ||||
Itausa SA | 265 | 449 | ||||
Klabin SA | 75,607 | 292,050 | ||||
Localiza Rent a Car SA | 60,108 | 602,408 | ||||
Lojas Renner SA | 97,155 | 420,244 | ||||
Magazine Luiza SA | 323,376 | 144,700 | ||||
Natura & Co. Holding SA | 86,190 | 221,184 | ||||
Petro Rio SA (a) | 72,500 | 304,865 | ||||
Petroleo Brasileiro SA Preference Shares | 479,998 | 2,563,624 | ||||
Petroleo Brasileiro SA | 374,714 | 2,188,331 | ||||
Raia Drogasil SA | 107,800 | 395,789 | ||||
Rede D'Or Sao Luiz SA (b) | 38,400 | 212,801 | ||||
Rumo SA | 132,900 | 405,858 | ||||
Suzano SA | 76,024 | 722,377 |
Security Description | Shares | Value | ||||
Telefonica Brasil SA | 49,955 | $ 449,547 | ||||
TIM SA | 90,300 | 220,334 | ||||
TOTVS SA | 50,293 | 223,698 | ||||
Ultrapar Participacoes SA | 76,564 | 180,230 | ||||
Vale SA | 404,428 | 5,920,892 | ||||
Vibra Energia SA | 116,900 | 373,538 | ||||
WEG SA | 170,860 | 864,192 | ||||
31,489,776 | ||||||
CHILE — 0.5% | ||||||
Banco de Chile | 4,658,486 | 415,197 | ||||
Banco de Credito e Inversiones SA | 5,742 | 164,636 | ||||
Banco Santander Chile | 6,169,295 | 243,976 | ||||
Cencosud SA | 149,766 | 186,715 | ||||
Cia Cervecerias Unidas SA | 12,400 | 76,767 | ||||
Cia Sud Americana de Vapores SA | 1,555,842 | 136,160 | ||||
Empresas CMPC SA | 118,133 | 192,293 | ||||
Empresas COPEC SA | 36,529 | 263,967 | ||||
Enel Americas SA | 2,281,557 | 212,115 | ||||
Enel Chile SA | 3,038,792 | 67,304 | ||||
Falabella SA | 66,968 | 153,684 | ||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 14,216 | 1,160,812 | ||||
3,273,626 | ||||||
CHINA — 32.0% | ||||||
360 DigiTech, Inc. ADR (c) | 9,100 | 157,430 | ||||
360 Security Technology, Inc. Class A | 15,100 | 19,190 | ||||
37 Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 28,817 | ||||
3SBio, Inc. (b) | 159,800 | 127,075 | ||||
AAC Technologies Holdings, Inc. (c) | 76,000 | 174,916 | ||||
Advanced Micro-Fabrication Equipment, Inc. China Class A (a) | 1,731 | 30,144 | ||||
AECC Aero-Engine Control Co., Ltd. Class A | 3,700 | 15,508 | ||||
AECC Aviation Power Co., Ltd. Class A | 7,100 | 48,197 | ||||
Agricultural Bank of China, Ltd. Class A | 263,300 | 118,607 | ||||
Agricultural Bank of China, Ltd. Class H | 2,923,500 | 1,102,793 | ||||
Aier Eye Hospital Group Co., Ltd. Class A | 17,234 | 115,087 | ||||
Air China, Ltd. Class A (a) | 14,400 | 24,937 | ||||
Air China, Ltd. Class H (a)(c) | 190,000 | 165,134 | ||||
Airtac International Group | 13,650 | 454,946 | ||||
Alibaba Group Holding, Ltd. ADR (a) | 4,412 | 501,556 | ||||
Alibaba Group Holding, Ltd. (a) | 1,515,456 | 21,610,884 |
Security Description | Shares | Value | |||
Alibaba Health Information Technology, Ltd. (a)(c) | 472,500 | $ 325,158 | |||
A-Living Smart City Services Co., Ltd. (b) | 67,750 | 108,960 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 29,300 | 20,759 | |||
Aluminum Corp. of China, Ltd. Class H | 406,000 | 153,667 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 23,996 | |||
Anhui Conch Cement Co., Ltd. Class A | 13,000 | 68,411 | |||
Anhui Conch Cement Co., Ltd. Class H | 124,500 | 539,445 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 1,200 | 44,687 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 11,100 | 173,142 | |||
Anhui Honglu Steel Construction Group Co., Ltd. Class A | 1,560 | 7,772 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 2,500 | 21,856 | |||
Anhui Yingjia Distillery Co., Ltd. Class A | 1,100 | 10,688 | |||
Anjoy Foods Group Co., Ltd. Class A | 800 | 20,032 | |||
ANTA Sports Products, Ltd. | 121,400 | 1,491,402 | |||
Apeloa Pharmaceutical Co., Ltd. Class A | 3,800 | 11,699 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 600 | 25,864 | |||
Autohome, Inc. ADR | 7,300 | 287,109 | |||
Avary Holding Shenzhen Co., Ltd. Class A | 5,400 | 24,333 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 26,711 | |||
AVIC Industry-Finance Holdings Co., Ltd. Class A | 52,100 | 26,889 | |||
AviChina Industry & Technology Co., Ltd. Class H | 253,000 | 144,766 | |||
AVICOPTER PLC Class A | 2,300 | 15,507 | |||
Baidu, Inc. Class A (a) | 225,750 | 4,272,217 | |||
Bank of Beijing Co., Ltd. Class A | 64,640 | 43,773 | |||
Bank of Changsha Co., Ltd. Class A | 21,500 | 25,431 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 38,085 | |||
Bank of China, Ltd. Class A | 110,600 | 53,781 | |||
Bank of China, Ltd. Class H | 8,018,000 | 3,198,229 | |||
Bank of Communications Co., Ltd. Class A | 131,012 | 97,318 | |||
Bank of Communications Co., Ltd. Class H | 886,000 | 611,973 | |||
Bank of Hangzhou Co., Ltd. Class A | 23,400 | 52,285 | |||
Bank of Jiangsu Co., Ltd. Class A | 43,336 | 46,024 |
Security Description | Shares | Value | |||
Bank of Nanjing Co., Ltd. Class A | 18,040 | $ 28,039 | |||
Bank of Ningbo Co., Ltd. Class A | 22,200 | 118,580 | |||
Bank of Shanghai Co., Ltd. Class A | 41,408 | 40,456 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 69,400 | 62,317 | |||
BBMG Corp. Class A | 33,400 | 13,800 | |||
BeiGene, Ltd. ADR (a) | 4,800 | 776,880 | |||
Beijing Capital International Airport Co., Ltd. Class H (a) | 192,000 | 130,904 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A (a) | 19,800 | 23,066 | |||
Beijing Easpring Material Technology Co., Ltd. Class A | 2,400 | 32,340 | |||
Beijing Enlight Media Co., Ltd. Class A | 12,900 | 18,222 | |||
Beijing Enterprises Holdings, Ltd. | 50,500 | 179,554 | |||
Beijing Enterprises Water Group, Ltd. | 454,000 | 137,121 | |||
Beijing Kingsoft Office Software, Inc. Class A | 1,419 | 41,722 | |||
Beijing New Building Materials PLC Class A | 7,000 | 36,147 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 9,869 | |||
Beijing Roborock Technology Co., Ltd. Class A | 252 | 23,181 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 7,840 | 18,559 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 6,401 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 11,400 | 17,718 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 5,220 | 18,905 | |||
Beijing United Information Technology Co., Ltd. Class A | 1,261 | 16,665 | |||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 2,175 | 50,383 | |||
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. Class A | 600 | 12,022 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 132,700 | 99,364 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 1,600 | 14,510 | |||
BGI Genomics Co., Ltd. Class A | 1,600 | 17,112 | |||
Bilibili, Inc. ADR (a) | 20,500 | 524,800 | |||
BOC International China Co., Ltd. Class A | 5,900 | 11,705 | |||
BOE Technology Group Co., Ltd. Class A | 106,300 | 62,472 |
Security Description | Shares | Value | |||
Bosideng International Holdings, Ltd. | 340,000 | $ 211,012 | |||
BYD Co., Ltd. Class A | 5,800 | 288,512 | |||
BYD Co., Ltd. Class H | 83,000 | 3,321,290 | |||
BYD Electronic International Co., Ltd. (c) | 69,000 | 217,632 | |||
By-health Co., Ltd. Class A | 6,300 | 20,345 | |||
Caitong Securities Co., Ltd. Class A | 16,900 | 19,839 | |||
CanSino Biologics, Inc. Class A (a) | 388 | 11,522 | |||
CanSino Biologics, Inc. Class H (b)(c) | 9,600 | 98,301 | |||
CECEP Solar Energy Co., Ltd. Class A | 16,300 | 20,301 | |||
CECEP Wind-Power Corp. Class A | 30,900 | 22,123 | |||
CGN Power Co., Ltd. Class H (b) | 1,132,700 | 274,263 | |||
Chacha Food Co., Ltd. Class A | 2,300 | 19,531 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,400 | 48,744 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 17,425 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 28,057 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 34,571 | |||
Chengtun Mining Group Co., Ltd. Class A | 14,600 | 16,899 | |||
Chengxin Lithium Group Co., Ltd. Class A | 4,000 | 36,013 | |||
Chifeng Jilong Gold Mining Co., Ltd. Class A (a) | 7,200 | 17,130 | |||
China Baoan Group Co., Ltd. Class A | 10,000 | 20,122 | |||
China Cinda Asset Management Co., Ltd. Class H | 922,481 | 144,598 | |||
China CITIC Bank Corp., Ltd. Class H | 877,000 | 392,289 | |||
China Coal Energy Co., Ltd. Class H | 207,000 | 175,425 | |||
China Communications Services Corp., Ltd. Class H | 246,000 | 108,157 | |||
China Conch Venture Holdings, Ltd. | 173,000 | 377,000 | |||
China Construction Bank Corp. Class A | 19,900 | 17,988 | |||
China Construction Bank Corp. Class H | 9,728,500 | 6,533,646 | |||
China CSSC Holdings, Ltd. Class A | 12,900 | 36,521 | |||
China Eastern Airlines Corp., Ltd. Class A (a) | 46,700 | 38,242 |
Security Description | Shares | Value | |||
China Energy Engineering Corp, Ltd. (a) | 112,000 | $ 39,593 | |||
China Everbright Bank Co., Ltd. Class A | 127,100 | 57,064 | |||
China Everbright Bank Co., Ltd. Class H | 300,000 | 97,108 | |||
China Everbright Environment Group, Ltd. | 391,222 | 230,836 | |||
China Evergrande Group (a)(c)(d) | 467,000 | 73,648 | |||
China Feihe, Ltd. (b) | 364,000 | 418,415 | |||
China Galaxy Securities Co., Ltd. Class A | 14,200 | 20,482 | |||
China Galaxy Securities Co., Ltd. Class H | 362,000 | 208,981 | |||
China Gas Holdings, Ltd. | 316,000 | 488,078 | |||
China Great Wall Securities Co., Ltd. Class A | 8,300 | 12,578 | |||
China Greatwall Technology Group Co., Ltd. Class A | 18,600 | 30,019 | |||
China Hongqiao Group, Ltd. (c) | 244,000 | 275,812 | |||
China International Capital Corp., Ltd. Class A | 4,400 | 29,199 | |||
China International Capital Corp., Ltd. Class H (b)(c) | 156,400 | 333,251 | |||
China Jinmao Holdings Group, Ltd. | 598,000 | 160,799 | |||
China Jushi Co., Ltd. Class A | 12,829 | 33,315 | |||
China Lesso Group Holdings, Ltd. | 107,000 | 161,449 | |||
China Life Insurance Co., Ltd. Class A | 6,400 | 29,670 | |||
China Life Insurance Co., Ltd. Class H | 746,000 | 1,298,640 | |||
China Literature, Ltd. (a)(b) | 43,000 | 207,686 | |||
China Longyuan Power Group Corp., Ltd. Class H | 332,000 | 641,411 | |||
China Medical System Holdings, Ltd. | 139,000 | 216,818 | |||
China Meidong Auto Holdings, Ltd. | 60,000 | 188,863 | |||
China Mengniu Dairy Co., Ltd. | 316,000 | 1,576,587 | |||
China Merchants Bank Co., Ltd. Class A | 65,200 | 410,405 | |||
China Merchants Bank Co., Ltd. Class H | 393,500 | 2,632,711 | |||
China Merchants Port Holdings Co., Ltd. | 138,969 | 236,251 | |||
China Merchants Securities Co., Ltd. Class A | 19,650 | 42,236 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 23,412 | 46,899 | |||
China Minmetals Rare Earth Co., Ltd. Class A | 5,500 | 25,637 | |||
China Minsheng Banking Corp., Ltd. Class A | 114,300 | 63,422 |
Security Description | Shares | Value | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 613,700 | $ 218,984 | |||
China National Building Material Co., Ltd. Class H (c) | 390,000 | 416,493 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 29,756 | |||
China National Nuclear Power Co., Ltd. Class A | 68,900 | 70,501 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 11,200 | 58,738 | |||
China Oilfield Services, Ltd. Class H | 192,000 | 188,160 | |||
China Overseas Land & Investment, Ltd. | 383,500 | 1,212,038 | |||
China Overseas Property Holdings, Ltd. | 135,000 | 145,375 | |||
China Pacific Insurance Group Co., Ltd. Class A | 19,700 | 69,142 | |||
China Pacific Insurance Group Co., Ltd. Class H | 258,400 | 631,597 | |||
China Petroleum & Chemical Corp. Class A | 103,200 | 62,805 | |||
China Petroleum & Chemical Corp. Class H | 2,556,000 | 1,149,833 | |||
China Power International Development, Ltd. | 527,000 | 334,456 | |||
China Railway Group, Ltd. Class A | 57,600 | 52,753 | |||
China Railway Group, Ltd. Class H | 428,000 | 264,536 | |||
China Railway Signal & Communication Corp., Ltd. Class A | 42,344 | 28,612 | |||
China Resources Beer Holdings Co., Ltd. | 165,333 | 1,232,578 | |||
China Resources Cement Holdings, Ltd. | 257,000 | 172,601 | |||
China Resources Gas Group, Ltd. | 93,100 | 433,647 | |||
China Resources Land, Ltd. | 320,000 | 1,492,554 | |||
China Resources Microelectronics Ltd. Class A | 2,921 | 25,737 | |||
China Resources Mixc Lifestyle Services, Ltd. (b) | 68,400 | 339,082 | |||
China Resources Power Holdings Co., Ltd. | 196,000 | 404,641 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 28,191 | |||
China Ruyi Holdings, Ltd. (a) | 448,000 | 164,426 | |||
China Shenhua Energy Co., Ltd. Class A | 22,200 | 110,268 | |||
China Shenhua Energy Co., Ltd. Class H | 338,000 | 969,166 | |||
China Southern Airlines Co., Ltd. Class A (a) | 30,700 | 33,474 |
Security Description | Shares | Value | |||
China Southern Airlines Co., Ltd. Class H (a) | 178,000 | $ 102,985 | |||
China State Construction Engineering Corp., Ltd. Class A | 141,700 | 112,444 | |||
China State Construction International Holdings, Ltd. | 214,000 | 236,719 | |||
China Suntien Green Energy Corp., Ltd. Class H | 199,000 | 101,441 | |||
China Taiping Insurance Holdings Co., Ltd. | 142,000 | 175,171 | |||
China Three Gorges Renewables Group Co., Ltd. Class A | 83,200 | 78,060 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 6,000 | 208,463 | |||
China Tower Corp., Ltd. Class H (b) | 4,594,000 | 591,305 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 272,000 | 168,116 | |||
China United Network Communications, Ltd. Class A | 82,100 | 42,371 | |||
China Vanke Co., Ltd. Class A | 30,800 | 94,180 | |||
China Vanke Co., Ltd. Class H | 164,400 | 413,150 | |||
China Yangtze Power Co., Ltd. Class A | 72,205 | 249,005 | |||
China Zhenhua Group Science & Technology Co., Ltd. Class A | 1,099 | 22,289 | |||
China Zheshang Bank Co., Ltd. Class A | 76,500 | 37,884 | |||
Chinasoft International, Ltd. | 276,000 | 282,438 | |||
Chongqing Brewery Co., Ltd. Class A | 2,000 | 43,734 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 30,394 | 78,522 | |||
Chongqing Fuling Zhacai Group Co., Ltd. Class A | 3,900 | 20,081 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class A | 28,400 | 15,674 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 4,500 | 74,512 | |||
CIFI Ever Sunshine Services Group, Ltd. (c) | 72,000 | 91,755 | |||
CIFI Holdings Group Co., Ltd. | 436,736 | 219,288 | |||
CITIC Securities Co., Ltd. Class A | 39,630 | 128,037 | |||
CITIC Securities Co., Ltd. Class H | 215,225 | 481,085 | |||
CITIC, Ltd. | 589,000 | 596,735 | |||
CMOC Group, Ltd. Class A | 45,300 | 38,717 | |||
CMOC Group, Ltd. Class H (c) | 345,000 | 192,572 | |||
CNGR Advanced Material Co., Ltd. Class A | 800 | 14,785 | |||
CNNC Hua Yuan Titanium Dioxide Co., Ltd. Class A | 16,675 | 17,734 |
Security Description | Shares | Value | |||
Contemporary Amperex Technology Co., Ltd. Class A (a) | 7,000 | $ 557,561 | |||
COSCO SHIPPING Development Co., Ltd. Class A | 45,600 | 20,405 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class A | 15,800 | 24,345 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A | 42,300 | 87,702 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (c) | 329,974 | 460,882 | |||
COSCO SHIPPING Ports, Ltd. | 190,590 | 134,558 | |||
Country Garden Holdings Co., Ltd. (c) | 830,193 | 514,179 | |||
Country Garden Services Holdings Co., Ltd. | 206,000 | 917,516 | |||
CRRC Corp., Ltd. Class A | 67,800 | 52,588 | |||
CRRC Corp., Ltd. Class H | 450,000 | 167,454 | |||
CSC Financial Co., Ltd. Class A | 11,500 | 49,591 | |||
CSPC Pharmaceutical Group, Ltd. | 910,240 | 903,634 | |||
Daan Gene Co., Ltd. Class A | 4,500 | 11,538 | |||
Dali Foods Group Co., Ltd. (b) | 205,300 | 109,100 | |||
Daqin Railway Co., Ltd. Class A | 53,600 | 52,687 | |||
Daqo New Energy Corp. ADR (a) | 5,800 | 414,004 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 3,168 | 14,790 | |||
DHC Software Co., Ltd. Class A | 4,400 | 4,148 | |||
Do-Fluoride New Materials Co., Ltd. Class A | 4,400 | 32,100 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 14,881 | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | 27,236 | |||
Dongfeng Motor Group Co., Ltd. Class H | 288,000 | 218,745 | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | 15,399 | |||
Dongyue Group, Ltd. | 153,000 | 191,471 | |||
East Money Information Co., Ltd. Class A | 43,483 | 164,743 | |||
Ecovacs Robotics Co., Ltd. Class A | 1,000 | 18,181 | |||
ENN Energy Holdings, Ltd. | 79,300 | 1,302,642 | |||
ENN Natural Gas Co., Ltd. Class A | 4,000 | 11,092 | |||
Eve Energy Co., Ltd. Class A | 6,281 | 91,345 | |||
Everbright Securities Co., Ltd. Class A | 16,199 | 38,080 | |||
Fangda Carbon New Material Co., Ltd. Class A (a) | 17,360 | 19,680 | |||
Far East Horizon, Ltd. (c) | 153,000 | 128,297 |
Security Description | Shares | Value | |||
FAW Jiefang Group Co., Ltd. Class A | 14,500 | $ 20,201 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 8,100 | 17,495 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 13,481 | |||
Flat Glass Group Co., Ltd. Class A (a) | 6,800 | 38,644 | |||
Flat Glass Group Co., Ltd. Class H (c) | 47,000 | 165,313 | |||
Focus Media Information Technology Co., Ltd. Class A | 37,600 | 37,745 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 12,695 | 171,105 | |||
Fosun International, Ltd. | 265,500 | 245,302 | |||
Founder Securities Co., Ltd. Class A | 33,000 | 33,029 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 25,200 | 36,987 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 11,730 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 5,000 | 31,182 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (b) | 60,456 | 306,635 | |||
Ganfeng Lithium Co., Ltd. Class A | 3,300 | 73,194 | |||
Ganfeng Lithium Co., Ltd. Class H (b)(c) | 36,400 | 400,556 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 17,362 | |||
GCL System Integration Technology Co., Ltd. Class A (a) | 9,500 | 5,271 | |||
GD Power Development Co., Ltd. Class A | 49,800 | 29,044 | |||
GDS Holdings, Ltd. ADR (a) | 15 | 501 | |||
GDS Holdings, Ltd. Class A (a) | 87,200 | 367,271 | |||
Geely Automobile Holdings, Ltd. | 604,000 | 1,373,191 | |||
GEM Co., Ltd. Class A | 16,700 | 22,668 | |||
Gemdale Corp. Class A | 18,100 | 36,285 | |||
Genscript Biotech Corp. (a) | 118,000 | 427,822 | |||
GF Securities Co., Ltd. Class A | 15,700 | 43,792 | |||
GF Securities Co., Ltd. Class H | 108,000 | 142,863 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 7,370 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 2,092 | 44,376 | |||
Ginlong Technologies Co., Ltd. Class A | 950 | 30,183 | |||
GoerTek, Inc. Class A | 10,600 | 53,125 | |||
Gotion High-tech Co., Ltd. Class A | 6,100 | 41,490 | |||
Great Wall Motor Co., Ltd. Class A | 6,400 | 35,359 |
Security Description | Shares | Value | |||
Great Wall Motor Co., Ltd. Class H | 314,000 | $ 645,851 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 7,500 | 37,723 | |||
Greentown China Holdings, Ltd. | 91,500 | 189,601 | |||
Greentown Service Group Co., Ltd. | 152,000 | 172,011 | |||
GRG Banking Equipment Co., Ltd. Class A | 10,600 | 14,657 | |||
Guangdong Haid Group Co., Ltd. Class A | 5,100 | 45,651 | |||
Guangdong Investment, Ltd. | 310,000 | 327,898 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 1,100 | 21,284 | |||
Guanghui Energy Co., Ltd. Class A | 27,300 | 42,920 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 284,800 | 275,474 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 2,300 | 10,838 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | 12,474 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 20,932 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 2,200 | 24,716 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 5,420 | 50,172 | |||
Guangzhou Yuexiu Financial Holdings Group Co., Ltd. Class A | 15,255 | 15,996 | |||
Guolian Securities Co., Ltd. Class A | 7,800 | 14,276 | |||
Guosen Securities Co., Ltd. Class A | 20,600 | 29,406 | |||
Guotai Junan Securities Co., Ltd. Class A | 22,600 | 51,239 | |||
Guoyuan Securities Co., Ltd. Class A | 18,720 | 17,368 | |||
Haidilao International Holding, Ltd. (a)(b)(c) | 110,000 | 256,533 | |||
Haier Smart Home Co., Ltd. Class A | 17,800 | 72,908 | |||
Haier Smart Home Co., Ltd. Class H | 233,000 | 862,584 | |||
Haitian International Holdings, Ltd. | 66,000 | 168,639 | |||
Haitong Securities Co., Ltd. Class A | 28,000 | 40,971 | |||
Haitong Securities Co., Ltd. Class H | 284,400 | 208,762 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 5,068 | 49,529 | |||
Hangzhou Oxygen Plant Group Co., Ltd. Class A | 2,400 | 11,191 |
Security Description | Shares | Value | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 5,700 | $ 30,633 | |||
Hangzhou Silan Microelectronics Co., Ltd. Class A | 3,200 | 24,820 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 30,728 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (b) | 12,700 | 146,795 | |||
Hansoh Pharmaceutical Group Co., Ltd. (b) | 124,000 | 250,309 | |||
Heilongjiang Agriculture Co., Ltd. Class A | 7,600 | 16,732 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 13,297 | 58,113 | |||
Hengan International Group Co., Ltd. | 63,500 | 298,202 | |||
Hengli Petrochemical Co., Ltd. Class A | 18,100 | 60,044 | |||
Hengtong Optic-electric Co., Ltd. Class A | 13,400 | 29,062 | |||
Hengyi Petrochemical Co., Ltd. Class A | 16,510 | 25,882 | |||
Hesteel Co., Ltd. Class A | 42,500 | 14,327 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 30,118 | |||
Hongfa Technology Co., Ltd. Class A | 5,040 | 31,461 | |||
Hopson Development Holdings, Ltd. (c) | 80,520 | 122,930 | |||
Hoshine Silicon Industry Co., Ltd. Class A | 2,200 | 38,709 | |||
Hua Hong Semiconductor, Ltd. (a)(b) | 62,000 | 224,393 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 15,945 | |||
Huadong Medicine Co., Ltd. Class A | 4,060 | 27,348 | |||
Huafon Chemical Co., Ltd. Class A | 14,900 | 18,758 | |||
Huagong Tech Co., Ltd. Class A | 3,200 | 11,059 | |||
Hualan Biological Engineering, Inc. Class A | 4,810 | 16,358 | |||
Huaneng Power International, Inc. Class A | 37,300 | 39,168 | |||
Huaneng Power International, Inc. Class H (c) | 412,000 | 205,292 | |||
Huatai Securities Co., Ltd. Class A | 21,718 | 46,000 | |||
Huatai Securities Co., Ltd. Class H (b) | 152,500 | 226,215 | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | 12,162 | |||
Huaxia Bank Co., Ltd. Class A | 35,100 | 27,277 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 15,715 |
Security Description | Shares | Value | |||
Huayu Automotive Systems Co., Ltd. Class A | 7,300 | $ 25,044 | |||
Huazhu Group, Ltd. ADR | 19,700 | 750,570 | |||
Hubei Xingfa Chemicals Group Co., Ltd. Class A | 2,100 | 13,779 | |||
Huizhou Desay Sv Automotive Co., Ltd. Class A | 2,000 | 44,151 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 4,400 | 10,501 | |||
Hunan Valin Steel Co., Ltd. Class A | 26,500 | 20,119 | |||
Hundsun Technologies, Inc. Class A | 5,824 | 37,824 | |||
Hutchmed China, Ltd. ADR (a)(c) | 8,200 | 103,648 | |||
Hygeia Healthcare Holdings Co., Ltd. (b)(c) | 35,000 | 232,606 | |||
Iflytek Co., Ltd. Class A | 9,350 | 57,487 | |||
Imeik Technology Development Co., Ltd. Class A | 600 | 53,699 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 206,742 | 147,096 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 5,695,000 | 3,382,040 | |||
Industrial Bank Co., Ltd. Class A | 63,799 | 189,374 | |||
Industrial Securities Co., Ltd. Class A | 24,600 | 25,869 | |||
Ingenic Semiconductor Co., Ltd. Class A | 1,900 | 30,112 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A | 133,700 | 46,865 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 33,800 | 24,603 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 20,700 | 120,263 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 106,000 | 173,734 | |||
Inner Mongolia Yuan Xing Energy Co., Ltd. Class A | 5,400 | 8,465 | |||
Innovent Biologics, Inc. (a)(b) | 103,000 | 458,102 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,148 | 28,233 | |||
Intco Medical Technology Co., Ltd. Class A | 2,700 | 10,213 | |||
iQIYI, Inc. ADR (a)(c) | 35,700 | 149,940 | |||
JA Solar Technology Co., Ltd. Class A | 7,000 | 82,381 | |||
Jafron Biomedical Co., Ltd. Class A | 1,120 | 8,502 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 2,600 | 21,962 | |||
JCET Group Co., Ltd. Class A | 5,900 | 23,761 | |||
JD Health International, Inc. (a)(b)(c) | 113,900 | 893,410 | |||
JD.com, Inc. Class A | 202,822 | 6,534,182 |
Security Description | Shares | Value | |||
Jiangsu Eastern Shenghong Co., Ltd. Class A | 8,700 | $ 21,944 | |||
Jiangsu Expressway Co., Ltd. Class H | 124,000 | 124,838 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 4,364 | 40,176 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 21,244 | 117,529 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 2,700 | 20,539 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,100 | 139,325 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 1,500 | 29,820 | |||
Jiangsu Yoke Technology Co., Ltd. Class A | 1,200 | 9,936 | |||
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. Class A | 3,200 | 12,248 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 42,725 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 23,404 | |||
Jiangxi Copper Co., Ltd. Class H | 117,000 | 160,136 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A (a) | 5,000 | 4,520 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 10,068 | |||
Jinxin Fertility Group, Ltd. (b) | 160,500 | 147,881 | |||
JiuGui Liquor Co., Ltd. Class A | 700 | 19,401 | |||
Jiumaojiu International Holdings, Ltd. (b)(c) | 75,000 | 199,281 | |||
Joincare Pharmaceutical Group Industry Co., Ltd. Class A | 8,600 | 15,842 | |||
Joinn Laboratories China Co., Ltd. Class A | 840 | 14,259 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 7,500 | 13,324 | |||
Jonjee Hi-Tech Industrial & Commercial Holding Co., Ltd. Class A (a) | 1,600 | 8,260 | |||
JOYY, Inc. ADR (c) | 5,700 | 170,202 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 19,836 | |||
Kanzhun, Ltd. ADR (a) | 8,900 | 233,892 | |||
KE Holdings, Inc. ADR (a) | 32,200 | 577,990 | |||
Kingboard Holdings, Ltd. | 66,000 | 249,804 | |||
Kingdee International Software Group Co., Ltd. (a) | 268,000 | 628,422 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 8,500 | 12,070 | |||
Kingsoft Corp., Ltd. | 96,200 | 375,142 | |||
Kuaishou Technology (a)(b) | 175,700 | 1,956,962 | |||
Kuang-Chi Technologies Co., Ltd. Class A (a) | 7,100 | 18,290 | |||
Kunlun Energy Co., Ltd. | 388,000 | 317,938 | |||
Kunlun Tech Co., Ltd. Class A | 5,300 | 12,649 |
Security Description | Shares | Value | |||
Kweichow Moutai Co., Ltd. Class A | 3,799 | $ 1,158,819 | |||
LB Group Co., Ltd. Class A | 8,200 | 24,523 | |||
Lenovo Group, Ltd. | 734,000 | 685,645 | |||
Lens Technology Co., Ltd. Class A | 19,400 | 32,033 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | 14,680 | |||
Li Auto, Inc. ADR (a) | 55,100 | 2,110,881 | |||
Li Ning Co., Ltd. | 237,000 | 2,195,745 | |||
Lingyi iTech Guangdong Co. Class A (a) | 36,100 | 27,031 | |||
Livzon Pharmaceutical Group, Inc. Class A | 2,700 | 14,583 | |||
Longfor Group Holdings, Ltd. (b) | 185,500 | 875,853 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 24,424 | 242,739 | |||
Lufax Holding, Ltd. ADR | 87,200 | 523,200 | |||
Luoyang Xinqianglian Slewing Bearing Co., Ltd. Class A | 1,530 | 20,318 | |||
Luxi Chemical Group Co., Ltd. Class A (a) | 4,600 | 11,863 | |||
Luxshare Precision Industry Co., Ltd. Class A | 23,971 | 120,817 | |||
Luzhou Laojiao Co., Ltd. Class A | 4,100 | 150,773 | |||
Mango Excellent Media Co., Ltd. Class A | 7,340 | 36,524 | |||
Maxscend Microelectronics Co., Ltd. Class A | 1,184 | 23,842 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (a) | 15,000 | 12,462 | |||
Meituan Class B (a)(b) | 414,400 | 10,255,766 | |||
Metallurgical Corp. of China, Ltd. Class A | 63,200 | 32,994 | |||
Microport Scientific Corp. (a)(c) | 66,349 | 192,360 | |||
Ming Yang Smart Energy Group, Ltd. Class A | 4,600 | 23,191 | |||
Ming Yuan Cloud Group Holdings, Ltd. (c) | 72,000 | 115,245 | |||
Minth Group, Ltd. | 78,000 | 212,720 | |||
MMG, Ltd. (a) | 296,000 | 110,147 | |||
Montage Technology Co., Ltd. Class A | 3,180 | 28,735 | |||
Muyuan Foods Co., Ltd. Class A | 13,776 | 113,571 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 4,056 | 17,061 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 16,337 | |||
NARI Technology Co., Ltd. Class A | 21,818 | 87,868 | |||
National Silicon Industry Group Co., Ltd. Class A (a) | 8,190 | 28,073 |
Security Description | Shares | Value | |||
NAURA Technology Group Co., Ltd. Class A | 1,500 | $ 62,003 | |||
NavInfo Co., Ltd. Class A | 11,900 | 26,749 | |||
NetEase, Inc. | 209,425 | 3,845,844 | |||
New China Life Insurance Co., Ltd. Class A | 4,400 | 21,126 | |||
New China Life Insurance Co., Ltd. Class H | 93,300 | 262,174 | |||
New Hope Liuhe Co., Ltd. Class A (a) | 10,100 | 23,050 | |||
New Oriental Education & Technology Group, Inc. (a) | 18,560 | 377,882 | |||
Ninestar Corp. Class A | 3,800 | 28,692 | |||
Ningbo Joyson Electronic Corp. Class A (a) | 6,700 | 15,700 | |||
Ningbo Ronbay New Energy Technology Co., Ltd. Class A | 879 | 16,971 | |||
Ningbo Shanshan Co., Ltd. Class A | 4,200 | 18,619 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 2,600 | 26,538 | |||
Ningxia Baofeng Energy Group Co., Ltd. Class A | 16,000 | 34,963 | |||
NIO, Inc. ADR (a) | 132,600 | 2,880,072 | |||
Nongfu Spring Co., Ltd. Class H (b)(c) | 176,200 | 1,011,579 | |||
North Industries Group Red Arrow Co., Ltd. Class A (a) | 7,700 | 33,480 | |||
Northeast Securities Co., Ltd. Class A | 10,700 | 11,156 | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | 3,838 | |||
OFILM Group Co., Ltd. Class A (a) | 12,400 | 12,411 | |||
Oppein Home Group, Inc. Class A | 1,680 | 37,759 | |||
Orient Securities Co., Ltd. Class A | 30,592 | 46,589 | |||
Ovctek China, Inc. Class A | 3,160 | 26,956 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (a) | 33,400 | 18,931 | |||
People's Insurance Co. Group of China, Ltd. Class A | 19,600 | 14,793 | |||
People's Insurance Co. Group of China, Ltd. Class H | 885,000 | 270,678 | |||
Perfect World Co., Ltd. Class A | 4,800 | 10,288 | |||
PetroChina Co., Ltd. Class A | 65,600 | 51,860 | |||
PetroChina Co., Ltd. Class H | 2,110,000 | 1,005,665 | |||
Pharmaron Beijing Co., Ltd. Class A | 2,850 | 40,479 | |||
Pharmaron Beijing Co., Ltd. Class H (b) | 20,600 | 206,211 | |||
PICC Property & Casualty Co., Ltd. Class H | 701,000 | 728,966 | |||
Pinduoduo, Inc. ADR (a) | 44,300 | 2,737,740 | |||
Ping An Bank Co., Ltd. Class A | 66,200 | 147,919 |
Security Description | Shares | Value | |||
Ping An Healthcare & Technology Co., Ltd. (a)(b)(c) | 54,100 | $ 160,295 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 34,200 | 238,179 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 639,500 | 4,347,845 | |||
Poly Developments & Holdings Group Co., Ltd. Class A | 39,800 | 103,653 | |||
Pop Mart International Group, Ltd. (b)(c) | 58,200 | 281,100 | |||
Postal Savings Bank of China Co., Ltd. Class A | 55,300 | 44,460 | |||
Postal Savings Bank of China Co., Ltd. Class H (b)(c) | 805,000 | 639,121 | |||
Power Construction Corp. of China, Ltd. Class A | 46,500 | 54,586 | |||
Proya Cosmetics Co., Ltd. Class A | 280 | 6,899 | |||
Qingdao Rural Commercial Bank Corp. Class A | 25,200 | 12,479 | |||
Raytron Technology Co., Ltd. Class A | 1,060 | 6,280 | |||
Riyue Heavy Industry Co., Ltd. Class A | 2,400 | 9,093 | |||
RLX Technology, Inc. ADR (a)(c) | 48,100 | 102,453 | |||
Rongsheng Petrochemical Co., Ltd. Class A | 29,255 | 67,157 | |||
SAIC Motor Corp., Ltd. Class A | 25,200 | 66,945 | |||
Sailun Group Co., Ltd. Class A | 7,600 | 12,776 | |||
Sangfor Technologies, Inc. Class A | 1,650 | 25,542 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 113,000 | 120,100 | |||
Sany Heavy Industry Co., Ltd. Class A | 26,455 | 75,211 | |||
Satellite Chemical Co., Ltd. Class A | 10,633 | 40,999 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 42,600 | |||
Sealand Securities Co., Ltd. Class A | 24,100 | 13,049 | |||
Seazen Group, Ltd. (a) | 195,904 | 96,867 | |||
Seazen Holdings Co., Ltd. Class A | 10,700 | 40,587 | |||
SF Holding Co., Ltd. Class A | 16,600 | 138,189 | |||
SG Micro Corp. Class A | 675 | 18,326 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 32,200 | 101,727 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 13,524 | |||
Shandong Gold Mining Co., Ltd. Class A | 8,128 | 22,502 | |||
Shandong Gold Mining Co., Ltd. Class H (b) | 76,750 | 134,389 |
Security Description | Shares | Value | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 8,450 | $ 36,804 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 18,164 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 26,358 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 19,280 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 234,000 | 271,963 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 3,332 | 14,930 | |||
Shanghai Baosight Software Co., Ltd. Class A | 3,590 | 29,237 | |||
Shanghai Baosight Software Co., Ltd. Class B | 38,200 | 161,128 | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | 21,332 | |||
Shanghai Electric Group Co., Ltd. Class A | 41,000 | 25,135 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 52,086 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 52,500 | 194,359 | |||
Shanghai Friendess Electronic Technology Corp., Ltd. Class A | 702 | 23,040 | |||
Shanghai Industrial Urban Development Group, Ltd. | 11,400 | 973 | |||
Shanghai International Airport Co., Ltd. Class A (a) | 2,968 | 25,102 | |||
Shanghai International Port Group Co., Ltd. Class A | 39,200 | 34,088 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 2,700 | 25,332 | |||
Shanghai Junshi Biosciences Co., Ltd. Class A (a) | 2,405 | 27,027 | |||
Shanghai Lingang Holdings Corp., Ltd. Class A | 6,900 | 13,956 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 112,432 | 98,828 | |||
Shanghai M&G Stationery, Inc. Class A | 4,700 | 39,315 | |||
Shanghai Medicilon, Inc. Class A | 502 | 25,429 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 23,193 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 75,300 | 124,749 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 99,200 | 118,521 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 2,720 | 34,242 |
Security Description | Shares | Value | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 18,500 | $ 16,364 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 18,305 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 11,514 | |||
Shanxi Coking Coal Energy Group Co., Ltd. Class A | 13,200 | 26,364 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 9,600 | 20,935 | |||
Shanxi Meijin Energy Co., Ltd. Class A | 16,200 | 29,480 | |||
Shanxi Securities Co., Ltd. Class A | 15,700 | 13,442 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 18,535 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 3,680 | 178,286 | |||
Shenghe Resources Holding Co., Ltd. Class A | 4,400 | 14,832 | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | 15,205 | |||
Shennan Circuits Co., Ltd. Class A | 2,460 | 34,385 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 65,700 | 42,041 | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 3,600 | 28,223 | |||
Shenzhen Energy Group Co., Ltd. Class A | 12,700 | 12,143 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 7,650 | 75,163 | |||
Shenzhen International Holdings, Ltd. | 118,057 | 116,147 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 3,918 | 26,404 | |||
Shenzhen Kedali Industry Co., Ltd. Class A | 300 | 7,115 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 3,500 | 163,509 | |||
Shenzhen New Industries Biomedical Engineering Co., Ltd. Class A | 3,500 | 23,550 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 31,849 | |||
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A | 3,600 | 15,089 | |||
Shenzhen SC New Energy Technology Corp. Class A | 1,500 | 19,991 | |||
Shenzhen Senior Technology Material Co., Ltd. Class A | 1,292 | 5,596 | |||
Shenzhen Sunlord Electronics Co., Ltd. Class A | 2,000 | 8,129 | |||
Shenzhen Transsion Holdings Co., Ltd. Class A | 2,758 | 36,708 |
Security Description | Shares | Value | |||
Shenzhou International Group Holdings, Ltd. | 82,700 | $ 1,001,744 | |||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. Class A | 5,400 | 19,573 | |||
Shimao Group Holdings, Ltd. (c)(d) | 159,000 | 67,171 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 17,780 | |||
Sichuan Hebang Biotechnology Co., Ltd. Class A | 48,100 | 30,564 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 14,504 | |||
Sichuan New Energy Power Co., Ltd. (a) | 7,600 | 25,110 | |||
Sichuan Road & Bridge Co., Ltd. Class A | 9,500 | 14,921 | |||
Sichuan Swellfun Co., Ltd. Class A | 1,600 | 22,085 | |||
Sichuan Yahua Industrial Group Co., Ltd. Class A | 1,600 | 7,792 | |||
Sieyuan Electric Co., Ltd. Class A | 4,400 | 23,404 | |||
Silergy Corp. | 8,000 | 644,391 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 16,378 | |||
Sinoma Science & Technology Co., Ltd. Class A | 400 | 1,641 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | 11,621 | |||
Sinopharm Group Co., Ltd. Class H | 140,800 | 341,281 | |||
Sinotrans, Ltd. Class A | 19,000 | 10,996 | |||
Sinotruk Hong Kong, Ltd. | 70,500 | 98,828 | |||
Skshu Paint Co., Ltd. Class A (a) | 1,680 | 32,434 | |||
Smoore International Holdings, Ltd. (b)(c) | 187,000 | 576,708 | |||
Songcheng Performance Development Co., Ltd. Class A | 11,340 | 25,964 | |||
SooChow Securities Co., Ltd. Class A | 15,600 | 16,125 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 17,706 | |||
StarPower Semiconductor, Ltd. Class A | 600 | 34,537 | |||
Sunac China Holdings, Ltd. (c)(d) | 390,700 | 114,019 | |||
Sungrow Power Supply Co., Ltd. Class A | 3,600 | 52,758 | |||
Sunny Optical Technology Group Co., Ltd. | 71,400 | 1,163,772 | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | 29,223 |
Security Description | Shares | Value | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | $ 24,626 | |||
Suzhou Maxwell Technologies Co., Ltd. Class A | 576 | 42,176 | |||
Suzhou TA&A Ultra Clean Technology Co., Ltd. Class A | 3,000 | 39,110 | |||
TAL Education Group ADR (a) | 43,300 | 210,871 | |||
TBEA Co., Ltd. Class A | 14,887 | 60,821 | |||
TCL Technology Group Corp. Class A | 30,200 | 21,577 | |||
TCL Zhonghuan Renewable Energy Technology Co., Ltd. Class A | 9,000 | 79,056 | |||
Tencent Holdings, Ltd. | 630,900 | 28,493,996 | |||
Tencent Music Entertainment Group ADR (a) | 74,200 | 372,484 | |||
Thunder Software Technology Co., Ltd. Class A | 1,400 | 27,247 | |||
Tianjin 712 Communication & Broadcasting Co., Ltd. Class A | 2,500 | 11,746 | |||
Tianma Microelectronics Co., Ltd. Class A | 8,800 | 13,087 | |||
Tianshan Aluminum Group Co., Ltd. Class A | 3,000 | 2,922 | |||
Tianshui Huatian Technology Co., Ltd. Class A | 9,100 | 12,732 | |||
Tibet Summit Resources Co., Ltd. Class A (a) | 5,600 | 23,973 | |||
Tingyi Cayman Islands Holding Corp. | 196,000 | 335,702 | |||
Titan Wind Energy Suzhou Co., Ltd. Class A | 10,800 | 26,564 | |||
Toly Bread Co., Ltd. Class A | 4,312 | 10,645 | |||
Tongcheng Travel Holdings, Ltd. (a) | 120,000 | 258,138 | |||
TongFu Microelectronics Co., Ltd. Class A (a) | 6,300 | 14,472 | |||
Tongkun Group Co., Ltd. Class A | 7,400 | 17,528 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 20,520 | |||
Tongwei Co., Ltd. Class A | 14,700 | 131,252 | |||
Topchoice Medical Corp. Class A (a) | 1,100 | 28,621 | |||
Topsports International Holdings, Ltd. (b) | 183,000 | 166,280 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 12,468 | |||
TravelSky Technology, Ltd. Class H | 96,000 | 186,447 | |||
Trina Solar Co., Ltd. Class A | 6,219 | 60,528 | |||
Trip.com Group, Ltd. ADR (a) | 54,367 | 1,492,374 | |||
Tsingtao Brewery Co., Ltd. Class A | 800 | 12,401 | |||
Tsingtao Brewery Co., Ltd. Class H | 60,000 | 623,937 |
Security Description | Shares | Value | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 1,700 | $ 48,108 | |||
Uni-President China Holdings, Ltd. | 130,000 | 111,496 | |||
Unisplendour Corp., Ltd. Class A | 10,360 | 29,979 | |||
Vipshop Holdings, Ltd. ADR (a) | 44,488 | 439,986 | |||
Walvax Biotechnology Co., Ltd. Class A | 4,400 | 31,759 | |||
Wanhua Chemical Group Co., Ltd. Class A | 10,200 | 147,564 | |||
Want Want China Holdings, Ltd. | 487,000 | 423,265 | |||
Weibo Corp. ADR (a) | 6,560 | 151,733 | |||
Weichai Power Co., Ltd. Class A | 19,400 | 36,085 | |||
Weichai Power Co., Ltd. Class H | 188,000 | 298,521 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 2,400 | 21,075 | |||
Wens Foodstuffs Group Co., Ltd. Class A (a) | 20,040 | 63,639 | |||
Western Securities Co., Ltd. Class A | 14,600 | 14,242 | |||
Western Superconducting Technologies Co., Ltd. Class A | 2,488 | 34,216 | |||
Westone Information Industry, Inc. Class A | 4,800 | 30,722 | |||
Wharf Holdings, Ltd. | 123,000 | 448,302 | |||
Will Semiconductor Co., Ltd. Shanghai Class A | 2,500 | 64,523 | |||
Wingtech Technology Co., Ltd. Class A | 4,900 | 62,206 | |||
Winning Health Technology Group Co., Ltd. Class A | 8,450 | 11,066 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 15,533 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 10,192 | 19,565 | |||
Wuliangye Yibin Co., Ltd. Class A | 12,200 | 367,463 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 4,180 | 9,203 | |||
WuXi AppTec Co., Ltd. Class A | 8,633 | 133,908 | |||
WuXi AppTec Co., Ltd. Class H (b) | 36,691 | 488,624 | |||
Wuxi Biologics Cayman, Inc. (a)(b) | 362,000 | 3,312,319 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 1,420 | 13,382 | |||
Wuxi Shangji Automation Co., Ltd. Class A | 1,260 | 29,317 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 28,219 | |||
Xiamen C & D, Inc. Class A | 11,400 | 22,225 |
Security Description | Shares | Value | |||
Xiamen Faratronic Co., Ltd. Class A | 1,200 | $ 36,722 | |||
Xiamen Intretech, Inc. Class A | 3,800 | 12,198 | |||
Xiamen Tungsten Co., Ltd. Class A | 4,600 | 14,834 | |||
Xiaomi Corp. Class B (a)(b)(c) | 1,540,500 | 2,677,782 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 16,300 | 35,983 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 80,200 | 150,037 | |||
Xinjiang Zhongtai Chemical Co., Ltd. Class A | 14,900 | 17,246 | |||
Xinyi Solar Holdings, Ltd. | 498,089 | 769,323 | |||
XPeng, Inc. ADR (a) | 42,500 | 1,348,950 | |||
Xtep International Holdings, Ltd. (c) | 133,000 | 240,679 | |||
Yadea Group Holdings, Ltd. (b) | 124,000 | 242,724 | |||
Yankuang Energy Group Co., Ltd. Class H | 148,000 | 463,976 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 3,700 | 22,241 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 58,300 | |||
Yealink Network Technology Corp., Ltd. Class A | 2,500 | 28,396 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 3,774 | 29,740 | |||
Yihai International Holding, Ltd. | 49,000 | 176,718 | |||
Yihai Kerry Arawana Holdings Co., Ltd. Class A (a) | 5,700 | 45,929 | |||
Yintai Gold Co., Ltd. Class A | 11,060 | 16,068 | |||
YongXing Special Materials Technology Co., Ltd. Class A | 800 | 18,163 | |||
Yonyou Network Technology Co., Ltd. Class A | 12,778 | 41,379 | |||
Youngor Group Co., Ltd. Class A | 22,500 | 22,251 | |||
Youngy Co., Ltd. Class A (a) | 1,300 | 29,804 | |||
YTO Express Group Co., Ltd. Class A | 9,900 | 30,110 | |||
Yuan Longping High-tech Agriculture Co., Ltd. Class A (a) | 4,200 | 10,437 | |||
Yuexiu Property Co., Ltd. | 146,400 | 187,689 | |||
Yum China Holdings, Inc. | 42,800 | 2,075,800 | |||
Yunda Holding Co., Ltd. Class A | 9,360 | 23,818 | |||
Yunnan Aluminium Co., Ltd. Class A | 18,400 | 27,116 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,778 | 43,039 | |||
Yunnan Energy New Material Co., Ltd. Class A | 3,000 | 112,072 | |||
Yunnan Tin Co., Ltd. Class A | 9,000 | 22,513 | |||
Zai Lab, Ltd. ADR (a) | 9,174 | 318,154 |
Security Description | Shares | Value | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,000 | $ 106,420 | |||
Zhaojin Mining Industry Co., Ltd. Class H (a) | 129,500 | 113,212 | |||
Zhefu Holding Group Co., Ltd. Class A | 13,200 | 9,431 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (a) | 32,000 | 23,006 | |||
Zhejiang China Commodities City Group Co., Ltd. Class A | 13,400 | 11,133 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 5,100 | 27,218 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 29,391 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,960 | 14,822 | |||
Zhejiang Expressway Co., Ltd. Class H | 138,000 | 127,326 | |||
Zhejiang HangKe Technology, Inc. Co. Class A | 1,724 | 18,016 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 5,830 | 19,740 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 3,380 | 48,208 | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 3,100 | 31,253 | |||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 1,300 | 10,025 | |||
Zhejiang Juhua Co., Ltd. Class A | 8,700 | 17,065 | |||
Zhejiang NHU Co., Ltd. Class A | 13,416 | 45,646 | |||
Zhejiang Semir Garment Co., Ltd. Class A | 17,100 | 15,100 | |||
Zhejiang Supor Co., Ltd. Class A | 1,300 | 10,925 | |||
Zhejiang Weiming Environment Protection Co., Ltd. Class A | 7,100 | 35,340 | |||
Zhejiang Weixing New Building Materials Co., Ltd. Class A | 5,100 | 18,288 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 6,985 | |||
Zhejiang Yongtai Technology Co., Ltd. Class A | 4,500 | 22,103 | |||
Zheshang Securities Co., Ltd. Class A (a) | 11,100 | 18,842 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b) | 73,700 | 239,970 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 10,189 | |||
Zhongsheng Group Holdings, Ltd. | 62,500 | 440,856 | |||
Zhongtai Securities Co., Ltd. Class A | 23,600 | 26,929 |
Security Description | Shares | Value | ||||
Zhuzhou CRRC Times Electric Co., Ltd. | 58,300 | $ 287,527 | ||||
Zhuzhou Hongda Electronics Corp., Ltd. Class A | 2,400 | 21,898 | ||||
Zhuzhou Kibing Group Co., Ltd. Class A | 14,400 | 27,386 | ||||
Zibo Qixiang Tengda Chemical Co., Ltd. Class A (a) | 15,600 | 18,871 | ||||
Zijin Mining Group Co., Ltd. Class A | 66,200 | 92,128 | ||||
Zijin Mining Group Co., Ltd. Class H | 582,000 | 712,764 | ||||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class A | 28,400 | 26,095 | ||||
Zoomlion Heavy Industry Science & Technology Co., Ltd. Class H | 147,600 | 78,813 | ||||
ZTE Corp. Class A | 11,700 | 44,554 | ||||
ZTE Corp. Class H | 75,000 | 174,718 | ||||
ZTO Express Cayman, Inc. ADR | 42,200 | 1,158,390 | ||||
214,440,492 | ||||||
COLOMBIA — 0.2% | ||||||
Bancolombia SA | 26,075 | 210,174 | ||||
Bancolombia SA Preference Shares | 46,289 | 352,638 | ||||
Ecopetrol SA | 520,112 | 281,611 | ||||
Interconexion Electrica SA ESP | 47,330 | 233,175 | ||||
1,077,598 | ||||||
CZECH REPUBLIC — 0.2% | ||||||
CEZ A/S | 16,421 | 737,761 | ||||
Komercni banka A/S | 8,094 | 226,637 | ||||
Moneta Money Bank A/S (b) | 33,368 | 120,863 | ||||
1,085,261 | ||||||
EGYPT — 0.1% | ||||||
Commercial International Bank Egypt SAE | 167,548 | 332,244 | ||||
Eastern Co SAE | 120,063 | 65,779 | ||||
Egyptian Financial Group-Hermes Holding Co. (a) | 65,038 | 41,272 | ||||
Fawry for Banking & Payment Technology Services SAE (a) | 48,477 | 9,154 | ||||
448,449 | ||||||
GREECE — 0.2% | ||||||
Alpha Services & Holdings SA (a) | 236,944 | 206,097 | ||||
Eurobank Ergasias Services & Holdings SA Class A (a) | 262,643 | 231,526 | ||||
FF Group (a)(d) | 3,869 | — | ||||
Hellenic Telecommunications Organization SA | 20,181 | 349,598 | ||||
JUMBO SA | 11,929 | 172,850 |
Security Description | Shares | Value | ||||
Mytilineos SA | 9,665 | $ 141,460 | ||||
National Bank of Greece SA (a) | 55,382 | 163,449 | ||||
OPAP SA | 20,311 | 289,846 | ||||
Public Power Corp. SA (a) | 21,386 | 117,268 | ||||
1,672,094 | ||||||
HONG KONG — 0.2% | ||||||
Alibaba Pictures Group, Ltd. (a) | 1,165,900 | 114,407 | ||||
China Huishan Dairy Holdings Co., Ltd. (c)(d) | 406,100 | — | ||||
Kingboard Laminates Holdings, Ltd. | 93,300 | 115,095 | ||||
Nine Dragons Paper Holdings, Ltd. | 171,000 | 144,698 | ||||
Orient Overseas International, Ltd. | 13,500 | 357,846 | ||||
Sino Biopharmaceutical, Ltd. | 1,015,000 | 642,868 | ||||
Vinda International Holdings, Ltd. (c) | 36,000 | 92,214 | ||||
1,467,128 | ||||||
HUNGARY — 0.2% | ||||||
MOL Hungarian Oil & Gas PLC | 40,936 | 314,726 | ||||
OTP Bank Nyrt | 22,634 | 502,249 | ||||
Richter Gedeon Nyrt | 14,991 | 269,770 | ||||
1,086,745 | ||||||
INDIA — 12.4% | ||||||
ACC, Ltd. | 7,778 | 208,991 | ||||
Adani Enterprises, Ltd. | 27,948 | 775,349 | ||||
Adani Green Energy, Ltd. (a) | 31,775 | 776,385 | ||||
Adani Ports & Special Economic Zone, Ltd. | 53,031 | 451,290 | ||||
Adani Power, Ltd. (a) | 72,188 | 240,269 | ||||
Adani Total Gas, Ltd. | 27,983 | 847,897 | ||||
Adani Transmission, Ltd. (a) | 27,957 | 875,695 | ||||
Ambuja Cements, Ltd. | 62,249 | 286,130 | ||||
Apollo Hospitals Enterprise, Ltd. | 10,331 | 481,867 | ||||
Asian Paints, Ltd. | 38,230 | 1,304,726 | ||||
AU Small Finance Bank, Ltd. (a)(b) | 17,618 | 132,003 | ||||
Aurobindo Pharma, Ltd. | 26,259 | 170,610 | ||||
Avenue Supermarts, Ltd. (a)(b) | 16,452 | 709,578 | ||||
Axis Bank, Ltd. | 228,362 | 1,841,412 | ||||
Bajaj Auto, Ltd. | 6,934 | 325,450 | ||||
Bajaj Finance, Ltd. | 27,315 | 1,867,924 | ||||
Bajaj Finserv, Ltd. | 3,726 | 515,771 | ||||
Balkrishna Industries, Ltd. | 8,030 | 218,528 | ||||
Bandhan Bank, Ltd. (b) | 68,836 | 229,679 | ||||
Berger Paints India, Ltd. | 25,070 | 180,408 | ||||
Bharat Electronics, Ltd. | 124,306 | 368,483 | ||||
Bharat Forge, Ltd. | 25,139 | 207,485 | ||||
Bharat Petroleum Corp., Ltd. | 82,430 | 321,902 | ||||
Bharti Airtel, Ltd. (a) | 221,096 | 1,917,626 | ||||
Biocon, Ltd. | 44,239 | 172,760 | ||||
Britannia Industries, Ltd. | 11,256 | 494,068 |
Security Description | Shares | Value | |||
Cholamandalam Investment & Finance Co., Ltd. | 43,101 | $ 338,106 | |||
Cipla, Ltd. | 47,253 | 548,804 | |||
Coal India, Ltd. | 147,082 | 345,670 | |||
Colgate-Palmolive India, Ltd. | 12,384 | 233,159 | |||
Container Corp. Of India, Ltd. | 28,579 | 215,069 | |||
Dabur India, Ltd. | 60,662 | 380,959 | |||
Divi's Laboratories, Ltd. | 13,449 | 618,256 | |||
DLF, Ltd. | 57,586 | 228,018 | |||
Dr Reddy's Laboratories, Ltd. | 11,810 | 657,074 | |||
Eicher Motors, Ltd. | 14,030 | 496,435 | |||
GAIL India, Ltd. | 154,207 | 264,001 | |||
Godrej Consumer Products, Ltd. (a) | 41,079 | 394,054 | |||
Godrej Properties, Ltd. (a) | 13,289 | 199,059 | |||
Grasim Industries, Ltd. | 27,318 | 456,871 | |||
Havells India, Ltd. | 23,892 | 332,245 | |||
HCL Technologies, Ltd. | 108,176 | 1,333,151 | |||
HDFC Life Insurance Co., Ltd. (b) | 94,488 | 658,057 | |||
Hero MotoCorp, Ltd. | 10,999 | 378,790 | |||
Hindalco Industries, Ltd. | 136,510 | 585,382 | |||
Hindustan Petroleum Corp., Ltd. | 65,918 | 181,296 | |||
Hindustan Unilever, Ltd. | 82,895 | 2,341,392 | |||
Housing Development Finance Corp., Ltd. | 173,981 | 4,782,509 | |||
ICICI Bank, Ltd. | 519,539 | 4,652,480 | |||
ICICI Lombard General Insurance Co., Ltd. (b) | 22,924 | 325,387 | |||
ICICI Prudential Life Insurance Co., Ltd. (b) | 38,308 | 237,204 | |||
Indian Oil Corp., Ltd. (e) | 175,906 | 165,387 | |||
Indian Oil Corp., Ltd. (a)(e) | 87,953 | 82,693 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 25,341 | 184,893 | |||
Indraprastha Gas, Ltd. | 30,196 | 136,082 | |||
Indus Towers, Ltd. | 69,325 | 183,556 | |||
Info Edge India, Ltd. | 7,078 | 336,887 | |||
Infosys, Ltd. | 340,302 | 6,299,503 | |||
InterGlobe Aviation, Ltd. (a)(b) | 10,234 | 208,147 | |||
ITC, Ltd. | 295,816 | 1,024,479 | |||
Jindal Steel & Power, Ltd. | 41,024 | 171,036 | |||
JSW Steel, Ltd. | 74,834 | 534,918 | |||
Jubilant Foodworks, Ltd. | 37,110 | 240,712 | |||
Kotak Mahindra Bank, Ltd. | 55,693 | 1,171,441 | |||
Larsen & Toubro Infotech, Ltd. (b) | 5,070 | 255,222 | |||
Larsen & Toubro, Ltd. | 68,589 | 1,353,367 | |||
Lupin, Ltd. | 20,104 | 155,529 | |||
Mahindra & Mahindra, Ltd. | 87,226 | 1,207,396 | |||
Marico, Ltd. | 54,271 | 328,420 | |||
Maruti Suzuki India, Ltd. | 12,122 | 1,300,230 | |||
Mindtree, Ltd. | 6,131 | 224,135 | |||
Mphasis, Ltd. | 7,865 | 228,468 | |||
MRF, Ltd. | 200 | 179,305 | |||
Muthoot Finance, Ltd. | 12,673 | 156,670 |
Security Description | Shares | Value | ||||
Nestle India, Ltd. | 3,428 | $ 758,329 | ||||
NTPC, Ltd. | 393,763 | 712,510 | ||||
Oil & Natural Gas Corp., Ltd. | 258,346 | 495,772 | ||||
Page Industries, Ltd. | 631 | 320,935 | ||||
Petronet LNG, Ltd. | 77,809 | 214,099 | ||||
PI Industries, Ltd. | 7,909 | 256,331 | ||||
Pidilite Industries, Ltd. | 14,969 | 396,134 | ||||
Piramal Enterprises, Ltd. | 12,121 | 254,123 | ||||
Power Grid Corp. of India, Ltd. | 319,489 | 857,257 | ||||
Reliance Industries, Ltd. | 308,116 | 10,127,086 | ||||
Samvardhana Motherson International, Ltd. | 133,891 | 200,313 | ||||
SBI Cards & Payment Services, Ltd. | 25,092 | 244,097 | ||||
SBI Life Insurance Co., Ltd. (b) | 45,631 | 624,958 | ||||
Shree Cement, Ltd. | 1,106 | 266,228 | ||||
Shriram Transport Finance Co., Ltd. | 19,798 | 321,228 | ||||
Siemens, Ltd. | 7,385 | 224,475 | ||||
SRF, Ltd. | 15,180 | 432,915 | ||||
State Bank of India | 178,606 | 1,053,690 | ||||
Sun Pharmaceutical Industries, Ltd. | 96,002 | 1,009,709 | ||||
Tata Consultancy Services, Ltd. | 93,410 | 3,864,381 | ||||
Tata Consumer Products, Ltd. | 57,271 | 512,246 | ||||
Tata Elxsi, Ltd. | 3,422 | 354,043 | ||||
Tata Motors, Ltd. ADR (a)(c) | 541 | 13,996 | ||||
Tata Motors, Ltd. (a) | 166,221 | 866,755 | ||||
Tata Power Co., Ltd. | 140,708 | 360,267 | ||||
Tata Steel, Ltd. | 73,041 | 801,927 | ||||
Tech Mahindra, Ltd. | 59,218 | 749,856 | ||||
Titan Co., Ltd. | 35,481 | 872,171 | ||||
Torrent Pharmaceuticals, Ltd. | 5,232 | 189,494 | ||||
Trent, Ltd. | 16,820 | 228,778 | ||||
UltraTech Cement, Ltd. | 10,258 | 728,351 | ||||
United Spirits, Ltd. (a) | 29,752 | 286,227 | ||||
UPL, Ltd. | 51,575 | 413,005 | ||||
Vedanta, Ltd. | 79,455 | 224,362 | ||||
Wipro, Ltd. ADR | 119 | 632 | ||||
Wipro, Ltd. | 138,692 | 730,670 | ||||
Yes Bank, Ltd. (a) | 1,191,796 | 190,905 | ||||
Zomato, Ltd. (a) | 164,401 | 112,102 | ||||
83,504,547 | ||||||
INDONESIA — 1.8% | ||||||
Adaro Energy Indonesia Tbk PT | 1,511,600 | 290,195 | ||||
Adaro Minerals Indonesia Tbk PT (a) | 914,900 | 97,032 | ||||
Aneka Tambang Tbk | 795,800 | 96,153 | ||||
Astra International Tbk PT | 2,021,900 | 899,150 | ||||
Bank Central Asia Tbk PT | 5,595,900 | 2,723,294 | ||||
Bank Jago Tbk PT (a) | 433,400 | 266,193 | ||||
Bank Mandiri Persero Tbk PT | 1,868,100 | 993,770 | ||||
Bank Negara Indonesia Persero Tbk PT | 731,700 | 385,558 |
Security Description | Shares | Value | ||||
Bank Rakyat Indonesia Persero Tbk PT | 6,866,813 | $ 1,912,890 | ||||
Barito Pacific Tbk PT | 2,885,700 | 146,246 | ||||
Charoen Pokphand Indonesia Tbk PT | 713,400 | 287,323 | ||||
Gudang Garam Tbk PT | 45,800 | 95,843 | ||||
Indah Kiat Pulp & Paper Tbk PT | 280,100 | 142,894 | ||||
Indofood CBP Sukses Makmur Tbk PT | 237,400 | 152,185 | ||||
Indofood Sukses Makmur Tbk PT | 454,300 | 214,990 | ||||
Kalbe Farma Tbk PT | 2,192,900 | 244,351 | ||||
Merdeka Copper Gold Tbk PT (a) | 1,177,224 | 315,296 | ||||
Sarana Menara Nusantara Tbk PT | 2,349,700 | 173,497 | ||||
Semen Indonesia Persero Tbk PT | 302,700 | 144,772 | ||||
Sumber Alfaria Trijaya Tbk PT | 1,677,100 | 229,655 | ||||
Telkom Indonesia Persero Tbk PT | 4,972,400 | 1,335,096 | ||||
Tower Bersama Infrastructure Tbk PT | 811,200 | 160,089 | ||||
Unilever Indonesia Tbk PT | 794,700 | 254,453 | ||||
United Tractors Tbk PT | 163,400 | 311,499 | ||||
Vale Indonesia Tbk PT | 220,300 | 83,551 | ||||
11,955,975 | ||||||
KUWAIT — 0.8% | ||||||
Agility Public Warehousing Co. KSC | 151,930 | 402,473 | ||||
Boubyan Bank KSCP | 137,428 | 346,145 | ||||
Gulf Bank KSCP | 158,824 | 165,086 | ||||
Kuwait Finance House KSCP | 522,129 | 1,481,832 | ||||
Mabanee Co. KPSC | 65,199 | 159,970 | ||||
Mobile Telecommunications Co. KSCP | 228,096 | 441,476 | ||||
National Bank of Kuwait SAKP | 735,886 | 2,500,910 | ||||
5,497,892 | ||||||
LUXEMBOURG — 0.0% (f) | ||||||
Reinet Investments SCA | 13,151 | 229,425 | ||||
MALAYSIA — 1.4% | ||||||
AMMB Holdings Bhd | 186,600 | 157,917 | ||||
Axiata Group Bhd | 291,293 | 187,035 | ||||
CIMB Group Holdings Bhd | 675,197 | 759,836 | ||||
Dialog Group Bhd | 368,900 | 178,277 | ||||
DiGi.Com Bhd | 286,700 | 227,669 | ||||
Genting Bhd | 227,300 | 234,133 | ||||
Genting Malaysia Bhd | 314,500 | 202,650 | ||||
HAP Seng Consolidated Bhd | 62,400 | 100,944 | ||||
Hartalega Holdings Bhd | 169,200 | 117,471 | ||||
Hong Leong Bank Bhd | 68,100 | 316,126 | ||||
Hong Leong Financial Group Bhd | 21,200 | 88,985 | ||||
IHH Healthcare Bhd | 164,200 | 240,293 | ||||
Inari Amertron Bhd | 273,600 | 163,881 |
Security Description | Shares | Value | ||||
IOI Corp. Bhd | 267,800 | $ 233,319 | ||||
Kuala Lumpur Kepong Bhd | 39,712 | 197,681 | ||||
Malayan Banking Bhd | 470,150 | 916,299 | ||||
Malaysia Airports Holdings Bhd (a) | 72,900 | 109,164 | ||||
Maxis Bhd | 248,400 | 185,983 | ||||
MISC Bhd | 142,200 | 229,069 | ||||
MR DIY Group M Bhd (b) | 262,950 | 123,495 | ||||
Nestle Malaysia Bhd | 7,500 | 225,638 | ||||
Petronas Chemicals Group Bhd | 242,400 | 494,974 | ||||
Petronas Dagangan Bhd | 30,500 | 146,151 | ||||
Petronas Gas Bhd | 78,800 | 293,924 | ||||
PPB Group Bhd | 68,120 | 245,124 | ||||
Press Metal Aluminium Holdings Bhd | 364,800 | 393,976 | ||||
Public Bank Bhd | 1,452,200 | 1,439,844 | ||||
QL Resources Bhd | 113,700 | 134,144 | ||||
RHB Bank Bhd | 141,427 | 183,863 | ||||
Sime Darby Bhd | 266,469 | 128,776 | ||||
Sime Darby Plantation Bhd | 215,636 | 211,844 | ||||
Telekom Malaysia Bhd | 117,900 | 140,437 | ||||
Tenaga Nasional Bhd | 264,600 | 479,072 | ||||
Top Glove Corp. Bhd | 552,400 | 130,345 | ||||
9,618,339 | ||||||
MEXICO — 2.1% | ||||||
Alfa SAB de CV Class A | 305,100 | 215,944 | ||||
America Movil SAB de CV Series L (c) | 2,829,921 | 2,882,414 | ||||
Arca Continental SAB de CV | 41,600 | 273,199 | ||||
Cemex SAB de CV Series CPO (a) | 1,530,917 | 594,133 | ||||
Coca-Cola Femsa SAB de CV | 52,295 | 288,590 | ||||
Fibra Uno Administracion SA de CV REIT | 314,558 | 312,286 | ||||
Fomento Economico Mexicano SAB de CV | 198,880 | 1,338,238 | ||||
Gruma SAB de CV Class B (c) | 21,050 | 232,193 | ||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 35,400 | 491,441 | ||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 19,475 | 381,503 | ||||
Grupo Bimbo SAB de CV Class A | 134,915 | 437,128 | ||||
Grupo Carso SAB de CV Series A1 (c) | 47,500 | 176,456 | ||||
Grupo Financiero Banorte SAB de CV Series O | 259,003 | 1,439,965 | ||||
Grupo Financiero Inbursa SAB de CV Series O (a)(c) | 216,726 | 343,956 | ||||
Grupo Mexico SAB de CV Class B | 318,436 | 1,314,259 | ||||
Grupo Televisa SAB Series CPO (c) | 241,529 | 395,171 | ||||
Industrias Penoles SAB de CV (c) | 14,195 | 131,004 |
Security Description | Shares | Value | ||||
Kimberly-Clark de Mexico SAB de CV Class A (c) | 161,389 | $ 217,817 | ||||
Operadora De Sites Mexicanos SAB de CV (c) | 138,000 | 159,438 | ||||
Orbia Advance Corp. SAB de CV | 104,910 | 244,703 | ||||
Promotora y Operadora de Infraestructura SAB de CV | 23,950 | 174,867 | ||||
Wal-Mart de Mexico SAB de CV | 523,794 | 1,799,915 | ||||
13,844,620 | ||||||
PERU — 0.2% | ||||||
Cia de Minas Buenaventura SAA ADR | 22,300 | 147,180 | ||||
Credicorp, Ltd. | 7,300 | 875,343 | ||||
Southern Copper Corp. | 8,767 | 436,684 | ||||
1,459,207 | ||||||
PHILIPPINES — 0.7% | ||||||
Aboitiz Equity Ventures, Inc. | 162,700 | 140,700 | ||||
AC Energy Corp. | 782,895 | 114,476 | ||||
Ayala Corp. | 26,595 | 290,206 | ||||
Ayala Land, Inc. | 741,800 | 344,019 | ||||
Bank of the Philippine Islands | 179,929 | 277,493 | ||||
BDO Unibank, Inc. | 205,059 | 412,095 | ||||
Converge Information and Communications Technology Solutions, Inc. (a) | 251,800 | 96,855 | ||||
Globe Telecom, Inc. | 3,070 | 126,630 | ||||
GT Capital Holdings, Inc. | 8,082 | 71,876 | ||||
International Container Terminal Services, Inc. | 107,470 | 359,634 | ||||
JG Summit Holdings, Inc. | 315,030 | 279,021 | ||||
Jollibee Foods Corp. | 45,670 | 169,108 | ||||
Manila Electric Co. | 23,090 | 151,176 | ||||
Metro Pacific Investments Corp. | 1,044,000 | 67,024 | ||||
Metropolitan Bank & Trust Co. | 189,637 | 164,857 | ||||
Monde Nissin Corp. (a)(b) | 625,800 | 147,957 | ||||
PLDT, Inc. | 9,261 | 282,959 | ||||
SM Investments Corp. | 25,360 | 360,671 | ||||
SM Prime Holdings, Inc. | 1,174,500 | 780,722 | ||||
Universal Robina Corp. | 92,490 | 186,713 | ||||
4,824,192 | ||||||
POLAND — 0.6% | ||||||
Allegro.eu SA (a)(b)(c) | 37,604 | 199,443 | ||||
Bank Polska Kasa Opieki SA | 18,384 | 333,426 | ||||
CCC SA (a) | 244 | 2,497 | ||||
CD Projekt SA | 6,252 | 133,054 | ||||
Cyfrowy Polsat SA | 24,124 | 113,863 | ||||
Dino Polska SA (a)(b) | 4,896 | 347,392 | ||||
KGHM Polska Miedz SA | 14,339 | 379,218 | ||||
LPP SA | 119 | 238,087 | ||||
mBank SA (a) | 1,753 | 87,575 | ||||
Orange Polska SA | 76,094 | 106,122 |
Security Description | Shares | Value | ||||
PGE Polska Grupa Energetyczna SA (a) | 89,629 | $ 212,418 | ||||
Polski Koncern Naftowy ORLEN SA | 31,153 | 474,794 | ||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 184,386 | 234,263 | ||||
Powszechna Kasa Oszczednosci Bank Polski SA | 88,551 | 551,493 | ||||
Powszechny Zaklad Ubezpieczen SA | 62,200 | 414,773 | ||||
Santander Bank Polska SA | 3,773 | 195,538 | ||||
4,023,956 | ||||||
QATAR — 1.0% | ||||||
Barwa Real Estate Co. | 196,336 | 180,068 | ||||
Commercial Bank PQSC | 189,824 | 356,792 | ||||
Industries Qatar QSC | 153,389 | 671,807 | ||||
Masraf Al Rayan QSC | 565,929 | 641,803 | ||||
Mesaieed Petrochemical Holding Co. | 438,059 | 299,517 | ||||
Ooredoo QSC | 84,049 | 177,711 | ||||
Qatar Electricity & Water Co. QSC | 46,397 | 223,210 | ||||
Qatar Fuel QSC | 51,790 | 253,848 | ||||
Qatar Gas Transport Co., Ltd. | 265,886 | 273,132 | ||||
Qatar International Islamic Bank QSC | 78,723 | 230,435 | ||||
Qatar Islamic Bank SAQ | 163,918 | 1,001,490 | ||||
Qatar National Bank QPSC | 463,364 | 2,542,188 | ||||
6,852,001 | ||||||
ROMANIA — 0.0% (f) | ||||||
NEPI Rockcastle SA | 45,254 | 240,572 | ||||
RUSSIA — 0.0% | ||||||
Alrosa PJSC (a)(d) | 308,085 | — | ||||
Gazprom PJSC (d) | 1,420,638 | — | ||||
Inter RAO UES PJSC (a)(d) | 4,533,728 | — | ||||
LUKOIL PJSC (d) | 49,922 | — | ||||
Magnit PJSC (d) | 9,440 | — | ||||
MMC Norilsk Nickel PJSC (d) | 7,572 | — | ||||
Mobile TeleSystems PJSC ADR (d) | 48,094 | — | ||||
Mobile TeleSystems PJSC (d) | 13,301 | — | ||||
Moscow Exchange MICEX (a)(d) | 172,751 | — | ||||
Novatek PJSC GDR (d) | 1,745 | — | ||||
Novatek PJSC (d) | 91,850 | — | ||||
Novolipetsk Steel PJSC (a)(d) | 181,543 | — | ||||
Ozon Holdings PLC ADR (a)(c)(d)(e) | 6,064 | — | ||||
Ozon Holdings PLC ADR (a)(d)(e) | 1,150 | — | ||||
PhosAgro PJSC (a)(d)(e) | 106 | — | ||||
PhosAgro PJSC (d)(e) | 16,519 | — | ||||
Polymetal International PLC (d) | 1,547 | — | ||||
Polyus PJSC (a)(d) | 4,021 | — | ||||
Rosneft Oil Co PJSC (d) | 140,958 | — |
Security Description | Shares | Value | ||||
Sberbank of Russia PJSC (a)(d) | 1,296,064 | $ — | ||||
Severstal PAO (d) | 25,372 | — | ||||
Surgutneftegas PJSC (d) | 874,000 | — | ||||
Tatneft PJSC (d) | 170,112 | — | ||||
TCS Group Holding PLC GDR (a)(d) | 14,078 | — | ||||
TCS Group Holding PLC (a)(d) | 346 | — | ||||
United Co. RUSAL International PJSC (a)(d) | 365,310 | — | ||||
VK Co., Ltd. GDR (a)(d) | 12,460 | — | ||||
VTB Bank PJSC (d) | 380,650,000 | — | ||||
X5 Retail Group NV GDR (d) | 14,639 | — | ||||
Yandex NV Class A (a)(d) | 36,719 | — | ||||
— | ||||||
SAUDI ARABIA — 4.2% | ||||||
ACWA Power Co. (a) | 8,162 | 324,992 | ||||
Advanced Petrochemical Co. | 13,471 | 184,539 | ||||
Al Rajhi Bank | 198,049 | 4,354,639 | ||||
Alinma Bank | 97,793 | 870,522 | ||||
Almarai Co. JSC | 25,020 | 349,417 | ||||
Arab National Bank | 62,396 | 490,574 | ||||
Bank AlBilad (a) | 50,907 | 593,583 | ||||
Bank Al-Jazira | 43,027 | 255,724 | ||||
Banque Saudi Fransi | 60,021 | 758,241 | ||||
Bupa Arabia for Cooperative Insurance Co. | 6,407 | 272,188 | ||||
Dar Al Arkan Real Estate Development Co. (a) | 55,215 | 158,342 | ||||
Dr Sulaiman Al Habib Medical Services Group Co. | 8,982 | 463,930 | ||||
Elm Co. | 2,230 | 151,555 | ||||
Emaar Economic City (a) | 41,013 | 107,995 | ||||
Etihad Etisalat Co. | 38,401 | 358,209 | ||||
Jarir Marketing Co. | 6,277 | 272,018 | ||||
Mobile Telecommunications Co. (a) | 45,090 | 135,074 | ||||
Mouwasat Medical Services Co. | 4,739 | 269,025 | ||||
National Industrialization Co. (a) | 34,395 | 147,770 | ||||
Petro Rabigh | 22,858 | 103,930 | ||||
Rabigh Refining & Petrochemical Co. (a) | 17,941 | 81,574 | ||||
Riyad Bank | 135,255 | 1,157,135 | ||||
SABIC Agri-Nutrients Co. | 21,790 | 800,262 | ||||
Sahara International Petrochemical Co. | 37,381 | 500,127 | ||||
Saudi Arabian Mining Co. (a) | 86,306 | 1,146,652 | ||||
Saudi Arabian Oil Co. (b) | 243,929 | 2,522,439 | ||||
Saudi Basic Industries Corp. | 90,719 | 2,456,504 | ||||
Saudi British Bank | 92,416 | 1,002,460 | ||||
Saudi Electricity Co. | 84,179 | 542,931 | ||||
Saudi Industrial Investment Group | 39,586 | 300,685 | ||||
Saudi Investment Bank | 51,186 | 266,018 |
Security Description | Shares | Value | ||||
Saudi Kayan Petrochemical Co. (a) | 77,118 | $ 324,331 | ||||
Saudi National Bank | 221,601 | 3,892,089 | ||||
Saudi Research & Media Group (a) | 3,826 | 191,703 | ||||
Saudi Tadawul Group Holding Co. | 3,623 | 182,497 | ||||
Saudi Telecom Co. | 60,296 | 1,560,391 | ||||
Savola Group | 28,003 | 250,766 | ||||
Yanbu National Petrochemical Co. | 25,807 | 347,340 | ||||
28,148,171 | ||||||
SINGAPORE — 0.0% (f) | ||||||
BOC Aviation, Ltd. (b) | 21,400 | 179,857 | ||||
SOUTH AFRICA — 3.3% | ||||||
Absa Group, Ltd. | 81,980 | 773,637 | ||||
African Rainbow Minerals, Ltd. | 11,856 | 154,691 | ||||
Anglo American Platinum, Ltd. | 5,451 | 474,145 | ||||
Aspen Pharmacare Holdings, Ltd. | 38,768 | 329,028 | ||||
Bid Corp., Ltd. | 33,311 | 623,845 | ||||
Bidvest Group, Ltd. | 28,337 | 362,530 | ||||
Capitec Bank Holdings, Ltd. | 8,726 | 1,055,765 | ||||
Clicks Group, Ltd. | 24,998 | 417,043 | ||||
Discovery, Ltd. (a)(c) | 51,683 | 404,126 | ||||
Exxaro Resources, Ltd. | 25,667 | 310,495 | ||||
FirstRand, Ltd. | 508,619 | 1,936,369 | ||||
Foschini Group, Ltd. | 31,916 | 237,677 | ||||
Gold Fields, Ltd. | 90,770 | 847,722 | ||||
Growthpoint Properties, Ltd. REIT | 359,389 | 270,927 | ||||
Harmony Gold Mining Co., Ltd. | 58,715 | 186,261 | ||||
Impala Platinum Holdings, Ltd. | 84,760 | 937,185 | ||||
Kumba Iron Ore, Ltd. | 6,860 | 220,110 | ||||
Mr. Price Group, Ltd. | 26,954 | 291,825 | ||||
MTN Group, Ltd. | 170,391 | 1,373,321 | ||||
MultiChoice Group | 37,356 | 264,074 | ||||
Naspers, Ltd. Class N | 21,960 | 3,173,822 | ||||
Nedbank Group, Ltd. | 46,447 | 587,615 | ||||
Northam Platinum Holdings, Ltd. (a) | 33,757 | 352,952 | ||||
Old Mutual, Ltd. | 470,787 | 316,971 | ||||
Pepkor Holdings, Ltd. (b) | 161,167 | 188,098 | ||||
Remgro, Ltd. | 52,079 | 412,976 | ||||
Sanlam, Ltd. | 180,521 | 582,582 | ||||
Sasol, Ltd. (a) | 56,814 | 1,288,975 | ||||
Shoprite Holdings, Ltd. | 51,027 | 616,342 | ||||
Sibanye Stillwater, Ltd. | 285,525 | 708,824 | ||||
SPAR Group, Ltd. | 20,328 | 171,384 | ||||
Standard Bank Group, Ltd. | 134,776 | 1,276,557 | ||||
Vodacom Group, Ltd. (c) | 63,563 | 508,776 | ||||
Woolworths Holdings, Ltd. | 100,085 | 331,427 | ||||
21,988,077 | ||||||
SOUTH KOREA — 11.1% | ||||||
Alteogen, Inc. (a) | 2,627 | 123,621 |
Security Description | Shares | Value | |||
Amorepacific Corp. | 2,918 | $ 292,160 | |||
AMOREPACIFIC Group | 2,949 | 84,718 | |||
BGF retail Co., Ltd. | 783 | 113,976 | |||
Celltrion Healthcare Co., Ltd. | 8,780 | 463,885 | |||
Celltrion Pharm, Inc. (a) | 1,649 | 99,951 | |||
Celltrion, Inc. | 9,882 | 1,358,547 | |||
Cheil Worldwide, Inc. | 6,731 | 123,122 | |||
CJ CheilJedang Corp. | 884 | 258,038 | |||
CJ Corp. | 1,359 | 81,326 | |||
CJ ENM Co., Ltd. | 1,095 | 79,022 | |||
CJ Logistics Corp. (a) | 821 | 72,084 | |||
Coway Co., Ltd. | 5,797 | 285,296 | |||
DB Insurance Co., Ltd. | 4,608 | 217,553 | |||
Doosan Bobcat, Inc. | 5,125 | 114,073 | |||
Doosan Enerbility Co., Ltd. (a) | 40,470 | 604,681 | |||
Ecopro BM Co., Ltd. | 5,008 | 437,776 | |||
E-MART, Inc. | 2,161 | 175,590 | |||
F&F Co., Ltd. | 1,814 | 187,911 | |||
Green Cross Corp. | 489 | 63,460 | |||
GS Engineering & Construction Corp. | 6,789 | 164,967 | |||
GS Holdings Corp. | 4,644 | 149,685 | |||
Hana Financial Group, Inc. | 30,001 | 909,226 | |||
Hankook Tire & Technology Co., Ltd. | 7,851 | 199,238 | |||
Hanmi Pharm Co., Ltd. | 696 | 165,102 | |||
Hanon Systems | 19,408 | 150,224 | |||
Hanwha Solutions Corp. (a) | 11,474 | 334,923 | |||
HD Hyundai Co., Ltd. | 5,043 | 230,710 | |||
HLB, Inc. (a) | 9,209 | 251,077 | |||
HMM Co., Ltd. | 27,195 | 515,247 | |||
Hotel Shilla Co., Ltd. | 3,319 | 182,003 | |||
HYBE Co., Ltd. (a) | 1,732 | 194,090 | |||
Hyundai Construction Equipment Co., Ltd. | 4 | 138 | |||
Hyundai Engineering & Construction Co., Ltd. | 8,357 | 266,144 | |||
Hyundai Glovis Co., Ltd. | 1,802 | 249,121 | |||
Hyundai Heavy Industries Co., Ltd. (a) | 1,774 | 195,380 | |||
Hyundai Mobis Co., Ltd. | 6,143 | 941,510 | |||
Hyundai Motor Co. | 13,976 | 1,942,905 | |||
Hyundai Motor Co. Preference Shares (e) | 3,895 | 262,787 | |||
Hyundai Motor Co. Preference Shares (e) | 2,380 | 159,473 | |||
Hyundai Steel Co. | 9,327 | 230,589 | |||
Iljin Materials Co., Ltd. | 2,388 | 128,375 | |||
Industrial Bank of Korea | 27,703 | 205,255 | |||
Kakao Corp. | 31,397 | 1,690,273 | |||
Kakao Games Corp. (a) | 3,480 | 131,733 | |||
KakaoBank Corp. (a) | 11,895 | 277,129 | |||
Kangwon Land, Inc. (a) | 10,214 | 199,812 | |||
KB Financial Group, Inc. | 39,683 | 1,471,609 | |||
Kia Corp. | 26,482 | 1,576,601 | |||
Korea Aerospace Industries, Ltd. | 7,069 | 292,908 |
Security Description | Shares | Value | |||
Korea Electric Power Corp. (a) | 26,312 | $ 456,974 | |||
Korea Investment Holdings Co., Ltd. | 4,447 | 211,322 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,448 | 321,678 | |||
Korea Zinc Co., Ltd. | 894 | 335,663 | |||
Korean Air Lines Co., Ltd. (a) | 18,316 | 355,486 | |||
Krafton, Inc. (a) | 2,520 | 425,046 | |||
KT&G Corp. | 11,153 | 706,082 | |||
Kumho Petrochemical Co., Ltd. | 1,933 | 206,937 | |||
L&F Co., Ltd. (a) | 2,332 | 377,172 | |||
LG Chem, Ltd. | 4,976 | 1,977,523 | |||
LG Chem, Ltd. Preference Shares | 768 | 142,255 | |||
LG Corp. | 9,550 | 572,971 | |||
LG Display Co., Ltd. | 23,098 | 258,839 | |||
LG Electronics, Inc. | 10,810 | 735,153 | |||
LG Energy Solution, Ltd. (a)(c) | 2,137 | 610,618 | |||
LG H&H Co., Ltd. | 961 | 503,296 | |||
LG H&H Co., Ltd. Preference Shares | 256 | 64,375 | |||
LG Innotek Co., Ltd. | 1,389 | 366,399 | |||
LG Uplus Corp. (a) | 22,755 | 223,449 | |||
Lotte Chemical Corp. | 1,644 | 227,911 | |||
Lotte Shopping Co., Ltd. | 1,062 | 85,065 | |||
Meritz Financial Group, Inc. | 3,695 | 73,564 | |||
Meritz Fire & Marine Insurance Co., Ltd. | 4,015 | 102,509 | |||
Meritz Securities Co., Ltd. | 30,483 | 106,587 | |||
Mirae Asset Securities Co., Ltd. | 28,898 | 147,339 | |||
NAVER Corp. | 13,232 | 2,445,841 | |||
NCSoft Corp. | 1,708 | 459,755 | |||
Netmarble Corp. (b) | 2,190 | 116,213 | |||
NH Investment & Securities Co., Ltd. | 13,998 | 97,568 | |||
Orion Corp/Republic of Korea | 2,500 | 200,246 | |||
Pan Ocean Co., Ltd. | 25,577 | 117,011 | |||
Pearl Abyss Corp. (a)(c) | 3,113 | 122,516 | |||
POSCO Chemtech Co., Ltd. | 2,836 | 233,712 | |||
POSCO Holdings, Inc. | 7,880 | 1,398,906 | |||
S-1 Corp. | 2,014 | 99,583 | |||
Samsung Biologics Co., Ltd. (a)(b) | 1,767 | 1,075,116 | |||
Samsung C&T Corp. | 8,368 | 792,717 | |||
Samsung Electro-Mechanics Co., Ltd. | 5,674 | 570,284 | |||
Samsung Electronics Co., Ltd. Preference Shares | 83,078 | 3,327,215 | |||
Samsung Electronics Co., Ltd. | 482,555 | 21,184,254 | |||
Samsung Engineering Co., Ltd. (a) | 14,621 | 242,670 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,201 | 495,534 | |||
Samsung Heavy Industries Co., Ltd. (a) | 64,439 | 301,251 | |||
Samsung Life Insurance Co., Ltd. | 8,042 | 387,730 |
Security Description | Shares | Value | ||||
Samsung SDI Co., Ltd. | 5,544 | $ 2,271,571 | ||||
Samsung SDS Co., Ltd. | 3,667 | 367,152 | ||||
Samsung Securities Co., Ltd. | 6,571 | 169,285 | ||||
SD Biosensor, Inc. | 3,768 | 112,744 | ||||
Seegene, Inc. | 3,523 | 98,087 | ||||
Shinhan Financial Group Co., Ltd. | 46,343 | 1,322,403 | ||||
SK Biopharmaceuticals Co., Ltd. (a) | 3,238 | 186,789 | ||||
SK Bioscience Co., Ltd. (a) | 2,455 | 190,024 | ||||
SK Chemicals Co., Ltd. | 1,285 | 91,150 | ||||
SK Hynix, Inc. | 55,150 | 3,865,257 | ||||
SK IE Technology Co., Ltd. (a)(b) | 2,658 | 200,824 | ||||
SK Innovation Co., Ltd. (a) | 5,536 | 818,632 | ||||
SK Square Co., Ltd. (a) | 9,880 | 297,146 | ||||
SK Telecom Co., Ltd. | 2,710 | 108,534 | ||||
SK, Inc. | 3,760 | 622,612 | ||||
SKC Co., Ltd. | 2,112 | 216,340 | ||||
S-Oil Corp. | 4,517 | 361,805 | ||||
Woori Financial Group, Inc. | 51,494 | 479,881 | ||||
Yuhan Corp. | 5,460 | 235,490 | ||||
74,183,085 | ||||||
TAIWAN — 14.0% | ||||||
Accton Technology Corp. | 49,000 | 393,041 | ||||
Acer, Inc. | 310,000 | 226,243 | ||||
Advantech Co., Ltd. | 43,002 | 500,402 | ||||
ASE Technology Holding Co., Ltd. | 330,307 | 848,721 | ||||
Asia Cement Corp. | 230,000 | 338,810 | ||||
ASMedia Technology, Inc. | 3,000 | 112,499 | ||||
Asustek Computer, Inc. | 72,000 | 751,879 | ||||
AUO Corp. | 840,000 | 460,491 | ||||
Catcher Technology Co., Ltd. | 72,000 | 400,760 | ||||
Cathay Financial Holding Co., Ltd. | 808,087 | 1,383,343 | ||||
Chailease Holding Co., Ltd. | 137,061 | 961,112 | ||||
Chang Hwa Commercial Bank, Ltd. | 493,413 | 287,915 | ||||
Cheng Shin Rubber Industry Co., Ltd. | 188,000 | 223,828 | ||||
China Airlines, Ltd. (a) | 287,000 | 226,832 | ||||
China Development Financial Holding Corp. | 1,573,826 | 778,087 | ||||
China Steel Corp. | 1,206,000 | 1,153,941 | ||||
Chunghwa Telecom Co., Ltd. | 382,000 | 1,567,390 | ||||
Compal Electronics, Inc. | 439,000 | 335,892 | ||||
CTBC Financial Holding Co., Ltd. | 1,763,040 | 1,488,298 | ||||
Delta Electronics, Inc. | 199,000 | 1,482,452 | ||||
E Ink Holdings, Inc. | 87,000 | 551,550 | ||||
E.Sun Financial Holding Co., Ltd. | 1,204,618 | 1,174,901 | ||||
Eclat Textile Co., Ltd. | 18,550 | 259,220 | ||||
eMemory Technology, Inc. | 6,000 | 208,855 | ||||
Eva Airways Corp. (a) | 265,000 | 282,081 |
Security Description | Shares | Value | |||
Evergreen Marine Corp. Taiwan, Ltd. | 253,252 | $ 720,572 | |||
Far Eastern New Century Corp. | 337,000 | 360,422 | |||
Far EasTone Telecommunications Co., Ltd. | 157,000 | 441,428 | |||
Feng TAY Enterprise Co., Ltd. | 45,361 | 267,740 | |||
First Financial Holding Co., Ltd. | 1,056,954 | 931,347 | |||
Formosa Chemicals & Fibre Corp. | 352,000 | 884,336 | |||
Formosa Petrochemical Corp. | 120,000 | 378,563 | |||
Formosa Plastics Corp. | 423,000 | 1,543,562 | |||
Fubon Financial Holding Co., Ltd. | 724,855 | 1,457,828 | |||
Giant Manufacturing Co., Ltd. | 32,000 | 258,295 | |||
Globalwafers Co., Ltd. | 23,000 | 350,413 | |||
Hon Hai Precision Industry Co., Ltd. | 1,260,800 | 4,621,965 | |||
Hotai Motor Co., Ltd. | 30,000 | 611,432 | |||
Hua Nan Financial Holdings Co., Ltd. | 869,965 | 661,248 | |||
Innolux Corp. | 1,029,000 | 418,750 | |||
Inventec Corp. | 260,000 | 219,920 | |||
Largan Precision Co., Ltd. | 10,000 | 580,154 | |||
Lite-On Technology Corp. | 200,958 | 391,325 | |||
MediaTek, Inc. | 153,000 | 3,349,858 | |||
Mega Financial Holding Co., Ltd. | 1,112,000 | 1,320,181 | |||
Micro-Star International Co., Ltd. | 72,000 | 274,841 | |||
momo.com, Inc. | 6,000 | 128,744 | |||
Nan Ya Plastics Corp. | 486,000 | 1,356,652 | |||
Nan Ya Printed Circuit Board Corp. | 24,000 | 210,268 | |||
Nanya Technology Corp. | 132,000 | 219,308 | |||
Nien Made Enterprise Co., Ltd. | 18,000 | 177,376 | |||
Novatek Microelectronics Corp. | 59,000 | 599,257 | |||
Pegatron Corp. | 205,000 | 392,991 | |||
Pou Chen Corp. | 222,000 | 220,257 | |||
Powerchip Semiconductor Manufacturing Corp. | 272,000 | 366,832 | |||
President Chain Store Corp. | 59,000 | 540,720 | |||
Quanta Computer, Inc. | 275,000 | 738,056 | |||
Realtek Semiconductor Corp. | 46,000 | 561,589 | |||
Ruentex Development Co., Ltd. | 121,064 | 298,858 | |||
Shanghai Commercial & Savings Bank, Ltd. | 355,736 | 635,296 | |||
Shin Kong Financial Holding Co., Ltd. | 1,308,741 | 385,578 | |||
SinoPac Financial Holdings Co., Ltd. | 1,026,457 | 579,968 | |||
Synnex Technology International Corp. | 143,700 | 257,112 | |||
Taishin Financial Holding Co., Ltd. | 1,065,363 | 584,035 | |||
Taiwan Cement Corp. | 560,085 | 744,055 |
Security Description | Shares | Value | ||||
Taiwan Cooperative Financial Holding Co., Ltd. | 968,864 | $ 874,905 | ||||
Taiwan High Speed Rail Corp. | 203,000 | 191,506 | ||||
Taiwan Mobile Co., Ltd. | 175,000 | 635,647 | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,490,000 | 39,862,108 | ||||
Unimicron Technology Corp. | 127,000 | 676,997 | ||||
Uni-President Enterprises Corp. | 484,000 | 1,090,622 | ||||
United Microelectronics Corp. | 1,192,000 | 1,569,502 | ||||
Vanguard International Semiconductor Corp. | 93,000 | 240,214 | ||||
Voltronic Power Technology Corp. | 6,000 | 291,590 | ||||
Walsin Lihwa Corp. | 259,000 | 314,021 | ||||
Wan Hai Lines, Ltd. | 63,800 | 255,342 | ||||
Win Semiconductors Corp. | 36,000 | 233,070 | ||||
Winbond Electronics Corp. | 321,000 | 234,271 | ||||
Wiwynn Corp. | 9,000 | 210,974 | ||||
WPG Holdings, Ltd. | 163,880 | 303,691 | ||||
Yageo Corp. | 42,556 | 440,824 | ||||
Yang Ming Marine Transport Corp. | 177,000 | 489,922 | ||||
Yuanta Financial Holding Co., Ltd. | 987,600 | 654,337 | ||||
Zhen Ding Technology Holding, Ltd. | 67,000 | 232,095 | ||||
94,241,313 | ||||||
TANZANIA, UNITED REPUBLIC OF — 0.1% | ||||||
AngloGold Ashanti, Ltd. | 42,400 | 634,169 | ||||
THAILAND — 1.9% | ||||||
Advanced Info Service PCL | 120,700 | 664,012 | ||||
Airports of Thailand PCL (a) | 436,200 | 875,978 | ||||
Asset World Corp. PCL | 824,900 | 113,860 | ||||
B Grimm Power PCL | 85,100 | 84,245 | ||||
Bangkok Commercial Asset Management PCL | 176,800 | 87,012 | ||||
Bangkok Dusit Medical Services PCL NVDR | 76,800 | 54,306 | ||||
Bangkok Dusit Medical Services PCL Class F | 1,035,000 | 731,863 | ||||
Bangkok Expressway & Metro PCL | 790,499 | 195,640 | ||||
Berli Jucker PCL | 124,500 | 114,446 | ||||
BTS Group Holdings PCL | 816,384 | 197,428 | ||||
Bumrungrad Hospital PCL | 50,800 | 257,197 | ||||
Carabao Group PCL Class F | 28,300 | 85,248 | ||||
Central Pattana PCL | 212,300 | 366,293 | ||||
Central Retail Corp. PCL | 187,058 | 185,180 | ||||
Charoen Pokphand Foods PCL | 374,500 | 275,407 | ||||
CP ALL PCL | 583,800 | 990,751 | ||||
Delta Electronics Thailand PCL | 30,100 | 283,504 | ||||
Electricity Generating PCL | 25,000 | 124,806 | ||||
Energy Absolute PCL | 161,435 | 372,138 | ||||
Energy Absolute PCL NVDR | 5,500 | 12,679 |
Security Description | Shares | Value | ||||
Global Power Synergy PCL Class F | 74,154 | $ 135,283 | ||||
Gulf Energy Development PCL | 287,260 | 377,813 | ||||
Home Product Center PCL | 630,700 | 226,556 | ||||
Indorama Ventures PCL | 175,300 | 233,039 | ||||
Intouch Holdings PCL Class F | 119,300 | 231,143 | ||||
JMT Network Services PCL Class F | 59,100 | 122,446 | ||||
Krung Thai Bank PCL | 357,400 | 156,688 | ||||
Krungthai Card PCL | 92,600 | 149,291 | ||||
Land & Houses PCL | 887,753 | 209,666 | ||||
Minor International PCL (a) | 311,995 | 300,038 | ||||
Muangthai Capital PCL | 85,000 | 102,779 | ||||
Osotspa PCL | 143,000 | 138,531 | ||||
PTT Exploration & Production PCL | 137,700 | 621,218 | ||||
PTT Global Chemical PCL | 217,900 | 280,426 | ||||
PTT Oil & Retail Business PCL | 319,300 | 230,297 | ||||
PTT PCL | 999,000 | 960,713 | ||||
Ratch Group PCL | 105,800 | 114,463 | ||||
SCB X PCL | 90,700 | 266,802 | ||||
SCG Packaging PCL | 136,600 | 214,434 | ||||
Siam Cement PCL (c) | 77,854 | 823,572 | ||||
Srisawad Corp. PCL | 70,500 | 96,712 | ||||
Thai Oil PCL | 115,800 | 168,681 | ||||
Thai Union Group PCL Class F | 299,000 | 144,616 | ||||
True Corp. PCL | 1,195,437 | 155,537 | ||||
12,532,737 | ||||||
TURKEY — 0.3% | ||||||
Akbank T.A.S. | 308,384 | 148,129 | ||||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 63,113 | 86,411 | ||||
BIM Birlesik Magazalar A/S | 48,408 | 234,408 | ||||
Eregli Demir ve Celik Fabrikalari TAS | 143,128 | 232,653 | ||||
Ford Otomotiv Sanayi A/S | 6,642 | 106,215 | ||||
Haci Omer Sabanci Holding A/S | 114,022 | 129,138 | ||||
KOC Holding A/S | 80,377 | 176,193 | ||||
Turk Hava Yollari AO (a) | 53,435 | 149,777 | ||||
Turkcell Iletisim Hizmetleri A/S | 126,195 | 122,442 | ||||
Turkiye Is Bankasi A/S Class C | 357,794 | 93,860 | ||||
Turkiye Petrol Rafinerileri AS (a) | 13,264 | 210,124 | ||||
Turkiye Sise ve Cam Fabrikalari A/S | 145,157 | 186,918 | ||||
1,876,268 | ||||||
UNITED ARAB EMIRATES — 1.2% | ||||||
Abu Dhabi Commercial Bank PJSC | 282,598 | 681,663 | ||||
Abu Dhabi Islamic Bank PJSC | 152,461 | 311,306 | ||||
Abu Dhabi National Oil Co. for Distribution PJSC | 312,665 | 359,219 | ||||
Aldar Properties PJSC | 388,751 | 470,976 | ||||
Dubai Islamic Bank PJSC | 297,042 | 465,809 | ||||
Emaar Properties PJSC | 405,683 | 574,325 |
Security Description | Shares | Value | ||||
Emirates NBD Bank PJSC | 192,394 | $ 691,405 | ||||
Emirates Telecommunications Group Co. PJSC | 356,929 | 2,536,235 | ||||
First Abu Dhabi Bank PJSC | 453,149 | 2,316,882 | ||||
8,407,820 | ||||||
UNITED STATES — 0.2% | ||||||
JBS SA | 84,000 | 507,426 | ||||
Legend Biotech Corp. ADR (a) | 4,800 | 264,000 | ||||
Parade Technologies, Ltd. | 8,000 | 309,416 | ||||
1,080,842 | ||||||
TOTAL COMMON STOCKS (Cost $572,490,534) | 641,364,234 |
PREFERRED STOCKS — 0.0% (f) | |||
RUSSIA — 0.0% | |||
Surgutneftegas PJSC, (d) (Cost: $464,774) | 807,200 | — | |
RIGHTS — 0.0% (f) | |||
HONG KONG — 0.0% (f) | |||
MICROPORT Rights (expiring 07/29/22) (a)(d) (Cost: $0) | 24 | — | |
WARRANTS — 2.8% | |||
CHINA — 1.1% | |||
MSCI CHINA A INCLUSION Net Return USD Index (expiring 8/31/27) (a) | 5,200 | 7,746,970 | |
SWITZERLAND — 1.7% | |||
UBS AG (expiring 11/26/27) (a) | 3,600 | 5,079,269 | |
UBS AG (expiring 5/28/27) (a) | 4,202 | 6,058,393 | |
11,137,662 | |||
THAILAND — 0.0% (f) | |||
Srisawad Corp. PCL (expiring 8/29/25) (a) | 3,196 | 457 | |
TOTAL WARRANTS (Cost $15,894,439) | 18,885,089 | ||
SHORT-TERM INVESTMENTS — 1.1% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.49% (g)(h) | 1,972,169 | 1,971,972 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (i) | 5,361,979 | $ 5,361,979 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,333,951) | 7,333,951 | |||||
TOTAL INVESTMENTS — 99.5% (Cost $596,183,698) | 667,583,274 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 3,026,316 | |||||
NET ASSETS — 100.0% | $ 670,609,590 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.8% of net assets as of June 30, 2022, 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 June 30, 2022. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2022, total aggregate fair value of the securities is $254,838, representing 0.04% of the Fund's net assets. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | Amount is less than 0.05% of net assets. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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) | |||||
E-Mini MSCI Emerging Markets (long) | 244 | 09/16/2022 | $12,315,198 | $12,232,940 | $(82,258) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $628,643,644 | $12,465,752 | $254,838 | $641,364,234 | ||||
Preferred Stocks | — | — | 0(a) | — | ||||
Rights | — | — | 0(a) | — | ||||
Warrants | 457 | 18,884,632 | — | 18,885,089 | ||||
Short-Term Investments | 7,333,951 | — | — | 7,333,951 | ||||
TOTAL INVESTMENTS | $635,978,052 | $31,350,384 | $254,838 | $667,583,274 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (82,258) | — | — | (82,258) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (82,258) | $ — | $ — | $ (82,258) |
(a) | The Fund held a Level 3 security that was valued at $0 at June 30, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Financials | 23.2% | |
Information Technology | 18.5 | |
Consumer Discretionary | 14.4 | |
Communication Services | 10.4 | |
Materials | 7.9 | |
TOTAL | 74.4% |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 31,402,985 | $31,406,126 | $ 119,576,167 | $ 149,006,211 | $(5,920) | $1,810 | 1,972,169 | $1,971,972 | $19,342 | ||||||||
State Street Navigator Securities Lending Portfolio II | 3,735,580 | 3,735,580 | 29,563,823 | 27,937,424 | — | — | 5,361,979 | 5,361,979 | 12,567 | ||||||||
Total | $35,141,706 | $149,139,990 | $176,943,635 | $(5,920) | $1,810 | $7,333,951 | $31,909 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $660,249,323 |
Investments in affiliated issuers, at value | 7,333,951 |
Total Investments | 667,583,274 |
Foreign currency, at value | 3,472,554 |
Net cash at broker | 698,817 |
Receivable for investments sold | 2,254,387 |
Receivable for fund shares sold | 2,210,035 |
Dividends receivable — unaffiliated issuers | 3,503,347 |
Dividends receivable — affiliated issuers | 3,319 |
Securities lending income receivable — unaffiliated issuers | 7,991 |
Securities lending income receivable — affiliated issuers | 2,171 |
Receivable from Adviser | 157,246 |
Receivable for foreign taxes recoverable | 5,107 |
TOTAL ASSETS | 679,898,248 |
LIABILITIES | |
Payable upon return of securities loaned | 5,361,979 |
Payable for investments purchased | 130,594 |
Payable for fund shares repurchased | 1,275,037 |
Payable to broker – accumulated variation margin on open futures contracts | 81,587 |
Deferred foreign taxes payable | 1,868,358 |
Advisory fee payable | 84,059 |
Custodian fees payable | 318,896 |
Administration fees payable | 30,023 |
Transfer agent fees payable | 9,171 |
Registration and filing fees payable | 19,991 |
Professional fees payable | 14,818 |
Printing and postage fees payable | 30,943 |
Accrued expenses and other liabilities | 63,202 |
TOTAL LIABILITIES | 9,288,658 |
NET ASSETS | $670,609,590 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $643,208,589 |
Total distributable earnings (loss)** | 27,401,001 |
NET ASSETS | $670,609,590 |
Class K | |
Net Assets | $670,609,590 |
Shares Outstanding | 10,724,573 |
Net asset value, offering and redemption price per share | $ 62.53 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $588,849,747 |
Investments in affiliated issuers | 7,333,951 |
Total cost of investments | $596,183,698 |
Foreign currency, at cost | $ 3,283,853 |
* Includes investments in securities on loan, at value | $ 16,215,256 |
** Includes deferred foreign taxes | $ 1,815,466 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 13,565,826 |
Dividend income — affiliated issuers | 19,342 |
Unaffiliated securities lending income | 56,899 |
Affiliated securities lending income | 12,567 |
Foreign taxes withheld | (1,218,106) |
TOTAL INVESTMENT INCOME (LOSS) | 12,436,528 |
EXPENSES | |
Advisory fee | 601,299 |
Administration fees | 214,750 |
Custodian fees | 392,710 |
Trustees’ fees and expenses | 13,915 |
Transfer agent fees | 16,523 |
Registration and filing fees | 18,658 |
Professional fees | 21,604 |
Printing and postage fees | 10,408 |
Insurance expense | 1,503 |
Interest expense | 7,263 |
Miscellaneous expenses | 84,024 |
TOTAL EXPENSES | 1,382,657 |
Expenses waived/reimbursed by the Adviser | (642,885) |
NET EXPENSES | 739,772 |
NET INVESTMENT INCOME (LOSS) | $ 11,696,756 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,784,263) |
Investments — affiliated issuers | (5,920) |
Foreign currency transactions | (1,463,399) |
Futures contracts | (4,558,664) |
Net realized gain (loss) | (13,812,246) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | (165,755,353) |
Investments — affiliated issuers | 1,810 |
Foreign currency translations | 144,014 |
Futures contracts | 182,134 |
Net change in unrealized appreciation/depreciation | (165,427,395) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (179,239,641) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(167,542,885) |
* Includes foreign capital gain taxes | $ (321,976) |
** Includes foreign deferred taxes | $ 1,662,927 |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 11,696,756 | $ 17,979,959 | |
Net realized gain (loss) | (13,812,246) | 1,710,996 | |
Net change in unrealized appreciation/depreciation | (165,427,395) | (46,785,757) | |
Net increase (decrease) in net assets resulting from operations | (167,542,885) | (27,094,802) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (17,489,086) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Other Capital | (27) | — | |
Net increase (decrease) from share transactions | (27) | — | |
Class K | |||
Proceeds from sale of shares sold | 164,243,991 | 317,148,590 | |
Reinvestment of distributions | — | 17,166,090 | |
Cost of shares redeemed | (244,303,315) | (250,814,270) | |
Net increase (decrease) in net assets from beneficial interest transactions | (80,059,351) | 83,500,410 | |
Net increase (decrease) in net assets during the period | (247,602,236) | 38,916,522 | |
Net assets at beginning of period | 918,211,826 | 879,295,304 | |
NET ASSETS AT END OF PERIOD | $ 670,609,590 | $ 918,211,826 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 2,299,659 | 3,897,769 | |
Reinvestment of distributions | — | 227,035 | |
Shares redeemed | (3,661,267) | (3,072,194) | |
Net increase (decrease) from share transactions | (1,361,608) | 1,052,610 |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 75.97 | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.94 | 1.65 | 1.28 | 2.00 | 1.60 | 1.45 | |||||
Net realized and unrealized gain (loss) | (14.38) | (3.89) | 11.18 | 8.85 | (12.30) | 18.60 | |||||
Total from investment operations | (13.44) | (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 | $ 62.53 | $ 75.97 | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | |||||
Total return (c) | (17.72)% | (2.80)% | 18.18% | 18.13% | (14.77)% | 37.19% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $670,610 | $918,212 | $879,295 | $743,712 | $580,430 | $607,947 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.32%(d) | 0.30% | 0.31% | 0.33% | 0.33% | 0.34% | |||||
Net expenses | 0.17%(d) | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | |||||
Net investment income (loss) | 2.72%(d) | 2.02% | 1.94% | 3.10% | 2.36% | 2.23% | |||||
Portfolio turnover rate | 13%(e) | 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. |
(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. |
(d) | Annualized. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Emerging Markets Equity Index Fund | Class A | Not Commenced | Diversified |
Class I | Not Commenced | Diversified | |
Class K | December 21, 2015 | Diversified |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $(671) | $— | $— | $82,258 | $— | $81,587 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (4,558,664) | $— | (4,558,664) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $182,134 | $— | $182,134 |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $105,517,444 | $146,344,303 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $604,603,683 | $135,480,732 | $72,583,399 | $62,897,333 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 16,215,256 | $ 5,361,979 | $ 12,082,750 | $ 17,444,729 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Emerging Markets Equity Index Fund | Common Stocks | $5,361,979 | $— | $— | $— | $5,361,979 | $5,361,979 |
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 | $0.84 | $1,024.00 | $0.85 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
14 |
% of Net Assets | |||
Common Stocks | 95.9% | ||
Short-Term Investment | 5.5 | ||
Liabilities in Excess of Other Assets | (1.4) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 95.9% | ||||||
CHINA — 21.3% | ||||||
China Construction Bank Corp. Class H | 84,000 | $ 56,414 | ||||
CITIC Securities Co., Ltd. Class H | 26,600 | 59,458 | ||||
Dali Foods Group Co., Ltd. (a) | 102,000 | 54,205 | ||||
Gree Electric Appliances, Inc. of Zhuhai Class A | 10,900 | 54,824 | ||||
Haitian International Holdings, Ltd. | 24,000 | 61,323 | ||||
Lee & Man Paper Manufacturing, Ltd. | 135,000 | 57,978 | ||||
Ping An Insurance Group Co. of China, Ltd. Class H | 9,000 | 61,189 | ||||
405,391 | ||||||
FRANCE — 10.9% | ||||||
BNP Paribas SA | 990 | 46,953 | ||||
Dassault Aviation SA | 351 | 54,639 | ||||
Sanofi | 546 | 54,992 | ||||
Societe Generale SA | 2,308 | 50,406 | ||||
206,990 | ||||||
GERMANY — 2.8% | ||||||
Bayerische Motoren Werke AG | 706 | 54,220 | ||||
HONG KONG — 3.4% | ||||||
WH Group, Ltd. (a) | 84,148 | 64,985 | ||||
HUNGARY — 2.5% | ||||||
Richter Gedeon Nyrt | 2,697 | 48,534 | ||||
ITALY — 3.2% | ||||||
Leonardo SpA | 5,979 | 60,495 | ||||
JAPAN — 13.8% | ||||||
Alfresa Holdings Corp. | 4,100 | 55,077 | ||||
Komatsu, Ltd. | 2,400 | 53,139 | ||||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 53,422 | ||||
TBS Holdings, Inc. | 4,000 | 50,024 | ||||
Zeon Corp. | 5,400 | 52,229 | ||||
263,891 | ||||||
MACAU — 3.2% | ||||||
Sands China, Ltd. (b) | 25,600 | 61,073 | ||||
SOUTH KOREA — 12.0% | ||||||
Hyundai Mobis Co., Ltd. | 357 | 54,716 | ||||
KB Financial Group, Inc. | 1,551 | 57,517 | ||||
KT&G Corp. | 969 | 61,346 | ||||
Samsung Electronics Co., Ltd. Preference Shares | 1,398 | 55,989 | ||||
229,568 |
Security Description | Shares | Value | ||||
SPAIN — 5.8% | ||||||
ACS Actividades de Construccion y Servicios SA | 2,348 | $ 56,777 | ||||
Banco Bilbao Vizcaya Argentaria SA | 11,738 | 53,142 | ||||
109,919 | ||||||
SWITZERLAND — 5.4% | ||||||
Adecco Group AG (b) | 1,446 | 48,998 | ||||
Holcim AG (b) | 1,238 | 53,065 | ||||
102,063 | ||||||
TAIWAN — 2.9% | ||||||
Catcher Technology Co., Ltd. | 10,000 | 55,661 | ||||
UNITED KINGDOM — 6.1% | ||||||
Rolls-Royce Holdings PLC (b) | 57,783 | 58,210 | ||||
Standard Chartered PLC | 7,835 | 58,861 | ||||
117,071 | ||||||
UNITED STATES — 2.6% | ||||||
Newmont Corp. | 820 | 48,693 | ||||
TOTAL COMMON STOCKS (Cost $1,919,493) | 1,828,554 |
SHORT-TERM INVESTMENT — 5.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) (Cost $105,130) | 105,130 | 105,130 | |
TOTAL INVESTMENTS — 101.4% (Cost $2,024,623) | 1,933,684 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.4)% | (26,669) | ||
NET ASSETS — 100.0% | $ 1,907,015 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 6.3% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,828,554 | $— | $— | $1,828,554 | ||||
Short-Term Investment | 105,130 | — | — | 105,130 | ||||
TOTAL INVESTMENTS | $1,933,684 | $— | $— | $1,933,684 |
% of Net Assets | ||
Financials | 26.1% | |
Industrials | 20.6 | |
Consumer Discretionary | 11.8 | |
Materials | 11.1 | |
Consumer Staples | 9.5 | |
Health Care | 8.3 | |
Information Technology | 5.9 | |
Communication Services | 2.6 | |
Short-Term Investment | 5.5 | |
Liabilities in Excess of Other Assets | (1.4) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,960 | $11,960 | $266,573 | $173,403 | $— | $— | 105,130 | $105,130 | $215 |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,828,554 |
Investments in affiliated issuers, at value | 105,130 |
Total Investments | 1,933,684 |
Foreign currency, at value | 17,205 |
Receivable for investments sold | 30,291 |
Dividends receivable — unaffiliated issuers | 8,524 |
Dividends receivable — affiliated issuers | 91 |
Receivable from Adviser (Note 3) | 17,731 |
Receivable for foreign taxes recoverable | 1,502 |
TOTAL ASSETS | 2,009,028 |
LIABILITIES | |
Payable for investments purchased | 30,708 |
Advisory fee payable | 1,210 |
Custodian fees payable | 16,030 |
Administration fees payable | 81 |
Trustees’ fees and expenses payable | 18 |
Transfer agent fees payable | 83 |
Registration and filing fees payable | 4,002 |
Professional fees payable | 30,008 |
Printing and postage fees payable | 16,570 |
Accrued expenses and other liabilities | 3,303 |
TOTAL LIABILITIES | 102,013 |
NET ASSETS | $1,907,015 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,004,459 |
Total distributable earnings (loss) | (97,444) |
NET ASSETS | $1,907,015 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $1,907,015 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $ 9.54 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,919,493 |
Investments in affiliated issuers | 105,130 |
Total cost of investments | $2,024,623 |
Foreign currency, at cost | $ 17,321 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $ 53,345 |
Dividend income — affiliated issuers | 215 |
Foreign taxes withheld | (4,865) |
TOTAL INVESTMENT INCOME (LOSS) | 48,695 |
EXPENSES | |
Advisory fee | 7,567 |
Administration fees | 504 |
Custodian fees | 19,787 |
Trustees’ fees and expenses | 10,527 |
Transfer agent fees | 596 |
Registration and filing fees | 13,710 |
Professional fees | 21,237 |
Printing and postage fees | 5,346 |
Insurance expense | 4 |
Miscellaneous expenses | 687 |
TOTAL EXPENSES | 79,965 |
Expenses waived/reimbursed by the Adviser | (72,398) |
NET EXPENSES | 7,567 |
NET INVESTMENT INCOME (LOSS) | $ 41,128 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 41,433 |
Foreign currency transactions | (1,588) |
Net realized gain (loss) | 39,845 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (237,134) |
Foreign currency translations | (503) |
Net change in unrealized appreciation/depreciation | (237,637) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (197,792) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(156,664) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 41,128 | $ 45,194 | |
Net realized gain (loss) | 39,845 | 191,182 | |
Net change in unrealized appreciation/depreciation | (237,637) | (163,153) | |
Net increase (decrease) in net assets resulting from operations | (156,664) | 73,223 | |
Distributions to shareholders | — | (45,200) | |
Proceeds from shares sold | — | 161,310 | |
Cost of shares redeemed | — | (156,513) | |
Net increase (decrease) in net assets from beneficial interest transactions | — | 4,797 | |
Net increase (decrease) in net assets during the period | (156,664) | 32,820 | |
Net assets at beginning of period | 2,063,679 | 2,030,859 | |
NET ASSETS AT END OF PERIOD | $1,907,015 | $2,063,679 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | 15,047 | |
Shares redeemed | — | (15,047) | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $10.32 | $10.15 | $ 9.54 | $ 8.08 | $ 12.56 | $ 11.25 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.21 | 0.22 | 0.15 | 0.18 | 0.21 | 0.24 | |||||
Net realized and unrealized gain (loss) | (0.99) | 0.18 | 0.57 | 1.47 | (2.66) | 2.56 | |||||
Total from investment operations | (0.78) | 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 | $ 9.54 | $10.32 | $10.15 | $ 9.54 | $ 8.08 | $12.56 | |||||
Total return (b) | (7.56)% | 3.90% | 8.01%(c) | 20.39% | (19.32)% | 25.03% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,907 | $2,064 | $2,031 | $1,907 | $ 1,617 | $2,512 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 7.93%(d) | 7.18% | 11.20% | 12.74% | 7.58% | 7.26% | |||||
Net expenses | 0.75%(d) | 0.75% | 0.75% | 0.75% | 0.75% | 0.75% | |||||
Net investment income (loss) | 4.08%(d) | 2.04% | 1.70% | 2.09% | 1.76% | 1.86% | |||||
Portfolio turnover rate | 14%(e) | 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%. |
(d) | Annualized. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street International Value Spotlight Fund | Class A | Not commenced | Non-diversified |
Class I | Not commenced | 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% |
Purchases | Sales | ||
State Street International Value Spotlight Fund | $283,321 | $323,887 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $2,052,433 | $134,441 | $253,190 | $(118,749) |
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% | $924.40 | $3.58 | $1,021.10 | $3.76 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Advisers with respect to the Fund and (b) affiliates of the Advisers that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Advisers, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Advisers and their affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Advisers; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Advisers to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Advisers' technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Advisers; and |
• | Information regarding the Advisers’ risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and Sub-Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Advisers, State Street and the Distributor with respect to the Fund providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Target Retirement Fund |
State Street Target Retirement 2020 Fund |
State Street Target Retirement 2025 Fund |
State Street Target Retirement 2030 Fund |
State Street Target Retirement 2035 Fund |
State Street Target Retirement 2040 Fund |
State Street Target Retirement 2045 Fund |
State Street Target Retirement 2050 Fund |
State Street Target Retirement 2055 Fund |
State Street Target Retirement 2060 Fund |
State Street Target Retirement 2065 Fund |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
9 | |
10 | |
11 | |
Schedules of Investments (Unaudited) | |
12 | |
14 | |
16 | |
18 | |
20 | |
22 | |
24 | |
26 | |
28 | |
29 | |
31 | |
34 | |
43 | |
76 | |
83 |
% of Net Assets | |||
Domestic Fixed Income | 47.1% | ||
Domestic Equity | 18.4 | ||
Inflation Linked | 18.0 | ||
International Equity | 11.3 | ||
Real Estate | 5.0 | ||
Short Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (2.4) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 40.9% | ||
Domestic Equity | 22.1 | ||
Inflation Linked | 18.0 | ||
International Equity | 13.8 | ||
Real Estate | 4.9 | ||
Short Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (2.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 32.6% | ||
Domestic Equity | 29.8 | ||
International Equity | 19.7 | ||
Inflation Linked | 13.9 | ||
Real Estate | 3.7 | ||
Short Term Investments | 1.9 | ||
Liabilities in Excess of Other Assets | (1.6) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 37.4% | ||
Domestic Fixed Income | 29.6 | ||
International Equity | 26.7 | ||
Inflation Linked | 4.9 | ||
Real Estate | 1.2 | ||
Short Term Investments | 5.5 | ||
Liabilities in Excess of Other Assets | (5.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 41.9% | ||
International Equity | 30.8 | ||
Domestic Fixed Income | 27.1 | ||
Short Term Investments | 1.2 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 46.1% | ||
International Equity | 33.9 | ||
Domestic Fixed Income | 19.8 | ||
Short Term Investments | 0.3 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||||
Domestic Equity | 49.0% | ||||
International Equity | 36.0 | ||||
Domestic Fixed Income | 14.7 | ||||
Short Term Investments | 0.3 | ||||
Other Assets in Excess of Liabilities | 0.0* | ||||
TOTAL | 100.0% | ||||
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Domestic Equity | 51.6% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 10.1 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.6% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 10.1 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.6% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 10.1 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.5% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 10.1 | ||
Short Term Investments | 0.3 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 18.4% | ||||||
State Street Equity 500 Index II Portfolio | 268,531 | $ 92,841,970 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 75,051 | 17,285,064 | ||||
110,127,034 | ||||||
DOMESTIC FIXED INCOME — 47.1% | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 462,740 | 41,975,145 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 811,130 | 24,114,895 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 3,236,695 | 95,320,668 | ||||
State Street Aggregate Bond Index Portfolio | 1,323,478 | 121,508,538 | ||||
282,919,246 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 5,560,814 | 108,213,440 | ||||
INTERNATIONAL EQUITY — 11.3% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 682,824 | 68,104,840 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 673,169 | 29,713,680 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $632,672,820) | 599,078,240 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 1,664,090 | $ 1,664,090 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 14,263,794 | 14,263,794 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,927,884) | $ 15,927,884 | |||||
TOTAL INVESTMENTS — 102.4% (Cost $648,600,704) | 615,006,124 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)% | (14,699,118) | |||||
NET ASSETS — 100.0% | $ 600,307,006 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $599,078,240 | $— | $— | $599,078,240 | ||||
Short-Term Investments | 15,927,884 | — | — | 15,927,884 | ||||
TOTAL INVESTMENTS | $615,006,124 | $— | $— | $615,006,124 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 5,401,922 | $ 114,088,593 | $ 16,235,654 | $ 12,658,669 | $ 723,229 | $(10,175,367) | 5,560,814 | $108,213,440 | $3,268,925 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 408,041 | 44,301,011 | 8,323,044 | 2,785,568 | (261,959) | (7,601,383) | 462,740 | 41,975,145 | 894,313 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 561,752 | 31,755,841 | 7,189,993 | 1,877,605 | 615,484 | (7,970,033) | 673,169 | 29,713,680 | 365,145 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 818,052 | 25,335,070 | 2,938,764 | 3,092,264 | (72,578) | (994,097) | 811,130 | 24,114,895 | 131,903 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 3,286,367 | 100,004,148 | 11,715,885 | 13,012,307 | (189,803) | (3,197,255) | 3,236,695 | 95,320,668 | 231,837 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,227,873 | 126,986,660 | 18,567,783 | 8,905,764 | (219,231) | (14,920,910) | 1,323,478 | 121,508,538 | 1,109,303 | ||||||||
State Street Equity 500 Index II Portfolio | 227,447 | 98,277,562 | 20,037,623 | 4,625,310 | 1,304,047 | (22,151,952) | 268,531 | 92,841,970 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 594,113 | 73,022,395 | 15,819,795 | 6,025,073 | 2,121,442 | (16,833,719) | 682,824 | 68,104,840 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,468,715 | 1,468,715 | 81,845,799 | 81,650,424 | — | — | 1,664,090 | 1,664,090 | 3,140 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,371,675 | 4,371,675 | 543,854,215 | 533,962,096 | — | — | 14,263,794 | 14,263,794 | 356,924 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 58,639 | 18,548,215 | 4,650,000 | 420,000 | 19,339 | (5,512,490) | 75,051 | 17,285,064 | — | ||||||||
Total | $638,159,885 | $731,178,555 | $669,015,080 | $4,039,970 | $(89,357,206) | $615,006,124 | $6,361,490 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 22.1% | ||||||
State Street Equity 500 Index II Portfolio | 461,528 | $ 159,568,646 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 136,909 | 31,531,594 | ||||
191,100,240 | ||||||
DOMESTIC FIXED INCOME — 40.9% | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 668,006 | 60,594,825 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 726,493 | 21,598,637 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 2,875,867 | 84,694,283 | ||||
State Street Aggregate Bond Index Portfolio | 2,034,808 | 186,815,705 | ||||
353,703,450 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 8,026,138 | 156,188,645 | ||||
INTERNATIONAL EQUITY — 13.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,197,518 | 119,440,493 | ||||
REAL ESTATE — 4.9% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 970,579 | 42,841,357 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $907,974,279) | 863,274,185 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 518,935 | $ 518,935 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 21,911,320 | 21,911,320 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,430,255) | $ 22,430,255 | |||||
TOTAL INVESTMENTS — 102.3% (Cost $930,404,534) | 885,704,440 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.3)% | (20,284,695) | |||||
NET ASSETS — 100.0% | $ 865,419,745 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $863,274,185 | $— | $— | $863,274,185 | ||||
Short-Term Investments | 22,430,255 | — | — | 22,430,255 | ||||
TOTAL INVESTMENTS | $885,704,440 | $— | $— | $885,704,440 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 8,385,032 | $177,091,876 | $ 17,556,748 | $ 24,325,087 | $ 1,176,422 | $ (15,311,314) | 8,026,138 | $156,188,645 | $4,854,168 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 633,305 | 68,757,924 | 8,603,408 | 4,933,835 | (356,800) | (11,475,872) | 668,006 | 60,594,825 | 1,340,040 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 872,100 | 49,299,813 | 8,620,628 | 4,055,863 | 134,901 | (11,158,122) | 970,579 | 42,841,357 | 540,141 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 708,367 | 21,938,126 | 4,329,541 | 3,750,488 | 31,506 | (950,048) | 726,493 | 21,598,637 | 113,885 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 2,817,589 | 85,739,233 | 12,762,871 | 10,934,148 | (381,322) | (2,492,351) | 2,875,867 | 84,694,283 | 198,660 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,033,693 | 210,324,489 | 25,514,403 | 24,519,920 | (624,692) | (23,878,575) | 2,034,808 | 186,815,705 | 1,771,207 | ||||||||
State Street Equity 500 Index II Portfolio | 432,762 | 186,992,273 | 28,319,277 | 17,395,903 | 7,041,832 | (45,388,833) | 461,528 | 159,568,646 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,162,726 | 142,910,624 | 19,493,656 | 15,434,080 | 2,958,094 | (30,487,801) | 1,197,518 | 119,440,493 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,114,207 | 2,114,207 | 125,844,551 | 127,439,823 | — | — | 518,935 | 518,935 | 3,875 | ||||||||
State Street Navigator Securities Lending Portfolio II | 12,559,763 | 12,559,763 | 1,031,919,725 | 1,022,568,168 | — | — | 21,911,320 | 21,911,320 | 474,764 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 120,189 | 38,016,902 | 6,300,000 | 1,940,000 | 449,735 | (11,295,043) | 136,909 | 31,531,594 | — | ||||||||
Total | $995,745,230 | $1,289,264,808 | $1,257,297,315 | $10,429,676 | $(152,437,959) | $885,704,440 | $9,296,740 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 29.8% | ||||||
State Street Equity 500 Index II Portfolio | 1,110,198 | $ 383,839,903 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 372,562 | 85,804,698 | ||||
469,644,601 | ||||||
DOMESTIC FIXED INCOME — 32.6% | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 1,158,601 | 105,096,697 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 407,646 | 12,013,328 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 858,003 | 28,374,159 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 307,755 | 9,149,556 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 1,140,970 | 33,601,567 | ||||
State Street Aggregate Bond Index Portfolio | 3,536,577 | 324,693,131 | ||||
512,928,438 | ||||||
INFLATION LINKED — 13.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 11,262,335 | 219,165,039 | ||||
INTERNATIONAL EQUITY — 19.7% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,113,244 | 310,514,986 | ||||
REAL ESTATE — 3.7% | ||||||
SPDR Dow Jones Global Real Estate ETF | 1,325,762 | 58,519,135 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,687,552,845) | 1,570,772,199 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 4,243,522 | $ 4,243,522 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 25,746,981 | 25,746,981 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $29,990,503) | $ 29,990,503 | |||||
TOTAL INVESTMENTS — 101.6% (Cost $1,717,543,348) | 1,600,762,702 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.6)% | (25,724,396) | |||||
NET ASSETS — 100.0% | $ 1,575,038,306 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $1,570,772,199 | $— | $— | $1,570,772,199 | ||||
Short-Term Investments | 29,990,503 | — | — | 29,990,503 | ||||
TOTAL INVESTMENTS | $1,600,762,702 | $— | $— | $1,600,762,702 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 10,654,819 | $ 225,029,777 | $ 30,616,360 | $ 17,501,466 | $ 169,822 | $ (19,149,454) | 11,262,335 | $ 219,165,039 | $ 6,554,884 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 1,047,091 | 113,682,670 | 15,348,336 | 3,772,548 | (331,702) | (19,830,059) | 1,158,601 | 105,096,697 | 2,279,269 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 1,072,800 | 60,645,384 | 13,219,442 | 950,895 | 83,991 | (14,478,787) | 1,325,762 | 58,519,135 | 710,847 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 484,840 | 15,539,122 | 1,687,737 | 3,923,884 | (311,219) | (978,428) | 407,646 | 12,013,328 | 59,241 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 867,995 | 36,585,989 | 3,136,411 | 3,250,317 | (1,088,701) | (7,009,223) | 858,003 | 28,374,159 | 283,117 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 251,469 | 7,787,995 | 1,800,835 | 99,778 | (4,247) | (335,249) | 307,755 | 9,149,556 | 43,748 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 905,419 | 27,551,900 | 7,710,302 | 698,276 | (25,429) | (936,930) | 1,140,970 | 33,601,567 | 70,602 | ||||||||
State Street Aggregate Bond Index Portfolio | 3,378,115 | 349,364,608 | 49,146,298 | 32,258,626 | (921,298) | (40,637,851) | 3,536,577 | 324,693,131 | 3,027,454 | ||||||||
State Street Equity 500 Index II Portfolio | 999,618 | 431,924,946 | 70,638,327 | 27,641,285 | 11,502,811 | (102,584,896) | 1,110,198 | 383,839,903 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,913,260 | 358,068,741 | 48,620,757 | 25,273,154 | 3,738,127 | (74,639,485) | 3,113,244 | 310,514,986 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,522,704 | 4,522,704 | 196,519,910 | 196,799,092 | — | — | 4,243,522 | 4,243,522 | 8,043 | ||||||||
State Street Navigator Securities Lending Portfolio II | 39,569,936 | 39,569,936 | 1,287,865,763 | 1,301,688,718 | — | — | 25,746,981 | 25,746,981 | 660,911 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 313,498 | 99,162,656 | 17,000,000 | 1,300,000 | 318,512 | (29,376,470) | 372,562 | 85,804,698 | — | ||||||||
Total | $1,769,436,428 | $1,743,310,478 | $1,615,158,039 | $13,130,667 | $(309,956,832) | $1,600,762,702 | $13,698,116 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 37.4% | ||||||
State Street Equity 500 Index II Portfolio | 1,643,159 | $ 568,105,651 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 629,202 | 144,911,607 | ||||
713,017,258 | ||||||
DOMESTIC FIXED INCOME — 29.6% | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 1,172,011 | 106,313,118 | ||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,480,548 | 43,631,749 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,995,455 | 99,059,697 | ||||
State Street Aggregate Bond Index Portfolio | 3,439,118 | 315,745,390 | ||||
564,749,954 | ||||||
INFLATION LINKED — 4.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 4,800,229 | 93,412,456 | ||||
INTERNATIONAL EQUITY — 26.7% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,098,015 | 508,476,055 | ||||
REAL ESTATE — 1.2% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 535,144 | 23,621,256 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $2,058,256,909) | 1,903,276,979 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 7,718,323 | $ 7,718,323 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 96,649,106 | 96,649,106 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $104,367,429) | $ 104,367,429 | |||||
TOTAL INVESTMENTS — 105.3% (Cost $2,162,624,338) | 2,007,644,408 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.3)% | (100,320,694) | |||||
NET ASSETS — 100.0% | $ 1,907,323,714 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $1,903,276,979 | $— | $— | $1,903,276,979 | ||||
Short-Term Investments | 104,367,429 | — | — | 104,367,429 | ||||
TOTAL INVESTMENTS | $2,007,644,408 | $— | $— | $2,007,644,408 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 3,795,986 | $ 80,171,224 | $ 22,378,944 | $ 1,684,354 | $ 35,627 | $ (7,488,985) | 4,800,229 | $ 93,412,456 | $ 2,600,465 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 1,016,328 | 110,342,731 | 20,455,330 | 4,205,188 | 377,257 | (20,657,012) | 1,172,011 | 106,313,118 | 2,300,050 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 362,329 | 20,482,458 | 8,587,668 | 126,044 | 33,869 | (5,356,695) | 535,144 | 23,621,256 | 262,238 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,530,102 | 49,039,769 | 7,587,189 | 8,758,412 | (726,496) | (3,510,301) | 1,480,548 | 43,631,749 | 199,601 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,636,795 | 111,140,909 | 18,375,587 | 4,386,202 | (1,284,539) | (24,786,058) | 2,995,455 | 99,059,697 | 919,150 | ||||||||
State Street Aggregate Bond Index Portfolio | 3,198,333 | 330,771,626 | 56,936,902 | 31,515,151 | (1,811,016) | (38,636,971) | 3,439,118 | 315,745,390 | 2,961,651 | ||||||||
State Street Equity 500 Index II Portfolio | 1,421,809 | 614,349,401 | 116,497,773 | 29,765,772 | 11,520,900 | (144,496,651) | 1,643,159 | 568,105,651 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,567,098 | 561,341,982 | 86,336,810 | 24,296,462 | 1,153,743 | (116,060,018) | 5,098,015 | 508,476,055 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,876,897 | 5,876,897 | 238,400,148 | 236,558,722 | — | — | 7,718,323 | 7,718,323 | 11,796 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,301,775 | 4,301,775 | 1,070,015,284 | 977,667,953 | — | — | 96,649,106 | 96,649,106 | 883,550 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 506,884 | 160,332,494 | 34,100,000 | 1,300,000 | 364,517 | (48,585,404) | 629,202 | 144,911,607 | — | ||||||||
Total | $2,048,151,266 | $1,679,671,635 | $1,320,264,260 | $ 9,663,862 | $(409,578,095) | $2,007,644,408 | $10,138,501 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 41.9% | ||||||
State Street Equity 500 Index II Portfolio | 1,624,791 | $ 561,755,233 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 707,390 | 162,919,000 | ||||
724,674,233 | ||||||
DOMESTIC FIXED INCOME — 27.1% | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 663,484 | 60,184,634 | ||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,791,593 | 52,798,246 | ||||
SPDR Portfolio Long Term Treasury ETF | 3,664,918 | 121,198,838 | ||||
State Street Aggregate Bond Index Portfolio | 2,545,401 | 233,693,208 | ||||
467,874,926 | ||||||
INTERNATIONAL EQUITY — 30.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,346,080 | 533,218,047 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,865,336,488) | 1,725,767,206 | |||||
SHORT-TERM INVESTMENTS — 1.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 5,337,044 | 5,337,044 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 15,771,767 | $ 15,771,767 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $21,108,811) | $ 21,108,811 | ||||
TOTAL INVESTMENTS — 101.0% (Cost $1,886,445,299) | 1,746,876,017 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)% | (17,322,782) | ||||
NET ASSETS — 100.0% | $ 1,729,553,235 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $1,725,767,206 | $— | $— | $1,725,767,206 | ||||
Short-Term Investments | 21,108,811 | — | — | 21,108,811 | ||||
TOTAL INVESTMENTS | $1,746,876,017 | $— | $— | $1,746,876,017 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Bloomberg High Yield Bond ETF | 539,334 | $ 58,555,492 | $ 14,031,286 | $ 1,394,591 | $ (14,901) | $ (10,992,652) | 663,484 | $ 60,184,634 | $1,240,250 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,728,318 | 55,392,592 | 9,883,519 | 7,649,139 | (660,153) | (4,168,573) | 1,791,593 | 52,798,246 | 229,696 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 3,002,904 | 126,572,404 | 29,283,412 | 4,527,180 | (1,140,266) | (28,989,532) | 3,664,918 | 121,198,838 | 1,066,554 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,294,817 | 237,330,020 | 46,888,065 | 21,400,000 | (915,389) | (28,209,488) | 2,545,401 | 233,693,208 | 2,139,441 | ||||||||
State Street Equity 500 Index II Portfolio | 1,397,204 | 603,718,049 | 115,608,170 | 26,417,170 | 9,575,981 | (140,729,797) | 1,624,791 | 561,755,233 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,736,185 | 582,124,442 | 88,619,630 | 17,691,326 | 683,540 | (120,518,239) | 5,346,080 | 533,218,047 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,901,736 | 5,901,736 | 207,419,254 | 207,983,946 | — | — | 5,337,044 | 5,337,044 | 11,460 | ||||||||
State Street Navigator Securities Lending Portfolio II | 3,652,721 | 3,652,721 | 637,003,598 | 624,884,552 | — | — | 15,771,767 | 15,771,767 | 422,928 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 568,226 | 179,735,652 | 39,059,919 | 1,700,001 | 117,848 | (54,294,418) | 707,390 | 162,919,000 | — | ||||||||
Total | $1,852,983,108 | $1,187,796,853 | $913,647,905 | $ 7,646,660 | $(387,902,699) | $1,746,876,017 | $ 5,110,329 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 46.1% | ||||||
State Street Equity 500 Index II Portfolio | 1,535,559 | $ 530,904,155 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 767,214 | 176,697,107 | ||||
707,601,262 | ||||||
DOMESTIC FIXED INCOME — 19.8% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 1,594,083 | 46,977,626 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 3,256,723 | 107,699,830 | ||||
State Street Aggregate Bond Index Portfolio | 1,618,419 | 148,587,019 | ||||
303,264,475 | ||||||
INTERNATIONAL EQUITY — 33.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,217,824 | 520,425,716 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,650,152,764) | 1,531,291,453 | |||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 4,692,095 | 4,692,095 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 737,420 | $ 737,420 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,429,515) | $ 5,429,515 | ||||
TOTAL INVESTMENTS — 100.1% (Cost $1,655,582,279) | 1,536,720,968 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (2,259,897) | ||||
NET ASSETS — 100.0% | $ 1,534,461,071 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $1,531,291,453 | $— | $— | $1,531,291,453 | ||||
Short-Term Investments | 5,429,515 | — | — | 5,429,515 | ||||
TOTAL INVESTMENTS | $1,536,720,968 | $— | $— | $1,536,720,968 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,556,661 | $ 49,890,985 | $ 8,272,279 | $ 6,845,998 | $ (591,100) | $ (3,748,540) | 1,594,083 | $ 46,977,626 | $ 205,961 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,703,738 | 113,962,557 | 24,596,211 | 3,807,624 | (982,271) | (26,069,043) | 3,256,723 | 107,699,830 | 956,271 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,449,487 | 149,905,970 | 30,101,858 | 12,999,999 | (535,069) | (17,885,741) | 1,618,419 | 148,587,019 | 1,354,617 | ||||||||
State Street Equity 500 Index II Portfolio | 1,328,109 | 573,862,780 | 104,054,816 | 22,293,640 | 7,651,773 | (132,371,574) | 1,535,559 | 530,904,155 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,664,600 | 573,325,950 | 85,481,032 | 20,661,827 | 182,176 | (117,901,615) | 5,217,824 | 520,425,716 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,090,135 | 4,090,135 | 167,365,677 | 166,763,717 | — | — | 4,692,095 | 4,692,095 | 10,074 | ||||||||
State Street Navigator Securities Lending Portfolio II | 16,622,575 | 16,622,575 | 333,093,322 | 348,978,477 | — | — | 737,420 | 737,420 | 19,441 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 622,012 | 196,748,599 | 40,671,098 | 1,500,000 | 75,215 | (59,297,805) | 767,214 | 176,697,107 | — | ||||||||
Total | $1,678,409,551 | $793,636,293 | $583,851,282 | $5,800,724 | $(357,274,318) | $1,536,720,968 | $2,546,364 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 49.0% | ||||||
State Street Equity 500 Index II Portfolio | 1,328,958 | $ 459,473,952 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 767,266 | 176,708,971 | ||||
636,182,923 | ||||||
DOMESTIC FIXED INCOME — 14.7% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,348,132 | 39,729,450 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,758,089 | 91,210,004 | ||||
State Street Aggregate Bond Index Portfolio | 648,375 | 59,527,362 | ||||
190,466,816 | ||||||
INTERNATIONAL EQUITY — 36.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,688,214 | 467,602,473 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,401,350,934) | 1,294,252,212 | |||||
SHORT-TERM INVESTMENT — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (b)(c) (Cost $3,572,209) | 3,572,209 | 3,572,209 | ||||
TOTAL INVESTMENTS — 100.0% (Cost $1,404,923,143) | 1,297,824,421 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%(d) | 213,293 | |||||
NET ASSETS — 100.0% | $ 1,298,037,714 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(d) | Amount is less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,294,252,212 | $— | $— | $1,294,252,212 | ||||
Short-Term Investment | 3,572,209 | — | — | 3,572,209 | ||||
TOTAL INVESTMENTS | $1,297,824,421 | $— | $— | $1,297,824,421 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,304,458 | $ 41,807,879 | $ 7,802,520 | $ 6,242,048 | $ (544,744) | $ (3,094,157) | 1,348,132 | $ 39,729,450 | $ 173,612 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,268,591 | 95,621,111 | 21,569,524 | 3,264,904 | (848,478) | (21,867,249) | 2,758,089 | 91,210,004 | 805,262 | ||||||||
State Street Aggregate Bond Index Portfolio | 540,191 | 55,866,529 | 14,246,320 | 3,600,000 | (212,247) | (6,773,240) | 648,375 | 59,527,362 | 517,502 | ||||||||
State Street Equity 500 Index II Portfolio | 1,140,338 | 492,728,775 | 90,491,566 | 16,279,358 | 5,606,102 | (113,073,133) | 1,328,958 | 459,473,952 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,155,971 | 510,810,442 | 73,400,089 | 11,246,967 | (360,361) | (105,000,730) | 4,688,214 | 467,602,473 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,534,188 | 4,534,188 | 137,439,267 | 138,401,246 | — | — | 3,572,209 | 3,572,209 | 8,980 | ||||||||
State Street Navigator Securities Lending Portfolio II | 15,777,902 | 15,777,902 | 186,257,080 | 202,034,982 | — | — | — | — | 17,423 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 615,715 | 194,756,886 | 42,329,175 | 1,499,999 | 90,646 | (58,967,737) | 767,266 | 176,708,971 | — | ||||||||
Total | $1,411,903,712 | $573,535,541 | $382,569,504 | $3,730,918 | $(308,776,246) | $1,297,824,421 | $1,522,779 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 51.6% | ||||||
State Street Equity 500 Index II Portfolio | 998,226 | $ 345,126,630 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 662,198 | 152,510,900 | ||||
497,637,530 | ||||||
DOMESTIC FIXED INCOME — 10.1% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,001,380 | 29,510,669 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,047,621 | 67,714,826 | ||||
97,225,495 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,669,864 | 366,032,232 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,053,278,487) | 960,895,257 | |||||
SHORT-TERM INVESTMENT — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (b)(c) (Cost $3,497,343) | 3,497,343 | 3,497,343 | ||||
TOTAL INVESTMENTS — 100.1% (Cost $1,056,775,830) | 964,392,600 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (834,006) | |||||
NET ASSETS — 100.0% | $ 963,558,594 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2022. |
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 | $960,895,257 | $— | $— | $960,895,257 | ||||
Short-Term Investment | 3,497,343 | — | — | 3,497,343 | ||||
TOTAL INVESTMENTS | $964,392,600 | $— | $— | $964,392,600 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 945,686 | $ 30,309,236 | $ 7,598,382 | $ 5,718,713 | $ (498,695) | $ (2,179,541) | 1,001,380 | $ 29,510,669 | $128,210 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,640,811 | 69,160,184 | 18,989,018 | 3,722,463 | (1,163,263) | (15,548,650) | 2,047,621 | 67,714,826 | 594,463 | ||||||||
State Street Equity 500 Index II Portfolio | 832,606 | 359,760,570 | 76,795,442 | 11,587,093 | 4,922,468 | (84,764,757) | 998,226 | 345,126,630 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,145,193 | 386,575,636 | 70,208,400 | 9,290,458 | (257,629) | (81,203,717) | 3,669,864 | 366,032,232 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,931,076 | 2,931,076 | 110,433,189 | 109,866,922 | — | — | 3,497,343 | 3,497,343 | 6,908 | ||||||||
State Street Navigator Securities Lending Portfolio II | 10,141,201 | 10,141,201 | 81,521,339 | 91,662,540 | — | — | — | — | 10,560 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 507,681 | 160,584,563 | 42,770,648 | 1,150,000 | 321,742 | (50,016,053) | 662,198 | 152,510,900 | — | ||||||||
Total | $1,019,462,466 | $408,316,418 | $232,998,189 | $ 3,324,623 | $(233,712,718) | $964,392,600 | $740,141 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 51.6% | ||||||
State Street Equity 500 Index II Portfolio | 657,117 | $ 227,191,846 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 436,491 | 100,528,158 | ||||
327,720,004 | ||||||
DOMESTIC FIXED INCOME — 10.1% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 659,104 | 19,423,795 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,347,962 | 44,577,103 | ||||
64,000,898 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,418,118 | 241,183,097 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $708,198,346) | 632,903,999 | |||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 2,741,427 | 2,741,427 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 33,500 | $ 33,500 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,774,927) | $ 2,774,927 | ||||
TOTAL INVESTMENTS — 100.1% (Cost $710,973,273) | 635,678,926 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (929,793) | ||||
NET ASSETS — 100.0% | $ 634,749,133 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(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 | $632,903,999 | $— | $— | $632,903,999 | ||||
Short-Term Investments | 2,774,927 | — | — | 2,774,927 | ||||
TOTAL INVESTMENTS | $635,678,926 | $— | $— | $635,678,926 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 594,625 | $ 19,057,731 | $ 5,199,834 | $ 3,132,682 | $ (275,684) | $ (1,425,404) | 659,104 | $ 19,423,795 | $ 82,134 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,032,875 | 43,535,681 | 13,320,359 | 1,620,742 | (467,808) | (10,190,387) | 1,347,962 | 44,577,103 | 380,827 | ||||||||
State Street Equity 500 Index II Portfolio | 524,520 | 226,639,712 | 58,584,711 | 6,641,167 | 2,397,797 | (53,789,207) | 657,117 | 227,191,846 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,981,242 | 243,514,504 | 54,643,877 | 4,572,068 | (43,123) | (52,360,093) | 2,418,118 | 241,183,097 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,127,140 | 2,127,140 | 76,606,852 | 75,992,565 | — | — | 2,741,427 | 2,741,427 | 5,154 | ||||||||
State Street Navigator Securities Lending Portfolio II | 8,502,719 | 8,502,719 | 56,129,727 | 64,598,946 | — | — | 33,500 | 33,500 | 6,431 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 319,656 | 101,110,445 | 31,691,505 | 380,000 | 61,367 | (31,955,159) | 436,491 | 100,528,158 | — | ||||||||
Total | $644,487,932 | $296,176,865 | $156,938,170 | $1,672,549 | $(149,720,250) | $635,678,926 | $474,546 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 51.6% | ||||||
State Street Equity 500 Index II Portfolio | 338,276 | $ 116,955,615 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 225,118 | 51,846,825 | ||||
168,802,440 | ||||||
DOMESTIC FIXED INCOME — 10.1% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF (b) | 339,506 | 10,005,242 | ||||
SPDR Portfolio Long Term Treasury ETF | 694,090 | 22,953,555 | ||||
32,958,797 | ||||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,246,367 | 124,312,653 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $370,350,139) | 326,073,890 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (c)(d) | 1,699,244 | 1,699,244 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 7,080 | 7,080 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,706,324) | $ 1,706,324 | |||||
TOTAL INVESTMENTS — 100.2% (Cost $372,056,463) | 327,780,214 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (624,675) | |||||
NET ASSETS — 100.0% | $ 327,155,539 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $326,073,890 | $— | $— | $326,073,890 | ||||
Short-Term Investments | 1,706,324 | — | — | 1,706,324 | ||||
TOTAL INVESTMENTS | $327,780,214 | $— | $— | $327,780,214 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 292,347 | $ 9,369,721 | $ 3,054,893 | $ 1,571,804 | $(138,788) | $ (708,780) | 339,506 | $ 10,005,242 | $ 41,274 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 508,068 | 21,415,066 | 7,563,064 | 696,314 | (206,975) | (5,121,286) | 694,090 | 22,953,555 | 191,354 | ||||||||
State Street Equity 500 Index II Portfolio | 258,309 | 111,612,877 | 33,657,327 | 2,580,000 | 826,233 | (26,560,822) | 338,276 | 116,955,615 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 975,611 | 119,912,382 | 33,418,019 | 2,710,415 | 184,673 | (26,492,006) | 1,246,367 | 124,312,653 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,376,883 | 1,376,883 | 39,160,509 | 38,838,148 | — | — | 1,699,244 | 1,699,244 | 2,967 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 97,522,421 | 97,515,341 | — | — | 7,080 | 7,080 | 4,959 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 157,214 | 49,728,397 | 18,075,998 | — | — | (15,957,570) | 225,118 | 51,846,825 | — | ||||||||
Total | $313,415,326 | $232,452,231 | $143,912,022 | $ 665,143 | $(74,840,464) | $327,780,214 | $240,554 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 51.5% | ||||||
State Street Equity 500 Index II Portfolio | 58,427 | $ 20,200,672 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 38,657 | 8,902,947 | ||||
29,103,619 | ||||||
DOMESTIC FIXED INCOME — 10.1% | ||||||
SPDR Portfolio Intermediate Term Treasury ETF | 58,616 | 1,727,414 | ||||
SPDR Portfolio Long Term Treasury ETF | 119,857 | 3,963,671 | ||||
5,691,085 | ||||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 214,463 | 21,390,552 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $67,599,091) | 56,185,256 | |||||
SHORT-TERM INVESTMENT — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.47% (b)(c) (Cost $174,744) | 174,744 | 174,744 | ||||
TOTAL INVESTMENTS — 99.8% (Cost $67,773,835) | 56,360,000 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 109,043 | |||||
NET ASSETS — 100.0% | $ 56,469,043 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2022. |
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 | $56,185,256 | $— | $— | $56,185,256 | ||||
Short-Term Investment | 174,744 | — | — | 174,744 | ||||
TOTAL INVESTMENTS | $56,360,000 | $— | $— | $56,360,000 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 40,583 | $ 1,300,685 | $ 847,871 | $ 292,901 | $(24,668) | $ (103,573) | 58,616 | $ 1,727,414 | $ 6,447 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 70,046 | 2,952,439 | 2,143,401 | 318,939 | (41,778) | (771,452) | 119,857 | 3,963,671 | 29,880 | ||||||||
State Street Equity 500 Index II Portfolio | 35,810 | 15,473,312 | 9,486,678 | 731,140 | 76,127 | (4,104,305) | 58,427 | 20,200,672 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 135,249 | 16,623,402 | 9,334,615 | 421,708 | (9,386) | (4,136,371) | 214,463 | 21,390,552 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 540,945 | 540,945 | 9,540,747 | 9,906,948 | — | — | 174,744 | 174,744 | 683 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 21,792 | 6,893,148 | 4,584,487 | 99,001 | (8,197) | (2,467,490) | 38,657 | 8,902,947 | — | ||||||||
Total | $43,783,931 | $35,937,799 | $11,770,637 | $ (7,902) | $(11,583,191) | $56,360,000 | $37,010 |
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* | $615,006,124 | $885,704,440 | $1,600,762,702 | $2,007,644,408 | |||
Cash | — | — | 31 | — | |||
Receivable for investments sold | 16,900,050 | 20,642,532 | 31,170,910 | 31,172,974 | |||
Receivable for fund shares sold | 499,573 | 505,369 | 1,151,007 | 775,125 | |||
Dividends receivable — affiliated issuers | 1,375 | 1,711 | 3,651 | 5,713 | |||
Securities lending income receivable — unaffiliated issuers | — | 2,135 | 8,595 | 13,444 | |||
Securities lending income receivable — affiliated issuers | 21,232 | 44,458 | 65,837 | 114,786 | |||
Receivable from Adviser | 112,625 | 142,316 | 205,307 | 196,945 | |||
TOTAL ASSETS | 632,540,979 | 907,042,961 | 1,633,368,040 | 2,039,923,395 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 14,263,794 | 21,911,320 | 25,746,981 | 96,649,106 | |||
Payable for investments purchased | 17,288,203 | 19,367,397 | 32,136,287 | 35,001,671 | |||
Payable for fund shares repurchased | 516,203 | 143,539 | 161,650 | 612,463 | |||
Advisory fee payable | 25,069 | 36,372 | 66,074 | 80,023 | |||
Custodian fees payable | 24,331 | 23,749 | 23,982 | 23,937 | |||
Administration fees payable | 25,480 | 36,759 | 66,397 | 80,317 | |||
Distribution fees payable | 641 | 3,308 | 2,340 | 6,131 | |||
Trustees’ fees and expenses payable | — | — | — | — | |||
Transfer agent fees payable | 32,237 | 24,725 | 40,012 | 45,927 | |||
Sub-transfer agent fee payable | 2,870 | 9,900 | 7,089 | 18,578 | |||
Registration and filing fees payable | 19,555 | 18,063 | 18,504 | 19,036 | |||
Professional fees payable | 24,188 | 23,503 | 25,013 | 25,270 | |||
Printing and postage fees payable | 11,382 | 23,031 | 32,849 | 35,363 | |||
Accrued expenses and other liabilities | 20 | 1,550 | 2,556 | 1,859 | |||
TOTAL LIABILITIES | 32,233,973 | 41,623,216 | 58,329,734 | 132,599,681 | |||
NET ASSETS | $600,307,006 | $865,419,745 | $1,575,038,306 | $1,907,323,714 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $621,512,282 | $875,783,493 | $1,634,058,297 | $2,000,914,272 | |||
Total distributable earnings (loss) | (21,205,276) | (10,363,748) | (59,019,991) | (93,590,558) | |||
NET ASSETS | $600,307,006 | $865,419,745 | $1,575,038,306 | $1,907,323,714 | |||
Class I | |||||||
Net Assets | $ 675,037 | $ 3,114,459 | $ 4,468,485 | $ 6,457,264 | |||
Shares Outstanding | 63,741 | 288,325 | 391,717 | 547,780 | |||
Net asset value, offering and redemption price per share | $ 10.59 | $ 10.80 | $ 11.41 | $ 11.79 | |||
Class K | |||||||
Net Assets | $596,856,138 | $846,594,620 | $1,558,668,018 | $1,872,177,834 | |||
Shares Outstanding | 56,024,996 | 77,869,895 | 135,497,335 | 157,937,835 | |||
Net asset value, offering and redemption price per share | $ 10.65 | $ 10.87 | $ 11.50 | $ 11.85 | |||
Class R3 | |||||||
Net Assets | $ 2,775,831 | $ 15,710,666 | $ 11,901,803 | $ 28,688,616 | |||
Shares Outstanding | 261,054 | 1,447,790 | 1,036,135 | 2,423,864 | |||
Net asset value, offering and redemption price per share | $ 10.63 | $ 10.85 | $ 11.49 | $ 11.84 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 648,600,704 | 930,404,534 | 1,717,543,348 | 2,162,624,338 | |||
* Includes investments in securities on loan, at value | $ 13,977,876 | $ 21,474,789 | $ 38,517,776 | $ 94,552,105 |
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 | ||||||
$1,746,876,017 | $1,536,720,968 | $1,297,824,421 | $ 964,392,600 | $635,678,926 | $327,780,214 | $ 56,360,000 | ||||||
— | — | — | — | — | — | — | ||||||
24,057,497 | 19,152,697 | 13,348,867 | 10,025,335 | 6,410,423 | 3,245,006 | 559,369 | ||||||
1,702,386 | 742,010 | 1,507,231 | 1,155,679 | 883,301 | 625,941 | 190,437 | ||||||
5,422 | 4,974 | 4,216 | 3,330 | 2,549 | 1,562 | 345 | ||||||
70,441 | 3,405 | — | — | 370 | — | — | ||||||
— | — | — | — | 1,512 | 661 | — | ||||||
157,832 | 135,269 | 125,256 | 115,479 | 97,103 | 84,449 | 40,591 | ||||||
1,772,869,595 | 1,556,759,323 | 1,312,809,991 | 975,692,423 | 643,074,184 | 331,737,833 | 57,150,742 | ||||||
15,771,767 | 737,420 | — | — | 33,500 | 7,080 | — | ||||||
25,927,050 | 20,772,814 | 14,325,318 | 11,576,825 | 7,872,743 | 4,287,853 | 619,888 | ||||||
1,309,425 | 492,055 | 181,823 | 323,509 | 224,958 | 118,778 | 14,488 | ||||||
72,444 | 64,486 | 54,536 | 40,404 | 26,487 | 13,553 | 2,304 | ||||||
23,732 | 23,738 | 23,746 | 23,601 | 23,917 | 23,909 | 24,032 | ||||||
72,669 | 64,689 | 54,663 | 40,467 | 26,551 | 13,617 | 2,304 | ||||||
2,653 | 5,196 | 2,049 | 2,868 | 1,678 | 578 | 15 | ||||||
— | — | — | — | — | — | 10 | ||||||
53,131 | 52,595 | 56,976 | 58,115 | 56,759 | 60,557 | 7,697 | ||||||
7,936 | 15,403 | 6,102 | 8,476 | 5,081 | 1,721 | 494 | ||||||
17,970 | 16,589 | 19,611 | 18,355 | 18,135 | 25,561 | 1,091 | ||||||
25,086 | 24,930 | 23,813 | 23,468 | 23,126 | 22,119 | 7,834 | ||||||
31,835 | 28,287 | 23,597 | 17,707 | 12,091 | 6,959 | 1,431 | ||||||
662 | 50 | 43 | 34 | 25 | 9 | 111 | ||||||
43,316,360 | 22,298,252 | 14,772,277 | 12,133,829 | 8,325,051 | 4,582,294 | 681,699 | ||||||
$1,729,553,235 | $1,534,461,071 | $1,298,037,714 | $ 963,558,594 | $634,749,133 | $327,155,539 | $ 56,469,043 | ||||||
$1,813,657,302 | $1,603,453,674 | $1,362,168,867 | $1,024,148,809 | $689,750,052 | $362,526,831 | $ 66,814,829 | ||||||
(84,104,067) | (68,992,603) | (64,131,153) | (60,590,215) | (55,000,919) | (35,371,292) | (10,345,786) | ||||||
$1,729,553,235 | $1,534,461,071 | $1,298,037,714 | $ 963,558,594 | $634,749,133 | $327,155,539 | $ 56,469,043 | ||||||
$ 4,134,612 | $ 2,543,041 | $ 1,656,900 | $ 1,721,991 | $ 1,005,041 | $ 537,988 | $ 159,909 | ||||||
339,536 | 207,300 | 131,548 | 138,461 | 78,974 | 42,057 | 13,194 | ||||||
$ 12.18 | $ 12.27 | $ 12.60 | $ 12.44 | $ 12.73 | $ 12.79 | $ 12.12 | ||||||
$1,712,831,093 | $1,507,223,900 | $1,286,516,837 | $ 948,205,862 | $625,792,775 | $323,867,270 | $ 56,227,599 | ||||||
139,349,350 | 121,437,294 | 101,598,623 | 75,490,228 | 48,913,458 | 25,232,751 | 4,633,648 | ||||||
$ 12.29 | $ 12.41 | $ 12.66 | $ 12.56 | $ 12.79 | $ 12.84 | $ 12.13 | ||||||
$ 12,587,530 | $ 24,694,130 | $ 9,864,000 | $ 13,630,741 | $ 7,951,317 | $ 2,750,281 | $ 81,535 | ||||||
1,025,860 | 1,992,769 | 780,367 | 1,087,308 | 622,750 | 214,800 | 6,718 | ||||||
$ 12.27 | $ 12.39 | $ 12.64 | $ 12.54 | $ 12.77 | $ 12.80 | $ 12.14 | ||||||
1,886,445,299 | 1,655,582,279 | 1,404,923,143 | 1,056,775,830 | 710,973,273 | 372,056,463 | 67,773,835 | ||||||
$ 15,424,873 | $ 727,467 | $ — | $ — | $ 33,070 | $ 6,955 | $ — |
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 | $ 6,004,566 | $ 8,821,976 | $ 13,037,205 | $ 9,254,951 | |||
Unaffiliated securities lending income | — | 4,744 | 7,347 | 11,120 | |||
Affiliated securities lending income | 356,924 | 474,764 | 660,911 | 883,550 | |||
TOTAL INVESTMENT INCOME (LOSS) | 6,361,490 | 9,301,484 | 13,705,463 | 10,149,621 | |||
EXPENSES | |||||||
Advisory fee | 156,505 | 233,937 | 418,562 | 504,840 | |||
Administration fees | 156,505 | 233,937 | 418,562 | 504,840 | |||
Sub-transfer agent fee | |||||||
Class I | 409 | 1,787 | 2,596 | 4,176 | |||
Class R3 | 2,713 | 14,114 | 9,943 | 26,505 | |||
Distribution fees | |||||||
Class R3 | 2,713 | 14,114 | 9,943 | 26,505 | |||
Custodian fees | 24,523 | 25,212 | 24,560 | 24,119 | |||
Trustees’ fees and expenses | 12,857 | 14,073 | 16,903 | 18,183 | |||
Transfer agent fees | 76,378 | 64,781 | 93,649 | 107,232 | |||
Registration and filing fees | 58,650 | 60,657 | 79,885 | 88,745 | |||
Professional fees | 17,336 | 20,638 | 23,991 | 25,041 | |||
Printing and postage fees | 5,168 | 10,182 | 15,492 | 17,180 | |||
Insurance expense | 1,039 | 1,630 | 2,693 | 3,129 | |||
Miscellaneous expenses | 2,816 | 768 | 1,068 | 1,209 | |||
TOTAL EXPENSES | 517,612 | 695,830 | 1,117,847 | 1,351,704 | |||
Expenses waived/reimbursed by the Adviser | (571,042) | (742,706) | (1,086,454) | (1,026,289) | |||
NET EXPENSES | (53,430) | (46,876) | 31,393 | 325,415 | |||
NET INVESTMENT INCOME (LOSS) | $ 6,414,920 | $ 9,348,360 | $ 13,674,070 | $ 9,824,206 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 4,039,970 | 10,429,676 | 13,130,667 | 9,663,862 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | (89,357,206) | (152,437,959) | (309,956,832) | (409,578,095) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (85,317,236) | (142,008,283) | (296,826,165) | (399,914,233) | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(78,902,316) | $(132,659,923) | $(283,152,095) | $(390,090,027) |
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 | ||||||
$ 4,687,401 | $ 2,526,923 | $ 1,505,356 | $ 729,581 | $ 468,115 | $ 235,595 | $ 37,010 | ||||||
41,379 | 684 | — | 39 | 392 | — | — | ||||||
422,928 | 19,441 | 17,423 | 10,560 | 6,431 | 4,959 | — | ||||||
5,151,708 | 2,547,048 | 1,522,779 | 740,180 | 474,938 | 240,554 | 37,010 | ||||||
454,622 | 406,335 | 341,551 | 250,933 | 160,853 | 80,709 | 12,528 | ||||||
454,622 | 406,335 | 341,551 | 250,933 | 160,853 | 80,709 | 12,528 | ||||||
2,621 | 1,689 | 1,050 | 1,013 | 415 | 273 | 166 | ||||||
11,322 | 22,337 | 8,799 | 12,537 | 7,213 | 2,354 | 19 | ||||||
11,323 | 22,337 | 8,799 | 12,537 | 7,213 | 2,354 | 19 | ||||||
24,075 | 23,962 | 23,987 | 24,353 | 24,033 | 24,033 | 24,083 | ||||||
17,424 | 16,711 | 15,723 | 14,303 | 12,908 | 11,690 | 10,620 | ||||||
119,579 | 120,016 | 126,470 | 129,764 | 127,297 | 133,729 | 30,117 | ||||||
80,219 | 81,231 | 78,486 | 75,183 | 67,493 | 71,916 | 34,135 | ||||||
24,336 | 23,703 | 21,904 | 20,591 | 19,311 | 17,272 | 10,757 | ||||||
16,273 | 14,682 | 13,194 | 10,652 | 8,266 | 5,184 | 500 | ||||||
2,753 | 2,495 | 2,033 | 1,453 | 856 | 393 | 35 | ||||||
1,100 | 1,399 | 2,246 | 2,468 | 2,863 | 2,690 | 2,545 | ||||||
1,220,269 | 1,143,232 | 985,793 | 806,720 | 599,574 | 433,306 | 138,052 | ||||||
(796,172) | (646,925) | (597,823) | (515,803) | (414,965) | (343,464) | (125,100) | ||||||
424,097 | 496,307 | 387,970 | 290,917 | 184,609 | 89,842 | 12,952 | ||||||
$ 4,727,611 | $ 2,050,741 | $ 1,134,809 | $ 449,263 | $ 290,329 | $ 150,712 | $ 24,058 | ||||||
7,646,660 | 5,800,724 | 3,730,918 | 3,324,623 | 1,672,549 | 665,143 | (7,902) | ||||||
(387,902,699) | (357,274,318) | (308,776,246) | (233,712,718) | (149,720,250) | (74,840,464) | (11,583,191) | ||||||
(380,256,039) | (351,473,594) | (305,045,328) | (230,388,095) | (148,047,701) | (74,175,321) | (11,591,093) | ||||||
$(375,528,428) | $(349,422,853) | $(303,910,519) | $(229,938,832) | $(147,757,372) | $(74,024,609) | $(11,567,035) |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 6,414,920 | $ 14,344,378 | $ 9,348,360 | $ 23,510,038 | |||
Net realized gain (loss) | 4,039,970 | 33,307,748 | 10,429,676 | 50,284,690 | |||
Net change in unrealized appreciation/depreciation | (89,357,206) | (2,255,840) | (152,437,959) | 11,720,143 | |||
Net increase (decrease) in net assets resulting from operations | (78,902,316) | 45,396,286 | (132,659,923) | 85,514,871 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (108,209) | — | (196,470) | |||
Class K | — | (40,905,088) | — | (65,052,884) | |||
Total distributions to shareholders | — | (41,013,297) | — | (65,249,354) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 201,493 | 4,575,210 | 825,660 | 9,501,159 | |||
Reinvestment of distributions | — | 105,000 | — | 196,470 | |||
Cost of shares redeemed | (340,637) | (26,707,898) | (332,747) | (50,504,513) | |||
Net increase (decrease) from capital share transactions | (139,144) | (22,027,688) | 492,913 | (40,806,884) | |||
Class K | |||||||
Proceeds from sale of shares sold | 111,839,404 | 298,463,023 | 133,088,719 | 323,139,305 | |||
Reinvestment of distributions | — | 40,808,319 | — | 64,919,140 | |||
Cost of shares redeemed | (71,759,771) | (198,345,752) | (143,200,123) | (239,254,893) | |||
Net increase (decrease) from capital share transactions | 40,079,633 | 140,925,590 | (10,111,404) | 148,803,552 | |||
Class R3 (a) | |||||||
Proceeds from sale of shares sold | 3,802,992 | — | 18,085,376 | — | |||
Cost of shares redeemed | (753,959) | — | (769,738) | — | |||
Net increase (decrease) from capital share transactions | 3,049,033 | — | 17,315,638 | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 42,989,522 | 118,897,902 | 7,697,147 | 107,996,668 | |||
Net increase (decrease) in net assets during the period | (35,912,794) | 123,280,891 | (124,962,776) | 128,262,185 | |||
Net assets at beginning of period | 636,219,800 | 512,938,909 | 990,382,521 | 862,120,336 | |||
NET ASSETS AT END OF PERIOD | $600,307,006 | $ 636,219,800 | $ 865,419,745 | $ 990,382,521 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 17,631 | 368,643 | 71,011 | 742,684 | |||
Reinvestment of distributions | — | 8,743 | — | 15,806 | |||
Shares redeemed | (29,311) | (2,119,876) | (28,669) | (3,882,844) | |||
Net increase (decrease) from share transactions | (11,680) | (1,742,490) | 42,342 | (3,124,354) | |||
Class K | |||||||
Shares sold | 9,748,626 | 24,123,714 | 11,205,905 | 25,262,918 | |||
Reinvestment of distributions | — | 3,380,971 | — | 5,189,380 | |||
Shares redeemed | (6,329,743) | (15,915,495) | (12,255,706) | (18,658,659) | |||
Net increase (decrease) from share transactions | 3,418,883 | 11,589,190 | (1,049,801) | 11,793,639 | |||
Class R3 (a) | |||||||
Shares sold | 329,762 | — | 1,514,941 | — | |||
Shares redeemed | (68,708) | — | (67,151) | — | |||
Net increase (decrease) from share transactions | 261,054 | — | 1,447,790 | — |
(a) | For the period February 28, 2022 (commencement date) through June 30, 2022. |
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | |||||
$ 13,674,070 | $ 39,342,024 | $ 9,824,206 | $ 41,575,360 | $ 4,727,611 | $ 35,411,407 | |||||
13,130,667 | 84,433,754 | 9,663,862 | 101,983,872 | 7,646,660 | 90,785,158 | |||||
(309,956,832) | 34,625,967 | (409,578,095) | 45,361,533 | (387,902,699) | 52,426,661 | |||||
(283,152,095) | 158,401,745 | (390,090,027) | 188,920,765 | (375,528,428) | 178,623,226 | |||||
— | (321,110) | — | (516,061) | — | (251,103) | |||||
— | (107,647,130) | — | (122,444,951) | — | (98,284,628) | |||||
— | (107,968,240) | — | (122,961,012) | — | (98,535,731) | |||||
1,143,603 | 31,569,633 | 612,961 | 29,594,899 | 494,022 | 18,340,891 | |||||
— | 321,110 | — | 516,061 | — | 251,102 | |||||
(1,184,943) | (91,417,140) | (1,492,245) | (97,216,655) | (336,772) | (68,018,313) | |||||
(41,340) | (59,526,397) | (879,284) | (67,105,695) | 157,250 | (49,426,320) | |||||
271,814,458 | 640,272,702 | 356,289,353 | 775,116,403 | 348,058,206 | 679,606,067 | |||||
— | 107,485,708 | — | 122,031,640 | — | 97,888,598 | |||||
(170,946,884) | (282,626,779) | (154,698,653) | (269,108,353) | (126,157,613) | (204,985,238) | |||||
100,867,574 | 465,131,631 | 201,590,700 | 628,039,690 | 221,900,593 | 572,509,427 | |||||
14,628,070 | — | 35,182,487 | — | 15,353,903 | — | |||||
(1,395,475) | — | (2,364,956) | — | (843,135) | — | |||||
13,232,595 | — | 32,817,531 | — | 14,510,768 | — | |||||
114,058,829 | 405,605,234 | 233,528,947 | 560,933,995 | 236,568,611 | 523,083,107 | |||||
(169,093,266) | 456,038,739 | (156,561,080) | 626,893,748 | (138,959,817) | 603,170,602 | |||||
1,744,131,572 | 1,288,092,833 | 2,063,884,794 | 1,436,991,046 | 1,868,513,052 | 1,265,342,450 | |||||
$1,575,038,306 | $1,744,131,572 | $1,907,323,714 | $2,063,884,794 | $1,729,553,235 | $1,868,513,052 | |||||
92,455 | 2,293,341 | 47,288 | 2,048,544 | 37,985 | 1,218,223 | |||||
— | 23,804 | — | 36,113 | — | 16,785 | |||||
(93,455) | (6,502,116) | (117,947) | (6,558,848) | (24,594) | (4,406,226) | |||||
(1,000) | (4,184,971) | (70,659) | (4,474,191) | 13,391 | (3,171,218) | |||||
21,263,160 | 46,465,778 | 26,666,581 | 53,393,276 | 24,975,384 | 44,956,504 | |||||
— | 7,903,362 | — | 8,498,025 | — | 6,486,985 | |||||
(13,596,315) | (20,395,597) | (11,797,700) | (18,483,085) | (9,136,065) | (13,505,914) | |||||
7,666,845 | 33,973,543 | 14,868,881 | 43,408,216 | 15,839,319 | 37,937,575 | |||||
1,148,325 | — | 2,610,346 | — | 1,091,645 | — | |||||
(112,190) | — | (186,482) | — | (65,785) | — | |||||
1,036,135 | — | 2,423,864 | — | 1,025,860 | — |
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | ||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 2,050,741 | $ 31,353,661 | $ 1,134,809 | $ 26,804,149 | |||
Net realized gain (loss) | 5,800,724 | 84,799,229 | 3,730,918 | 66,988,316 | |||
Net change in unrealized appreciation/depreciation | (357,274,318) | 54,694,281 | (308,776,246) | 52,040,616 | |||
Net increase (decrease) in net assets resulting from operations | (349,422,853) | 170,847,171 | (303,910,519) | 145,833,081 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (158,215) | — | (112,962) | |||
Class K | — | (90,662,530) | — | (67,714,681) | |||
Total distributions to shareholders | — | (90,820,745) | — | (67,827,643) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 325,586 | 12,879,849 | 188,951 | 8,985,590 | |||
Reinvestment of distributions | — | 158,215 | — | 95,025 | |||
Cost of shares redeemed | (189,838) | (66,394,108) | (442,329) | (32,410,780) | |||
Net increase (decrease) from capital share transactions | 135,748 | (53,356,044) | (253,378) | (23,330,165) | |||
Class K | |||||||
Proceeds from sale of shares sold | 278,067,837 | 627,103,188 | 260,930,080 | 576,111,860 | |||
Reinvestment of distributions | — | 90,327,195 | — | 67,508,650 | |||
Cost of shares redeemed | (103,584,059) | (191,117,290) | (82,398,746) | (156,483,523) | |||
Net increase (decrease) from capital share transactions | 174,483,778 | 526,313,093 | 178,531,334 | 487,136,987 | |||
Class R3 (a) | |||||||
Proceeds from sale of shares sold | 30,002,490 | — | 11,992,751 | — | |||
Cost of shares redeemed | (1,479,084) | — | (547,309) | — | |||
Net increase (decrease) from capital share transactions | 28,523,406 | — | 11,445,442 | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 203,142,932 | 472,957,049 | 189,723,398 | 463,806,822 | |||
Net increase (decrease) in net assets during the period | (146,279,921) | 552,983,475 | (114,187,121) | 541,812,260 | |||
Net assets at beginning of period | 1,680,740,992 | 1,127,757,517 | 1,412,224,835 | 870,412,575 | |||
NET ASSETS AT END OF PERIOD | $1,534,461,071 | $1,680,740,992 | $1,298,037,714 | $1,412,224,835 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 24,164 | 839,017 | 13,148 | 573,820 | |||
Reinvestment of distributions | — | 10,409 | — | 6,045 | |||
Shares redeemed | (13,717) | (4,214,620) | (31,583) | (2,011,432) | |||
Net increase (decrease) from share transactions | 10,447 | (3,365,194) | (18,435) | (1,431,567) | |||
Class K | |||||||
Shares sold | 19,674,673 | 40,764,812 | 18,080,860 | 36,788,078 | |||
Reinvestment of distributions | — | 5,880,677 | — | 4,272,699 | |||
Shares redeemed | (7,447,322) | (12,399,522) | (5,754,183) | (9,917,543) | |||
Net increase (decrease) from share transactions | 12,227,351 | 34,245,967 | 12,326,677 | 31,143,234 | |||
Class R3 (a) | |||||||
Shares sold | 2,097,471 | — | 819,507 | — | |||
Shares redeemed | (104,702) | — | (39,140) | — | |||
Net increase (decrease) from share transactions | 1,992,769 | — | 780,367 | — |
(a) | For the period February 28, 2022 (commencement date) through June 30, 2022 for State Street Target Retirement 2040 Fund, State Street Target Retirement 2045 Fund and State Street Target Retirement 2055 Fund, and for the period February 11, 2022 (commencement date) through June 30, 2022 for State Street Target Retirement 2050 Fund and State Street Target Retirement 2060 Fund. |
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | |||||
$ 449,263 | $ 19,797,248 | $ 290,329 | $ 12,382,294 | $ 150,712 | $ 6,076,435 | |||||
3,324,623 | 48,411,509 | 1,672,549 | 29,248,270 | 665,143 | 12,890,107 | |||||
(233,712,718) | 37,553,333 | (149,720,250) | 20,480,554 | (74,840,464) | 9,059,400 | |||||
(229,938,832) | 105,762,090 | (147,757,372) | 62,111,118 | (74,024,609) | 28,025,942 | |||||
— | (73,935) | — | (30,065) | — | (24,738) | |||||
— | (48,748,642) | — | (28,019,835) | — | (12,726,460) | |||||
— | (48,822,577) | — | (28,049,900) | — | (12,751,198) | |||||
567,610 | 5,044,364 | 523,937 | 3,022,394 | 179,408 | 1,548,758 | |||||
— | 73,935 | — | 27,968 | — | 19,386 | |||||
(84,145) | (30,310,706) | (59,586) | (12,345,103) | (144,071) | (4,826,851) | |||||
483,465 | (25,192,407) | 464,351 | (9,294,741) | 35,337 | (3,258,707) | |||||
222,473,191 | 453,103,035 | 171,992,430 | 336,585,122 | 111,631,984 | 191,745,420 | |||||
— | 48,538,463 | — | 27,895,117 | — | 12,681,434 | |||||
(68,937,182) | (121,404,950) | (41,785,668) | (79,612,262) | (28,499,535) | (42,477,673) | |||||
153,536,009 | 380,236,548 | 130,206,762 | 284,867,977 | 83,132,449 | 161,949,181 | |||||
18,070,506 | — | 9,857,374 | — | 3,403,726 | — | |||||
(2,148,061) | — | (571,189) | — | (206,426) | — | |||||
15,922,445 | — | 9,286,185 | — | 3,197,300 | — | |||||
169,941,919 | 355,044,141 | 139,957,298 | 275,573,236 | 86,365,086 | 158,690,474 | |||||
(59,996,913) | 411,983,654 | (7,800,074) | 309,634,454 | 12,340,477 | 173,965,218 | |||||
1,023,555,507 | 611,571,853 | 642,549,207 | 332,914,753 | 314,815,062 | 140,849,844 | |||||
$ 963,558,594 | $1,023,555,507 | $ 634,749,133 | $642,549,207 | $327,155,539 | $314,815,062 | |||||
42,288 | 326,889 | 38,342 | 192,568 | 12,480 | 99,197 | |||||
— | 4,730 | — | 1,749 | — | 1,206 | |||||
(5,993) | (1,887,454) | (4,097) | (756,819) | (9,844) | (296,327) | |||||
36,295 | (1,555,835) | 34,245 | (562,502) | 2,636 | (195,924) | |||||
15,540,934 | 28,923,614 | 11,839,056 | 21,161,194 | 7,696,825 | 12,026,643 | |||||
— | 3,077,899 | — | 1,736,932 | — | 787,178 | |||||
(4,862,599) | (7,731,036) | (2,893,183) | (4,969,215) | (1,968,740) | (2,659,102) | |||||
10,678,335 | 24,270,477 | 8,945,873 | 17,928,911 | 5,728,085 | 10,154,719 | |||||
1,235,544 | — | 663,638 | — | 229,578 | — | |||||
(148,236) | — | (40,888) | — | (14,778) | — | |||||
1,087,308 | — | 622,750 | — | 214,800 | — |
State Street Target Retirement 2065 Fund | |||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 24,058 | $ 783,157 | |
Net realized gain (loss) | (7,902) | 1,368,099 | |
Net change in unrealized appreciation/depreciation | (11,583,191) | (109,925) | |
Net increase (decrease) in net assets resulting from operations | (11,567,035) | 2,041,331 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | — | (4,641) | |
Class K | — | (1,160,629) | |
Total distributions to shareholders | — | (1,165,270) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 22,718 | 26,662 | |
Reinvestment of distributions | — | 645 | |
Cost of shares redeemed | (3,005) | (1,537) | |
Net increase (decrease) from capital share transactions | 19,713 | 25,770 | |
Class K | |||
Proceeds from sale of shares sold | 28,782,415 | 42,293,713 | |
Reinvestment of distributions | — | 1,156,326 | |
Cost of shares redeemed | (4,270,583) | (4,627,119) | |
Net increase (decrease) from capital share transactions | 24,511,832 | 38,822,920 | |
Class R3 (a) | |||
Proceeds from sale of shares sold | 85,552 | — | |
Net increase (decrease) from capital share transactions | 85,552 | — | |
Net increase (decrease) in net assets from beneficial interest transactions | 24,617,097 | 38,848,690 | |
Net increase (decrease) in net assets during the period | 13,050,062 | 39,724,751 | |
Net assets at beginning of period | 43,418,981 | 3,694,230 | |
NET ASSETS AT END OF PERIOD | $ 56,469,043 | $43,418,981 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 1,705 | 1,769 | |
Reinvestment of distributions | — | 42 | |
Shares redeemed | (222) | (100) | |
Net increase (decrease) from share transactions | 1,483 | 1,711 | |
Class K | |||
Shares sold | 2,105,657 | 2,812,786 | |
Reinvestment of distributions | — | 75,924 | |
Shares redeemed | (311,626) | (308,959) | |
Net increase (decrease) from share transactions | 1,794,031 | 2,579,751 | |
Class R3 (a) | |||
Shares sold | 6,718 | — | |
Net increase (decrease) from share transactions | 6,718 | — |
(a) | For the period February 28, 2022 (commencement date) through June 30, 2022. |
Class I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 12.01 | $ 11.99 | $ 11.05 | $10.02 | $10.73 | $10.12 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.10 | 0.17 | 0.38 | 0.29 | 0.28 | 0.19 | |||||
Net realized and unrealized gain (loss) | (1.52) | 0.65 | 0.75 | 1.11 | (0.55) | 0.71 | |||||
Total from investment operations | (1.42) | 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 | $ 10.59 | $12.01 | $ 11.99 | $ 11.05 | $10.02 | $10.73 | |||||
Total return (b) | (11.82)% | 6.87% | 10.25% | 13.98% | (2.50)%(c) | 8.92% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 675 | $ 906 | $21,801 | $ 78 | $ 108 | $ 139 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.28%(e) | 0.42% | 0.24% | 0.24% | 0.25% | 0.36% | |||||
Net expenses (d) | 0.09%(e) | 0.24% | 0.02% | (0.03)%(f) | (0.03)%(f) | (0.05)%(f) | |||||
Net investment income (loss) | 1.82%(e) | 1.36% | 3.26% | 2.64% | 2.62% | 1.78% | |||||
Portfolio turnover rate | 8%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 12.08 | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.12 | 0.30 | 0.26 | 0.32 | 0.29 | 0.28 | |||||
Net realized and unrealized gain (loss) | (1.55) | 0.64 | 0.87 | 1.08 | (0.56) | 0.60 | |||||
Total from investment operations | (1.43) | 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 | $ 10.65 | $ 12.08 | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | |||||
Total return (b) | (11.84)% | 7.92% | 10.29% | 14.00% | (2.50)%(c) | 8.83% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $596,856 | $635,314 | $491,138 | $219,066 | $200,840 | $135,420 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.16%(e) | 0.15% | 0.19% | 0.24% | 0.24% | 0.36% | |||||
Net expenses (d) | (0.02)%(e)(f) | (0.03)%(f) | (0.03)%(f) | (0.03)%(f) | (0.04)%(f) | (0.02)%(f) | |||||
Net investment income (loss) | 2.05%(e) | 2.40% | 2.29% | 2.92% | 2.69% | 2.61% | |||||
Portfolio turnover rate | 8%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 11.59 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.08 |
Net realized and unrealized gain (loss) | (1.04) |
Total from investment operations | (0.96) |
Net asset value, end of period | $10.63 |
Total return (b) | (8.28)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $2,776 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.66%(d) |
Net expenses (c) | 0.48%(d) |
Net investment income (loss) | 2.13%(d) |
Portfolio turnover rate | 8%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 12.44 | $12.22 | $ 11.39 | $10.29 | $ 11.34 | $10.27 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.11 | 0.17 | 0.40 | 0.32 | 0.43 | 0.25 | |||||
Net realized and unrealized gain (loss) | (1.75) | 0.90 | 0.92 | 1.48 | (0.90) | 1.13 | |||||
Total from investment operations | (1.64) | 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 | $ 10.80 | $12.44 | $ 12.22 | $ 11.39 | $10.29 | $ 11.34 | |||||
Total return (b) | (13.18)% | 8.79% | 11.57% | 17.53% | (4.17)%(c) | 13.38% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 3,114 | $3,059 | $41,182 | $ 2,116 | $1,798 | $ 680 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.26%(e) | 0.40% | 0.19% | 0.15% | 0.16% | 0.15% | |||||
Net expenses (d) | 0.10%(e) | 0.24% | 0.03% | 0.01% | 0.02% | 0.01% | |||||
Net investment income (loss) | 1.96%(e) | 1.36% | 3.39% | 2.83% | 3.85% | 2.29% | |||||
Portfolio turnover rate | 11%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 12.51 | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.12 | 0.33 | 0.24 | 0.33 | 0.29 | 0.29 | |||||
Net realized and unrealized gain (loss) | (1.76) | 0.84 | 1.08 | 1.48 | (0.76) | 1.08 | |||||
Total from investment operations | (1.64) | 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 | $ 10.87 | $ 12.51 | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | |||||
Total return (b) | (13.11)% | 9.55% | 11.68% | 17.55% | (4.16)%(c) | 13.38% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $846,595 | $987,323 | $820,938 | $783,033 | $847,142 | $775,643 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.13% | 0.14% | 0.14% | 0.15% | 0.15% | |||||
Net expenses (d) | (0.02)%(e)(f) | (0.02)%(f) | (0.03)%(f) | (0.01)%(f) | 0.01% | 0.02% | |||||
Net investment income (loss) | 2.00%(e) | 2.53% | 2.13% | 2.88% | 2.60% | 2.67% | |||||
Portfolio turnover rate | 11%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 11.95 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.08 |
Net realized and unrealized gain (loss) | (1.18) |
Total from investment operations | (1.10) |
Net asset value, end of period | $ 10.85 |
Total return (b) | (9.21)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $15,711 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.64%(d) |
Net expenses (c) | 0.49%(d) |
Net investment income (loss) | 2.12%(d) |
Portfolio turnover rate | 11%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 13.50 | $13.06 | $ 11.92 | $10.53 | $ 11.74 | $10.33 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.09 | 0.15 | 0.50 | 0.37 | 0.23 | 0.26 | |||||
Net realized and unrealized gain (loss) | (2.18) | 1.16 | 1.26 | 1.81 | (0.87) | 1.45 | |||||
Total from investment operations | (2.09) | 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 | $ 11.41 | $13.50 | $ 13.06 | $ 11.92 | $10.53 | $ 11.74 | |||||
Total return (b) | (15.48)% | 10.03% | 14.66% | 20.76% | (5.48)%(c) | 16.54% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 4,468 | $5,301 | $59,792 | $2,019 | $1,155 | $2,232 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.24%(e) | 0.38% | 0.19% | 0.15% | 0.15% | 0.15% | |||||
Net expenses (d) | 0.11%(e) | 0.25% | 0.04% | 0.02% | 0.05% | 0.03% | |||||
Net investment income (loss) | 1.47%(e) | 1.11% | 3.96% | 3.10% | 1.98% | 2.36% | |||||
Portfolio turnover rate | 7%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 13.60 | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.10 | 0.36 | 0.27 | 0.33 | 0.31 | 0.30 | |||||
Net realized and unrealized gain (loss) | (2.20) | 1.06 | 1.50 | 1.85 | (0.94) | 1.41 | |||||
Total from investment operations | (2.10) | 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 | $ 11.50 | $ 13.60 | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | |||||
Total return (b) | (15.44)% | 10.81% | 14.84% | 20.63% | (5.38)%(c) | 16.52% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,558,668 | $1,738,831 | $1,228,301 | $1,035,188 | $1,007,169 | $830,080 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.13% | 0.14% | 0.14% | 0.14% | 0.15% | |||||
Net expenses (d) | 0.00%(e)(f) | 0.00%(f) | (0.01)%(g) | 0.01% | 0.04% | 0.04% | |||||
Net investment income (loss) | 1.63%(e) | 2.57% | 2.24% | 2.83% | 2.63% | 2.63% | |||||
Portfolio turnover rate | 7%(h) | 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) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 12.89 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.07 |
Net realized and unrealized gain (loss) | (1.47) |
Total from investment operations | (1.40) |
Net asset value, end of period | $ 11.49 |
Total return (b) | (10.86)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $11,902 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.63%(d) |
Net expenses (c) | 0.50%(d) |
Net investment income (loss) | 1.58%(d) |
Portfolio turnover rate | 7%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 14.29 | $13.70 | $ 12.26 | $10.67 | $ 11.98 | $10.37 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.11 | 0.53 | 0.38 | 0.29 | 0.25 | |||||
Net realized and unrealized gain (loss) | (2.56) | 1.36 | 1.58 | 2.03 | (1.05) | 1.64 | |||||
Total from investment operations | (2.50) | 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 | $ 11.79 | $14.29 | $ 13.70 | $12.26 | $10.67 | $ 11.98 | |||||
Total return (b) | (17.49)% | 10.76% | 17.26% | 22.55% | (6.24)% | 18.27% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 6,457 | $8,838 | $69,750 | $2,837 | $1,768 | $1,716 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.23%(d) | 0.37% | 0.19% | 0.15% | 0.15% | 0.15% | |||||
Net expenses (c) | 0.13%(d) | 0.27% | 0.08% | 0.04% | 0.07% | 0.06% | |||||
Net investment income (loss) | 0.86%(d) | 0.74% | 4.00% | 3.12% | 2.44% | 2.25% | |||||
Portfolio turnover rate | 5%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.35 | 0.27 | 0.33 | 0.29 | 0.28 | |||||
Net realized and unrealized gain (loss) | (2.57) | 1.21 | 1.86 | 2.07 | (1.04) | 1.62 | |||||
Total from investment operations | (2.51) | 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 | $ 11.85 | $ 14.36 | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | |||||
Total return (b) | (17.48)% | 11.37% | 17.24% | 22.52% | (6.22)% | 18.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,872,178 | $2,055,047 | $1,367,241 | $1,072,332 | $960,339 | $778,969 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.13%(d) | 0.12% | 0.14% | 0.14% | 0.14% | 0.15% | |||||
Net expenses (c) | 0.03%(d) | 0.03% | 0.03% | 0.03% | 0.06% | 0.06% | |||||
Net investment income (loss) | 0.98%(d) | 2.37% | 2.13% | 2.75% | 2.43% | 2.46% | |||||
Portfolio turnover rate | 5%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 13.51 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.03 |
Net realized and unrealized gain (loss) | (1.70) |
Total from investment operations | (1.67) |
Net asset value, end of period | $ 11.84 |
Total return (b) | (12.56)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $28,689 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.63%(d) |
Net expenses (c) | 0.53%(d) |
Net investment income (loss) | 0.72%(d) |
Portfolio turnover rate | 5%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 14.96 | $14.16 | $ 12.54 | $10.80 | $12.18 | $10.43 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.06 | 0.56 | 0.36 | 0.30 | 0.13 | |||||
Net realized and unrealized gain (loss) | (2.81) | 1.55 | 1.71 | 2.19 | (1.14) | 1.91 | |||||
Total from investment operations | (2.78) | 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 | $ 12.18 | $14.96 | $ 14.16 | $12.54 | $10.80 | $12.18 | |||||
Total return (b) | (18.58)% | 11.38% | 18.05% | 23.62% | (6.88)%(c) | 19.56% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 4,135 | $4,878 | $49,518 | $1,193 | $ 442 | $ 371 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.25%(e) | 0.38% | 0.20% | 0.21% | 0.16% | 0.17% | |||||
Net expenses (d) | 0.16%(e) | 0.29% | 0.10% | 0.12% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.40%(e) | 0.41% | 4.14% | 2.95% | 2.49% | 1.10% | |||||
Portfolio turnover rate | 4%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.09 | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.34 | 0.26 | 0.32 | 0.28 | 0.27 | |||||
Net realized and unrealized gain (loss) | (2.84) | 1.39 | 2.03 | 2.24 | (1.12) | 1.79 | |||||
Total from investment operations | (2.80) | 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 | $ 12.29 | $ 15.09 | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | |||||
Total return (b) | (18.56)% | 12.18% | 18.19% | 23.61% | (6.85)%(c) | 19.73% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,712,831 | $1,863,635 | $1,215,824 | $907,369 | $796,187 | $584,717 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.13% | 0.14% | 0.15% | 0.15% | 0.17% | |||||
Net expenses (d) | 0.04%(e) | 0.04% | 0.04% | 0.05% | 0.07% | 0.08% | |||||
Net investment income (loss) | 0.52%(e) | 2.26% | 2.03% | 2.60% | 2.30% | 2.34% | |||||
Portfolio turnover rate | 4%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.13 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.01 |
Net realized and unrealized gain (loss) | (1.87) |
Total from investment operations | (1.86) |
Net asset value, end of period | $ 12.27 |
Total return (b) | (13.16)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $12,588 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.63%(d) |
Net expenses (c) | 0.55%(d) |
Net investment income (loss) | 0.13%(d) |
Portfolio turnover rate | 4%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.19 | $14.35 | $ 12.65 | $10.79 | $12.26 | $10.39 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.02 | 0.58 | 0.29 | 0.31 | 0.24 | |||||
Net realized and unrealized gain (loss) | (2.93) | 1.67 | 1.79 | 2.37 | (1.23) | 1.91 | |||||
Total from investment operations | (2.92) | 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 | $ 12.27 | $15.19 | $ 14.35 | $12.65 | $10.79 | $12.26 | |||||
Total return (b) | (19.22)% | 11.75% | 18.70% | 24.64% | (7.46)%(c) | 20.59% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 2,543 | $2,991 | $51,116 | $1,398 | $1,247 | $ 912 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.26%(e) | 0.39% | 0.20% | 0.17% | 0.19% | 0.17% | |||||
Net expenses (d) | 0.18%(e) | 0.32% | 0.10% | 0.07% | 0.09% | 0.07% | |||||
Net investment income (loss) | 0.13%(e) | 0.12% | 4.25% | 2.33% | 2.50% | 2.14% | |||||
Portfolio turnover rate | 4%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.36 | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.35 | 0.25 | 0.32 | 0.28 | 0.26 | |||||
Net realized and unrealized gain (loss) | (2.97) | 1.54 | 2.12 | 2.35 | (1.21) | 1.89 | |||||
Total from investment operations | (2.95) | 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 | $ 12.41 | $ 15.36 | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | |||||
Total return (b) | (19.21)% | 13.15% | 18.79% | 24.66% | (7.52)%(c) | 20.69% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,507,224 | $1,677,750 | $1,076,641 | $778,976 | $636,762 | $458,132 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.13%(e) | 0.13% | 0.15% | 0.16% | 0.16% | 0.17% | |||||
Net expenses (d) | 0.06%(e) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.26%(e) | 2.23% | 1.94% | 2.63% | 2.24% | 2.30% | |||||
Portfolio turnover rate | 4%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.35 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.01) |
Net realized and unrealized gain (loss) | (1.95) |
Total from investment operations | (1.96) |
Net asset value, end of period | $ 12.39 |
Total return (b) | (13.66)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $24,694 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.64%(d) |
Net expenses (c) | 0.56%(d) |
Net investment income (loss) | (0.18)%(d) |
Portfolio turnover rate | 4%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.72 | $14.58 | $ 12.72 | $10.77 | $12.29 | $10.36 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.00 | 0.03 | 0.58 | 0.29 | 0.33 | 0.20 | |||||
Net realized and unrealized gain (loss) | (3.12) | 1.88 | 1.87 | 2.45 | (1.31) | 2.02 | |||||
Total from investment operations | (3.12) | 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 | $ 12.60 | $15.72 | $ 14.58 | $12.72 | $10.77 | $12.29 | |||||
Total return (b) | (19.85)% | 13.08% | 19.26% | 25.45% | (7.96)%(c) | 21.45% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 1,657 | $2,357 | $23,059 | $ 962 | $ 787 | $ 762 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.25%(e) | 0.39% | 0.21% | 0.21% | 0.20% | 0.21% | |||||
Net expenses (d) | 0.16%(e) | 0.30% | 0.10% | 0.09% | 0.08% | 0.06% | |||||
Net investment income (loss) | 0.06%(e) | 0.17% | 4.27% | 2.34% | 2.68% | 1.73% | |||||
Portfolio turnover rate | 3%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.79 | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.37 | 0.25 | 0.32 | 0.28 | 0.28 | |||||
Net realized and unrealized gain (loss) | (3.14) | 1.65 | 2.21 | 2.42 | (1.26) | 1.94 | |||||
Total from investment operations | (3.13) | 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 | $ 12.66 | $ 15.79 | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | |||||
Total return (b) | (19.82)% | 13.83% | 19.28% | 25.49% | (7.94)%(c) | 21.45% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,286,517 | $1,409,868 | $847,354 | $587,488 | $465,425 | $300,444 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.14% | 0.16% | 0.17% | 0.19% | 0.21% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.17%(e) | 2.32% | 1.93% | 2.62% | 2.29% | 2.39% | |||||
Portfolio turnover rate | 3%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.72 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.01) |
Net realized and unrealized gain (loss) | (2.07) |
Total from investment operations | (2.08) |
Net asset value, end of period | $ 12.64 |
Total return (b) | (20.01)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 9,864 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.64%(d) |
Net expenses (c) | 0.56%(d) |
Net investment income (loss) | (0.29)%(d) |
Portfolio turnover rate | 3%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.62 | $14.48 | $ 12.60 | $10.70 | $12.24 | $10.33 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.00(b) | 0.61 | 0.28 | 0.37 | 0.15 | |||||
Net realized and unrealized gain (loss) | (3.18) | 1.90 | 1.87 | 2.47 | (1.37) | 2.06 | |||||
Total from investment operations | (3.18) | 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 | $ 12.44 | $15.62 | $ 14.48 | $12.60 | $10.70 | $12.24 | |||||
Total return (c) | (20.36)% | 13.12% | 19.67% | 25.76% | (8.14)% | 21.30% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 1,722 | $1,596 | $24,016 | $ 448 | $ 374 | $ 240 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.29%(e) | 0.41% | 0.24% | 0.25% | 0.25% | 0.25% | |||||
Net expenses (d) | 0.18%(e) | 0.31% | 0.10% | 0.09% | 0.08% | 0.06% | |||||
Net investment income (loss) | (0.04)%(e) | 0.02% | 4.48% | 2.32% | 3.05% | 1.34% | |||||
Portfolio turnover rate | 3%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.77 | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.38 | 0.25 | 0.34 | 0.28 | 0.27 | |||||
Net realized and unrealized gain (loss) | (3.22) | 1.70 | 2.24 | 2.42 | (1.28) | 1.94 | |||||
Total from investment operations | (3.21) | 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 | $ 12.56 | $ 15.77 | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | |||||
Total return (b) | (20.36)% | 14.37% | 19.76% | 25.81% | (8.13)% | 21.42% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $948,206 | $1,021,959 | $587,556 | $380,668 | $300,431 | $212,217 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.16%(d) | 0.15% | 0.19% | 0.21% | 0.23% | 0.25% | |||||
Net expenses (c) | 0.05%(d) | 0.05% | 0.05% | 0.05% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.09%(d) | 2.42% | 1.98% | 2.74% | 2.30% | 2.37% | |||||
Portfolio turnover rate | 3%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class R3 | |
For the Period 2/11/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.87 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.02) |
Net realized and unrealized gain (loss) | (2.31) |
Total from investment operations | (2.33) |
Net asset value, end of period | $ 12.54 |
Total return (b) | (15.67)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $13,631 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.66%(d) |
Net expenses (c) | 0.56%(d) |
Net investment income (loss) | (0.37)%(d) |
Portfolio turnover rate | 3% |
* | 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. |
Class I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 15.98 | $14.72 | $12.68 | $10.70 | $12.25 | $10.32 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.01 | 0.63 | 0.33 | 0.31 | 0.11 | |||||
Net realized and unrealized gain (loss) | (3.25) | 1.95 | 1.86 | 2.41 | (1.29) | 2.11 | |||||
Total from investment operations | (3.25) | 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 | $ 12.73 | $15.98 | $14.72 | $12.68 | $10.70 | $12.25 | |||||
Total return (c) | (20.34)% | 13.32% | 19.60% | 25.65% | (7.93)%(d) | 21.60% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 1,005 | $ 715 | $8,940 | $ 241 | $ 130 | $ 105 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.29%(f) | 0.44% | 0.32% | 0.30% | 0.40% | 0.52% | |||||
Net expenses (e) | 0.17%(f) | 0.31% | 0.09% | 0.05% | 0.07% | 0.06% | |||||
Net investment income (loss) | (0.02)%(f) | 0.05% | 4.61% | 2.69% | 2.53% | 0.95% | |||||
Portfolio turnover rate | 3%(g) | 15% | 18% | 42% | 16% | 7% |
(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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.93)%. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 16.06 | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.40 | 0.26 | 0.35 | 0.30 | 0.31 | |||||
Net realized and unrealized gain (loss) | (3.28) | 1.71 | 2.23 | 2.39 | (1.28) | 1.90 | |||||
Total from investment operations | (3.27) | 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 | $ 12.79 | $ 16.06 | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | |||||
Total return (b) | (20.36)% | 14.31% | 19.65% | 25.70% | (7.94)%(c) | 21.53% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $625,793 | $641,834 | $323,975 | $195,598 | $132,520 | $81,529 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.18%(e) | 0.18% | 0.27% | 0.30% | 0.40% | 0.51% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.04% | 0.05% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.09%(e) | 2.52% | 2.05% | 2.86% | 2.49% | 2.67% | |||||
Portfolio turnover rate | 3%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.94 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.02) |
Net realized and unrealized gain (loss) | (2.15) |
Total from investment operations | (2.17) |
Net asset value, end of period | $ 12.77 |
Total return (b) | (14.52)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 7,951 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.68%(d) |
Net expenses (c) | 0.56%(d) |
Net investment income (loss) | (0.38)%(d) |
Portfolio turnover rate | 3%(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 I | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 16.06 | $14.69 | $12.53 | $10.28 | $ 11.91 | $10.09 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.05 | 0.59 | 0.29 | 0.30 | 0.15 | |||||
Net realized and unrealized gain (loss) | (3.27) | 1.97 | 1.87 | 2.37 | (1.27) | 2.01 | |||||
Total from investment operations | (3.27) | 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 | $ 12.79 | $16.06 | $14.69 | $12.53 | $10.28 | $ 11.91 | |||||
Total return (c) | (20.36)% | 13.75% | 19.61% | 25.86% | (8.13)% | 21.45% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 538 | $ 633 | $3,458 | $ 163 | $ 121 | $ 103 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.36%(e) | 0.50% | 0.54% | 0.85% | 1.56% | 3.13% | |||||
Net expenses (d) | 0.15%(e) | 0.28% | 0.09% | 0.04% | 0.06% | 0.06% | |||||
Net investment income (loss) | 0.00%(e)(f) | 0.33% | 4.41% | 2.42% | 2.55% | 1.31% | |||||
Portfolio turnover rate | 2%(g) | 13% | 25% | 29% | 38% | 18% |
(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. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 16.11 | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | $ 10.08 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.43 | 0.27 | 0.39 | 0.34 | 0.33 | |||||
Net realized and unrealized gain (loss) | (3.28) | 1.68 | 2.19 | 2.27 | (1.31) | 1.84 | |||||
Total from investment operations | (3.27) | 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 | $ 12.84 | $ 16.11 | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | |||||
Total return (b) | (20.30)% | 14.34% | 19.63% | 25.87% | (8.13)% | 21.57% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $323,867 | $314,182 | $137,392 | $74,373 | $25,829 | $12,141 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.27%(d) | 0.28% | 0.49% | 0.84% | 1.56% | 3.07% | |||||
Net expenses (c) | 0.05%(d) | 0.05% | 0.04% | 0.04% | 0.06% | 0.07% | |||||
Net investment income (loss) | 0.10%(d) | 2.68% | 2.12% | 3.33% | 2.87% | 2.94% | |||||
Portfolio turnover rate | 2%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class R3 | |
For the Period 2/11/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 15.19 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.02) |
Net realized and unrealized gain (loss) | (2.37) |
Total from investment operations | (2.39) |
Net asset value, end of period | $ 12.80 |
Total return (b) | (15.73)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 2,750 |
Ratios to Average Net Assets: | |
Total expenses (c) | 0.77%(d) |
Net expenses (c) | 0.56%(d) |
Net investment income (loss) | (0.37)%(d) |
Portfolio turnover rate | 2%(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 I | |||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | For the Period 3/30/20*- 12/31/20 | |||
Net asset value, beginning of period | $ 15.22 | $13.69 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | (0.01) | 0.31 | 0.19 | ||
Net realized and unrealized gain (loss) | (3.09) | 1.62 | 4.13 | ||
Total from investment operations | (3.10) | 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 | $ 12.12 | $15.22 | $13.69 | ||
Total return (b) | (20.37)% | 14.09% | 43.15% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 160 | $ 178 | $ 137 | ||
Ratios to Average Net Assets: | |||||
Total expenses (c) | 0.75%(d) | 1.45% | 12.01%(d) | ||
Net expenses (c) | 0.25%(d) | 0.25% | 0.22%(d) | ||
Net investment income (loss) | (0.10)%(d) | 2.05% | 2.08%(d) | ||
Portfolio turnover rate | 4%(e) | 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 | |||||
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | For the Period 3/30/20*- 12/31/20 | |||
Net asset value, beginning of period | $ 15.23 | $ 13.69 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.01 | 0.61 | 0.45 | ||
Net realized and unrealized gain (loss) | (3.11) | 1.36 | 3.88 | ||
Total from investment operations | (3.10) | 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 | $ 12.13 | $ 15.23 | $13.69 | ||
Total return (b) | (20.35)% | 14.39% | 43.34% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $56,228 | $43,241 | $3,557 | ||
Ratios to Average Net Assets: | |||||
Total expenses (c) | 0.55%(d) | 1.25% | 11.81%(d) | ||
Net expenses (c) | 0.05%(d) | 0.05% | 0.02%(d) | ||
Net investment income (loss) | 0.10%(d) | 4.06% | 4.70%(d) | ||
Portfolio turnover rate | 4%(e) | 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 R3 | |
For the Period 2/28/22*- 6/30/22 (Unaudited) | |
Net asset value, beginning of period | $ 14.08 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.02) |
Net realized and unrealized gain (loss) | (1.92) |
Total from investment operations | (1.94) |
Net asset value, end of period | $ 12.14 |
Total return (b) | (13.85)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 82 |
Ratios to Average Net Assets: | |
Total expenses (c) | 1.05%(d) |
Net expenses (c) | 0.55%(d) |
Net investment income (loss) | (0.39)%(d) |
Portfolio turnover rate | 4%(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 Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2020 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2025 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2030 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2035 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2040 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2045 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2050 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 11, 2022 | Diversified |
State Street Target Retirement 2055 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 28, 2022 | Diversified |
State Street Target Retirement 2060 Fund | Class I Class K Class R3 | September 30, 2014 September 30, 2014 February 11, 2022 | Diversified |
State Street Target Retirement 2065 Fund | Class I Class K Class R3 | March 30, 2020 March 30, 2020 February 28, 2022 | Diversified |
Purchases | Sales | ||
State Street Target Retirement Fund | $105,478,542 | $ 53,402,561 | |
State Street Target Retirement 2020 Fund | 131,500,532 | 107,289,323 | |
State Street Target Retirement 2025 Fund | 258,924,804 | 116,670,228 | |
State Street Target Retirement 2030 Fund | 371,256,202 | 106,037,584 | |
State Street Target Retirement 2035 Fund | 343,374,000 | 80,779,405 | |
State Street Target Retirement 2040 Fund | 293,177,293 | 68,109,089 | |
State Street Target Retirement 2045 Fund | 249,839,195 | 42,133,277 | |
State Street Target Retirement 2050 Fund | 216,361,891 | 31,468,727 | |
State Street Target Retirement 2055 Fund | 163,440,287 | 16,346,660 | |
State Street Target Retirement 2060 Fund | 95,769,301 | 7,558,532 | |
State Street Target Retirement 2065 Fund | 26,397,052 | 1,863,687 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 651,887,402 | $ 2,323,489 | $ 39,204,767 | $ (36,881,278) | |||
State Street Target Retirement 2020 Fund | 934,855,957 | 4,775,361 | 53,926,878 | (49,151,517) | |||
State Street Target Retirement 2025 Fund | 1,721,465,061 | 7,082,271 | 127,784,630 | (120,702,359) | |||
State Street Target Retirement 2030 Fund | 2,164,755,447 | 14,521,350 | 171,632,389 | (157,111,039) | |||
State Street Target Retirement 2035 Fund | 1,888,389,354 | 15,098,845 | 156,612,182 | (141,513,337) | |||
State Street Target Retirement 2040 Fund | 1,658,359,881 | 14,432,662 | 136,071,575 | (121,638,913) | |||
State Street Target Retirement 2045 Fund | 1,407,277,315 | 8,775,232 | 118,228,126 | (109,452,894) | |||
State Street Target Retirement 2050 Fund | 1,058,818,806 | — | 94,426,206 | (94,426,206) | |||
State Street Target Retirement 2055 Fund | 712,435,255 | — | 76,756,329 | (76,756,329) | |||
State Street Target Retirement 2060 Fund | 373,141,056 | — | 45,360,842 | (45,360,842) | |||
State Street Target Retirement 2065 Fund | 67,814,934 | — | 11,454,934 | (11,454,934) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 13,977,876 | $ 14,263,794 | $ — | $ 14,263,794 | ||||
State Street Target Retirement 2020 Fund | 21,474,789 | 21,911,320 | — | 21,911,320 | ||||
State Street Target Retirement 2025 Fund | 38,517,776 | 25,746,981 | 13,477,508 | 39,224,489 | ||||
State Street Target Retirement 2030 Fund | 94,552,105 | 96,649,106 | — | 96,649,106 | ||||
State Street Target Retirement 2035 Fund | 15,424,873 | 15,771,767 | — | 15,771,767 | ||||
State Street Target Retirement 2040 Fund | 727,467 | 737,420 | — | 737,420 | ||||
State Street Target Retirement 2055 Fund | 33,070 | 33,500 | — | 33,500 | ||||
State Street Target Retirement 2060 Fund | 6,955 | 7,080 | — | 7,080 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2022 | ||||||||||||||
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 | $14,263,794 | $— | $— | $— | $14,263,794 | $14,263,794 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 21,911,320 | — | — | — | 21,911,320 | 21,911,320 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 25,746,981 | — | — | — | 25,746,981 | 25,746,981 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 96,649,106 | — | — | — | 96,649,106 | 96,649,106 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 15,771,767 | — | — | — | 15,771,767 | 15,771,767 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 737,420 | — | — | — | 737,420 | 737,420 | |||||||
State Street Target Retirement 2055 Fund | Mutual Funds and Exchange Traded Products | 33,500 | — | — | — | 33,500 | 33,500 | |||||||
State Street Target Retirement 2060 Fund | Mutual Funds and Exchange Traded Products | 7,080 | — | — | — | 7,080 | 7,080 |
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 | 0.09% | $ 881.80 | $ 0.42 | $1,024.30 | $ 0.45 | ||||
Class K | (0.02) | 881.60 | (0.09) | 1,024.90 | (0.10) | ||||
Class R3 | 0.48 | 917.20(c) | 1.55 | 1,022.40 | 2.41 | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.10 | 868.20 | 0.46 | 1,024.30 | 0.50 | ||||
Class K | (0.02) | 868.90 | (0.09) | 1,024.90 | (0.10) | ||||
Class R3 | 0.49 | 907.90(c) | 1.58 | 1,022.40 | 2.46 | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.11 | 845.20 | 0.50 | 1,024.20 | 0.55 | ||||
Class K | 0.00(d) | 845.60 | 0.00(e) | 1,024.80 | 0.00(e) | ||||
Class R3 | 0.50 | 891.40(c) | 1.59 | 1,022.30 | 2.51 | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.13 | 825.10 | 0.59 | 1,024.10 | 0.65 | ||||
Class K | 0.03 | 825.20 | 0.14 | 1,024.60 | 0.15 | ||||
Class R3 | 0.53 | 876.40(c) | 1.68 | 1,022.20 | 2.66 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.16 | 814.20 | 0.72 | 1,024.00 | 0.80 | ||||
Class K | 0.04 | 814.40 | 0.18 | 1,024.60 | 0.20 | ||||
Class R3 | 0.55 | 868.40(c) | 1.73 | 1,022.10 | 2.76 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class I | 0.18 | 807.80 | 0.81 | 1,023.90 | 0.90 |
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 K | 0.06% | $ 807.90 | $ 0.27 | $1,024.50 | $ 0.30 | ||||
Class R3 | 0.56 | 863.40(c) | 1.76 | 1,022.00 | 2.81 | ||||
State Street Target Retirement 2045 Fund | |||||||||
Class I | 0.16 | 801.50 | 0.71 | 1,024.00 | 0.80 | ||||
Class K | 0.05 | 801.80 | 0.22 | 1,024.50 | 0.25 | ||||
Class R3 | 0.56 | 858.70(c) | 1.75 | 1,022.00 | 2.81 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.18 | 796.40 | 0.80 | 1,023.90 | 0.90 | ||||
Class K | 0.05 | 796.40 | 0.22 | 1,024.50 | 0.25 | ||||
Class R3 | 0.56 | 843.30(f) | 1.94 | 1,022.00 | 2.81 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.17 | 796.60 | 0.76 | 1,024.00 | 0.85 | ||||
Class K | 0.05 | 796.40 | 0.22 | 1,024.50 | 0.25 | ||||
Class R3 | 0.56 | 854.80(c) | 1.75 | 1,022.00 | 2.81 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.15 | 796.40 | 0.67 | 1,024.10 | 0.75 | ||||
Class K | 0.05 | 797.00 | 0.22 | 1,024.50 | 0.25 | ||||
Class R3 | 0.56 | 842.70(f) | 1.94 | 1,022.00 | 2.81 | ||||
State Street Target Retirement 2065 Fund | |||||||||
Class I | 0.25 | 796.30 | 1.11 | 1,023.60 | 1.25 | ||||
Class K | 0.05 | 796.50 | 0.22 | 1,024.50 | 0.25 | ||||
Class R3 | 0.55 | 861.50(c) | 1.73 | 1,022.10 | 2.76 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
(c) | Actual period is from commencement of operations on February 28, 2022. |
(d) | Amount is less than 0.005%. |
(e) | Amount is less than $0.005. |
(f) | Actual period is from commencement of operations on February 11, 2022. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
19 |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 93.8% | ||
Short-Term Investment | 2.6 | ||
Other Assets in Excess of Liabilities | 3.6 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 93.8% | ||||||
UNITED STATES — 93.8% | ||||||
State Street International Developed Equity Portfolio, (a) (Cost: $3,571,685,354) | $ 3,722,359,035 | |||||
SHORT-TERM INVESTMENT — 2.6% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.49% (b)(c) (Cost $104,379,362) | 104,382,793 | 104,372,355 | ||||
TOTAL INVESTMENTS — 96.4% (Cost $3,676,064,716) | 3,826,731,390 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.6% | 142,912,285 | |||||
NET ASSETS — 100.0% | $ 3,969,643,675 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2022. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank of America, N.A. | USD 6,614,763 | EUR 6,163,000 | 07/05/2022 | $ (171,656) | ||||
Bank of Montreal | USD 815,467 | AUD 1,185,000 | 07/05/2022 | (602) | ||||
Bank of Montreal | USD 1,619,992 | CHF 1,574,000 | 07/05/2022 | 24,130 | ||||
Bank of Montreal | USD 1,068,341 | CHF 1,026,000 | 07/05/2022 | 3,367 | ||||
Bank of Montreal | USD 19,558,081 | EUR 18,227,000 | 07/05/2022 | (502,666) | ||||
Bank of Montreal | USD 12,801,418 | EUR 12,129,000 | 07/05/2022 | (121,157) | ||||
Bank of Montreal | USD 654,912,908 | EUR 626,441,157 | 07/05/2022 | (70) | ||||
Bank of Montreal | USD 14,776,419 | GBP 11,723,000 | 07/05/2022 | (539,422) | ||||
Bank of Montreal | USD 320,602,380 | GBP 263,989,773 | 07/05/2022 | 3 | ||||
Bank of Montreal | EUR 655,728,657 | USD 703,623,078 | 07/05/2022 | 18,091,627 | ||||
Bank of Montreal | GBP 278,351,773 | USD 350,855,451 | 07/05/2022 | 12,811,137 | ||||
Bank of Montreal | USD 50,639,502 | EUR 48,348,000 | 08/02/2022 | (709) | ||||
Bank of Montreal | EUR 626,441,157 | USD 656,096,881 | 08/02/2022 | (25,899) | ||||
Bank of Montreal | GBP 263,989,773 | USD 320,744,934 | 08/02/2022 | (11,677) | ||||
Bank of Montreal | GBP 7,216,000 | USD 8,767,151 | 08/02/2022 | (536) | ||||
Barclays Capital PLC | USD 649,259 | DKK 4,497,000 | 07/05/2022 | (17,068) | ||||
Barclays Capital PLC | USD 3,248,935 | GBP 2,597,000 | 07/05/2022 | (95,009) | ||||
Barclays Capital PLC | USD 1,590,525 | GBP 1,301,000 | 07/05/2022 | (10,525) | ||||
Barclays Capital PLC | USD 594,001 | HKD 4,657,000 | 07/05/2022 | (522) | ||||
Barclays Capital PLC | USD 456,484 | HKD 3,579,000 | 07/05/2022 | (383) | ||||
Barclays Capital PLC | USD 5,316,367 | JPY 689,409,000 | 07/05/2022 | (241,772) | ||||
Barclays Capital PLC | USD 716,968 | SEK 7,255,000 | 07/05/2022 | (8,983) | ||||
Barclays Capital PLC | AUD 1,077,000 | USD 748,014 | 07/05/2022 | 7,414 | ||||
Barclays Capital PLC | CHF 933,000 | USD 938,605 | 07/05/2022 | (35,960) | ||||
Barclays Capital PLC | GBP 1,183,000 | USD 1,441,287 | 07/05/2022 | 4,593 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
BNP Paribas S.A. | USD 8,178,929 | DKK 56,710,000 | 07/05/2022 | $ (206,595) | ||||
BNP Paribas S.A. | SGD 76,695,299 | USD 55,938,689 | 07/05/2022 | 829,615 | ||||
BNP Paribas S.A. | HKD 974,954,035 | USD 124,371,453 | 07/05/2022 | 125,212 | ||||
BNP Paribas S.A. | DKK 859,840,566 | USD 124,008,014 | 07/05/2022 | 3,130,992 | ||||
BNP Paribas S.A. | AUD 510,462,050 | USD 366,358,613 | 07/05/2022 | 15,339,344 | ||||
BNP Paribas S.A. | ILS 68,101,174 | USD 20,475,706 | 07/05/2022 | 1,030,173 | ||||
BNP Paribas S.A. | NOK 325,370,520 | USD 34,619,778 | 07/05/2022 | 1,686,706 | ||||
BNP Paribas S.A. | NZD 13,206,581 | USD 8,592,862 | 07/05/2022 | 381,668 | ||||
BNP Paribas S.A. | SEK 44,103,000 | USD 4,512,916 | 07/05/2022 | 209,093 | ||||
BNP Paribas S.A. | USD 9,141,354 | AUD 13,290,000 | 08/02/2022 | (582) | ||||
BNP Paribas S.A. | USD 579,902 | SGD 807,000 | 08/02/2022 | (23) | ||||
BNP Paribas S.A. | HKD 57,115,000 | USD 7,285,384 | 08/02/2022 | 576 | ||||
BNP Paribas S.A. | JPY 3,790,810,000 | USD 27,949,004 | 08/02/2022 | (853) | ||||
Citibank N.A. | USD 435,001,380 | CHF 416,448,571 | 07/05/2022 | — | ||||
Citibank N.A. | USD 438,982,616 | JPY 59,637,983,305 | 07/05/2022 | — | ||||
Citibank N.A. | USD 766,861 | SEK 7,484,000 | 07/05/2022 | (36,529) | ||||
Citibank N.A. | JPY 63,666,189,305 | USD 495,518,425 | 07/05/2022 | 26,885,034 | ||||
Citibank N.A. | SEK 1,526,196,531 | USD 156,154,363 | 07/05/2022 | 7,219,362 | ||||
Citibank N.A. | JPY 59,637,983,305 | USD 439,680,059 | 08/02/2022 | (34,160) | ||||
Citibank N.A. | CHF 416,448,571 | USD 435,711,371 | 08/02/2022 | (40,576) | ||||
Goldman Sachs Bank USA | USD 4,221,614 | CHF 4,031,000 | 07/05/2022 | (11,033) | ||||
Goldman Sachs Bank USA | USD 8,550,881 | JPY 1,154,772,000 | 07/05/2022 | (50,848) | ||||
HSBC Bank USA | USD 1,309,764 | AUD 1,817,000 | 07/05/2022 | (60,304) | ||||
HSBC Bank USA | USD 2,510,605 | GBP 1,996,000 | 07/05/2022 | (86,562) | ||||
HSBC Bank USA | USD 438,982,616 | JPY 59,637,983,305 | 07/05/2022 | — | ||||
HSBC Bank USA | USD 903,098 | SEK 8,793,000 | 07/05/2022 | (45,026) | ||||
HSBC Bank USA | USD 148,491,181 | SEK 1,521,648,531 | 07/05/2022 | — | ||||
HSBC Bank USA | CHF 457,139,571 | USD 477,737,211 | 07/05/2022 | 232,045 | ||||
HSBC Bank USA | JPY 63,666,189,305 | USD 495,520,353 | 07/05/2022 | 26,886,962 | ||||
HSBC Bank USA | JPY 59,637,983,305 | USD 439,688,163 | 08/02/2022 | (26,056) | ||||
HSBC Bank USA | SEK 1,521,648,531 | USD 148,626,792 | 08/02/2022 | (7,978) | ||||
JP Morgan Chase Bank, N.A. | USD 1,055,972 | AUD 1,466,000 | 07/05/2022 | (47,877) | ||||
JP Morgan Chase Bank, N.A. | USD 3,233,088 | AUD 4,654,000 | 07/05/2022 | (32,765) | ||||
JP Morgan Chase Bank, N.A. | USD 330,576,082 | AUD 480,733,050 | 07/05/2022 | 38 | ||||
JP Morgan Chase Bank, N.A. | USD 1,312,026 | CHF 1,270,000 | 07/05/2022 | 14,553 | ||||
JP Morgan Chase Bank, N.A. | USD 2,077,486 | CHF 1,986,000 | 07/05/2022 | (3,009) | ||||
JP Morgan Chase Bank, N.A. | USD 110,154,086 | DKK 783,564,566 | 07/05/2022 | — | ||||
JP Morgan Chase Bank, N.A. | USD 4,091,962 | EUR 3,821,000 | 07/05/2022 | (97,298) | ||||
JP Morgan Chase Bank, N.A. | USD 5,072,531 | EUR 4,737,000 | 07/05/2022 | (120,235) | ||||
JP Morgan Chase Bank, N.A. | USD 3,246,793 | EUR 3,089,000 | 07/05/2022 | (17,398) | ||||
JP Morgan Chase Bank, N.A. | USD 6,296,721 | EUR 5,975,000 | 07/05/2022 | (50,158) | ||||
JP Morgan Chase Bank, N.A. | USD 2,018,662 | GBP 1,610,000 | 07/05/2022 | (63,398) | ||||
JP Morgan Chase Bank, N.A. | USD 3,072,754 | GBP 2,518,000 | 07/05/2022 | (14,769) | ||||
JP Morgan Chase Bank, N.A. | USD 120,756,094 | HKD 947,567,035 | 07/05/2022 | — | ||||
JP Morgan Chase Bank, N.A. | USD 20,009,472 | ILS 70,076,174 | 07/05/2022 | — |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
JP Morgan Chase Bank, N.A. | USD 2,768,080 | JPY 363,780,000 | 07/05/2022 | $ (90,372) | ||||
JP Morgan Chase Bank, N.A. | USD 3,405,793 | JPY 451,017,000 | 07/05/2022 | (85,952) | ||||
JP Morgan Chase Bank, N.A. | USD 2,183,835 | JPY 294,128,000 | 07/05/2022 | (18,820) | ||||
JP Morgan Chase Bank, N.A. | USD 4,177,316 | JPY 568,870,000 | 07/05/2022 | 10,017 | ||||
JP Morgan Chase Bank, N.A. | USD 32,933,072 | NOK 325,370,520 | 07/05/2022 | — | ||||
JP Morgan Chase Bank, N.A. | USD 7,032,975 | NZD 11,311,581 | 07/05/2022 | 2 | ||||
JP Morgan Chase Bank, N.A. | USD 474,370 | SEK 4,639,000 | 07/05/2022 | (21,670) | ||||
JP Morgan Chase Bank, N.A. | USD 587,375 | SEK 5,752,000 | 07/05/2022 | (26,062) | ||||
JP Morgan Chase Bank, N.A. | USD 1,455,438 | SEK 14,728,000 | 07/05/2022 | (18,195) | ||||
JP Morgan Chase Bank, N.A. | USD 51,490,479 | SGD 71,659,299 | 07/05/2022 | — | ||||
JP Morgan Chase Bank, N.A. | ILS 1,975,000 | USD 593,842 | 07/05/2022 | 29,902 | ||||
JP Morgan Chase Bank, N.A. | USD 19,491,880 | CHF 18,628,000 | 08/02/2022 | (428) | ||||
JP Morgan Chase Bank, N.A. | USD 10,568,994 | SEK 108,193,000 | 08/02/2022 | (692) | ||||
JP Morgan Chase Bank, N.A. | NOK 13,608,000 | USD 1,377,893 | 08/02/2022 | (180) | ||||
JP Morgan Chase Bank, N.A. | DKK 783,564,566 | USD 110,351,881 | 08/02/2022 | (8,704) | ||||
JP Morgan Chase Bank, N.A. | NOK 325,370,520 | USD 32,947,746 | 08/02/2022 | (2,301) | ||||
JP Morgan Chase Bank, N.A. | HKD 947,567,035 | USD 120,863,142 | 08/02/2022 | 4,447 | ||||
JP Morgan Chase Bank, N.A. | NZD 11,311,581 | USD 7,031,212 | 08/02/2022 | (229) | ||||
JP Morgan Chase Bank, N.A. | SGD 71,659,299 | USD 51,490,664 | 08/02/2022 | (902) | ||||
JP Morgan Chase Bank, N.A. | ILS 70,076,174 | USD 20,035,789 | 08/02/2022 | (2,911) | ||||
JP Morgan Chase Bank, N.A. | AUD 480,733,050 | USD 330,626,559 | 08/02/2022 | (18,365) | ||||
Morgan Stanley Bank, N.A. | USD 7,777,297 | EUR 7,241,000 | 07/05/2022 | (207,194) | ||||
Morgan Stanley Bank, N.A. | USD 4,490,292 | JPY 586,788,000 | 07/05/2022 | (171,069) | ||||
Royal Bank of Canada | USD 28,514,064 | CHF 27,282,000 | 07/05/2022 | (16,649) | ||||
Royal Bank of Scotland PLC | USD 575,363 | HKD 4,515,000 | 07/05/2022 | 20 | ||||
Royal Bank of Scotland PLC | JPY 267,295,000 | USD 1,994,066 | 07/05/2022 | 26,564 | ||||
Societe Generale | USD 6,282,497 | GBP 5,111,000 | 07/05/2022 | (75,443) | ||||
Standard Chartered Bank | USD 2,015,097 | AUD 2,778,000 | 07/05/2022 | (104,805) | ||||
Standard Chartered Bank | USD 1,706,410 | AUD 2,364,000 | 07/05/2022 | (80,805) | ||||
Standard Chartered Bank | USD 1,585,532 | AUD 2,292,000 | 07/05/2022 | (9,438) | ||||
Standard Chartered Bank | EUR 2,807,000 | USD 2,934,459 | 07/05/2022 | (119) | ||||
UBS AG | USD 2,512,248 | CHF 2,407,000 | 07/05/2022 | 1,984 | ||||
UBS AG | USD 2,130,295 | CHF 2,048,000 | 07/05/2022 | 8,943 | ||||
UBS AG | USD 552,108 | DKK 3,827,000 | 07/05/2022 | (14,105) | ||||
UBS AG | USD 1,068,329 | DKK 7,532,000 | 07/05/2022 | (9,475) | ||||
UBS AG | USD 525,591 | DKK 3,710,000 | 07/05/2022 | (4,037) | ||||
UBS AG | USD 3,828,761 | GBP 3,051,000 | 07/05/2022 | (123,474) | ||||
UBS AG | USD 697,862 | HKD 5,471,000 | 07/05/2022 | (649) | ||||
UBS AG | USD 1,167,918 | HKD 9,165,000 | 07/05/2022 | 52 | ||||
UBS AG | USD 489,083 | SGD 678,000 | 07/05/2022 | (1,909) | ||||
Westpac Banking Corp. | USD 10,227,410 | AUD 14,250,000 | 07/05/2022 | (428,397) | ||||
Westpac Banking Corp. | USD 654,912,908 | EUR 626,441,157 | 07/05/2022 | (70) | ||||
Westpac Banking Corp. | USD 320,602,381 | GBP 263,989,774 | 07/05/2022 | 3 | ||||
Westpac Banking Corp. | USD 32,805,504 | JPY 4,214,943,000 | 07/05/2022 | (1,780,198) | ||||
Westpac Banking Corp. | USD 1,232,970 | NZD 1,895,000 | 07/05/2022 | (54,754) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Westpac Banking Corp. | USD 3,178,646 | SGD 4,358,000 | 07/05/2022 | $ (47,224) | ||||
Westpac Banking Corp. | EUR 655,728,657 | USD 703,623,078 | 07/05/2022 | 18,091,627 | ||||
Westpac Banking Corp. | GBP 278,351,774 | USD 350,854,617 | 07/05/2022 | 12,810,302 | ||||
Westpac Banking Corp. | EUR 626,441,157 | USD 656,095,002 | 08/02/2022 | (27,778) | ||||
Westpac Banking Corp. | GBP 263,989,774 | USD 320,744,935 | 08/02/2022 | (11,677) | ||||
Total | $139,593,807 | |||||||
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) | 2,695 | 09/16/2022 | $249,183,924 | $250,176,850 | $992,926 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $3,722,359,035 | $ — | $— | $3,722,359,035 | ||||
Short-Term Investment | 104,372,355 | — | — | 104,372,355 | ||||
TOTAL INVESTMENTS | $3,826,731,390 | $ — | $— | $3,826,731,390 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | 145,897,507 | — | 145,897,507 | ||||
Futures Contracts | 992,926 | — | — | 992,926 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ 992,926 | $145,897,507 | $— | $ 146,890,433 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | (6,303,700) | — | (6,303,700) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ — | $ (6,303,700) | $— | $ (6,303,700) |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 180,990,689 | $181,008,788 | $425,694,097 | $502,268,013 | $(61,612) | $(905) | 104,382,793 | $104,372,355 | $283,170 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,722,359,035 |
Investment in affiliated issuers, at value | 104,372,355 |
Total Investments | 3,826,731,390 |
Foreign currency, at value | 172 |
Net cash at broker | 6,418,846 |
Receivable from broker — accumulated variation margin on futures contracts | 999,429 |
Receivable for fund shares sold | 5,772,933 |
Unrealized appreciation on forward foreign currency exchange contracts | 145,897,507 |
Dividends receivable — affiliated issuers | 107,725 |
Receivable from Adviser | 206,872 |
Receivable for foreign taxes recoverable | 117,931 |
Prepaid expenses and other assets | 373,785 |
TOTAL ASSETS | 3,986,626,590 |
LIABILITIES | |
Payable for fund shares repurchased | 9,603,907 |
Unrealized depreciation on forward foreign currency exchange contracts | 6,303,700 |
Advisory fee payable | 475,726 |
Custodian fees payable | 73,771 |
Administration fees payable | 169,913 |
Trustees’ fees and expenses payable | 4 |
Transfer agent fees payable | 10,381 |
Registration and filing fees payable | 1,781 |
Professional fees payable | 27,052 |
Printing and postage fees payable | 37,821 |
Accrued expenses and other liabilities | 278,859 |
TOTAL LIABILITIES | 16,982,915 |
NET ASSETS | $3,969,643,675 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,462,822,143 |
Total distributable earnings (loss) | 506,821,532 |
NET ASSETS | $3,969,643,675 |
Class K | |
Net Assets | $3,969,643,675 |
Shares Outstanding | 36,497,084 |
Net asset value, offering and redemption price per share | $ 108.77 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $3,571,685,354 |
Investment in affiliated issuers | 104,379,362 |
Total cost of investments | $3,676,064,716 |
Foreign currency, at cost | $ 181 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $ 94,388,264 |
Dividend income — affiliated issuers | 283,170 |
Securities Lending income allocated from affiliated Portfolio | 1,326,897 |
Expenses allocated from affiliated Portfolio | (2,889,854) |
Foreign taxes withheld allocated from affiliated Portfolio | (13,926,986) |
TOTAL INVESTMENT INCOME (LOSS) | 79,181,491 |
EXPENSES | |
Advisory fee | 3,020,665 |
Administration fees | 1,078,809 |
Custodian fees | 81,542 |
Trustees’ fees and expenses | 10,520 |
Transfer agent fees | 17,562 |
Registration and filing fees | 62,714 |
Professional fees and expenses | 23,108 |
Printing and postage fees | 12,207 |
Insurance expense | 7,051 |
Miscellaneous expenses | 362,489 |
TOTAL EXPENSES | 4,676,667 |
Expenses waived/reimbursed by the Adviser | (3,261,260) |
NET EXPENSES | 1,415,407 |
NET INVESTMENT INCOME (LOSS) | $ 77,766,084 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (41,070,309) |
Foreign currency transactions allocated from affiliated Portfolio | (2,006,138) |
Futures contracts allocated from affiliated Portfolio | (9,736,024) |
Investments - affiliated issuers | (61,612) |
Forward foreign currency exchange contracts | 280,695,451 |
Futures contracts | (35,997,180) |
Net realized gain (loss) | 191,824,188 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (910,566,802) |
Foreign currency transactions allocated from affiliated Portfolio | (1,196,501) |
Future contracts allocated from affiliated Portfolio | (460,741) |
Investments - affiliated issuers | (905) |
Forward foreign currency exchange contracts | 169,459,277 |
Foreign currency translations | (10,534) |
Futures contracts | (1,462,865) |
Net change in unrealized appreciation/depreciation | (744,239,071) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (552,414,883) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(474,648,799) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 77,766,084 | $ 103,986,141 | |
Net realized gain (loss) | 191,824,188 | 274,865,966 | |
Net change in unrealized appreciation/depreciation | (744,239,071) | 337,915,056 | |
Net increase (decrease) in net assets resulting from operations | (474,648,799) | 716,767,163 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (129,203,406) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 480,295,111 | 935,468,417 | |
Reinvestment of distributions | — | 128,063,509 | |
Cost of shares redeemed | (548,064,500) | (823,242,926) | |
Net increase (decrease) in net assets from beneficial interest transactions | (67,769,389) | 240,289,000 | |
Net increase (decrease) in net assets during the period | (542,418,188) | 827,852,757 | |
Net assets at beginning of period | 4,512,061,863 | 3,684,209,106 | |
NET ASSETS AT END OF PERIOD | $3,969,643,675 | $4,512,061,863 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 4,186,839 | 8,028,100 | |
Reinvestment of distributions | — | 1,048,670 | |
Shares redeemed | (4,810,273) | (7,093,667) | |
Net increase (decrease) from share transactions | (623,434) | 1,983,103 |
Class K | |||||||||||
Six Months Ended 6/30/22 (Unaudited) | 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 | $ 121.55 | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 2.06 | 2.93 | 2.15 | 3.10 | 2.90 | 2.70 | |||||
Net realized and unrealized gain (loss) | (14.84) | 17.33 | 0.53 | 18.60 | (12.60) | 12.70 | |||||
Total from investment operations | (12.78) | 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 | $ 108.77 | $ 121.55 | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | |||||
Total return (c) | (10.56)% | 19.31% | 2.45% | 24.82% | (9.25)% | 16.85% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,969,644 | $4,512,062 | $3,684,209 | $3,772,743 | $2,922,844 | $2,894,400 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.35%(d) | 0.35% | 0.36% | 0.36% | 0.36% | 0.35% | |||||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 3.60%(d) | 2.50% | 2.23% | 3.08% | 2.85% | 2.69% | |||||
Portfolio turnover rate (e) | 3%(f) | 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) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding affiliated Portfolio. |
(f) | Not annualized. |
Fund | Class | Commencement of Operations | Diversification Classification |
State Street Hedged International Developed Equity Index Fund | Class I Class K | Not commenced May 29, 2015 | Diversified Diversified |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $145,897,507 | $— | $ — | $— | $145,897,507 | |||||
Futures Contracts | — | — | — | 999,429 | — | 999,429 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $6,303,700 | $— | $— | $— | $6,303,700 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $280,695,451 | $— | $ — | $— | $280,695,451 | |||||
Futures Contracts | — | — | — | (35,997,180) | — | (35,997,180) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Forward Foreign Currency Exchange Contracts | $— | $169,459,277 | $— | $ — | $— | $169,459,277 | |||||
Futures Contracts | — | — | — | (1,462,865) | — | (1,462,865) |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of Montreal | $ 30,930,264 | $(1,202,738) | $— | $ 29,727,526 | ||||
Barclays Capital PLC | 12,007 | (12,007) | — | — | ||||
BNP Paribas S.A. | 22,733,379 | (208,053) | — | 22,525,326 | ||||
Citibank N.A. | 34,104,396 | (111,265) | — | 33,993,131 | ||||
HSBC Bank USA | 27,119,007 | (225,927) | — | 26,893,080 | ||||
JP Morgan Chase Bank, N.A. | 58,959 | (58,959) | — | — | ||||
Royal Bank of Scotland PLC | 26,584 | — | — | 26,584 | ||||
UBS AG | 10,979 | (10,979) | — | — |
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 | ||||
Westpac Banking Corp. | $ 30,901,932 | (2,350,097) | $— | $ 28,551,835 | ||||
$145,897,507 | $(4,180,025) | $— | $141,717,482 |
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. | $ (171,657) | $ — | $— | $ (171,657) | ||||
Bank of Montreal | (1,202,738) | 1,202,738 | — | — | ||||
Barclays Capital PLC | (410,222) | 12,007 | — | (398,215) | ||||
BNP Paribas S.A. | (208,053) | 208,053 | — | — | ||||
Citibank N.A. | (111,265) | 111,265 | — | — | ||||
Goldman Sachs Capital Markets L.P. | (61,881) | — | — | (61,881) | ||||
HSBC Bank USA | (225,927) | 225,927 | — | — | ||||
JP Morgan Chase Bank, N.A. | (742,688) | 58,959 | — | (683,729) | ||||
Morgan Stanley Bank, N.A. | (378,263) | — | — | (378,263) | ||||
Royal Bank of Canada | (16,649) | — | — | (16,649) | ||||
Societe Generale | (75,443) | — | — | (75,443) | ||||
Standard Chartered Bank | (195,168) | — | — | (195,168) | ||||
UBS AG | (153,649) | 10,979 | — | (142,670) | ||||
Westpac Banking Corp. | (2,350,097) | 2,350,097 | — | — | ||||
$(6,303,700) | $4,180,025 | $— | $(2,123,675) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,749,277,941 | $150,666,674 | $67,373,508 | $218,040,182 |
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% | $894.40 | $0.94 | $1,023.80 | $1.00 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
2 | |
13 | |
14 | |
15 | |
16 | |
17 | |
24 |
Description | Market Value | % of Net Assets | ||
Nestle SA | 87,383,697 | 2.3% | ||
Roche Holding AG | 62,309,159 | 1.7 | ||
AstraZeneca PLC | 54,153,064 | 1.5 | ||
Shell PLC | 52,538,533 | 1.4 | ||
ASML Holding NV | 51,880,658 | 1.4 | ||
TOTAL | 308,265,111 | 8.3% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.6% | ||||||
AUSTRALIA — 8.4% | ||||||
Ampol, Ltd. | 61,856 | $ 1,455,983 | ||||
APA Group Stapled Security | 301,906 | 2,339,716 | ||||
Aristocrat Leisure, Ltd. | 162,110 | 3,832,509 | ||||
ASX, Ltd. | 51,483 | 2,892,721 | ||||
Aurizon Holdings, Ltd. | 511,873 | 1,337,560 | ||||
Australia & New Zealand Banking Group, Ltd. | 741,326 | 11,230,297 | ||||
BHP Group, Ltd. | 1,354,719 | 38,427,371 | ||||
BlueScope Steel, Ltd. | 137,029 | 1,498,225 | ||||
Brambles, Ltd. | 378,180 | 2,785,194 | ||||
Cochlear, Ltd. | 18,225 | 2,490,192 | ||||
Coles Group, Ltd. | 362,405 | 4,438,391 | ||||
Commonwealth Bank of Australia | 456,183 | 28,351,689 | ||||
Computershare, Ltd. | 147,817 | 2,504,567 | ||||
CSL, Ltd. | 128,668 | 23,806,041 | ||||
Dexus REIT (a) | 298,064 | 1,820,078 | ||||
Domino's Pizza Enterprises, Ltd. | 15,336 | 717,115 | ||||
Endeavour Group, Ltd. | 374,146 | 1,947,621 | ||||
Evolution Mining, Ltd. | 510,256 | 835,089 | ||||
Fortescue Metals Group, Ltd. | 445,490 | 5,370,162 | ||||
Glencore PLC (b) | 2,635,217 | 14,244,710 | ||||
Goodman Group REIT (a) | 440,415 | 5,402,869 | ||||
GPT Group REIT | 536,059 | 1,555,581 | ||||
IDP Education, Ltd. | 55,969 | 916,762 | ||||
Insurance Australia Group, Ltd. | 674,518 | 2,022,309 | ||||
LendLease Corp., Ltd. Stapled Security | 174,907 | 1,095,704 | ||||
Lottery Corp., Ltd. (b) | 614,471 | 1,909,885 | ||||
Macquarie Group, Ltd. | 94,562 | 10,697,356 | ||||
Medibank Pvt, Ltd. | 749,826 | 1,675,758 | ||||
Mineral Resources, Ltd. (b) | 47,202 | 1,566,770 | ||||
Mirvac Group REIT (a) | 1,077,242 | 1,463,012 | ||||
National Australia Bank, Ltd. | 862,012 | 16,235,768 | ||||
Newcrest Mining, Ltd. | 232,271 | 3,336,575 | ||||
Northern Star Resources, Ltd. | 308,841 | 1,452,642 | ||||
Orica, Ltd. | 114,691 | 1,243,737 | ||||
Origin Energy, Ltd. | 465,050 | 1,832,406 | ||||
Qantas Airways, Ltd. (b) | 265,173 | 815,088 | ||||
QBE Insurance Group, Ltd. | 399,556 | 3,338,270 | ||||
Ramsay Health Care, Ltd. | 46,661 | 2,350,011 | ||||
REA Group, Ltd. | 13,455 | 1,034,688 | ||||
Reece, Ltd. | 51,080 | 484,025 | ||||
Rio Tinto PLC | 299,775 | 17,899,096 | ||||
Rio Tinto, Ltd. | 99,555 | 7,030,740 | ||||
Santos, Ltd. | 862,429 | 4,400,426 | ||||
Scentre Group REIT | 1,326,378 | 2,362,297 | ||||
SEEK, Ltd. | 86,780 | 1,253,160 | ||||
Sonic Healthcare, Ltd. | 116,900 | 2,653,552 | ||||
South32, Ltd. | 1,201,611 | 3,255,574 | ||||
Stockland REIT (a) | 629,374 | 1,562,369 |
Security Description | Shares | Value | ||||
Suncorp Group, Ltd. | 341,848 | $ 2,581,088 | ||||
Telstra Corp., Ltd. | 1,056,929 | 2,798,170 | ||||
Transurban Group Stapled Security | 825,475 | 8,162,634 | ||||
Treasury Wine Estates, Ltd. | 200,081 | 1,561,598 | ||||
Vicinity Centres REIT | 995,722 | 1,256,440 | ||||
Washington H Soul Pattinson & Co., Ltd. | 55,640 | 900,660 | ||||
Wesfarmers, Ltd. | 300,691 | 8,665,739 | ||||
Westpac Banking Corp. | 926,653 | 12,425,654 | ||||
WiseTech Global, Ltd. | 41,375 | 1,076,890 | ||||
Woodside Energy Group, Ltd. | 497,945 | 10,902,395 | ||||
Woolworths Group, Ltd. | 320,578 | 7,847,859 | ||||
311,350,788 | ||||||
AUSTRIA — 0.2% | ||||||
Erste Group Bank AG | 93,189 | 2,357,671 | ||||
Mondi PLC | 134,360 | 2,374,175 | ||||
OMV AG | 38,513 | 1,802,190 | ||||
Verbund AG | 17,574 | 1,715,095 | ||||
Voestalpine AG | 32,796 | 695,332 | ||||
8,944,463 | ||||||
BELGIUM — 0.9% | ||||||
Ageas SA/NV | 41,114 | 1,804,411 | ||||
Anheuser-Busch InBev SA/NV | 230,967 | 12,401,613 | ||||
D'ieteren Group | 7,260 | 1,059,559 | ||||
Elia Group SA (a) | 9,252 | 1,307,722 | ||||
Groupe Bruxelles Lambert SA | 26,345 | 2,194,577 | ||||
KBC Group NV | 66,184 | 3,704,543 | ||||
Proximus SADP | 40,640 | 597,581 | ||||
Sofina SA (a) | 4,401 | 897,200 | ||||
Solvay SA | 19,433 | 1,570,851 | ||||
UCB SA | 34,024 | 2,868,396 | ||||
Umicore SA | 58,801 | 2,048,297 | ||||
Warehouses De Pauw CVA REIT | 42,698 | 1,339,158 | ||||
31,793,908 | ||||||
BRAZIL — 0.1% | ||||||
Yara International ASA | 45,629 | 1,900,949 | ||||
CHILE — 0.0% (c) | ||||||
Antofagasta PLC | 104,372 | 1,464,015 | ||||
CHINA — 0.7% | ||||||
BOC Hong Kong Holdings, Ltd. | 965,500 | 3,814,284 | ||||
Budweiser Brewing Co. APAC, Ltd. (d) | 479,400 | 1,435,704 | ||||
Chow Tai Fook Jewellery Group, Ltd. | 530,400 | 997,675 | ||||
ESR Group, Ltd. (b)(d) | 494,200 | 1,335,174 | ||||
Futu Holdings, Ltd. ADR (a)(b) | 13,800 | 720,498 | ||||
Prosus NV (b) | 223,135 | 14,575,113 |
Security Description | Shares | Value | ||||
SITC International Holdings Co., Ltd. | 374,000 | $ 1,058,093 | ||||
Wilmar International, Ltd. | 491,200 | 1,425,916 | ||||
Xinyi Glass Holdings, Ltd. | 457,000 | 1,096,062 | ||||
26,458,519 | ||||||
DENMARK — 2.7% | ||||||
AP Moller - Maersk A/S Class A | 814 | 1,870,975 | ||||
AP Moller - Maersk A/S Class B | 1,415 | 3,293,150 | ||||
Carlsberg AS Class B | 27,252 | 3,463,320 | ||||
Chr. Hansen Holding A/S | 26,727 | 1,941,022 | ||||
Coloplast A/S Class B | 33,011 | 3,751,551 | ||||
Danske Bank A/S (b) | 188,507 | 2,657,995 | ||||
Demant A/S (b) | 28,859 | 1,080,384 | ||||
DSV A/S | 50,761 | 7,073,222 | ||||
Genmab A/S (b) | 17,465 | 5,639,692 | ||||
GN Store Nord A/S | 38,828 | 1,357,521 | ||||
Novo Nordisk A/S Class B | 450,897 | 49,898,588 | ||||
Novozymes A/S Class B | 56,356 | 3,375,014 | ||||
Orsted A/S (d) | 50,572 | 5,274,500 | ||||
Pandora A/S (a) | 26,143 | 1,640,978 | ||||
ROCKWOOL A/S Class B | 2,413 | 541,906 | ||||
Tryg A/S | 94,454 | 2,115,915 | ||||
Vestas Wind Systems A/S | 266,558 | 5,617,191 | ||||
100,592,924 | ||||||
FINLAND — 1.2% | ||||||
Elisa Oyj | 37,876 | 2,123,216 | ||||
Fortum Oyj | 125,299 | 1,875,176 | ||||
Kesko Oyj Class B | 71,347 | 1,679,014 | ||||
Kone Oyj Class B | 92,538 | 4,388,301 | ||||
Neste Oyj | 114,740 | 5,066,896 | ||||
Nokia Oyj | 1,452,045 | 6,739,340 | ||||
Nordea Bank Abp | 876,529 | 7,698,305 | ||||
Orion Oyj Class B | 25,798 | 1,148,944 | ||||
Sampo Oyj Class A | 135,988 | 5,902,842 | ||||
Stora Enso Oyj Class R | 143,613 | 2,246,848 | ||||
UPM-Kymmene Oyj | 145,414 | 4,410,189 | ||||
Wartsila OYJ Abp | 115,743 | 899,056 | ||||
44,178,127 | ||||||
FRANCE — 10.1% | ||||||
Accor SA (b) | 48,963 | 1,322,195 | ||||
Adevinta ASA (b) | 87,235 | 628,232 | ||||
Aeroports de Paris (b) | 8,248 | 1,042,074 | ||||
Air Liquide SA | 139,522 | 18,688,001 | ||||
Airbus SE | 156,285 | 15,105,233 | ||||
Alstom SA | 80,913 | 1,826,309 | ||||
Amundi SA (d) | 16,665 | 909,450 | ||||
Arkema SA | 16,900 | 1,500,375 | ||||
AXA SA | 522,056 | 11,821,668 | ||||
BioMerieux | 10,678 | 1,040,421 | ||||
BNP Paribas SA | 294,431 | 13,963,930 | ||||
Bollore SE | 253,250 | 1,170,240 | ||||
Bouygues SA | 62,690 | 1,924,233 |
Security Description | Shares | Value | ||||
Bureau Veritas SA | 79,499 | $ 2,032,094 | ||||
Capgemini SE | 43,342 | 7,406,228 | ||||
Carrefour SA | 171,382 | 3,025,307 | ||||
Cie de Saint-Gobain | 135,158 | 5,785,566 | ||||
Cie Generale des Etablissements Michelin SCA | 178,309 | 4,842,081 | ||||
Covivio REIT | 11,144 | 616,894 | ||||
Credit Agricole SA | 332,485 | 3,034,864 | ||||
Danone SA | 173,303 | 9,649,626 | ||||
Dassault Aviation SA | 7,368 | 1,146,958 | ||||
Dassault Systemes SE | 178,982 | 6,570,603 | ||||
Edenred | 68,758 | 3,232,581 | ||||
Eiffage SA | 22,258 | 1,998,395 | ||||
Electricite de France SA | 149,093 | 1,216,716 | ||||
Engie SA | 481,054 | 5,514,997 | ||||
EssilorLuxottica SA | 76,429 | 11,418,094 | ||||
Eurazeo SE | 13,360 | 825,462 | ||||
Gecina SA REIT | 11,144 | 1,036,894 | ||||
Getlink SE | 118,556 | 2,085,984 | ||||
Hermes International | 8,395 | 9,364,581 | ||||
Ipsen SA | 9,549 | 898,969 | ||||
Kering SA | 20,174 | 10,336,653 | ||||
Klepierre SA REIT (b) | 54,087 | 1,038,171 | ||||
La Francaise des Jeux SAEM (d) | 25,673 | 886,251 | ||||
Legrand SA | 69,946 | 5,152,390 | ||||
L'Oreal SA | 64,329 | 22,146,329 | ||||
LVMH Moet Hennessy Louis Vuitton SE | 74,315 | 45,193,790 | ||||
Orange SA | 540,520 | 6,340,271 | ||||
Pernod Ricard SA | 56,301 | 10,318,136 | ||||
Publicis Groupe SA | 61,582 | 3,004,013 | ||||
Remy Cointreau SA | 5,726 | 997,907 | ||||
Renault SA (b) | 51,113 | 1,271,244 | ||||
Safran SA | 90,631 | 8,926,413 | ||||
Sanofi | 304,085 | 30,627,028 | ||||
Sartorius Stedim Biotech | 7,160 | 2,240,387 | ||||
SEB SA | 5,528 | 529,090 | ||||
Societe Generale SA | 212,096 | 4,632,060 | ||||
Sodexo SA | 23,426 | 1,642,347 | ||||
Teleperformance | 15,327 | 4,699,725 | ||||
Thales SA | 27,732 | 3,393,562 | ||||
TotalEnergies SE | 663,294 | 34,928,605 | ||||
Ubisoft Entertainment SA (b) | 25,676 | 1,124,721 | ||||
Unibail-Rodamco-Westfield REIT (b) | 33,219 | 1,689,556 | ||||
Valeo | 49,472 | 952,950 | ||||
Veolia Environnement SA | 173,966 | 4,235,816 | ||||
Vinci SA | 141,278 | 12,548,513 | ||||
Vivendi SE | 183,387 | 1,858,936 | ||||
Wendel SE | 6,806 | 567,448 | ||||
Worldline SA (b)(d) | 64,321 | 2,379,106 | ||||
376,306,673 | ||||||
GERMANY — 7.5% | ||||||
adidas AG | 45,769 | 8,075,030 |
Security Description | Shares | Value | |||
Allianz SE | 109,054 | $ 20,763,591 | |||
Aroundtown SA | 278,494 | 883,063 | |||
BASF SE | 247,495 | 10,744,329 | |||
Bayer AG | 260,501 | 15,447,167 | |||
Bayerische Motoren Werke AG | 89,518 | 6,874,870 | |||
Bayerische Motoren Werke AG Preference Shares | 13,890 | 981,640 | |||
Bechtle AG | 22,797 | 929,730 | |||
Beiersdorf AG | 26,680 | 2,718,971 | |||
Brenntag SE | 41,451 | 2,691,100 | |||
Carl Zeiss Meditec AG | 10,056 | 1,197,436 | |||
Commerzbank AG (b) | 299,105 | 2,090,707 | |||
Continental AG | 28,081 | 1,952,259 | |||
Covestro AG (d) | 50,644 | 1,746,151 | |||
Daimler Truck Holding AG (b) | 116,774 | 3,041,047 | |||
Deutsche Bank AG | 543,901 | 4,729,791 | |||
Deutsche Boerse AG | 50,315 | 8,395,249 | |||
Deutsche Lufthansa AG (a)(b) | 175,376 | 1,020,142 | |||
Deutsche Post AG | 263,057 | 9,828,961 | |||
Deutsche Telekom AG | 859,874 | 17,031,605 | |||
E.ON SE | 609,426 | 5,102,092 | |||
Evonik Industries AG | 55,830 | 1,188,362 | |||
Fresenius Medical Care AG & Co. KGaA | 56,469 | 2,811,861 | |||
Fresenius SE & Co. KGaA | 108,107 | 3,266,291 | |||
GEA Group AG | 39,849 | 1,370,202 | |||
Hannover Rueck SE | 16,873 | 2,443,123 | |||
HeidelbergCement AG | 39,482 | 1,892,113 | |||
HelloFresh SE (b) | 46,759 | 1,508,077 | |||
Henkel AG & Co. KGaA Preference Shares | 47,465 | 2,916,798 | |||
Henkel AG & Co. KGaA | 29,589 | 1,806,535 | |||
Infineon Technologies AG | 346,189 | 8,356,808 | |||
KION Group AG | 20,160 | 834,409 | |||
Knorr-Bremse AG | 19,335 | 1,100,034 | |||
LEG Immobilien SE | 20,142 | 1,666,066 | |||
Mercedes-Benz Group AG | 212,451 | 12,264,742 | |||
Merck KGaA | 33,872 | 5,701,248 | |||
MTU Aero Engines AG | 14,100 | 2,560,484 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 37,736 | 8,844,936 | |||
Nemetschek SE | 16,502 | 996,476 | |||
Porsche Automobil Holding SE Preference Shares | 41,045 | 2,708,510 | |||
Puma SE | 28,826 | 1,893,755 | |||
Rational AG | 1,487 | 862,017 | |||
Rheinmetall AG | 11,224 | 2,585,029 | |||
RWE AG | 173,031 | 6,345,805 | |||
SAP SE | 279,072 | 25,362,331 | |||
Sartorius AG Preference Shares | 6,306 | 2,197,975 | |||
Scout24 SE (d) | 22,039 | 1,128,762 | |||
Siemens AG | 204,290 | 20,735,993 | |||
Siemens Energy AG (b) | 122,965 | 1,797,824 |
Security Description | Shares | Value | ||||
Siemens Healthineers AG (d) | 73,055 | $ 3,703,440 | ||||
Symrise AG | 34,599 | 3,756,412 | ||||
Telefonica Deutschland Holding AG | 255,715 | 732,504 | ||||
Uniper SE | 25,395 | 376,202 | ||||
United Internet AG | 22,147 | 630,472 | ||||
Volkswagen AG | 8,417 | 1,530,242 | ||||
Volkswagen AG Preference Shares | 49,092 | 6,539,605 | ||||
Vonovia SE | 184,280 | 5,664,072 | ||||
Zalando SE (b)(d) | 58,899 | 1,536,936 | ||||
277,861,382 | ||||||
HONG KONG — 3.0% | ||||||
AIA Group, Ltd. | 3,236,000 | 35,073,729 | ||||
CK Asset Holdings, Ltd. | 548,399 | 3,878,723 | ||||
CK Infrastructure Holdings, Ltd. | 150,500 | 922,530 | ||||
CLP Holdings, Ltd. | 425,000 | 3,525,892 | ||||
Hang Lung Properties, Ltd. | 527,000 | 999,339 | ||||
Hang Seng Bank, Ltd. | 207,400 | 3,660,645 | ||||
Henderson Land Development Co., Ltd. | 357,436 | 1,339,198 | ||||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 796,490 | 730,823 | ||||
HKT Trust & HKT, Ltd. Stapled Security | 1,085,000 | 1,457,369 | ||||
Hong Kong & China Gas Co., Ltd. | 2,943,995 | 3,170,245 | ||||
Hong Kong Exchanges & Clearing, Ltd. | 320,830 | 15,781,976 | ||||
Hongkong Land Holdings, Ltd. | 306,400 | 1,538,128 | ||||
Jardine Matheson Holdings, Ltd. | 59,300 | 3,116,808 | ||||
Link REIT | 549,810 | 4,484,270 | ||||
MTR Corp., Ltd. | 428,101 | 2,236,811 | ||||
New World Development Co., Ltd. | 384,269 | 1,378,519 | ||||
Power Assets Holdings, Ltd. | 382,000 | 2,402,424 | ||||
Prudential PLC | 724,187 | 8,935,607 | ||||
Sino Land Co., Ltd. | 878,030 | 1,295,738 | ||||
Sun Hung Kai Properties, Ltd. | 379,500 | 4,483,226 | ||||
Swire Pacific, Ltd. Class A | 150,500 | 896,638 | ||||
Swire Properties, Ltd. | 294,600 | 731,343 | ||||
Techtronic Industries Co., Ltd. | 368,500 | 3,843,751 | ||||
WH Group, Ltd. (d) | 2,283,266 | 1,763,308 | ||||
Wharf Real Estate Investment Co., Ltd. | 464,000 | 2,211,509 | ||||
109,858,549 | ||||||
IRELAND — 0.6% | ||||||
AerCap Holdings NV (b) | 36,300 | 1,486,122 | ||||
CRH PLC (a) | 205,524 | 7,090,546 | ||||
Flutter Entertainment PLC (b) | 44,324 | 4,470,741 |
Security Description | Shares | Value | ||||
Kerry Group PLC Class A | 43,279 | $ 4,132,772 | ||||
Kingspan Group PLC (a) | 41,165 | 2,470,263 | ||||
Smurfit Kappa Group PLC | 65,329 | 2,191,006 | ||||
21,841,450 | ||||||
ISRAEL — 0.7% | ||||||
Azrieli Group, Ltd. | 11,856 | 827,379 | ||||
Bank Hapoalim BM | 354,438 | 2,951,162 | ||||
Bank Leumi Le-Israel BM | 393,458 | 3,488,392 | ||||
Check Point Software Technologies, Ltd. (b) | 26,810 | 3,264,922 | ||||
Elbit Systems, Ltd. | 7,497 | 1,706,554 | ||||
ICL Group, Ltd. | 187,913 | 1,700,373 | ||||
Israel Discount Bank, Ltd. Class A | 345,396 | 1,791,012 | ||||
Kornit Digital, Ltd. (a)(b) | 12,100 | 383,570 | ||||
Mizrahi Tefahot Bank, Ltd. (b) | 40,070 | 1,321,498 | ||||
Nice, Ltd. (b) | 16,737 | 3,204,363 | ||||
Teva Pharmaceutical Industries, Ltd. ADR (b) | 219,628 | 1,651,603 | ||||
Teva Pharmaceutical Industries, Ltd. (b) | 71,135 | 542,325 | ||||
Tower Semiconductor, Ltd. (b) | 31,385 | 1,458,058 | ||||
Wix.com, Ltd. (b) | 15,000 | 983,250 | ||||
ZIM Integrated Shipping Services, Ltd. (a) | 24,000 | 1,133,520 | ||||
26,407,981 | ||||||
ITALY — 1.9% | ||||||
Amplifon SpA (a) | 34,439 | 1,053,124 | ||||
Assicurazioni Generali SpA | 290,358 | 4,621,621 | ||||
Atlantia SpA | 128,287 | 3,001,553 | ||||
Coca-Cola HBC AG | 49,004 | 1,084,325 | ||||
Davide Campari-Milano NV | 147,511 | 1,547,551 | ||||
DiaSorin SpA | 7,305 | 956,154 | ||||
Enel SpA | 2,163,630 | 11,807,466 | ||||
Eni SpA | 683,790 | 8,098,027 | ||||
Ferrari NV | 33,682 | 6,169,290 | ||||
FinecoBank Banca Fineco SpA | 160,718 | 1,918,818 | ||||
Infrastrutture Wireless Italiane SpA (d) | 98,322 | 995,425 | ||||
Intesa Sanpaolo SpA (a) | 4,434,136 | 8,251,487 | ||||
Mediobanca Banca di Credito Finanziario SpA | 152,764 | 1,318,861 | ||||
Moncler SpA | 54,037 | 2,312,258 | ||||
Nexi SpA (b)(d) | 142,489 | 1,177,420 | ||||
Poste Italiane SpA (d) | 139,341 | 1,298,247 | ||||
Prysmian SpA | 68,096 | 1,865,915 | ||||
Recordati Industria Chimica e Farmaceutica SpA | 31,198 | 1,353,888 | ||||
Snam SpA | 558,500 | 2,918,835 | ||||
Telecom Italia SpA (a)(b) | 2,694,816 | 703,479 | ||||
Terna - Rete Elettrica Nazionale (a) | 391,082 | 3,061,519 |
Security Description | Shares | Value | ||||
UniCredit SpA | 557,441 | $ 5,282,870 | ||||
70,798,133 | ||||||
JAPAN — 21.7% | ||||||
Advantest Corp. | 49,900 | 2,666,623 | ||||
Aeon Co., Ltd. | 180,400 | 3,125,844 | ||||
AGC, Inc. | 49,900 | 1,752,037 | ||||
Aisin Corp. | 37,200 | 1,150,050 | ||||
Ajinomoto Co., Inc. | 126,400 | 3,070,332 | ||||
ANA Holdings, Inc. (b) | 39,200 | 721,213 | ||||
Asahi Group Holdings, Ltd. (a) | 124,700 | 4,080,023 | ||||
Asahi Intecc Co., Ltd. | 63,100 | 951,226 | ||||
Asahi Kasei Corp. | 338,500 | 2,581,326 | ||||
Astellas Pharma, Inc. | 500,900 | 7,798,046 | ||||
Azbil Corp. | 34,900 | 915,818 | ||||
Bandai Namco Holdings, Inc. | 51,800 | 3,652,366 | ||||
Bridgestone Corp. (a) | 149,600 | 5,450,812 | ||||
Brother Industries, Ltd. | 66,100 | 1,160,417 | ||||
Canon, Inc. (a) | 263,800 | 5,990,379 | ||||
Capcom Co., Ltd. | 50,100 | 1,215,115 | ||||
Central Japan Railway Co. | 39,300 | 4,528,663 | ||||
Chiba Bank, Ltd. | 135,500 | 739,064 | ||||
Chubu Electric Power Co., Inc. | 177,400 | 1,783,728 | ||||
Chugai Pharmaceutical Co., Ltd. | 179,800 | 4,592,440 | ||||
Concordia Financial Group, Ltd. | 300,800 | 1,040,639 | ||||
CyberAgent, Inc. | 124,800 | 1,241,064 | ||||
Dai Nippon Printing Co., Ltd. | 59,100 | 1,272,876 | ||||
Daifuku Co., Ltd. | 28,900 | 1,650,760 | ||||
Dai-ichi Life Holdings, Inc. | 274,600 | 5,073,394 | ||||
Daiichi Sankyo Co., Ltd. | 465,500 | 11,776,699 | ||||
Daikin Industries, Ltd. | 67,100 | 10,742,520 | ||||
Daito Trust Construction Co., Ltd. | 17,300 | 1,491,171 | ||||
Daiwa House Industry Co., Ltd. | 155,300 | 3,614,579 | ||||
Daiwa House REIT Investment Corp. | 557 | 1,260,738 | ||||
Daiwa Securities Group, Inc. | 338,200 | 1,508,588 | ||||
Denso Corp. | 116,900 | 6,202,313 | ||||
Dentsu Group, Inc. (a) | 59,100 | 1,772,717 | ||||
Disco Corp. | 8,100 | 1,919,841 | ||||
East Japan Railway Co. | 81,700 | 4,172,350 | ||||
Eisai Co., Ltd. | 64,600 | 2,722,277 | ||||
ENEOS Holdings, Inc. | 817,100 | 3,089,649 | ||||
FANUC Corp. | 50,800 | 7,942,233 | ||||
Fast Retailing Co., Ltd. | 15,400 | 8,057,355 | ||||
Fuji Electric Co., Ltd. | 35,300 | 1,460,278 | ||||
FUJIFILM Holdings Corp. | 95,900 | 5,137,538 | ||||
Fujitsu, Ltd. | 53,200 | 6,643,392 | ||||
GLP J-REIT (b) | 1,127 | 1,374,582 | ||||
GMO Payment Gateway, Inc. | 12,100 | 850,576 | ||||
Hakuhodo DY Holdings, Inc. | 55,500 | 508,612 | ||||
Hamamatsu Photonics KK | 36,200 | 1,404,247 |
Security Description | Shares | Value | |||
Hankyu Hanshin Holdings, Inc. | 61,900 | $ 1,685,842 | |||
Hikari Tsushin, Inc. | 4,400 | 450,510 | |||
Hirose Electric Co., Ltd. | 8,710 | 1,154,666 | |||
Hitachi Construction Machinery Co., Ltd. | 33,800 | 747,628 | |||
Hitachi Metals, Ltd. (b) | 53,700 | 811,498 | |||
Hitachi, Ltd. | 261,000 | 12,368,466 | |||
Honda Motor Co., Ltd. | 439,900 | 10,662,771 | |||
Hoshizaki Corp. | 27,800 | 827,728 | |||
Hoya Corp. | 97,500 | 8,314,287 | |||
Hulic Co., Ltd. | 105,600 | 816,164 | |||
Ibiden Co., Ltd. | 32,900 | 926,300 | |||
Idemitsu Kosan Co., Ltd. | 56,340 | 1,356,091 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 552,023 | |||
Inpex Corp. (a) | 277,900 | 3,006,978 | |||
Isuzu Motors, Ltd. | 156,000 | 1,723,573 | |||
Ito En, Ltd. | 15,800 | 707,107 | |||
ITOCHU Corp. | 313,200 | 8,453,899 | |||
Itochu Techno-Solutions Corp. | 22,200 | 543,337 | |||
Japan Airlines Co., Ltd. (b) | 39,300 | 687,038 | |||
Japan Exchange Group, Inc. | 131,700 | 1,898,116 | |||
Japan Metropolitan Fund Invest REIT | 1,939 | 1,508,611 | |||
Japan Post Bank Co., Ltd. | 119,300 | 926,440 | |||
Japan Post Holdings Co., Ltd. | 656,200 | 4,680,898 | |||
Japan Post Insurance Co., Ltd. | 55,900 | 893,297 | |||
Japan Real Estate Investment Corp. REIT | 326 | 1,497,361 | |||
Japan Tobacco, Inc. | 325,000 | 5,612,234 | |||
JFE Holdings, Inc. | 133,900 | 1,409,422 | |||
JSR Corp. | 44,100 | 1,142,630 | |||
Kajima Corp. | 114,800 | 1,315,694 | |||
Kakaku.com, Inc. | 33,100 | 545,271 | |||
Kansai Electric Power Co., Inc. | 184,700 | 1,827,219 | |||
Kao Corp. | 129,400 | 5,212,004 | |||
KDDI Corp. | 429,500 | 13,559,497 | |||
Keio Corp. | 27,500 | 982,757 | |||
Keisei Electric Railway Co., Ltd. | 34,100 | 938,751 | |||
Keyence Corp. | 51,900 | 17,718,317 | |||
Kikkoman Corp. | 39,000 | 2,066,910 | |||
Kintetsu Group Holdings Co., Ltd. | 47,000 | 1,461,669 | |||
Kirin Holdings Co., Ltd. (a) | 213,800 | 3,363,862 | |||
Kobayashi Pharmaceutical Co., Ltd. | 14,100 | 867,660 | |||
Kobe Bussan Co., Ltd. | 36,800 | 900,666 | |||
Koei Tecmo Holdings Co., Ltd. | 13,520 | 435,888 | |||
Koito Manufacturing Co., Ltd. | 26,200 | 830,231 | |||
Komatsu, Ltd. | 243,200 | 5,384,753 | |||
Konami Holdings Corp. | 26,400 | 1,459,380 |
Security Description | Shares | Value | |||
Kose Corp. (a) | 8,100 | $ 735,740 | |||
Kubota Corp. (a) | 279,300 | 4,167,245 | |||
Kurita Water Industries, Ltd. | 29,800 | 1,077,016 | |||
Kyocera Corp. | 85,900 | 4,587,909 | |||
Kyowa Kirin Co., Ltd. | 73,100 | 1,641,125 | |||
Lasertec Corp. (a) | 20,300 | 2,413,198 | |||
Lixil Corp. | 77,600 | 1,450,841 | |||
M3, Inc. | 113,900 | 3,268,059 | |||
Makita Corp. | 63,800 | 1,588,249 | |||
Marubeni Corp. | 408,000 | 3,675,919 | |||
Mazda Motor Corp. | 152,300 | 1,244,363 | |||
McDonald's Holdings Co. Japan, Ltd. | 21,100 | 767,244 | |||
MEIJI Holdings Co., Ltd. | 28,300 | 1,387,347 | |||
MINEBEA MITSUMI, Inc. | 98,500 | 1,674,837 | |||
MISUMI Group, Inc. | 76,600 | 1,612,572 | |||
Mitsubishi Chemical Holdings Corp. | 345,700 | 1,875,388 | |||
Mitsubishi Corp. | 335,400 | 9,966,581 | |||
Mitsubishi Electric Corp. | 507,900 | 5,424,628 | |||
Mitsubishi Estate Co., Ltd. | 321,000 | 4,652,379 | |||
Mitsubishi HC Capital, Inc. | 165,100 | 760,757 | |||
Mitsubishi Heavy Industries, Ltd. | 82,900 | 2,895,444 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,188,000 | 17,116,243 | |||
Mitsui & Co., Ltd. | 369,800 | 8,151,088 | |||
Mitsui Chemicals, Inc. | 49,100 | 1,044,489 | |||
Mitsui Fudosan Co., Ltd. | 238,300 | 5,117,517 | |||
Mitsui OSK Lines, Ltd. | 92,400 | 2,111,825 | |||
Mizuho Financial Group, Inc. | 649,040 | 7,371,600 | |||
MonotaRO Co., Ltd. | 70,700 | 1,049,142 | |||
MS&AD Insurance Group Holdings, Inc. | 117,600 | 3,599,285 | |||
Murata Manufacturing Co., Ltd. | 154,700 | 8,421,929 | |||
NEC Corp. | 65,700 | 2,548,592 | |||
Nexon Co., Ltd. (a) | 130,200 | 2,662,365 | |||
NGK Insulators, Ltd. | 63,900 | 859,808 | |||
Nidec Corp. | 120,700 | 7,445,188 | |||
Nihon M&A Center Holdings, Inc. | 77,900 | 827,424 | |||
Nintendo Co., Ltd. | 29,200 | 12,612,388 | |||
Nippon Building Fund, Inc. REIT (a) | 431 | 2,144,610 | |||
Nippon Express Holdings, Inc. | 20,700 | 1,122,955 | |||
Nippon Paint Holdings Co., Ltd. (a) | 221,300 | 1,646,861 | |||
Nippon Prologis REIT, Inc. (b) | 571 | 1,403,806 | |||
Nippon Sanso Holdings Corp. | 47,100 | 749,897 | |||
Nippon Shinyaku Co., Ltd. | 14,400 | 874,462 | |||
Nippon Steel Corp. | 212,900 | 2,975,946 | |||
Nippon Telegraph & Telephone Corp. | 316,900 | 9,087,942 | |||
Nippon Yusen KK (a) | 41,500 | 2,831,732 | |||
Nissan Chemical Corp. | 33,100 | 1,522,763 |
Security Description | Shares | Value | |||
Nissan Motor Co., Ltd. | 618,800 | $ 2,405,875 | |||
Nisshin Seifun Group, Inc. | 46,800 | 547,042 | |||
Nissin Foods Holdings Co., Ltd. | 18,400 | 1,269,059 | |||
Nitori Holdings Co., Ltd. | 21,300 | 2,021,740 | |||
Nitto Denko Corp. | 39,500 | 2,552,795 | |||
Nomura Holdings, Inc. | 804,700 | 2,937,328 | |||
Nomura Real Estate Holdings, Inc. | 30,100 | 736,686 | |||
Nomura Real Estate Master Fund, Inc. REIT (b) | 1,117 | 1,392,807 | |||
Nomura Research Institute, Ltd. | 89,400 | 2,375,577 | |||
NTT Data Corp. | 171,800 | 2,372,359 | |||
Obayashi Corp. | 172,700 | 1,252,140 | |||
Obic Co., Ltd. | 18,400 | 2,599,065 | |||
Odakyu Electric Railway Co., Ltd. | 86,200 | 1,157,963 | |||
Oji Holdings Corp. | 226,700 | 981,190 | |||
Olympus Corp. | 325,700 | 6,536,536 | |||
Omron Corp. | 50,400 | 2,556,449 | |||
Ono Pharmaceutical Co., Ltd. | 100,000 | 2,563,027 | |||
Open House Group Co., Ltd. | 22,200 | 882,411 | |||
Oracle Corp. Japan | 10,800 | 624,843 | |||
Oriental Land Co., Ltd. | 52,900 | 7,367,178 | |||
ORIX Corp. | 324,900 | 5,443,100 | |||
Osaka Gas Co., Ltd. | 99,000 | 1,891,752 | |||
Otsuka Corp. | 28,200 | 835,486 | |||
Otsuka Holdings Co., Ltd. | 103,700 | 3,677,646 | |||
Pan Pacific International Holdings Corp. | 94,400 | 1,504,369 | |||
Panasonic Holdings Corp. | 598,800 | 4,832,978 | |||
Persol Holdings Co., Ltd. | 52,200 | 947,519 | |||
Rakuten Group, Inc. | 239,200 | 1,077,549 | |||
Recruit Holdings Co., Ltd. | 383,000 | 11,262,633 | |||
Renesas Electronics Corp. (b) | 307,500 | 2,790,825 | |||
Resona Holdings, Inc. | 576,900 | 2,157,616 | |||
Ricoh Co., Ltd. | 139,100 | 1,086,343 | |||
Rohm Co., Ltd. | 23,600 | 1,643,340 | |||
SBI Holdings, Inc. | 67,900 | 1,326,963 | |||
SCSK Corp. | 38,200 | 645,594 | |||
Secom Co., Ltd. | 56,400 | 3,480,190 | |||
Seiko Epson Corp. | 75,200 | 1,062,780 | |||
Sekisui Chemical Co., Ltd. | 92,600 | 1,265,748 | |||
Sekisui House, Ltd. | 158,100 | 2,765,630 | |||
Seven & i Holdings Co., Ltd. | 202,400 | 7,846,901 | |||
SG Holdings Co., Ltd. | 83,500 | 1,406,879 | |||
Sharp Corp. | 52,900 | 408,466 | |||
Shimadzu Corp. | 64,200 | 2,027,294 | |||
Shimano, Inc. | 19,700 | 3,323,573 | |||
Shimizu Corp. | 159,200 | 878,878 | |||
Shin-Etsu Chemical Co., Ltd. | 99,700 | 11,228,221 | |||
Shionogi & Co., Ltd. | 72,700 | 3,668,312 | |||
Shiseido Co., Ltd. | 107,200 | 4,297,311 | |||
Shizuoka Bank, Ltd. | 131,800 | 790,674 | |||
SMC Corp. | 15,000 | 6,676,604 |
Security Description | Shares | Value | |||
Softbank Corp. | 760,700 | $ 8,435,424 | |||
SoftBank Group Corp. | 320,700 | 12,357,767 | |||
Sompo Holdings, Inc. | 85,300 | 3,756,578 | |||
Sony Group Corp. | 337,100 | 27,530,268 | |||
Square Enix Holdings Co., Ltd. | 21,000 | 929,005 | |||
Subaru Corp. | 162,400 | 2,882,688 | |||
SUMCO Corp. (a) | 85,300 | 1,104,433 | |||
Sumitomo Chemical Co., Ltd. | 400,800 | 1,566,558 | |||
Sumitomo Corp. | 303,600 | 4,149,904 | |||
Sumitomo Electric Industries, Ltd. | 181,500 | 2,002,639 | |||
Sumitomo Metal Mining Co., Ltd. | 65,700 | 2,055,316 | |||
Sumitomo Mitsui Financial Group, Inc. | 351,700 | 10,437,999 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 88,600 | 2,726,054 | |||
Sumitomo Realty & Development Co., Ltd. | 81,000 | 2,136,270 | |||
Suntory Beverage & Food, Ltd. | 35,300 | 1,332,958 | |||
Suzuki Motor Corp. | 98,700 | 3,097,838 | |||
Sysmex Corp. | 42,900 | 2,578,642 | |||
T&D Holdings, Inc. | 135,400 | 1,618,561 | |||
Taisei Corp. | 51,500 | 1,601,616 | |||
Takeda Pharmaceutical Co., Ltd. | 399,217 | 11,219,392 | |||
TDK Corp. | 104,400 | 3,219,874 | |||
Terumo Corp. | 173,300 | 5,214,754 | |||
TIS, Inc. | 59,100 | 1,546,505 | |||
Tobu Railway Co., Ltd. | 55,500 | 1,264,381 | |||
Toho Co., Ltd. | 29,100 | 1,050,646 | |||
Tokio Marine Holdings, Inc. | 168,600 | 9,807,853 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 425,700 | 1,776,688 | |||
Tokyo Electron, Ltd. | 39,800 | 12,978,102 | |||
Tokyo Gas Co., Ltd. | 111,900 | 2,312,048 | |||
Tokyu Corp. | 143,100 | 1,683,220 | |||
TOPPAN, INC. | 71,700 | 1,196,451 | |||
Toray Industries, Inc. | 382,400 | 2,142,600 | |||
Toshiba Corp. | 101,400 | 4,116,308 | |||
Tosoh Corp. | 67,700 | 839,678 | |||
TOTO, Ltd. | 34,500 | 1,137,684 | |||
Toyota Industries Corp. | 41,000 | 2,535,056 | |||
Toyota Motor Corp. | 2,839,000 | 43,884,288 | |||
Toyota Tsusho Corp. | 58,400 | 1,904,324 | |||
Trend Micro, Inc. | 36,400 | 1,773,715 | |||
Unicharm Corp. | 107,200 | 3,582,408 | |||
USS Co., Ltd. | 52,200 | 902,564 | |||
Welcia Holdings Co., Ltd. | 21,000 | 420,448 | |||
West Japan Railway Co. | 59,200 | 2,174,872 | |||
Yakult Honsha Co., Ltd. | 34,100 | 1,965,353 | |||
Yamaha Corp. | 36,400 | 1,500,423 | |||
Yamaha Motor Co., Ltd. (a) | 79,800 | 1,460,254 | |||
Yamato Holdings Co., Ltd. | 74,000 | 1,181,996 | |||
Yaskawa Electric Corp. | 61,000 | 1,962,166 |
Security Description | Shares | Value | ||||
Yokogawa Electric Corp. | 54,200 | $ 894,058 | ||||
Z Holdings Corp. | 721,900 | 2,106,372 | ||||
ZOZO, Inc. | 36,100 | 649,696 | ||||
808,346,591 | ||||||
JORDAN — 0.0% (c) | ||||||
Hikma Pharmaceuticals PLC | 49,544 | 973,229 | ||||
LUXEMBOURG — 0.2% | ||||||
ArcelorMittal SA | 163,831 | 3,684,170 | ||||
Eurofins Scientific SE | 37,085 | 2,910,890 | ||||
6,595,060 | ||||||
MACAU — 0.1% | ||||||
Galaxy Entertainment Group, Ltd. | 594,000 | 3,542,676 | ||||
Sands China, Ltd. (b) | 608,800 | 1,452,378 | ||||
4,995,054 | ||||||
NETHERLANDS — 5.1% | ||||||
ABN AMRO Bank NV (d) | 112,987 | 1,265,680 | ||||
Adyen NV (b)(d) | 5,733 | 8,319,067 | ||||
Aegon NV | 468,158 | 2,020,391 | ||||
Akzo Nobel NV | 49,714 | 3,254,580 | ||||
Argenx SE (b) | 11,928 | 4,458,070 | ||||
ASM International NV | 12,498 | 3,117,555 | ||||
ASML Holding NV | 108,863 | 51,880,658 | ||||
Euronext NV (d) | 22,272 | 1,813,844 | ||||
EXOR NV | 28,347 | 1,762,712 | ||||
Heineken Holding NV | 25,884 | 1,879,347 | ||||
Heineken NV | 69,385 | 6,310,853 | ||||
IMCD NV | 16,116 | 2,206,307 | ||||
ING Groep NV | 1,037,323 | 10,227,629 | ||||
JDE Peet's NV | 29,018 | 823,949 | ||||
Koninklijke Ahold Delhaize NV | 276,477 | 7,185,605 | ||||
Koninklijke DSM NV | 46,161 | 6,616,311 | ||||
Koninklijke KPN NV | 895,880 | 3,185,369 | ||||
Koninklijke Philips NV | 231,969 | 4,984,834 | ||||
NN Group NV | 74,469 | 3,374,175 | ||||
OCI NV | 30,841 | 1,015,001 | ||||
Randstad NV (a) | 32,348 | 1,562,401 | ||||
Shell PLC | 2,027,234 | 52,538,533 | ||||
Universal Music Group NV | 194,812 | 3,896,949 | ||||
Wolters Kluwer NV | 70,989 | 6,869,381 | ||||
190,569,201 | ||||||
NEW ZEALAND — 0.2% | ||||||
Auckland International Airport, Ltd. (b) | 345,794 | 1,543,682 | ||||
Fisher & Paykel Healthcare Corp., Ltd. | 162,203 | 2,014,978 | ||||
Mercury NZ, Ltd. | 169,663 | 596,007 | ||||
Meridian Energy, Ltd. | 387,943 | 1,128,833 | ||||
Spark New Zealand, Ltd. | 513,057 | 1,531,168 | ||||
Xero, Ltd. (b) | 37,384 | 1,978,419 | ||||
8,793,087 |
Security Description | Shares | Value | ||||
NORWAY — 0.7% | ||||||
Aker BP ASA (a) | 34,929 | $ 1,209,465 | ||||
DNB Bank ASA | 249,414 | 4,456,999 | ||||
Equinor ASA | 259,159 | 8,985,543 | ||||
Gjensidige Forsikring ASA | 58,769 | 1,186,712 | ||||
Kongsberg Gruppen ASA | 26,562 | 949,051 | ||||
Mowi ASA | 115,588 | 2,621,855 | ||||
Norsk Hydro ASA | 349,926 | 1,953,685 | ||||
Orkla ASA | 199,014 | 1,585,706 | ||||
Salmar ASA | 17,102 | 1,198,728 | ||||
Telenor ASA | 184,371 | 2,444,657 | ||||
26,592,401 | ||||||
PORTUGAL — 0.2% | ||||||
EDP - Energias de Portugal SA | 735,646 | 3,423,949 | ||||
Galp Energia SGPS SA | 139,432 | 1,630,428 | ||||
Jeronimo Martins SGPS SA | 75,241 | 1,631,423 | ||||
6,685,800 | ||||||
SAUDI ARABIA — 0.0% (c) | ||||||
Delivery Hero SE (b)(d) | 45,203 | 1,690,400 | ||||
SINGAPORE — 1.5% | ||||||
Ascendas Real Estate Investment Trust | 947,015 | 1,939,350 | ||||
CapitaLand Integrated Commercial Trust REIT | 1,371,089 | 2,137,862 | ||||
Capitaland Investment, Ltd. | 702,282 | 1,927,655 | ||||
City Developments, Ltd. | 96,600 | 565,704 | ||||
DBS Group Holdings, Ltd. | 481,057 | 10,259,231 | ||||
Genting Singapore, Ltd. | 1,636,500 | 846,648 | ||||
Grab Holdings, Ltd. Class A (b) | 298,600 | 755,458 | ||||
Keppel Corp., Ltd. | 395,100 | 1,842,494 | ||||
Mapletree Commercial Trust REIT | 656,900 | 863,783 | ||||
Mapletree Logistics Trust REIT | 814,804 | 983,596 | ||||
Oversea-Chinese Banking Corp., Ltd. | 914,266 | 7,482,568 | ||||
Sea, Ltd. ADR (b) | 94,700 | 6,331,642 | ||||
Singapore Airlines, Ltd. (a)(b) | 347,449 | 1,273,256 | ||||
Singapore Exchange, Ltd. | 244,700 | 1,663,334 | ||||
Singapore Technologies Engineering, Ltd. | 410,500 | 1,203,449 | ||||
Singapore Telecommunications, Ltd. | 2,202,100 | 4,003,243 | ||||
STMicroelectronics NV | 180,187 | 5,651,294 | ||||
United Overseas Bank, Ltd. | 321,290 | 6,060,115 | ||||
UOL Group, Ltd. | 136,932 | 724,164 | ||||
Venture Corp., Ltd. | 73,700 | 880,672 | ||||
57,395,518 | ||||||
SOUTH AFRICA — 0.3% | ||||||
Anglo American PLC | 336,468 | 12,001,274 | ||||
SPAIN — 2.5% | ||||||
Acciona SA (a) | 7,116 | 1,305,618 |
Security Description | Shares | Value | ||||
ACS Actividades de Construccion y Servicios SA (a) | 62,205 | $ 1,504,195 | ||||
Aena SME SA (b)(d) | 20,495 | 2,597,963 | ||||
Amadeus IT Group SA (b) | 121,258 | 6,739,049 | ||||
Banco Bilbao Vizcaya Argentaria SA | 1,805,465 | 8,173,919 | ||||
Banco Santander SA | 4,616,364 | 12,972,764 | ||||
CaixaBank SA | 1,160,641 | 4,024,821 | ||||
Cellnex Telecom SA (d) | 143,066 | 5,538,515 | ||||
EDP Renovaveis SA | 72,636 | 1,710,108 | ||||
Enagas SA (a) | 68,605 | 1,511,206 | ||||
Endesa SA (a) | 84,066 | 1,581,962 | ||||
Ferrovial SA | 128,028 | 3,237,756 | ||||
Grifols SA (a)(b) | 74,383 | 1,402,468 | ||||
Iberdrola SA | 1,544,156 | 15,975,486 | ||||
Industria de Diseno Textil SA | 297,345 | 6,711,452 | ||||
Naturgy Energy Group SA | 42,219 | 1,212,467 | ||||
Red Electrica Corp. SA (a) | 114,205 | 2,152,106 | ||||
Repsol SA | 395,105 | 5,803,528 | ||||
Siemens Gamesa Renewable Energy SA (b) | 58,129 | 1,088,408 | ||||
Telefonica SA (a) | 1,477,368 | 7,509,427 | ||||
�� | 92,753,218 | |||||
SWEDEN — 3.1% | ||||||
Alfa Laval AB | 81,552 | 1,962,520 | ||||
Assa Abloy AB Class B | 267,221 | 5,666,523 | ||||
Atlas Copco AB Class A | 705,318 | 6,577,985 | ||||
Atlas Copco AB Class B | 425,220 | 3,549,517 | ||||
Boliden AB (b) | 75,804 | 2,406,740 | ||||
Electrolux AB Class B | 67,340 | 904,622 | ||||
Embracer Group AB (a)(b) | 183,564 | 1,397,053 | ||||
Epiroc AB Class A | 176,152 | 2,715,148 | ||||
Epiroc AB Class B | 105,036 | 1,416,552 | ||||
EQT AB | 79,568 | 1,625,928 | ||||
Essity AB Class B | 159,055 | 4,145,792 | ||||
Evolution AB (d) | 47,876 | 4,345,441 | ||||
Fastighets AB Balder Class B (b) | 161,934 | 774,478 | ||||
Getinge AB Class B | 59,119 | 1,363,832 | ||||
H & M Hennes & Mauritz AB Class B (a) | 185,775 | 2,214,637 | ||||
Hexagon AB Class B | 511,904 | 5,307,668 | ||||
Holmen AB Class B | 27,072 | 1,096,100 | ||||
Husqvarna AB Class B | 100,866 | 740,593 | ||||
Industrivarden AB Class A | 37,655 | 845,891 | ||||
Industrivarden AB Class C | 42,571 | 945,108 | ||||
Indutrade AB | 78,148 | 1,422,654 | ||||
Investment AB Latour Class B | 36,812 | 726,727 | ||||
Investor AB Class A | 127,024 | 2,276,476 | ||||
Investor AB Class B | 482,308 | 7,915,623 | ||||
Kinnevik AB Class B (b) | 60,470 | 972,486 | ||||
L E Lundbergforetagen AB Class B | 22,280 | 904,254 | ||||
Lifco AB Class B | 61,729 | 989,421 |
Security Description | Shares | Value | ||||
Lundin Energy AB (a) | 56,063 | $ 38,242 | ||||
Lundin Energy Mergerco AB (a) | 56,063 | 2,281,157 | ||||
Nibe Industrier AB Class B | 389,136 | 2,916,412 | ||||
Sagax AB Class B | 54,853 | 1,010,087 | ||||
Sandvik AB | 284,584 | 4,605,876 | ||||
Securitas AB Class B | 76,709 | 659,640 | ||||
Skandinaviska Enskilda Banken AB Class A | 438,727 | 4,298,475 | ||||
Skanska AB Class B | 93,275 | 1,427,242 | ||||
SKF AB Class B | 99,835 | 1,466,242 | ||||
Svenska Cellulosa AB SCA Class B | 154,458 | 2,303,139 | ||||
Svenska Handelsbanken AB Class A | 390,062 | 3,327,597 | ||||
Swedbank AB Class A | 247,427 | 3,121,993 | ||||
Swedish Match AB | 425,455 | 4,326,211 | ||||
Swedish Orphan Biovitrum AB (b) | 49,722 | 1,073,297 | ||||
Tele2 AB Class B | 141,731 | 1,611,303 | ||||
Telefonaktiebolaget LM Ericsson Class B | 787,784 | 5,863,369 | ||||
Telia Co. AB | 681,084 | 2,604,063 | ||||
Volvo AB Class A | 54,885 | 881,596 | ||||
Volvo AB Class B | 398,352 | 6,156,780 | ||||
Volvo Car AB Class B (a)(b) | 172,335 | 1,142,913 | ||||
116,325,403 | ||||||
SWITZERLAND — 6.0% | ||||||
ABB, Ltd. | 436,706 | 11,613,866 | ||||
Adecco Group AG (b) | 41,746 | 1,414,572 | ||||
Alcon, Inc. | 132,441 | 9,224,595 | ||||
Bachem Holding AG Class B | 8,450 | 585,635 | ||||
Baloise Holding AG | 12,289 | 2,001,207 | ||||
Barry Callebaut AG | 938 | 2,086,948 | ||||
Chocoladefabriken Lindt & Spruengli AG (e) | 286 | 2,900,778 | ||||
Chocoladefabriken Lindt & Spruengli AG (e) | 30 | 3,136,784 | ||||
Cie Financiere Richemont SA Class A | 138,999 | 14,758,707 | ||||
Clariant AG | 53,896 | 1,023,481 | ||||
Credit Suisse Group AG (b) | 723,271 | 4,094,771 | ||||
EMS-Chemie Holding AG | 1,951 | 1,447,940 | ||||
Geberit AG | 9,829 | 4,710,446 | ||||
Givaudan SA | 2,490 | 8,731,321 | ||||
Holcim AG (b) | 146,380 | 6,246,016 | ||||
Julius Baer Group, Ltd. (b) | 61,702 | 2,838,414 | ||||
Kuehne + Nagel International AG | 14,357 | 3,389,233 | ||||
Logitech International SA (a) | 46,326 | 2,413,201 | ||||
Lonza Group AG | 19,768 | 10,510,171 | ||||
Novartis AG | 583,704 | 49,294,896 | ||||
Partners Group Holding AG | 5,965 | 5,359,683 | ||||
Schindler Holding AG (e) | 10,698 | 1,945,497 | ||||
Schindler Holding AG (e) | 5,997 | 1,074,931 | ||||
SGS SA | 1,653 | 3,772,711 |
Security Description | Shares | Value | ||||
Sika AG | 38,560 | $ 8,861,127 | ||||
Sonova Holding AG | 14,232 | 4,519,275 | ||||
Straumann Holding AG | 28,798 | 3,448,781 | ||||
Swatch Group AG Bearer Shares (e) | 7,490 | 1,772,064 | ||||
Swatch Group AG (e) | 13,415 | 594,696 | ||||
Swiss Life Holding AG (a) | 8,362 | 4,061,555 | ||||
Swiss Prime Site AG (b) | 20,793 | 1,818,994 | ||||
Swisscom AG | 7,092 | 3,906,952 | ||||
Temenos AG | 16,017 | 1,365,548 | ||||
UBS Group AG | 937,044 | 15,063,568 | ||||
VAT Group AG (b)(d) | 7,660 | 1,821,085 | ||||
Vifor Pharma AG (b) | 12,818 | 2,215,887 | ||||
Zurich Insurance Group AG | 39,922 | 17,314,059 | ||||
221,339,395 | ||||||
UNITED KINGDOM — 11.9% | ||||||
3i Group PLC | 262,686 | 3,536,326 | ||||
Abrdn PLC | 580,037 | 1,126,025 | ||||
Admiral Group PLC | 51,971 | 1,416,327 | ||||
Ashtead Group PLC | 119,266 | 4,981,137 | ||||
Associated British Foods PLC | 98,662 | 1,890,761 | ||||
AstraZeneca PLC | 412,876 | 54,153,064 | ||||
Auto Trader Group PLC (d) | 240,338 | 1,619,926 | ||||
AVEVA Group PLC | 34,897 | 953,989 | ||||
Aviva PLC (b) | 733,531 | 3,574,928 | ||||
BAE Systems PLC | 850,856 | 8,578,640 | ||||
Barclays PLC | 4,506,013 | 8,379,228 | ||||
Barratt Developments PLC | 264,661 | 1,470,164 | ||||
Berkeley Group Holdings PLC (b) | 28,426 | 1,285,598 | ||||
BP PLC | 5,203,169 | 24,536,633 | ||||
British American Tobacco PLC | 581,697 | 24,863,224 | ||||
British Land Co. PLC REIT | 225,039 | 1,221,918 | ||||
BT Group PLC (a) | 1,816,558 | 4,109,999 | ||||
Bunzl PLC | 91,540 | 3,022,733 | ||||
Burberry Group PLC | 101,799 | 2,028,765 | ||||
CK Hutchison Holdings, Ltd. | 700,500 | 4,735,792 | ||||
CNH Industrial NV | 270,192 | 3,112,844 | ||||
Coca-Cola Europacific Partners PLC (e) | 32,800 | 1,692,808 | ||||
Coca-Cola Europacific Partners PLC (e) | 24,266 | 1,242,568 | ||||
Compass Group PLC | 473,527 | 9,661,258 | ||||
Croda International PLC | 38,336 | 3,013,179 | ||||
DCC PLC | 26,090 | 1,615,301 | ||||
Diageo PLC | 618,848 | 26,533,824 | ||||
Entain PLC (b) | 162,956 | 2,463,879 | ||||
Experian PLC | 247,971 | 7,245,630 | ||||
Halma PLC | 103,227 | 2,518,563 | ||||
Hargreaves Lansdown PLC (a) | 90,128 | 862,294 | ||||
HSBC Holdings PLC | 5,418,411 | 35,244,565 | ||||
Imperial Brands PLC | 240,287 | 5,357,752 | ||||
Informa PLC (b) | 384,742 | 2,470,818 |
Security Description | Shares | Value | ||||
InterContinental Hotels Group PLC | 50,086 | $ 2,645,972 | ||||
Intertek Group PLC | 42,456 | 2,168,643 | ||||
J Sainsbury PLC | 488,004 | 1,209,019 | ||||
JD Sports Fashion PLC | 647,470 | 907,413 | ||||
Johnson Matthey PLC | 45,893 | 1,073,173 | ||||
Just Eat Takeaway.com NV (b)(d) | 45,155 | 711,225 | ||||
Kingfisher PLC | 520,288 | 1,543,643 | ||||
Land Securities Group PLC REIT | 190,209 | 1,533,835 | ||||
Legal & General Group PLC | 1,619,445 | 4,710,330 | ||||
Lloyds Banking Group PLC | 18,845,363 | 9,683,384 | ||||
London Stock Exchange Group PLC | 87,054 | 8,068,759 | ||||
M&G PLC | 737,485 | 1,742,913 | ||||
Melrose Industries PLC | 1,179,501 | 2,144,370 | ||||
National Grid PLC | 964,659 | 12,324,497 | ||||
Natwest Group PLC | 1,521,260 | 4,033,080 | ||||
Next PLC | 36,520 | 2,599,010 | ||||
Ocado Group PLC (b) | 130,765 | 1,240,605 | ||||
Pearson PLC | 171,508 | 1,561,743 | ||||
Persimmon PLC | 85,811 | 1,941,491 | ||||
Phoenix Group Holdings PLC | 186,700 | 1,338,660 | ||||
Reckitt Benckiser Group PLC | 190,370 | 14,264,722 | ||||
RELX PLC (e) | 419,542 | 11,341,755 | ||||
RELX PLC (e) | 95,094 | 2,566,921 | ||||
Rentokil Initial PLC | 504,406 | 2,907,285 | ||||
Rolls-Royce Holdings PLC (b) | 2,203,613 | 2,219,890 | ||||
Sage Group PLC | 279,019 | 2,151,049 | ||||
Schroders PLC | 35,121 | 1,139,680 | ||||
Segro PLC REIT | 313,582 | 3,719,944 | ||||
Severn Trent PLC | 63,599 | 2,100,096 | ||||
Smith & Nephew PLC | 234,151 | 3,263,085 | ||||
Smiths Group PLC | 103,073 | 1,751,852 | ||||
Spirax-Sarco Engineering PLC | 20,317 | 2,437,296 | ||||
SSE PLC | 289,890 | 5,689,240 | ||||
St James's Place PLC | 151,373 | 2,026,780 | ||||
Standard Chartered PLC | 696,945 | 5,235,860 | ||||
Taylor Wimpey PLC | 957,030 | 1,355,782 | ||||
Tesco PLC | 2,012,409 | 6,244,344 | ||||
Unilever PLC | 684,793 | 30,945,580 | ||||
United Utilities Group PLC | 180,213 | 2,232,369 | ||||
Vodafone Group PLC | 7,159,447 | 11,012,822 | ||||
Whitbread PLC | 53,145 | 1,599,349 | ||||
WPP PLC | 308,247 | 3,086,895 | ||||
442,994,821 | ||||||
UNITED STATES — 6.1% | ||||||
CyberArk Software, Ltd. (b) | 11,100 | 1,420,356 | ||||
Ferguson PLC | 58,476 | 6,524,966 | ||||
GSK PLC | 1,358,971 | 29,139,504 | ||||
James Hardie Industries PLC CDI | 118,031 | 2,578,581 | ||||
Nestle SA | 750,689 | 87,383,697 |
Security Description | Shares | Value | |||
QIAGEN NV (b) | 61,443 | $ 2,871,330 | |||
Roche Holding AG Bearer Shares (a) | 6,830 | 2,628,268 | |||
Roche Holding AG | 187,260 | 62,309,159 | |||
Schneider Electric SE | 144,164 | 17,015,863 | |||
Sinch AB (a)(b)(d) | 143,153 | 465,121 | |||
Stellantis NV (e) | 179,253 | 2,207,947 | |||
Stellantis NV (e) | 401,017 | 4,943,716 | |||
Swiss Re AG | 79,514 | 6,144,509 | |||
Tenaris SA | 129,604 | 1,662,517 | |||
227,295,534 | |||||
TOTAL COMMON STOCKS (Cost $3,484,434,089) | 3,635,103,847 |
SHORT-TERM INVESTMENTS — 2.6% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.49% (f)(g) | 45,398,754 | 45,394,214 | |
State Street Navigator Securities Lending Portfolio II (h)(i) | 50,708,786 | 50,708,786 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $96,098,076) | 96,103,000 | ||
TOTAL INVESTMENTS — 100.2% (Cost $3,580,532,165) | 3,731,206,847 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (8,835,223) | ||
NET ASSETS — 100.0% | $ 3,722,371,624 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2022. |
(b) | Non-income producing security. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.5% of net assets as of June 30, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2022 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2022. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2022 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) | 925 | 09/16/2022 | $85,801,713 | $85,867,750 | $66,037 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,632,822,690 | $2,281,157 | $— | $3,635,103,847 | ||||
Short-Term Investments | 96,103,000 | — | — | 96,103,000 | ||||
TOTAL INVESTMENTS | $3,728,925,690 | $2,281,157 | $— | $3,731,206,847 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | $ 66,037 | $ — | $— | $ 66,037 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 66,037 | $ — | $— | $ 66,037 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,728,991,727 | $2,281,157 | $— | $3,731,272,884 |
% of Net Assets | ||
Financials | 17.3% | |
Industrials | 14.5 | |
Health Care | 13.5 | |
Consumer Discretionary | 11.0 | |
Consumer Staples | 10.6 | |
Information Technology | 7.6 | |
Materials | 7.3 | |
Communication Services | 4.9 | |
Energy | 4.7 | |
Utilities | 3.4 | |
Real Estate | 2.8 | |
Short-Term Investments | 2.6 | |
Liabilities in Excess of Other Assets | (0.2) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/22 | Value at 6/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 24,646,528 | $24,648,993 | $ 538,113,801 | $517,370,658 | $(2,846) | $4,924 | 45,398,754 | $45,394,214 | $ 114,499 | ||||||||
State Street Navigator Securities Lending Portfolio II | 21,854,737 | 21,854,737 | 388,341,934 | 359,487,885 | — | — | 50,708,786 | 50,708,786 | 671,228 | ||||||||
Total | $46,503,730 | $926,455,735 | $876,858,543 | $(2,846) | $4,924 | $96,103,000 | $785,727 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,635,103,847 |
Investments in affiliated issuers, at value | 96,103,000 |
Total Investments | 3,731,206,847 |
Foreign currency, at value | 22,726,710 |
Net cash at broker | 4,194,639 |
Cash | 16 |
Receivable from broker — accumulated variation margin on futures contracts | 68,263 |
Dividends receivable — unaffiliated issuers | 5,343,322 |
Dividends receivable — affiliated issuers | 38,686 |
Securities lending income receivable — unaffiliated issuers | 46,581 |
Securities lending income receivable — affiliated issuers | 35,881 |
Receivable for foreign taxes recoverable | 10,557,787 |
TOTAL ASSETS | 3,774,218,732 |
LIABILITIES | |
Payable upon return of securities loaned | 50,708,786 |
Payable for investments purchased | 202,445 |
Advisory fee payable | 623,716 |
Custodian fees payable | 241,334 |
Professional fees payable | 39,825 |
Printing and postage fees payable | 19,960 |
Accrued expenses and other liabilities | 11,042 |
TOTAL LIABILITIES | 51,847,108 |
NET ASSETS | $3,722,371,624 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,484,434,089 |
Investments in affiliated issuers | 96,098,076 |
Total cost of investments | $3,580,532,165 |
Foreign currency, at cost | $ 22,787,005 |
* Includes investments in securities on loan, at value | $ 74,995,665 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 94,280,244 |
Dividend income — affiliated issuers | 114,499 |
Unaffiliated securities lending income | 655,674 |
Affiliated securities lending income | 671,228 |
Foreign taxes withheld | (13,949,075) |
TOTAL INVESTMENT INCOME (LOSS) | 81,772,570 |
EXPENSES | |
Advisory fee | 2,526,117 |
Custodian fees | 272,130 |
Trustees’ fees and expenses | 26,170 |
Professional fees and expenses | 37,944 |
Printing and postage fees | 7,700 |
Insurance expense | 540 |
Miscellaneous expenses | 19,263 |
TOTAL EXPENSES | 2,889,864 |
NET INVESTMENT INCOME (LOSS) | $ 78,882,706 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (41,067,604) |
Investments — affiliated issuers | (2,846) |
Foreign currency transactions | (2,006,145) |
Futures contracts | (9,736,057) |
Net realized gain (loss) | (52,812,652) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (910,574,947) |
Investments — affiliated issuers | 4,924 |
Foreign currency translations | (1,196,508) |
Futures contracts | (460,745) |
Net change in unrealized appreciation/depreciation | (912,227,276) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (965,039,928) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(886,157,222) |
Six Months Ended 6/30/22 (Unaudited) | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 78,882,706 | $ 106,772,031 | |
Net realized gain (loss) | (52,812,652) | 16,660,236 | |
Net change in unrealized appreciation/depreciation | (912,227,276) | 289,008,821 | |
Net increase (decrease) in net assets resulting from operations | (886,157,222) | 412,441,088 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 537,563,221 | 673,180,166 | |
Withdrawals | (275,594,378) | (394,883,626) | |
Net increase (decrease) in net assets from capital transactions | 261,968,843 | 278,296,540 | |
Net increase (decrease) in net assets during the period | (624,188,379) | 690,737,628 | |
Net assets at beginning of period | 4,346,560,003 | 3,655,822,375 | |
NET ASSETS AT END OF PERIOD | $3,722,371,624 | $4,346,560,003 |
Six Months Ended 6/30/22 (Unaudited) | 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) | (19.66)% | 11.25% | 7.96% | 22.11% | (13.83)% | 25.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,722,372 | $4,346,560 | $3,655,822 | $3,726,406 | $2,809,510 | $2,855,669 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.14%(b) | 0.14% | 0.14% | 0.15% | 0.15% | 0.14% | |||||
Net investment income (loss) | 3.83%(b) | 2.67% | 2.35% | 3.17% | 2.96% | 2.80% | |||||
Portfolio turnover rate | 3%(c) | 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. |
(b) | Annualized. |
(c) | Not annualized. |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $68,263 | $— | $68,263 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | (9,736,057) | $— | (9,736,057) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(460,745) | $— | $(460,745) |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $471,356,668 | $135,568,441 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,681,068,432 | $436,538,841 | $386,334,389 | $50,204,452 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 74,995,665 | $ 50,708,786 | $ 30,811,768 | $ 81,520,554 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2022 | ||||||||||||||
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 | $50,708,786 | $— | $— | $— | $50,708,786 | $50,708,786 |
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% | $803.40 | $0.63 | $1,024.10 | $0.70 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Portfolio: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Portfolio; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, and transfer agent of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
• | Information from the Adviser, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
(b) | Not Applicable to the Registrant. |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.
Item 11. Controls and Procedures.
(a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
(a)(1) | Not applicable to this filing; this Form N-CSR is a Semi-Annual Report. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. | |
(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable to the Registrant. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: STATE STREET INSTITUTIONAL INVESTMENT TRUST
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President |
Date: September 7, 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: | September 7, 2022 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) |
Date: September 7, 2022