State Street Bank and Trust Company State Street Short Term Investment Fund Financial Statements December 31, 2015

Transcription

1 Financial Statements

2 Independent Auditor's Report To the Trustee of State Street Bank and Trust Company We have audited the accompanying financial statements of State Street Bank and Trust Company (formerly State Street Bank and Trust Company SSgA Short Term Investment Fund) ("the Fund"), which comprise the statement of assets and liabilities, including the schedule of investments as of, and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of State Street Bank and Trust Company at, and the results of its operations and changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 11, 2016 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA T: (617) , F: (617) ,

3 Statement of Assets and Liabilities Assets Investments in securities, at amortized cost $ 55,162,907,118 Cash 499,847,283 Interest receivable 13,894,255 Total assets 55,676,648,656 Liabilities Distributions payable 15,170,389 Accrued expenses 1,946,556 Total liabilities 17,116,945 Net Assets (55,656,123,786 units outstanding, at $1.000 per unit net asset value) $ 55,659,531,711 2

4 Statement of Operations Year Ended Investment income Interest $ 141,538,792 Expenses Administration 5,953,351 Audit 47,000 Other 49,892 Total expenses 6,050,243 Net investment income (loss) 135,488,549 Net realized gain (loss): Investments 78,385 Net realized gain (loss) 78,385 Net increase (decrease) in net assets resulting from operations $ 135,566,934 3

5 Statement of Changes in Net Assets Year Ended From operations Net investment income (loss) $ 135,488,549 Net realized gain (loss) 78,385 Net increase (decrease) in net assets resulting from operations 135,566,934 Distributions to participants from net investment income (loss) (135,488,549) From participant transactions (at $1.000 per unit) Proceeds from units issued 484,145,610,158 Costs of units redeemed (486,950,359,346) Net increase (decrease) in net assets resulting from participant transactions (2,804,749,188) Net increase (decrease) in net assets (2,804,670,803) Net Assets Beginning of year 58,464,202,514 End of year $ 55,659,531,711 4

6 Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ Net investment income (loss) Net realized gain (loss) Total from investment operations Distributions (0.002) Net asset value, end of year $ Total return (%) Ratios to Average Net Assets 4 Ratio of expenses (%) Ratio of net investment income (loss) (%) Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Zero amounts represent those which are less than $ or % or ($0.0005) or (0.0005%) if negative. 3 Calculation is based on the value of a single unit of participation outstanding throughout the year. It assumes reinvestment of distributions and includes only those expenses charged directly to the Fund. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 4 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 5

7 Schedule of Investments (showing percentage of total value of investments) Government Issues 12.4% Interest Rate Maturity Date Principal Amortized Cost ($) Agency - 6.2% Federal Home Loan Bank Discount Notes 1 Federal Home Loan Bank Discount Notes 1 Federal Home Loan Bank Discount Notes 1 Federal Home Loan Bank Discount Notes 1 Federal Home Loan Bank Discount Notes 1 Federal Home Loan Bank Discount Notes % 01/05/2016 USD 332,400, ,396, % 01/06/ ,000, ,991, % 01/08/ ,168, ,148, % 01/13/ ,500, ,487, % 01/20/2016 1,205,000,000 1,204,914, % 01/29/ ,000, ,959,439 3,434,897,911 Treasury Bill - 6.2% United States Treasury Bill % 01/07/2016 USD 1,218,000,000 1,217,985,897 United States Treasury Bill % 01/14/2016 1,252,000,000 1,251,943,620 United States Treasury Bill % 01/21/ ,000, ,998,667 United States Treasury Bill % 01/28/ ,000, ,936,250 United States Treasury Bill % 02/04/ ,000, ,972,771 3,379,837,205 Total Government Issues (Cost $6,814,735,116) 6,814,735,116 Short Term Instruments 80.4% Auto Manufacturers - 0.4% Toyota Motor Credit Corp % 01/06/2016 USD 161,000, ,000,000 Toyota Motor Credit Corp % 01/15/ ,000,000 58,000, ,000,000 Banks % Australia & New Zealand Banking 0.44% 01/11/2016 USD 130,000, ,000,000 Group Ltd. 2 Australia & New Zealand Banking Group Ltd % 01/19/ ,000, ,000,000 6

8 Schedule of Investments (showing percentage of total value of investments) Short Term Instruments 80.4% Interest Rate Maturity Date Principal Amortized Cost ($) Australia & New Zealand Banking 0.00% 02/25/ ,000,000 32,979,833 Group Ltd. 1 Australia & New Zealand Banking 0.00% 03/01/ ,000,000 66,955,333 Group Ltd. 1 Bank of America Corp % 04/05/ ,000, ,000,000 Bank of America Corp % 04/11/ ,000,000 68,000,000 Bank of America Corp % 04/12/ ,000, ,000,000 Bank of America Corp % 05/03/ ,000, ,000,000 Bank of America Corp % 05/03/ ,000,000 85,000,000 Bank Of America NA % 01/15/ ,000, ,000,000 Bank Of America NA % 01/19/ ,000, ,000,000 Bank Of America NA % 02/16/ ,000, ,000,000 Bank of Montreal % 01/07/ ,000,000 52,000,000 Bank of Montreal % 01/08/ ,000, ,000,000 Bank of Montreal % 01/15/ ,000, ,000,000 Bank of Montreal % 01/15/ ,000, ,000,000 Bank of Montreal % 03/14/ ,000, ,000,000 Bank of Nova Scotia % 02/01/ ,000, ,000,000 Bank of Nova Scotia % 04/07/ ,000, ,000,000 Bank of Nova Scotia % 04/20/ ,000, ,000,000 BNP Paribas SA % 01/04/2016 1,000,000, ,983,333 BNP Paribas SA 0.40% 03/03/ ,000, ,000,000 BNP Paribas SA 0.50% 03/16/ ,000, ,000,000 Canadian Imperial Bank of 0.43% 01/08/ ,000, ,000,000 Commerce 2 Canadian Imperial Bank of 0.46% 02/16/ ,000, ,000,000 Commerce 2 Chase Bank USA NA % 03/08/ ,000, ,000,000 Chase Bank USA NA % 04/25/ ,000, ,000,000 Chase Bank USA NA % 05/25/ ,000, ,000,000 Chase Bank USA NA % 05/26/ ,000, ,000,000 Chase Bank USA NA % 06/10/ ,000, ,000,000 Commonwealth Bank of Australia 0.44% 01/11/ ,000, ,000,000 Cooperatieve Centrale Raiffeisen- 0.55% 01/19/ ,000, ,000,000 Boerenleenbank BA 2 Cooperatieve Centrale Raiffeisen- 0.57% 01/25/ ,000, ,000,000 Boerenleenbank BA 2 Cooperatieve Centrale Raiffeisen- 0.47% 03/11/ ,000, ,000,000 Boerenleenbank BA 2 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA % 03/22/ ,000, ,000,000 7

9 Schedule of Investments (showing percentage of total value of investments) Short Term Instruments 80.4% Interest Rate Maturity Date Principal Amortized Cost ($) Cooperatieve Centrale Raiffeisen- 0.49% 04/13/ ,000, ,000,000 Boerenleenbank BA 2 Credit Agricole S.A. 0.42% 02/01/ ,000, ,000,000 Credit Agricole S.A. 0.40% 02/09/ ,000, ,000,000 Credit Agricole S.A. 0.63% 03/16/ ,000, ,000,000 Credit Suisse AG % 04/18/ ,000, ,000,000 Credit Suisse AG % 05/02/ ,000, ,000,000 DBS Bank % 01/14/ ,000, ,985,137 DBS Bank % 03/16/ ,000,000 64,936,354 DNB ASA % 02/23/ ,000, ,831,188 DNB ASA % 03/09/ ,000, ,759,167 HSBC Holdings PLC % 05/18/ ,000, ,000,000 HSBC Holdings PLC % 06/01/ ,000, ,000,000 ING Bank NV 0.41% 01/19/ ,000, ,000,000 ING Bank NV 0.40% 02/01/ ,000, ,000,000 ING Bank NV 0.38% 02/02/ ,000, ,000,000 ING Bank NV 0.37% 02/05/ ,000, ,000,000 ING Bank NV 0.37% 02/22/ ,000, ,000,000 ING Bank NV 0.44% 03/14/ ,000, ,000,000 JPMorgan Chase Bank NA % 08/05/ ,000, ,000,000 JPMorgan Chase Bank NA % 08/22/ ,000, ,000,000 KFW % 01/26/ ,000, ,962,500 Lloyds Bank PLC % 03/23/ ,000, ,000,000 Lloyds Bank PLC % 04/06/ ,000, ,000,000 Lloyds Bank PLC % 05/18/ ,000, ,000,000 Lloyds Banking Group PLC 0.30% 01/06/ ,000, ,000,000 Lloyds Banking Group PLC % 03/11/ ,000, ,000,000 Mitsubishi UFJ Financial Group Inc. 0.38% 01/04/ ,000, ,000,000 Mitsubishi UFJ Financial Group Inc. 0.30% 01/07/ ,000, ,000,000 Mitsubishi UFJ Financial Group Inc. 0.30% 01/11/ ,000, ,000,000 Mitsubishi UFJ Financial Group Inc. 0.30% 01/14/ ,000, ,000,000 National Australia Bank Ltd. 0.28% 01/11/ ,000, ,000,479 National Australia Bank Ltd. 0.27% 01/12/ ,000, ,000,000 National Australia Bank Ltd % 03/03/ ,000, ,827,778 National Australia Bank Ltd % 03/03/ ,000, ,841,556 National Australia Bank Ltd % 04/06/ ,000, ,000,000 National Australia Bank Ltd % 01/12/ ,000,000 88,000,000 Natixis SA 0.42% 02/01/ ,000, ,000,000 Nordea Bank AB 0.36% 02/19/ ,000, ,000,000 Nordea Bank AB % 03/04/ ,000, ,878,725 8

10 Schedule of Investments (showing percentage of total value of investments) Short Term Instruments 80.4% Interest Rate Maturity Date Principal Amortized Cost ($) Nordea Bank AB % 03/07/ ,000,000 89,945,550 Norinchukin Bank 0.25% 01/08/ ,000, ,000,000 Norinchukin Bank 0.25% 01/11/ ,000, ,000,000 Norinchukin Bank 0.32% 01/25/ ,000, ,000,000 Norinchukin Bank 0.41% 02/05/ ,000, ,000,000 NRW Bank % 01/06/ ,000, ,982,257 NRW Bank % 01/14/ ,000, ,988,094 Royal Bank of Canada % 01/07/ ,000, ,000,000 Royal Bank of Canada % 03/10/ ,000, ,000,000 Royal Bank of Canada % 05/20/ ,000, ,000,000 Royal Bank of Canada % 08/08/ ,000, ,000,000 Skandinaviska Enskilda Banken AB % 01/11/ ,000, ,000,000 Skandinaviska Enskilda Banken AB % 02/16/ ,000, ,918,222 Skandinaviska Enskilda Banken AB % 02/17/ ,500, ,437,124 Societe Generale SA % 01/05/ ,000, ,985,111 Societe Generale SA % 02/01/ ,000, ,924,222 Societe Generale SA % 02/02/ ,000, ,921,778 Standard Chartered PLC 0.29% 01/21/ ,000, ,000,000 Standard Chartered PLC 0.29% 01/21/ ,000, ,000,000 Standard Chartered PLC % 01/22/ ,000, ,977,501 Sumitomo Mitsui Banking Corp. 0.30% 01/14/ ,000, ,000,000 Sumitomo Mitsui Banking Corp % 01/20/ ,000, ,968,333 Sumitomo Mitsui Banking Corp. 0.40% 02/01/ ,000, ,000,000 Sumitomo Mitsui Banking Corp. 0.40% 02/12/ ,000, ,999,996 Sumitomo Mitsui Banking Corp. 0.40% 02/16/ ,000, ,000,000 Sumitomo Mitsui Banking Corp. 0.40% 02/17/ ,000, ,999,999 Sumitomo Mitsui Banking Corp % 02/18/ ,000, ,893,333 Sumitomo Mitsui Banking Corp. 0.40% 02/18/ ,000, ,000,000 Sumitomo Mitsui Banking Corp. 0.40% 02/22/ ,000, ,999,992 Sumitomo Mitsui Banking Corp. 0.40% 02/29/ ,000, ,999,993 Svenska Handelsbanken AB % 01/15/ ,000, ,000,000 Svenska Handelsbanken AB % 01/27/ ,000, ,000,000 Svenska Handelsbanken AB 0.41% 03/02/ ,000, ,002,539 Svenska Handelsbanken AB % 03/07/ ,200, ,011,724 Swedbank AB % 03/02/ ,000, ,926,800 Swedbank AB % 03/07/ ,000, ,883,492 Toronto-Dominion Bank % 02/12/ ,000, ,000,000 Toronto-Dominion Bank % 04/05/ ,000, ,000,000 Toronto-Dominion Bank % 04/15/ ,000, ,000,000 9

11 Schedule of Investments (showing percentage of total value of investments) Short Term Instruments 80.4% Interest Rate Maturity Date Principal Amortized Cost ($) Toronto-Dominion Bank % 04/18/ ,000, ,000,000 Toronto-Dominion Bank % 05/05/ ,500, ,500,000 Toronto-Dominion Bank % 05/26/ ,000, ,000,000 UBS AG 0.41% 01/13/ ,000, ,000,000 UBS AG % 04/18/ ,000, ,000,000 Wells Fargo Bank NA % 01/08/ ,000, ,000,000 Wells Fargo Bank NA % 01/11/ ,000, ,000,000 Wells Fargo Bank NA % 01/12/ ,000, ,000,000 Wells Fargo Bank NA % 03/03/ ,000, ,000,000 Wells Fargo Bank NA % 03/07/ ,000, ,000,000 Wells Fargo Bank NA % 03/09/ ,000, ,000,000 Wells Fargo Bank NA % 04/04/ ,000,000 94,000,000 Wells Fargo Bank NA % 04/11/ ,000, ,000,000 Wells Fargo Bank NA % 08/09/ ,000, ,000,000 Wells Fargo Bank NA % 08/19/ ,000, ,000,000 Westpac Banking Corp % 01/11/ ,000, ,000,000 Westpac Banking Corp % 03/11/ ,000, ,000,000 Westpac Banking Corp % 04/18/ ,000, ,000,000 Westpac Banking Corp % 04/21/ ,000, ,000,000 36,454,207,443 Commercial Services - 0.1% Erste Abwicklungsanstalt % 02/02/2016 USD 50,000,000 49,985,778 Diversified Financial Services - 0.9% Credit Suisse AG 0.41% 01/19/2016 USD 500,000, ,000,000 Electrical Components & Equipment - 0.4% General Electric Co % 06/08/2016 USD 200,000, ,000,000 Food - 0.7% Nestle Capital Corp % 01/22/2016 USD 200,000, ,958,000 Nestle Capital Corp % 01/27/ ,000, ,948, ,906,000 10

12 Schedule of Investments (showing percentage of total value of investments) Interest Rate Maturity Date Amortized Cost ($) Short Term Instruments 80.4% Principal Sovereign - 4.8% Caisse des dépôts et consignations % 01/11/2016 USD 150,000, ,988,958 Caisse des dépôts et consignations % 01/12/ ,000, ,958,750 Caisse des dépôts et consignations % 01/20/ ,000, ,971,922 Caisse des dépôts et consignations % 01/28/ ,000, ,895,000 Caisse des dépôts et consignations % 02/04/ ,000, ,825,750 Caisse des dépôts et consignations % 02/17/ ,000, ,939,683 Caisse des dépôts et consignations % 02/18/ ,000, ,878,400 Caisse des dépôts et consignations % 02/19/ ,000,000 89,959,575 Caisse des dépôts et consignations % 03/01/ ,000, ,889,500 Caisse des dépôts et consignations % 03/15/ ,000, ,887,243 2,658,194,781 Time Deposit 7.0% Canadian Imperial Bank of 0.15% 01/04/2016 USD 100,000, ,000,000 Commerce Canadian Imperial Bank of 0.15% 01/04/ ,000, ,000,000 Commerce Canadian Imperial Bank of 0.15% 01/04/ ,000, ,000,000 Commerce Citibank NA 0.18% 01/04/ ,878, ,878,000 Credit Agricole SA 0.25% 01/04/ ,000, ,000,000 Federal Reserve Bank 0.26% 01/04/ ,000, ,000,000 Lloyds Banking Group PLC 0.26% 01/04/ ,000, ,000,000 National Australia Bank Ltd. 0.12% 01/04/ ,000, ,000,000 National Australia Bank Ltd. 0.12% 01/04/ ,000, ,000,000 Royal Bank of Canada 0.12% 01/04/2016 1,000,000,000 1,000,000,000 3,875,878,000 Total Short Term Instruments (Cost $44,357,172,002) 44,357,172,002 Repurchase Agreements 7.2% Principal Amortized Cost ($) BNP Tri Party Repurchase Agreement, 0.31%, dated 12/31/2015, to be purchased at $188,006,476 on 01/04/2016 (collateralized by various U.S. Treasuries and a Government Agency Security, 0.13% % due 04/15/ /01/2043, valued at $191,760,028) USD 188,000, ,000,000 11

13 Schedule of Investments (showing percentage of total value of investments) Repurchase Agreements 7.2% Principal Amortized Cost ($) Calyon Tri Party Repurchase Agreement, 0.37%, dated 12/28/2015, to be purchased at $250,010,278 on 01/04/2016 (collateralized by various U.S. Treasuries, 0.00% % due 01/07/ /15/2031, valued at $255,000,079) Citigroup Global Markets Inc. Tri Party Repurchase Agreement, 0.32%, dated 12/28/2015, to be purchased at $100,003,556 on 01/04/2016 (collateralized by various Government Agency Securities, 0.75% % due 08/25/ /06/2024, valued at $102,000,602) Citigroup Global Markets Inc. Tri Party Repurchase Agreement, 0.33%, dated 12/28/2015, to be purchased at $500,018,333 on 01/04/2016 (collateralized by various Government Agency Securities and U.S. Treasuries, 0.00% % due 04/21/ /15/2044, valued at $510,000,000) Deutsche Tri Party Repurchase Agreement, 0.35%, dated 12/31/2015, to be purchased at $61,002,372 on 01/04/2016 (collateralized by a U.S. Treasury Note, 2.00% due 02/15/2025, valued at $62,220,001) Goldman Sachs Tri Party Repurchase Agreement, 0.27%, dated 12/28/2015, to be purchased at $125,003,750 on 01/04/2016 (collateralized by various Government Agency Securities and a U.S. Treasury Note, 2.06% % due 04/30/ /28/2023, valued at $127,500,060) Goldman Sachs Tri Party Repurchase Agreement, 0.28%, dated 12/28/2015, to be purchased at $350,010,889 on 01/04/2016 (collateralized by various Government Agency Securities, 0.52% % due 05/15/ /20/2045, valued at $357,000,001) Goldman Sachs Tri Party Repurchase Agreement, 0.26%, dated 12/29/2015, to be purchased at $500,018,056 on 01/05/2016 (collateralized by various U.S. Treasuries, 0.00% % due 02/25/ /15/2040, valued at $510,000,078) Merrill Lynch Tri Party Repurchase Agreement, 0.29%, dated 12/31/2015, to be purchased at $100,003,222 on 01/04/2016 (collateralized by a U.S. Treasury Note, 1.75% due 12/31/2020, valued at $102,000,061) Nomura Tri Party Repurchase Agreement, 0.34%, dated 12/31/2015, to be purchased at $1,472,055,609 on 01/04/2016 (collateralized by various Government Agency Securities and U.S. Treasuries, 0.00% % due 01/07/ /01/2048, valued at $1,501,440,000) RBS Tri Party Repurchase Agreement, 0.31%, dated 12/31/2015, to be purchased at $61,002,101 on 01/04/2016 (collateralized by a U.S. Treasury Inflation Indexed Bond, 0.38% due 07/15/2023, valued at $62,223,592) 250,000, ,000, ,000, ,000, ,000, ,000,000 61,000,000 61,000, ,000, ,000, ,000, ,000, ,000, ,000, ,000, ,000,000 1,472,000,000 1,472,000,000 61,000,000 61,000,000 12

14 Schedule of Investments (showing percentage of total value of investments) Repurchase Agreements 7.2% Principal Amortized Cost ($) RBS Tri Party Repurchase Agreement, 0.29%, dated 12/29/2015, to be purchased at $70,002,819 on 01/05/2016 (collateralized by various U.S. Treasury Inflation Indexed Bonds, 0.13% % due 07/15/ /15/2024, valued at $71,400,128) Societe Generale Tri Party Repurchase Agreement, 0.32%, dated 12/31/2015, to be purchased at $150,005,333 on 01/04/2016 (collateralized by various U.S. Treasuries, 1.00% % due 02/15/ /15/2045, valued at $153,000,034) Societe Generale Tri Party Repurchase Agreement, 0.34%, dated 12/31/2015, to be purchased at $64,002,418 on 01/04/2016 (collateralized by various Government Agency Securities, 3.50% % due 12/01/ /01/2044, valued at $65,280,000) 70,000,000 70,000, ,000, ,000,000 64,000,000 64,000,000 Total Repurchase Agreements (Cost $3,991,000,000) 3,991,000,000 TOTAL INVESTMENTS % (Cost $55,162,907,118) 55,162,907,118 1 Denotes a zero coupon bond. 2 Variable rate security. USD : United States Dollar 13

15 Notes to Financial Statements 1. Fund Organization and Investment Objective Effective January 1, 2016, State Street Bank and Trust Company ("State Street Bank") SSgA Short Term Investment Fund changed its name to State Street Bank and Trust Company (the "Fund"), pursuant to an amended Fund Declaration. The Fund was formed by State Street Bank under the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). These financial statements refer to the Fund by its amended name. State Street Bank is Trustee, Custodian, and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. State Street Global Advisors ("SSGA"), a division of State Street Bank, is the Fund's Investment Manager. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee. The investment objective of the Fund is to provide safety of principal, daily liquidity, and a competitive yield over the long term. The Trustee has the authority to establish unlimited classes of units of the Fund (each a "Class") and issue an unlimited number of units of any such Class of the Fund. 2. Summary of Significant Accounting Policies The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The policies described below are followed consistently in the preparation of the financial statements. A. Valuation Governance and Oversight The Trustee and the Investment Manager assign valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These regional valuation committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to: Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments for which market quotations are not readily available, including where available market quotations are deemed unreliable; Determining appropriate pricing services and sources for various securities or instruments, including secondary and tertiary source options; Recommending changes to approved pricing sources, and monitoring pricing services' overall performance, including evaluating the pricing methodologies these pricing services employ; Escalating valuation challenges; Reviewing results of fair value determinations; and Maintaining valuation records. The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA s North America Valuation Committee is responsible for valuation oversight of the Fund. SSGA regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to identify 14

16 Notes to Financial Statements potential fair valuation considerations. These procedures and the results of these controls are reviewed periodically by SSGA s North America Valuation Committee. B. Security Valuation The investment valuation policy of the Fund is to value investments at fair value, which is generally defined as the price that could reasonably be expected to be realized from an orderly transaction to sell an asset or paid to transfer a liability between market participants. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. Investments and other portfolio instruments are generally valued using a market approach. In accordance with valuation policies and procedures approved by the Trustee, fixed income investments are valued on the basis of valuations furnished by independent pricing services. These services determine valuations for normal institutionalsize trading units of such securities using valuation models or matrix pricing, which incorporates yield and/or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date and quotations from securities dealers to determine current value. If these valuations are not readily available or deemed unreliable, the fair value will be determined in good faith by the Trustee. To the extent the inputs are observable, timely and/or consistent with other valuation inputs, these investments are classified within Level 2 of the fair value hierarchy. The Fund may invest directly or indirectly in securities with contractual cash flows, such as mortgage and asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, changes in interest rates, delinquencies and/or defaults, and may be affected by shifts in the market's perception of the issuers, including the issuers' creditworthiness. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. Short-term investments (with a remaining maturity of 60 days or less at the time of purchase and not credit impaired), if any, are stated at amortized cost, which approximates fair value, and are classified within Level 2 of the fair value hierarchy. Investments in registered investment companies (other than those that are exchange traded) or collective investment funds, if any, are valued at their respective net asset value and are classified within Level 2 of the fair value hierarchy. Please refer to the Repurchase Agreements note for further details on the valuation policy for repurchase agreements. If the aggregate value of fixed income investments approximates amortized cost, such investments are valued at amortized cost. Under the amortized cost method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and the expected maturity value of the investment, as an adjustment to interest income. The Trustee evaluates the difference between the Fund net asset value per unit based upon the amortized cost of the Fund's securities and the net asset value per unit based upon market quotations (or permitted substitutes) at least once a week pursuant to procedures and tolerances established by the Trustee. Fair Value Hierarchy The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy are described below: Level 1 Level 2 Unadjusted quoted prices in active markets for identical assets or liabilities. Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar investments, interest rates, foreign exchange rates, prepayment speeds, credit risk and others. 15

17 Notes to Financial Statements Level 3 Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trustee's own assumptions about the factors market participants would use in valuing a portfolio instrument, and would be based on the best information available. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. The following is a summary of the inputs used, as of, involving the Fund's assets and liabilities. The inputs or methodologies used for valuing investments and other financial instruments may not be an indication of the risk associated with investing in those securities. Level 1 Level 2 Level 3 Total Investments in securities, long - Assets Government Issues $ - $ 6,814,735,116 $ - 6,814,735,116 Short Term Instruments - 44,357,172,002-44,357,172,002 Repurchase Agreements - 3,991,000,000-3,991,000,000 $ - $ 55,162,907,118 $ - $ 55,162,907,118 Please refer to the Schedule of Investments for additional information regarding composition of amounts listed above. C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from underlying funds, if any, are recorded on the exdividend date and retain the character of income as earned by the underlying funds. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income earned on securities, if any, is recorded on the accrual basis. Interest income includes accretion of discounts and amortization of premiums, if any. Paydown gains and losses on mortgage and asset-backed securities are included in interest income. D. Taxes It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no federal or state tax provision is required. The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has determined that no provision for income taxes is required in the Fund's financial statements. E. Issuances and Redemptions of Units of Participation Issuances and redemptions of participant units are made on each business day. Participant units are typically issued and redeemed at a constant net asset value of $1.000 per unit. In the event that a significant disparity develops between the constant net asset value and the fair value-based net asset value of the Fund, the Trustee may determine that continued issuance or redemption at a constant $1.000 net asset value would create inequitable results for the Fund's participants. In these circumstances, the Trustee, in its sole discretion and acting on behalf of the Fund's participants, may direct that units be issued or redeemed at the fair value-based net asset value until such time as the disparity between the fair value-based and the constant net asset value per unit is deemed to be immaterial. Additional terms of participation are detailed in the Trust and the Fund's other governing documents. Such terms may be implemented pursuant to the Trustee's prudent determination. 16

18 Notes to Financial Statements F. Expenses The Fund does not pay the Trustee a direct investment management fee as part of the Fund s expenses; rather, each participant contracts with the Trustee regarding its individual fee arrangement. The Trustee may remit a portion of such fee, if any, to SSGA. The Fund is charged by the Trustee an annual administration fee equal to 0.01% of the average daily net asset value of the Fund. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate. Please refer to the Additional Expense Information footnote for further disclosures regarding expenses. G. Treatment of Net Investment Income and Net Realized Gains Distributions from net investment income are declared on each valuation date and paid monthly. Distributions of net capital gains, if any, are made periodically. H. Repurchase Agreements The Fund may enter into repurchase agreements under the terms and conditions of a Master Repurchase Agreement and/ or a Global Master Repurchase Agreement (collectively, MRA ) with dealers, banks and other financial institutions deemed to be creditworthy by the Investment Manager. Upon entering into a repurchase agreement, whereby the Fund receives delivery of underlying securities as collateral, and the seller of such securities agrees to repurchase the securities at an agreed-upon price and time. The Fund values the underlying collateral securities daily on a marked-to-market basis to determine that the value, including accrued interest is at least equal to the repurchase price. The underlying collateral securities consist of securities in which the Fund is permitted to invest. Collateral for certain tri-party repurchase agreements is held at a custodian in a segregated account for the benefit of the Fund and the counterparty. The use of repurchase agreements involves certain risks. If the seller defaults as a result of its bankruptcy or otherwise, and the value of the collateral declines, realization of the collateral by the Fund may be delayed or limited. Upon an event of default, all transactions traded under the MRA, including any collateral, may be offset to create a single net payment. For financial reporting purposes, the Fund does not offset repurchase agreements, including those that may be subject to an enforceable MRA, on the Statement of Assets and Liabilities. Repurchase agreements are included in investments in securities on the Statement of Assets and Liabilities. The following table sets forth the Fund s net exposure to repurchase agreements available for offset and net of collateral at : Gross Assets Gross Liabilities Collateral Received Collateral Pledged Net Exposure Repurchase Agreements $ 3,991,000,000 $ - $ (3,991,000,000) $ - $ - The actual value of collateral, if any, may be more than the amount presented. 3. Concentration of Ownership No participants hold in excess of 10% of the Fund s units outstanding at. At, 10% of the Fund s total units outstanding were held by other State Street Bank collective investment funds. 17

19 Notes to Financial Statements 4. Risks and Uncertainties A. Market and Credit Risk In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the counterparty to the transaction to perform (credit risk). The Fund may be exposed to additional credit risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery. 5. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee expects the risk of loss to be remote. 6. Recent Accounting Pronouncements In May 2015, the Financial Accounting Standards Board ( FASB ) issued an amendment to U.S. GAAP that removes the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the net asset value per share practical expedient. The amendment is effective for the Fund on January 1, The Trustee does not anticipate that the adoption of the amendment will have a material effect on the Fund s financial statements. In August 2014, the FASB issued an amendment to U.S. GAAP which clarifies that management would be responsible for evaluating and disclosing conditions or events that raise substantial doubt about an entity s ability to continue as a going concern. The amendment is effective for the Fund on January 1, The Trustee does not anticipate that the adoption of the amendment will have a material impact on the Fund s financial statements. 7. Other SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements. 8. Subsequent Events The Trustee has evaluated subsequent events after through March 11, 2016, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in the financial statements. 18

20 Notes to Financial Statements 9. Additional Expense Information During the period ended, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying funds, if any. As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Fund to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Fund may exceed the Fund s total direct expenses incurred. Ratios of expense classifications as a % of average daily net assets TAOER DE IE TAGOE W/R TANOE Fund N/A Total Annual Operating Expense Ratio ("TAOER") Direct Expenses ("DE") Indirect Expenses ("IE") Total Annual Gross Operating Expense ("TAGOE") Waivers and/or Reimbursements ("W/R") Total Annual Net Operating Expense ("TANOE") Limitation on the total direct and indirect expenses the Fund may incur, as set forth in the Fund s governing documents. Fees and expenses directly incurred by the Fund which may include administration, audit, legal and management fees, if any. Proportionate amount of fees and expenses indirectly incurred by the Fund as a result of its investment in underlying funds which may include administration, audit and legal fees, if any. Total direct and indirect expenses incurred, prior to the application of any waivers and/or reimbursements, if any. Amounts waived and/or reimbursed by the Trustee to the extent the total direct and indirect expenses of the Fund exceeded the total annual operating expense ratio, as described in the Fund s governing documents. Total direct and indirect expenses incurred, net of waivers and/or reimbursements, if any. The total annual net operating expense ratio presented above may not correlate to the Fund's ratio of expenses to average daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any. 19